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MACD CCI Lotfy-Strategie

Strategie, die MACD und CCI mit einem Skalierungsfaktor kombiniert. Eine Position wird geöffnet, wenn beide Indikatoren extreme Schwellenwerte in dieselbe Richtung kreuzen.

Der MACD-Wert wird mit einem Koeffizienten multipliziert, um die Skala an den CCI anzupassen und einen direkten Vergleich mit demselben Schwellenwert zu ermöglichen. Der Ansatz zielt darauf ab, Umkehrungen aus überkauften und überverkauften Zonen zu erfassen.

Details

  • Einstiegskriterien:
    • Long: CCI < -Threshold und MACD * MacdCoefficient < -Threshold
    • Short: CCI > Threshold und MACD * MacdCoefficient > Threshold
  • Long/Short: Beide
  • Ausstiegskriterien: Ein entgegengesetztes Signal löst eine umgekehrte Position aus
  • Stops: Keine
  • Standardwerte:
    • CciPeriod = 8
    • FastPeriod = 13
    • SlowPeriod = 33
    • MacdCoefficient = 86000
    • Threshold = 85
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • Filter:
    • Kategorie: Mean Reversion
    • Richtung: Beide
    • Indikatoren: MACD, CCI
    • Stops: Nein
    • Komplexität: Grundlegend
    • Zeitrahmen: Kurzfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy combining MACD and RSI indicators.
/// Opens long when both indicators reach oversold conditions.
/// Opens short when both indicators reach overbought conditions.
/// </summary>
public class MacdCciLotfyStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _macdCoefficient;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<DataType> _candleType;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public decimal MacdCoefficient { get => _macdCoefficient.Value; set => _macdCoefficient.Value = value; }
	public decimal Threshold { get => _threshold.Value; set => _threshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdCciLotfyStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI indicator", "General");

		_fastPeriod = Param(nameof(FastPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast EMA", "Fast EMA length for MACD", "MACD");

		_slowPeriod = Param(nameof(SlowPeriod), 33)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow EMA", "Slow EMA length for MACD", "MACD");

		_macdCoefficient = Param(nameof(MacdCoefficient), 86000m)
			.SetGreaterThanZero()
			.SetDisplay("MACD Coefficient", "Multiplier for MACD value", "MACD");

		_threshold = Param(nameof(Threshold), 25m)
			.SetGreaterThanZero()
			.SetDisplay("Threshold", "Absolute level for signals", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastPeriod },
			LongMa = { Length = SlowPeriod },
		};

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

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, macd);
			DrawIndicator(area, rsi);
			DrawOwnTrades(area);
		}
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var scaledMacd = macdValue * MacdCoefficient;

		if (rsiValue < 50m - Threshold && scaledMacd < -Threshold)
		{
			if (Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
		}
		else if (rsiValue > 50m + Threshold && scaledMacd > Threshold)
		{
			if (Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
		}
	}
}