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Estrategia ADX MACD

ADX MACD combina la fortaleza de tendencia del Average Directional Index con los cambios de momentum del MACD. Cuando el ADX está en alza, los rompimientos tienen mayor probabilidad de continuar, especialmente si el MACD cruza en la misma dirección.

Las pruebas indican un rendimiento anual promedio de aproximadamente 139%. Funciona mejor en el mercado de acciones.

La estrategia opera esas señales alineadas y sale una vez que el ADX comienza a debilitarse o el MACD gira en contra de la posición.

Un stop porcentual moderado contiene las pérdidas durante mercados erráticos.

Detalles

  • Criterios de entrada: señal de indicador
  • Largo/Corto: Ambos
  • Criterios de salida: stop-loss o señal opuesta
  • Stops: Sí, basado en porcentaje
  • Valores predeterminados:
    • CandleType = 15 minute
    • StopLossPercent = 2
    • AdxPeriod = 14
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9 Sin posición, un cruce del MACD por encima de su línea de señal abre un largo y por debajo un corto, pero solo mientras el ADX supera su valor anterior. La posición se cierra cuando el ADX cae por debajo de su valor anterior o el MACD vuelve al otro lado de la línea de señal.
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: ADX, MACD
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
using System;
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;

/// <summary>
/// ADX MACD strategy.
/// While flat, a MACD cross above its signal line goes long and a cross below goes short, but only while ADX is rising.
/// The position closes once ADX weakens below its previous value or MACD returns to the other side of its signal line,
/// and a percent stop limits the loss.
/// </summary>
public class AdxMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private bool? _prevAbove;
	private decimal? _prevAdx;

	/// <summary>
	/// Period of ADX.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// Fast EMA period of MACD.
	/// </summary>
	public int MacdFast
	{
		get => _macdFast.Value;
		set => _macdFast.Value = value;
	}

	/// <summary>
	/// Slow EMA period of MACD.
	/// </summary>
	public int MacdSlow
	{
		get => _macdSlow.Value;
		set => _macdSlow.Value = value;
	}

	/// <summary>
	/// Signal line period of MACD.
	/// </summary>
	public int MacdSignal
	{
		get => _macdSignal.Value;
		set => _macdSignal.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public AdxMacdStrategy()
	{
		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period of ADX", "ADX");

		_macdFast = Param(nameof(MacdFast), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA period of MACD", "MACD");

		_macdSlow = Param(nameof(MacdSlow), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA period of MACD", "MACD");

		_macdSignal = Param(nameof(MacdSignal), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal line period of MACD", "MACD");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAbove = null;
		_prevAdx = null;
	}

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

		_prevAbove = null;
		_prevAdx = null;

		var adx = new AverageDirectionalIndex { Length = AdxPeriod };
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFast },
				LongMa = { Length = MacdSlow },
			},
			SignalMa = { Length = MacdSignal }
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(adx, macd, ProcessCandle)
			.Start();

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, adx);
				DrawIndicator(oscillators, macd);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue adxValue, IIndicatorValue macdValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!adxValue.IsFormed || !macdValue.IsFormed)
			return;

		if (adxValue is not AverageDirectionalIndexValue { MovingAverage: decimal strength })
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		var isAbove = macd > signal;
		var wasAbove = _prevAbove;
		var prevAdx = _prevAdx;
		_prevAbove = isAbove;
		_prevAdx = strength;

		if (wasAbove is not bool was || prevAdx is not decimal lastStrength)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var rising = strength > lastStrength;

		if (Position > 0)
		{
			if (!rising || !isAbove)
				SellMarket(Position);
		}
		else if (Position < 0)
		{
			if (!rising || isAbove)
				BuyMarket(-Position);
		}
		else if (rising && was != isAbove)
		{
			if (isAbove)
				BuyMarket(Volume);
			else
				SellMarket(Volume);
		}
	}
}