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TemplateEAbyMarket Strategy

Overview

TemplateEAbyMarket is a direct StockSharp port of the original MetaTrader 4 expert advisor TemplateEAbyMarket.mq4. The strategy uses the Moving Average Convergence Divergence (MACD) indicator to detect momentum shifts. When the MACD main line crosses the signal line while both components are in the same positive or negative zone, the strategy opens a market position in the direction of the crossover. Exits are managed exclusively through protective orders (take profit and stop loss) configured via the built-in StartProtection helper.

The StockSharp version keeps the behaviour of the MQL program: it only opens new positions without trying to automatically close the opposite side. Once a position is filled, the trade is left to be managed by protective levels or manual intervention.

Trading Logic

  1. Subscribe to the user-selected candle type (default: 15-minute time frame).
  2. Calculate MACD (12/26/9 by default) on every finished candle.
  3. Track the relative position of the MACD main and signal lines to detect a crossover event:
    • Bullish setup: previous candle had the main line below the signal line, the current candle closes with the main line above the signal line, and both lines are above zero. A market buy order with OrderVolume is submitted if the current exposure is below MaxOrders * OrderVolume.
    • Bearish setup: previous candle had the main line above the signal line, the current candle closes with the main line below the signal line, and both lines are below zero. A market sell order with OrderVolume is submitted subject to the same exposure cap.
  4. Protective takeProfit and stopLoss levels are activated once at start-up. The strategy does not close opposite positions automatically; risk is controlled by the protection module or by the user.

Parameters

Name Description
MacdFastPeriod Fast EMA length for the MACD calculation.
MacdSlowPeriod Slow EMA length for the MACD calculation.
MacdSignalPeriod Signal EMA length for the MACD calculation.
CandleType Candle type (time frame) that feeds the indicator.
OrderVolume Volume submitted with each market order.
MaxOrders Maximum number of concurrent orders, expressed as multiples of OrderVolume. The strategy checks abs(Position) < MaxOrders * OrderVolume before sending a new order.
TakeProfitPoints Take-profit distance in price points. Value 0 disables the take profit.
StopLossPoints Stop-loss distance in price points. Value 0 disables the stop loss.

Notes

  • Slippage and magic number settings from the MQL version are intentionally omitted because they are handled differently in StockSharp.
  • Ensure the connector provides proper price step metadata; StartProtection interprets distances in instrument price points.
  • The template is intentionally minimalistic and does not manage partial fills or pyramid entries beyond the MaxOrders limit.
namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Template EA by Market strategy: MACD histogram crossover with signal line.
/// </summary>
public class TemplateEAbyMarketStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;

	private decimal _prevMacd;
	private decimal _prevSignal;
	private bool _hasPrev;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int SignalPeriod { get => _signalPeriod.Value; set => _signalPeriod.Value = value; }

	public TemplateEAbyMarketStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "MACD fast EMA", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "MACD slow EMA", "Indicators");
		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "MACD signal period", "Indicators");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMacd = 0m;
		_prevSignal = 0m;
		_hasPrev = false;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_hasPrev = false;
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd = { ShortMa = { Length = FastPeriod }, LongMa = { Length = SlowPeriod } },
			SignalMa = { Length = SignalPeriod }
		};
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(macd, ProcessCandle).Start();
	}

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

		var v = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (v.Macd is not decimal macdLine || v.Signal is not decimal signal) return;

		if (_hasPrev)
		{
			var prevHist = _prevMacd - _prevSignal;
			var currHist = macdLine - signal;

			if (prevHist <= 0 && currHist > 0 && Position <= 0)
				BuyMarket();
			else if (prevHist >= 0 && currHist < 0 && Position >= 0)
				SellMarket();
		}

		_prevMacd = macdLine;
		_prevSignal = signal;
		_hasPrev = true;
	}
}