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McGinley Dynamic (Verbessert)-Strategie

Implementiert den Indikator "McGinley Dynamic (Improved)" von John R. McGinley, Jr. und handelt, wenn der Schlusskurs die dynamische Linie kreuzt. Die Strategie unterstützt moderne, originale und benutzerdefinierte Koeffizientenformeln und kann optional die unkontrollierte Variante zum Vergleich anzeigen.

Details

  • Einstieg Long: Schlusskurs kreuzt McGinley Dynamic nach oben.
  • Einstieg Short: Schlusskurs kreuzt McGinley Dynamic nach unten.
  • Indikatoren: McGinley Dynamic, optionales Unconstrained McGinley Dynamic, EMA als Referenz.
  • Standardwerte: Period = 14, Formula = Modern, Custom k = 0.5, Exponent = 4.
  • Richtung: Beide.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class McGinleyDynamicImprovedStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _signalThresholdPercent;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _mdPrev;
	private ExponentialMovingAverage _ema;
	private decimal _previousDiff;
	private bool _hasPreviousDiff;
	private int _barsFromSignal;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public decimal SignalThresholdPercent { get => _signalThresholdPercent.Value; set => _signalThresholdPercent.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public McGinleyDynamicImprovedStrategy()
	{
		_period = Param(nameof(Period), 20)
			.SetGreaterThanZero()
			.SetDisplay("Period", "McGinley base period", "General");
		_signalThresholdPercent = Param(nameof(SignalThresholdPercent), 0.25m)
			.SetGreaterThanZero()
			.SetDisplay("Signal Threshold %", "Minimum distance from McGinley in percent", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 10)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_mdPrev = null;
		_ema = null;
		_previousDiff = 0m;
		_hasPreviousDiff = false;
		_barsFromSignal = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		StartProtection(null, null);

		_ema = new ExponentialMovingAverage { Length = Period };
		_mdPrev = null;
		_previousDiff = 0m;
		_hasPreviousDiff = false;
		_barsFromSignal = SignalCooldownBars;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_ema, ProcessCandle).Start();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_ema.IsFormed)
			return;

		var close = candle.ClosePrice;

		// Calculate McGinley Dynamic
		decimal md;
		if (_mdPrev == null)
		{
			md = close;
		}
		else
		{
			var prev = _mdPrev.Value;
			if (prev == 0m) prev = close;
			var k = 0.6m;
			var period = (decimal)Period;
			var ratio = close / prev;
			var pow = (decimal)Math.Pow((double)ratio, 4.0);
			var denom = k * period * pow;
			if (denom == 0m) denom = 1m;
			md = prev + (close - prev) / denom;
		}
		_mdPrev = md;

		if (close <= 0m)
			return;

		var diff = (close - md) / close * 100m;
		var threshold = SignalThresholdPercent;
		var crossedUp = _hasPreviousDiff && _previousDiff <= threshold && diff > threshold;
		var crossedDown = _hasPreviousDiff && _previousDiff >= -threshold && diff < -threshold;

		_previousDiff = diff;
		_hasPreviousDiff = true;

		_barsFromSignal++;
		if (_barsFromSignal < SignalCooldownBars)
			return;

		if (crossedUp && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (crossedDown && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}
	}
}