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Strategie Macd Volume

Strategie, die MACD (Moving Average Convergence Divergence) mit Volumenbestätigung kombiniert. Einstieg in Positionen, wenn die MACD-Linie die Signallinie kreuzt und dies durch erhöhtes Volumen bestätigt wird.

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 175%. Sie funktioniert am besten im Aktienmarkt.

MACD-Kreuzungen werden durch einen Volumenanstieg zur Bestätigung des Impulses gefiltert. Kaufsignale entstehen bei bullischen Kreuzungen mit wachsendem Volumen; Verkäufe das Gegenteil.

Momentum-Trader, die auf Volumspitzen achten, können es wertvoll finden. Das Risiko wird mit einem prozentualen Stop begrenzt.

Details

  • Einstiegskriterien:
    • Long: MACD crosses above Signal && Volume > AvgVolume * VolumeMultiplier
    • Short: MACD crosses below Signal && Volume > AvgVolume * VolumeMultiplier
  • Long/Short: Beide
  • Ausstiegskriterien:
    • MACD-Kreuzung in entgegengesetzter Richtung
  • Stops: Prozentbasiert bei StopLossPercent
  • Standardwerte:
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • VolumePeriod = 20
    • VolumeMultiplier = 1.5m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() AvgVolume ist das durchschnittliche Volumen der vorherigen VolumePeriod Kerzen. Jedes MACD-Kreuzen schließt eine Gegenposition, ein Kreuzen mit Volumenspitze dreht die Position also, eines ohne schließt nur.
  • Filter:
    • Kategorie: Ausbruch
    • Richtung: Beide
    • Indikatoren: MACD, Volume
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Mittelfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MACD Volume strategy.
/// A MACD cross closes a position against it. The cross opens a position in its direction only when the candle's volume exceeds
/// VolumeMultiplier times the average of the previous VolumePeriod candles, so a confirmed cross reverses the position.
/// A percent stop limits the loss.
/// </summary>
public class MacdVolumeStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<int> _volumePeriod;
	private readonly StrategyParam<decimal> _volumeMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _volumes = [];
	private bool? _prevAbove;

	/// <summary>
	/// Fast EMA period of MACD.
	/// </summary>
	public int MacdFast
	{
		get => _macdFast.Value;
		set => _macdFast.Value = value;
	}

	/// <summary>
	/// Slow EMA period of MACD.
	/// </summary>
	public int MacdSlow
	{
		get => _macdSlow.Value;
		set => _macdSlow.Value = value;
	}

	/// <summary>
	/// Signal line period of MACD.
	/// </summary>
	public int MacdSignal
	{
		get => _macdSignal.Value;
		set => _macdSignal.Value = value;
	}

	/// <summary>
	/// Previous candles the volume is averaged over.
	/// </summary>
	public int VolumePeriod
	{
		get => _volumePeriod.Value;
		set => _volumePeriod.Value = value;
	}

	/// <summary>
	/// How many times the average volume a candle must exceed.
	/// </summary>
	public decimal VolumeMultiplier
	{
		get => _volumeMultiplier.Value;
		set => _volumeMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public MacdVolumeStrategy()
	{
		_macdFast = Param(nameof(MacdFast), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA period of MACD", "MACD");

		_macdSlow = Param(nameof(MacdSlow), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA period of MACD", "MACD");

		_macdSignal = Param(nameof(MacdSignal), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal line period of MACD", "MACD");

		_volumePeriod = Param(nameof(VolumePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume Period", "Previous candles the volume is averaged over", "Volume");

		_volumeMultiplier = Param(nameof(VolumeMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Multiplier", "How many times the average volume a candle must exceed", "Volume");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_volumes.Clear();
		_prevAbove = null;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_volumes.Clear();
		_prevAbove = null;

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFast },
				LongMa = { Length = MacdSlow },
			},
			SignalMa = { Length = MacdSignal }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, macd);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue macdValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Volume is compared with the candles before this one.
		var average = _volumes.Count == VolumePeriod ? _volumes.Average() : (decimal?)null;

		_volumes.Add(candle.TotalVolume);

		if (_volumes.Count > VolumePeriod)
			_volumes.RemoveAt(0);

		if (!macdValue.IsFormed)
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		var isAbove = macd > signal;
		var wasAbove = _prevAbove;
		_prevAbove = isAbove;

		if (wasAbove is not bool was || was == isAbove)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var confirmed = average is decimal avgVolume && candle.TotalVolume > avgVolume * VolumeMultiplier;

		if (isAbove)
		{
			if (confirmed && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (Position < 0)
				BuyMarket(-Position);
		}
		else
		{
			if (confirmed && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
			else if (Position > 0)
				SellMarket(Position);
		}
	}
}