Español
Ver en GitHub

Estrategia MACD + Bollinger Bands + RSI

Esta configuración compuesta busca retrocesos contra el momentum MACD prevaleciente que se extienden más allá de las Bandas de Bollinger. Cuando el MACD es positivo pero el precio cierra por debajo de la banda inferior con un RSI sobrevendido, la estrategia compra anticipando una continuación de la tendencia. Lo opuesto aplica para posiciones cortas.

Detalles

  • Criterios de entrada:
    • Largo: MACD > 0 y Close < LowerBand y RSI < 30
    • Corto: MACD < 0 y Close > UpperBand y RSI > 70
  • Largo/Corto: Ambos
  • Criterios de salida: Señal opuesta
  • Stops: Ninguno
  • Valores predeterminados:
    • MacdFastLength = 12
    • MacdSlowLength = 26
    • MacdSignalLength = 9
    • BBLength = 20
    • BBMultiplier = 2.0
    • RSILength = 14
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Ambos
    • Indicadores: MACD, Bollinger Bands, RSI
    • Stops: No
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: Sí
    • 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>
/// MACD + Bollinger Bands + RSI strategy.
/// Buys a pullback when the MACD line is positive while the close is below the lower Bollinger band and RSI is under 30,
/// and sells when the MACD line is negative while the close is above the upper band and RSI is over 70. The opposite
/// signal reverses the position.
/// </summary>
public class MacdBbRsiStrategy : Strategy
{
	private const decimal _rsiOversold = 30m;
	private const decimal _rsiOverbought = 70m;

	private readonly StrategyParam<int> _macdFastLength;
	private readonly StrategyParam<int> _macdSlowLength;
	private readonly StrategyParam<int> _macdSignalLength;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbMultiplier;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// MACD fast EMA period.
	/// </summary>
	public int MacdFastLength
	{
		get => _macdFastLength.Value;
		set => _macdFastLength.Value = value;
	}

	/// <summary>
	/// MACD slow EMA period.
	/// </summary>
	public int MacdSlowLength
	{
		get => _macdSlowLength.Value;
		set => _macdSlowLength.Value = value;
	}

	/// <summary>
	/// MACD signal line period.
	/// </summary>
	public int MacdSignalLength
	{
		get => _macdSignalLength.Value;
		set => _macdSignalLength.Value = value;
	}

	/// <summary>
	/// Bollinger Bands period.
	/// </summary>
	public int BBLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	/// <summary>
	/// Bollinger Bands standard deviation multiplier.
	/// </summary>
	public decimal BBMultiplier
	{
		get => _bbMultiplier.Value;
		set => _bbMultiplier.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RSILength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MacdBbRsiStrategy()
	{
		_macdFastLength = Param(nameof(MacdFastLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "MACD fast EMA period", "MACD");

		_macdSlowLength = Param(nameof(MacdSlowLength), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "MACD slow EMA period", "MACD");

		_macdSignalLength = Param(nameof(MacdSignalLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "MACD signal line period", "MACD");

		_bbLength = Param(nameof(BBLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Bollinger Bands");

		_bbMultiplier = Param(nameof(BBMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("BB Multiplier", "Bollinger Bands standard deviation multiplier", "Bollinger Bands");

		_rsiLength = Param(nameof(RSILength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation", "General");
	}

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

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

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFastLength },
				LongMa = { Length = MacdSlowLength },
			},
			SignalMa = { Length = MacdSignalLength },
		};
		var bollinger = new BollingerBands { Length = BBLength, Width = BBMultiplier };
		var rsi = new RelativeStrengthIndex { Length = RSILength };

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

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

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

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

		if (!macdValue.IsFormed || !bollingerValue.IsFormed || !rsiValue.IsFormed)
			return;

		if (((MovingAverageConvergenceDivergenceSignalValue)macdValue).Macd is not decimal macdLine)
			return;

		var bb = (BollingerBandsValue)bollingerValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var rsi = rsiValue.ToDecimal();
		var close = candle.ClosePrice;

		var longSignal = macdLine > 0 && close < lower && rsi < _rsiOversold;
		var shortSignal = macdLine < 0 && close > upper && rsi > _rsiOverbought;

		if (longSignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (shortSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}