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MACD Liquidity Tracker

MACD Liquidity Tracker uses MACD colour states to generate trading signals. Four modes (Fast, Normal, Safe, Crossover) adjust signal sensitivity. Optional stop loss and take profit are supported.

Details

  • Data: Price candles.
  • Entry Criteria:
    • Long: Depends on SystemType (default Normal uses MACD above signal).
    • Short: Depends on SystemType (default Normal uses MACD below signal).
  • Exit Criteria: Opposite signal.
  • Stops: Optional stop loss and take profit.
  • Default Values:
    • FastLength = 25
    • SlowLength = 60
    • SignalLength = 220
    • AllowShortTrades = false
    • SystemType = Normal
    • UseStopLoss = false
    • StopLossPercent = 3
    • UseTakeProfit = false
    • TakeProfitPercent = 6
    • StartDate = 2018-01-01
    • EndDate = 2069-12-31
    • CandleType = tf(5)
  • Filters:
    • Category: Trend
    • Direction: Long & Short
    • Indicators: MACD
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class MacdLiquidityTrackerStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _emaFast;
	private ExponentialMovingAverage _emaSlow;
	private decimal _prevMacd;
	private bool _initialized;
	private int _barsFromSignal;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdLiquidityTrackerStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12).SetDisplay("Fast", "Fast EMA", "MACD");
		_slowLength = Param(nameof(SlowLength), 26).SetDisplay("Slow", "Slow EMA", "MACD");
		_cooldownBars = Param(nameof(CooldownBars), 10).SetDisplay("Cooldown", "Bars between signals", "Risk");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
	}

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

		_emaFast = null;
		_emaSlow = null;
		_prevMacd = 0m;
		_initialized = false;
		_barsFromSignal = int.MaxValue;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMacd = 0;
		_initialized = false;
		_barsFromSignal = int.MaxValue;

		_emaFast = new ExponentialMovingAverage { Length = FastLength };
		_emaSlow = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_emaFast, _emaSlow, ProcessCandle).Start();

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

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

		if (fast == 0 || slow == 0)
			return;

		var isFastAbove = fast > slow;

		if (!_initialized) { _prevMacd = isFastAbove ? 1m : -1m; _initialized = true; _barsFromSignal = 0; return; }
		if (_barsFromSignal < 10000) _barsFromSignal++;

		var prevAbove = _prevMacd > 0;
		var crossUp = isFastAbove && !prevAbove;
		var crossDown = !isFastAbove && prevAbove;
		var canSignal = _barsFromSignal >= CooldownBars;

		if (canSignal && crossUp && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (canSignal && crossDown && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}

		_prevMacd = isFastAbove ? 1m : -1m;
	}
}