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McGinley Dynamic (Improved) Strategy

Implements the "McGinley Dynamic (Improved)" indicator by John R. McGinley, Jr. and trades when the close price crosses the dynamic line. The strategy supports modern, original, and custom coefficient formulas and can optionally display the unconstrained variant for comparison.

Details

  • Entry Long: close crosses above McGinley Dynamic.
  • Entry Short: close crosses below McGinley Dynamic.
  • Indicators: McGinley Dynamic, optional Unconstrained McGinley Dynamic, EMA for reference.
  • Default Values: Period = 14, Formula = Modern, Custom k = 0.5, Exponent = 4.
  • Direction: Both.
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class McGinleyDynamicImprovedStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _signalThresholdPercent;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _mdPrev;
	private ExponentialMovingAverage _ema;
	private decimal _previousDiff;
	private bool _hasPreviousDiff;
	private int _barsFromSignal;

	public int Period { get => _period.Value; set => _period.Value = value; }
	public decimal SignalThresholdPercent { get => _signalThresholdPercent.Value; set => _signalThresholdPercent.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public McGinleyDynamicImprovedStrategy()
	{
		_period = Param(nameof(Period), 20)
			.SetGreaterThanZero()
			.SetDisplay("Period", "McGinley base period", "General");
		_signalThresholdPercent = Param(nameof(SignalThresholdPercent), 0.25m)
			.SetGreaterThanZero()
			.SetDisplay("Signal Threshold %", "Minimum distance from McGinley in percent", "General");
		_signalCooldownBars = Param(nameof(SignalCooldownBars), 10)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Candles timeframe", "General");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_mdPrev = null;
		_ema = null;
		_previousDiff = 0m;
		_hasPreviousDiff = false;
		_barsFromSignal = 0;
	}

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

		_ema = new ExponentialMovingAverage { Length = Period };
		_mdPrev = null;
		_previousDiff = 0m;
		_hasPreviousDiff = false;
		_barsFromSignal = SignalCooldownBars;

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(_ema, ProcessCandle).Start();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_ema.IsFormed)
			return;

		var close = candle.ClosePrice;

		// Calculate McGinley Dynamic
		decimal md;
		if (_mdPrev == null)
		{
			md = close;
		}
		else
		{
			var prev = _mdPrev.Value;
			if (prev == 0m) prev = close;
			var k = 0.6m;
			var period = (decimal)Period;
			var ratio = close / prev;
			var pow = (decimal)Math.Pow((double)ratio, 4.0);
			var denom = k * period * pow;
			if (denom == 0m) denom = 1m;
			md = prev + (close - prev) / denom;
		}
		_mdPrev = md;

		if (close <= 0m)
			return;

		var diff = (close - md) / close * 100m;
		var threshold = SignalThresholdPercent;
		var crossedUp = _hasPreviousDiff && _previousDiff <= threshold && diff > threshold;
		var crossedDown = _hasPreviousDiff && _previousDiff >= -threshold && diff < -threshold;

		_previousDiff = diff;
		_hasPreviousDiff = true;

		_barsFromSignal++;
		if (_barsFromSignal < SignalCooldownBars)
			return;

		if (crossedUp && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (crossedDown && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}
	}
}