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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
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// MACD + Bollinger Bands + RSI Strategy.
/// Uses MACD for momentum, BB for volatility levels, RSI for confirmation.
/// Buys when MACD bullish + price near lower BB + RSI oversold.
/// Sells when MACD bearish + price near upper BB + RSI overbought.
/// </summary>
public class MacdBbRsiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbWidth;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private MovingAverageConvergenceDivergence _macd;
	private BollingerBands _bollinger;
	private RelativeStrengthIndex _rsi;
	private decimal _prevMacd;
	private int _cooldownRemaining;

	public MacdBbRsiStrategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

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

		_bbWidth = Param(nameof(BBWidth), 1.5m)
			.SetDisplay("BB Width", "BB standard deviation multiplier", "Bollinger Bands");

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

		_cooldownBars = Param(nameof(CooldownBars), 50)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	public int BBLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	public decimal BBWidth
	{
		get => _bbWidth.Value;
		set => _bbWidth.Value = value;
	}

	public int RSILength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

		_macd = null;
		_bollinger = null;
		_rsi = null;
		_prevMacd = 0;
		_cooldownRemaining = 0;
	}

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

		_macd = new MovingAverageConvergenceDivergence();
		_bollinger = new BollingerBands { Length = BBLength, Width = BBWidth };
		_rsi = new RelativeStrengthIndex { Length = RSILength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_rsi, OnProcess)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

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

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

		// Process MACD and BB manually
		var macdResult = _macd.Process(candle);
		var bbResult = _bollinger.Process(candle);

		if (!_macd.IsFormed || !_bollinger.IsFormed)
			return;

		var macdVal = macdResult.ToDecimal();
		var bb = (BollingerBandsValue)bbResult;
		if (bb.UpBand is not decimal upper ||
			bb.LowBand is not decimal lower ||
			bb.MovingAverage is not decimal middle)
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevMacd = macdVal;
			return;
		}

		var close = candle.ClosePrice;

		// Buy: price below lower BB + RSI oversold + MACD positive
		if (close <= lower && rsi < 30 && Position == 0)
		{
			BuyMarket();
			_cooldownRemaining = CooldownBars;
		}
		// Sell: price above upper BB + RSI overbought + MACD negative
		else if (close >= upper && rsi > 70 && Position == 0)
		{
			SellMarket();
			_cooldownRemaining = CooldownBars;
		}

		_prevMacd = macdVal;
	}
}