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MACD Long Strategy

Pairs Relative Strength Index extremes with MACD crossovers to capture pullbacks within a trend. After RSI reaches an extreme reading, the system waits for a confirming MACD crossover before entering. This approach filters noisy momentum shifts and focuses on high-probability reversals.

The strategy trades both directions and can quickly flip when opposite signals appear. MACD provides momentum confirmation while RSI highlights overbought and oversold zones. Protective stops can be added through the engine's risk controls.

Details

  • Entry Criteria:
    • Long: RSI falls below oversold, then MACD line crosses above signal.
    • Short: RSI rises above overbought, then MACD line crosses below signal.
  • Exit Criteria:
    • Opposite crossover or stop triggered.
  • Indicators:
    • RSI (length 14, oversold 30, overbought 70)
    • MACD (fast 12, slow 26, signal 9)
  • Stops: Implement via StartProtection or external money management.
  • Default Values:
    • RsiLength = 14
    • Oversold = 30
    • Overbought = 70
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
  • Filters:
    • Momentum reversal
    • Works on various timeframes
    • Indicators: RSI, MACD
    • Stops: Optional
    • Complexity: Basic
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// MACD Long Strategy.
/// Uses MACD crossover with RSI oversold/overbought lookback for timing.
/// Buys when RSI was recently oversold and MACD turns positive.
/// Sells when RSI was recently overbought and MACD turns negative.
/// </summary>
public class MacdLongStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rsiOversold;
	private readonly StrategyParam<int> _rsiOverbought;
	private readonly StrategyParam<int> _lookbackBars;
	private readonly StrategyParam<int> _cooldownBars;

	private RelativeStrengthIndex _rsi;
	private MovingAverageConvergenceDivergence _macd;

	private int _barsSinceOversold;
	private int _barsSinceOverbought;
	private decimal _prevMacd;
	private int _cooldownRemaining;

	public MacdLongStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

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

		_rsiOversold = Param(nameof(RsiOversold), 40)
			.SetDisplay("RSI Oversold", "Oversold level", "RSI");

		_rsiOverbought = Param(nameof(RsiOverbought), 60)
			.SetDisplay("RSI Overbought", "Overbought level", "RSI");

		_lookbackBars = Param(nameof(LookbackBars), 20)
			.SetDisplay("Lookback Bars", "Bars to look back for RSI conditions", "Strategy");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

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

	public int RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

	public int RsiOverbought
	{
		get => _rsiOverbought.Value;
		set => _rsiOverbought.Value = value;
	}

	public int LookbackBars
	{
		get => _lookbackBars.Value;
		set => _lookbackBars.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

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

		_rsi = null;
		_macd = null;
		_barsSinceOversold = int.MaxValue;
		_barsSinceOverbought = int.MaxValue;
		_prevMacd = 0;
		_cooldownRemaining = 0;
	}

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

		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_macd = new MovingAverageConvergenceDivergence();

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, _macd, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal rsi, decimal macdVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_rsi.IsFormed || !_macd.IsFormed)
		{
			_prevMacd = macdVal;
			return;
		}

		// Track RSI oversold/overbought
		if (rsi <= RsiOversold)
			_barsSinceOversold = 0;
		else
			_barsSinceOversold = Math.Min(_barsSinceOversold + 1, int.MaxValue - 1);

		if (rsi >= RsiOverbought)
			_barsSinceOverbought = 0;
		else
			_barsSinceOverbought = Math.Min(_barsSinceOverbought + 1, int.MaxValue - 1);

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevMacd = macdVal;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevMacd = macdVal;
			return;
		}

		var wasOversold = _barsSinceOversold <= LookbackBars;
		var wasOverbought = _barsSinceOverbought <= LookbackBars;

		// MACD zero cross
		var macdCrossUp = macdVal > 0 && _prevMacd <= 0 && _prevMacd != 0;
		var macdCrossDown = macdVal < 0 && _prevMacd >= 0 && _prevMacd != 0;

		// Buy: RSI was recently oversold + MACD crosses above zero
		if (wasOversold && macdCrossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: RSI was recently overbought + MACD crosses below zero
		else if (wasOverbought && macdCrossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long on MACD cross down
		else if (Position > 0 && macdCrossDown)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short on MACD cross up
		else if (Position < 0 && macdCrossUp)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevMacd = macdVal;
	}
}