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Estrategia de Reversión a la Media con MACD

Este método rastrea el histograma MACD en relación con su propio promedio. Las lecturas extremas del histograma a menudo revierten una vez que el impulso cede. Al monitorear la diferencia entre MACD y su línea de señal, la estrategia encuentra movimientos sobreextendidos.

Las pruebas indican un retorno anual promedio de aproximadamente 67%. Funciona mejor en el mercado de acciones.

Se entra en una posición larga cuando el histograma MACD cae por debajo de la media en DeviationMultiplier desviaciones estándar. Se abre una posición corta cuando el histograma sube por encima de la media en la misma cantidad. La operación se cierra cuando el histograma vuelve a cruzar su promedio.

Este enfoque es adecuado para traders cómodos operando contra los extremos del impulso. Un stop-loss medido como porcentaje del precio de entrada protege contra las tendencias que continúan fortaleciéndose.

Detalles

  • Criterios de entrada:
    • Largo: MACD Histogram < Avg - DeviationMultiplier * StdDev
    • Corto: MACD Histogram > Avg + DeviationMultiplier * StdDev
  • Largo/Corto: Ambos lados.
  • Criterios de salida:
    • Largo: Salir cuando Histogram > Avg
    • Corto: Salir cuando Histogram < Avg
  • Stops: Sí, stop-loss porcentual.
  • Valores predeterminados:
    • FastMacdPeriod = 12
    • SlowMacdPeriod = 26
    • SignalPeriod = 9
    • AveragePeriod = 20
    • DeviationMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Mean reversion
    • Dirección: Ambos
    • Indicadores: MACD
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// MACD Histogram Mean Reversion strategy.
/// This strategy enters positions when MACD Histogram is significantly below or above its average value.
/// </summary>
public class MacdMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _fastMacdPeriod;
	private readonly StrategyParam<int> _slowMacdPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private decimal _prevMacdHist;
	private decimal _avgMacdHist;
	private decimal _stdDevMacdHist;
	private decimal _sumMacdHist;
	private decimal _sumSquaresMacdHist;
	private int _count;
	private readonly Queue<decimal> _macdHistValues = [];

	/// <summary>
	/// Fast EMA period for MACD.
	/// </summary>
	public int FastMacdPeriod
	{
		get => _fastMacdPeriod.Value;
		set => _fastMacdPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period for MACD.
	/// </summary>
	public int SlowMacdPeriod
	{
		get => _slowMacdPeriod.Value;
		set => _slowMacdPeriod.Value = value;
	}

	/// <summary>
	/// Signal line period for MACD.
	/// </summary>
	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

	/// <summary>
	/// Period for calculating mean and standard deviation of MACD Histogram.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

	/// <summary>
	/// Deviation multiplier for entry signals.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MacdMeanReversionStrategy()
	{
		_fastMacdPeriod = Param(nameof(FastMacdPeriod), 12)
			.SetGreaterThanZero()
			
			.SetOptimize(8, 16, 4)
			.SetDisplay("Fast EMA Period", "Fast EMA period for MACD", "Indicators");

		_slowMacdPeriod = Param(nameof(SlowMacdPeriod), 26)
			.SetGreaterThanZero()
			
			.SetOptimize(20, 30, 5)
			.SetDisplay("Slow EMA Period", "Slow EMA period for MACD", "Indicators");

		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetGreaterThanZero()
			
			.SetOptimize(5, 13, 4)
			.SetDisplay("Signal Period", "Signal line period for MACD", "Indicators");

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetGreaterThanZero()
			
			.SetOptimize(10, 50, 10)
			.SetDisplay("Average Period", "Period for calculating MACD Histogram average", "Settings");

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1.5m, 3m, 0.5m)
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation", "Settings");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			
			.SetOptimize(1m, 3m, 0.5m)
			.SetDisplay("Stop Loss %", "Stop loss as percentage of entry price", "Risk Management");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMacdHist = 0;
		_avgMacdHist = 0;
		_stdDevMacdHist = 0;
		_sumMacdHist = 0;
		_sumSquaresMacdHist = 0;
		_count = 0;
		_macdHistValues.Clear();
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		// Reset variables

		// Create MACD indicator
		var macd = new MovingAverageConvergenceDivergenceHistogram
		{
			Macd =
			{
				ShortMa = { Length = FastMacdPeriod },
				LongMa = { Length = SlowMacdPeriod },
			},
			SignalMa = { Length = SignalPeriod }
		};

		var macdHistogram = new MovingAverageConvergenceDivergenceHistogram(macd.Macd, new());

		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macdHistogram, ProcessCandle)
			.Start();

		// Setup chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, macd);
			DrawIndicator(area, macdHistogram);
			DrawOwnTrades(area);
		}

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0m), // We'll manage exits ourselves based on MACD Histogram
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);

		base.OnStarted2(time);
	}

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

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Extract MACD Histogram value
		var macdTyped = (MovingAverageConvergenceDivergenceHistogramValue)macdValue;
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
		{
			return;
		}

		// Update MACD Histogram statistics
		UpdateMacdHistStatistics(macd);

		// Save current MACD Histogram for next iteration
		_prevMacdHist = macd;

		// If we don't have enough data yet for statistics
		if (_count < AveragePeriod)
			return;

		// Check for entry conditions
		if (Position == 0)
		{
			// Long entry - MACD Histogram is significantly below its average
			if (macd < _avgMacdHist - DeviationMultiplier * _stdDevMacdHist)
			{
				BuyMarket(Volume);
				LogInfo($"Long entry: MACD Hist = {macd}, Avg = {_avgMacdHist}, StdDev = {_stdDevMacdHist}");
			}
			// Short entry - MACD Histogram is significantly above its average
			else if (macd > _avgMacdHist + DeviationMultiplier * _stdDevMacdHist)
			{
				SellMarket(Volume);
				LogInfo($"Short entry: MACD Hist = {macd}, Avg = {_avgMacdHist}, StdDev = {_stdDevMacdHist}");
			}
		}
		// Check for exit conditions
		else if (Position > 0) // Long position
		{
			if (macd > _avgMacdHist)
			{
				ClosePosition();
				LogInfo($"Long exit: MACD Hist = {macd}, Avg = {_avgMacdHist}");
			}
		}
		else if (Position < 0) // Short position
		{
			if (macd < _avgMacdHist)
			{
				ClosePosition();
				LogInfo($"Short exit: MACD Hist = {macd}, Avg = {_avgMacdHist}");
			}
		}
	}

	private void UpdateMacdHistStatistics(decimal currentMacdHist)
	{
		// Add current value to the queue
		_macdHistValues.Enqueue(currentMacdHist);
		_sumMacdHist += currentMacdHist;
		_sumSquaresMacdHist += currentMacdHist * currentMacdHist;
		_count++;

		// If queue is larger than period, remove oldest value
		if (_macdHistValues.Count > AveragePeriod)
		{
			var oldestMacdHist = _macdHistValues.Dequeue();
			_sumMacdHist -= oldestMacdHist;
			_sumSquaresMacdHist -= oldestMacdHist * oldestMacdHist;
			_count--;
		}

		// Calculate average and standard deviation
		if (_count > 0)
		{
			_avgMacdHist = _sumMacdHist / _count;
			
			if (_count > 1)
			{
				var variance = (_sumSquaresMacdHist - (_sumMacdHist * _sumMacdHist) / _count) / (_count - 1);
				_stdDevMacdHist = variance <= 0 ? 0 : (decimal)Math.Sqrt((double)variance);
			}
			else
			{
				_stdDevMacdHist = 0;
			}
		}
	}
}