English EN
View on GitHub

Three Signal Directional Trend Strategy

The Three Signal Directional Trend strategy combines MACD, Stochastic oscillator and moving average rate of change to determine trend direction. Each indicator votes for long or short conditions and positions are opened when at least two indicators agree. The method aims to capture broad directional moves while filtering noise using multiple confirmation signals.

Details

  • Entry Criteria:
    • At least two out of three signals agree.
    • Long: MACD signal rising, Stochastic below oversold, MA ROC positive.
    • Short: MACD signal falling, Stochastic above overbought, MA ROC negative.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Opposite signal.
  • Stops: None.
  • Default Values:
    • AvgLength = 50
    • RocLength = 1
    • AvgRocLength = 10
    • StochLength = 14
    • SmoothK = 3
    • Overbought = 80
    • Oversold = 20
    • MacdFastLength = 12
    • MacdSlowLength = 26
    • MacdAvgLength = 9
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: MACD, Stochastic, SMA, ROC
    • Stops: None
    • Complexity: Low
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Three Signal Directional Trend Strategy.
/// Combines MACD, Stochastic, and RSI signals.
/// Enters when at least 2 of 3 indicators agree on direction.
/// </summary>
public class ThreeSignalDirectionalTrendStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _macdFastLength;
	private readonly StrategyParam<int> _macdSlowLength;
	private readonly StrategyParam<int> _macdAvgLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private MovingAverageConvergenceDivergenceSignal _macd;
	private StochasticOscillator _stochastic;
	private RelativeStrengthIndex _rsi;

	private decimal _prevMacdSignal;
	private bool _macdInit;
	private int _cooldownRemaining;

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

	public int MacdFastLength
	{
		get => _macdFastLength.Value;
		set => _macdFastLength.Value = value;
	}

	public int MacdSlowLength
	{
		get => _macdSlowLength.Value;
		set => _macdSlowLength.Value = value;
	}

	public int MacdAvgLength
	{
		get => _macdAvgLength.Value;
		set => _macdAvgLength.Value = value;
	}

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

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

	public ThreeSignalDirectionalTrendStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_macdFastLength = Param(nameof(MacdFastLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA length", "MACD");

		_macdSlowLength = Param(nameof(MacdSlowLength), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA length", "MACD");

		_macdAvgLength = Param(nameof(MacdAvgLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal EMA length", "MACD");

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

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

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

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

		_macd = null;
		_stochastic = null;
		_rsi = null;
		_prevMacdSignal = 0;
		_macdInit = false;
		_cooldownRemaining = 0;
	}

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

		_macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd = { ShortMa = { Length = MacdFastLength }, LongMa = { Length = MacdSlowLength } },
			SignalMa = { Length = MacdAvgLength }
		};

		_stochastic = new StochasticOscillator
		{
			K = { Length = 14 },
			D = { Length = 3 }
		};

		_rsi = new RelativeStrengthIndex { Length = RsiLength };

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

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

	private void OnProcess(ICandleMessage candle, IIndicatorValue macdVal, IIndicatorValue stochVal, IIndicatorValue rsiVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_macd.IsFormed || !_stochastic.IsFormed || !_rsi.IsFormed)
			return;

		if (macdVal.IsEmpty || stochVal.IsEmpty || rsiVal.IsEmpty)
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdVal;
		if (macdTyped.Signal is not decimal macdSignal)
			return;

		var stochTyped = (StochasticOscillatorValue)stochVal;
		if (stochTyped.K is not decimal stochK)
			return;

		var rsi = rsiVal.ToDecimal();

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevMacdSignal = macdSignal;
			_macdInit = true;
			return;
		}

		if (!_macdInit)
		{
			_prevMacdSignal = macdSignal;
			_macdInit = true;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevMacdSignal = macdSignal;
			return;
		}

		var longCount = 0;
		var shortCount = 0;

		// MACD signal rising/falling
		if (macdSignal > _prevMacdSignal)
			longCount++;
		else if (macdSignal < _prevMacdSignal)
			shortCount++;

		// Stochastic oversold/overbought
		if (stochK <= 20)
			longCount++;
		else if (stochK >= 80)
			shortCount++;

		// RSI direction
		if (rsi < 40)
			longCount++;
		else if (rsi > 60)
			shortCount++;

		// Trade when at least 2 signals agree
		if (longCount >= 2 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (shortCount >= 2 && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_prevMacdSignal = macdSignal;
	}
}