Español ES
Ver en GitHub

Estrategia de Histograma Adaptativo MACD

La estrategia MACD Adaptive Histogram está construida alrededor del MACD con umbral de histograma adaptativo.

Las pruebas indican un retorno anual promedio de aproximadamente el 184%. Funciona mejor en el mercado cripto.

Las señales se disparan cuando el Histograma confirma cambios de tendencia en datos intradía (15m). Esto hace que el método sea adecuado para traders activos.

Los stops se basan en múltiplos de ATR y factores como FastPeriod, SlowPeriod. Ajuste estos valores predeterminados para equilibrar el riesgo y la recompensa.

Detalles

  • Criterios de entrada: ver implementación para las condiciones del indicador.
  • Largo/Corto: Ambos.
  • Criterios de salida: señal opuesta o lógica de stop.
  • Stops: Sí, usando cálculos basados en indicadores.
  • Valores predeterminados:
    • FastPeriod = 12
    • SlowPeriod = 26
    • SignalPeriod = 9
    • HistogramAvgPeriod = 20
    • StdDevMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: Histogram
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía (15m)
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MACD strategy that adapts entry thresholds to the rolling distribution of the histogram.
/// </summary>
public class MacdAdaptiveHistogramStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _histogramAvgPeriod;
	private readonly StrategyParam<decimal> _stdDevMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private MovingAverageConvergenceDivergenceSignal _macd;
	private SimpleMovingAverage _histAvg;
	private StandardDeviation _histStdDev;
	private int _cooldown;

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

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

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

	/// <summary>
	/// Lookback period for the histogram statistics.
	/// </summary>
	public int HistogramAvgPeriod
	{
		get => _histogramAvgPeriod.Value;
		set => _histogramAvgPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for adaptive histogram thresholds.
	/// </summary>
	public decimal StdDevMultiplier
	{
		get => _stdDevMultiplier.Value;
		set => _stdDevMultiplier.Value = value;
	}

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

	/// <summary>
	/// Bars to wait after each order.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public MacdAdaptiveHistogramStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetRange(2, 50)
			.SetDisplay("Fast Period", "Fast EMA period for MACD", "MACD");

		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetRange(3, 100)
			.SetDisplay("Slow Period", "Slow EMA period for MACD", "MACD");

		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetRange(2, 50)
			.SetDisplay("Signal Period", "Signal line period for MACD", "MACD");

		_histogramAvgPeriod = Param(nameof(HistogramAvgPeriod), 20)
			.SetRange(5, 100)
			.SetDisplay("Histogram Avg Period", "Lookback period for histogram statistics", "Signals");

		_stdDevMultiplier = Param(nameof(StdDevMultiplier), 1.2m)
			.SetRange(0.1m, 5m)
			.SetDisplay("StdDev Multiplier", "Standard deviation multiplier for adaptive thresholds", "Signals");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 16)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars to wait after each order", "Risk");

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

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

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

		_macd = null;
		_histAvg = null;
		_histStdDev = null;
		_cooldown = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Security is not specified.");

		_macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastPeriod },
				LongMa = { Length = SlowPeriod },
			},
			SignalMa = { Length = SignalPeriod },
		};
		_histAvg = new SimpleMovingAverage { Length = HistogramAvgPeriod };
		_histStdDev = new StandardDeviation { Length = HistogramAvgPeriod };
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(_macd, ProcessCandle)
			.Start();

		var area = CreateChartArea();

		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _macd);
			DrawOwnTrades(area);
		}

		StartProtection(new Unit(0, UnitTypes.Absolute), new Unit(StopLossPercent, UnitTypes.Percent), false);
	}

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

		var typedValue = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

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

		var histogram = macd - signal;
		var histogramAverage = _histAvg.Process(histogram, candle.OpenTime, true).ToDecimal();
		var histogramStdDev = _histStdDev.Process(histogram, candle.OpenTime, true).ToDecimal();

		if (!_macd.IsFormed || !_histAvg.IsFormed || !_histStdDev.IsFormed)
			return;

		if (ProcessState != ProcessStates.Started)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		if (histogramStdDev <= 0)
			return;

		var upperThreshold = histogramAverage + StdDevMultiplier * histogramStdDev;
		var lowerThreshold = histogramAverage - StdDevMultiplier * histogramStdDev;

		if (Position == 0)
		{
			if (histogram >= upperThreshold && histogram > 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (histogram <= lowerThreshold && histogram < 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}

			return;
		}

		if (Position > 0 && histogram <= histogramAverage)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && histogram >= histogramAverage)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}