Deutsch DE
Auf GitHub ansehen

Vwap Macd Strategy

Strategy based on VWAP and MACD. Enters long when price is above VWAP and MACD > Signal. Enters short when price is below VWAP and MACD < Signal. Exits when MACD crosses its signal line in the opposite direction.

Testing indicates an average annual return of about 181%. It performs best in the crypto market.

VWAP guides intraday value, and MACD crossovers reveal momentum shifts. Trades are launched as MACD turns near the VWAP level.

Suitable for short-term momentum traders. ATR stop rules prevent excessive risk.

Details

  • Entry Criteria:
    • Long: Close > VWAP && MACD > Signal
    • Short: Close < VWAP && MACD < Signal
  • Long/Short: Both
  • Exit Criteria: MACD cross opposite
  • Stops: Percent-based using StopLossPercent
  • Default Values:
    • MacdFastPeriod = 12
    • MacdSlowPeriod = 26
    • MacdSignalPeriod = 9
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: VWAP, MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

using StockSharp.Algo;
using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on VWAP and MACD.
/// Enters long when price is above VWAP and MACD > Signal.
/// Enters short when price is below VWAP and MACD < Signal.
/// Exits when MACD crosses its signal line in the opposite direction.
/// </summary>
public class VwapMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private MovingAverageConvergenceDivergenceSignal _macd;
	private VolumeWeightedMovingAverage _vwap;

	private decimal _prevMacd;
	private decimal _prevSignal;
	private int _cooldown;

	/// <summary>
	/// MACD fast EMA period.
	/// </summary>
	public int MacdFastPeriod
	{
		get => _macdFastPeriod.Value;
		set => _macdFastPeriod.Value = value;
	}

	/// <summary>
	/// MACD slow EMA period.
	/// </summary>
	public int MacdSlowPeriod
	{
		get => _macdSlowPeriod.Value;
		set => _macdSlowPeriod.Value = value;
	}

	/// <summary>
	/// MACD signal line period.
	/// </summary>
	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of the <see cref="VwapMacdStrategy"/>.
	/// </summary>
	public VwapMacdStrategy()
	{
		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
			.SetDisplay("MACD Fast Period", "Fast EMA period for MACD calculation", "Indicators")
			;

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 26)
			.SetDisplay("MACD Slow Period", "Slow EMA period for MACD calculation", "Indicators")
			;

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetDisplay("MACD Signal Period", "Signal line period for MACD calculation", "Indicators")
			;

		_cooldownBars = Param(nameof(CooldownBars), 30)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between entries", "General");

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe of data for strategy", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_macd?.Reset();
		_vwap?.Reset();

		_prevMacd = 0;
		_prevSignal = 0;
		_cooldown = 0;
	}

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

		// Create MACD indicator

		_macd = new()
		{
			Macd =
			{
				ShortMa = { Length = MacdFastPeriod },
				LongMa = { Length = MacdSlowPeriod },
			},
			SignalMa = { Length = MacdSignalPeriod }
		};
		_vwap = new() { Length = MacdSignalPeriod };
		// Create subscription
		var subscription = SubscribeCandles(CandleType);

		// Process candles with MACD
		subscription
			.BindEx(_macd, ProcessCandle)
			.Start();

		// Setup chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);

			// MACD in separate area
			var macdArea = CreateChartArea();
			if (macdArea != null)
			{
				DrawIndicator(macdArea, _macd);
			}
		}
	}

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

		// Get VWAP value (calculated per day)
		var vwap = _vwap.Process(candle).ToDecimal();

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		// Extract MACD and Signal values
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
		{
			return;
		}

		// Detect MACD crosses
		bool macdCrossedAboveSignal = _prevMacd <= _prevSignal && macd > signal;
		bool macdCrossedBelowSignal = _prevMacd >= _prevSignal && macd < signal;

		// Check if strategy is ready for trading
		if (!IsFormedAndOnlineAndAllowTrading())
		{
			// Store current values for next candle
			_prevMacd = macd;
			_prevSignal = signal;
			return;
		}

		// Trading logic
		if (_cooldown > 0)
			_cooldown--;

		if (_cooldown == 0 && candle.ClosePrice > vwap * 1.001m && macdCrossedAboveSignal && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (_cooldown == 0 && candle.ClosePrice < vwap * 0.999m && macdCrossedBelowSignal && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_cooldown = CooldownBars;
		}

		// Exit logic based on MACD crosses
		if (Position > 0 && macdCrossedBelowSignal)
		{
			ClosePosition();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && macdCrossedAboveSignal)
		{
			ClosePosition();
			_cooldown = CooldownBars;
		}

		// Store current values for next candle
		_prevMacd = macd;
		_prevSignal = signal;
	}
}