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LCS MACD Trader Strategy

This strategy is a StockSharp port of the "LCS-MACD-Trader" MetaTrader 4 expert advisor. It trades MACD crossovers that occur below/above the zero line and optionally requires a confirmation from the Stochastic Oscillator. The logic also mirrors the original time-of-day filters and MetaTrader-style trailing stop/break-even management.

How it works

  • Long entries are triggered when the MACD line crosses above its signal line while both remain below zero. If the stochastic filter is enabled, the %D line must have been above %K within the specified lookback and the current candle must show %D falling back below %K.
  • Short entries are triggered when the MACD line crosses below its signal line while both remain above zero. With the stochastic filter enabled, the %D line must have recently been below %K and now rises back above it.
  • Trading is only allowed inside three configurable intraday windows that replicate the EA settings.
  • Take-profit, stop-loss, break-even and trailing-stop distances are expressed in pips and converted using the instrument point size.
  • Only one net position per direction is maintained (StockSharp netting). Position stacking is allowed up to MaxOrders lots; opposite signals wait until the current net position is closed by risk management.

Parameters

Name Description Default
CandleType Candle series used for indicator calculations. 15-minute time frame
FastEmaPeriod Fast EMA period in the MACD. 12
SlowEmaPeriod Slow EMA period in the MACD. 26
SignalPeriod Signal line period in the MACD. 9
UseStochasticFilter Require stochastic confirmation before entries. true
BarsToCheckStochastic Maximum closed bars since the opposite stochastic relationship. 5
StochasticKPeriod Lookback length of %K. 5
StochasticDPeriod Smoothing length of %D. 3
StochasticSlowing Additional smoothing applied to %K. 3
TradeVolume Lot size used per entry. 0.1
TakeProfitPips Take-profit distance in pips. 100
StopLossPips Stop-loss distance in pips. 100
MaxOrders Maximum stacked entries per direction. 5
EnableTrailing Enable MetaTrader-style trailing stop logic. false
TrailingActivationPips Profit required before trailing starts. 50
TrailingDistancePips Distance maintained by the trailing stop. 25
BreakEvenActivationPips Profit required to move the stop to break-even. 25
BreakEvenOffsetPips Additional pips added when placing the break-even stop. 1
Session1Start/End, Session2Start/End, Session3Start/End Intraday trading windows. 08:15-08:35, 13:45-14:42, 22:15-22:45

Notes

  • The strategy assumes a netting account. It closes existing positions via the configured risk rules instead of hedging opposite orders like the original MT4 version.
  • Pip conversion uses the instrument point size. For 5-digit FX symbols the logic automatically scales pip values by 10 to match the EA multiplier setting.
  • Trailing stop and break-even logic is evaluated on finished candles and uses the high/low of each bar to emulate tick-based MetaTrader behaviour.
using System;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// LCS MACD Trader: MACD zero-line cross with RSI filter and ATR stops.
/// </summary>
public class LcsMacdTraderStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _atrLength;

	private decimal _prevMacd;
	private decimal _entryPrice;

	public LcsMacdTraderStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe.", "General");

		_fastEmaLength = Param(nameof(FastEmaLength), 12)
			.SetDisplay("Fast EMA", "Fast EMA period.", "Indicators");

		_slowEmaLength = Param(nameof(SlowEmaLength), 26)
			.SetDisplay("Slow EMA", "Slow EMA period.", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "RSI period.", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "ATR period.", "Indicators");
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int FastEmaLength
	{
		get => _fastEmaLength.Value;
		set => _fastEmaLength.Value = value;
	}

	public int SlowEmaLength
	{
		get => _slowEmaLength.Value;
		set => _slowEmaLength.Value = value;
	}

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

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

		_prevMacd = 0;
		_entryPrice = 0;
	}

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

		_prevMacd = 0;
		_entryPrice = 0;

		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, rsi, atr, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal, decimal rsiVal, decimal atrVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var macd = fastVal - slowVal;

		if (_prevMacd == 0 || atrVal <= 0)
		{
			_prevMacd = macd;
			return;
		}

		var close = candle.ClosePrice;

		if (Position > 0)
		{
			if (close >= _entryPrice + atrVal * 2.5m || close <= _entryPrice - atrVal * 1.5m || macd < 0)
			{
				SellMarket();
				_entryPrice = 0;
			}
		}
		else if (Position < 0)
		{
			if (close <= _entryPrice - atrVal * 2.5m || close >= _entryPrice + atrVal * 1.5m || macd > 0)
			{
				BuyMarket();
				_entryPrice = 0;
			}
		}

		if (Position == 0)
		{
			if (macd > 0 && _prevMacd <= 0 && rsiVal > 45)
			{
				_entryPrice = close;
				BuyMarket();
			}
			else if (macd < 0 && _prevMacd >= 0 && rsiVal < 55)
			{
				_entryPrice = close;
				SellMarket();
			}
		}

		_prevMacd = macd;
	}
}