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Estrategia Arpeet MACD

La estrategia Arpeet MACD opera cruces de MACD con un filtro de línea cero. Una señal larga aparece cuando la línea MACD cruza por encima de la línea de señal mientras permanece por debajo de cero. Una señal corta ocurre cuando el MACD cruza por debajo de la línea de señal por encima de cero.

Detalles

  • Criterios de entrada:
    • Largo: MACD cruza por encima de la señal y MACD < 0.
    • Corto: MACD cruza por debajo de la señal y MACD > 0.
  • Stops: Ninguno.
  • Valores predeterminados:
    • FastLength = 12
    • SlowLength = 26
    • SignalLength = 9
  • Filtros:
    • Categoría: Indicador
    • Dirección: Ambos
    • Indicadores: MACD
    • Stops: No
    • Complejidad: Bajo
    • Marco temporal: Cualquiera
    • 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>
/// Arpeet MACD strategy - trades MACD crossovers with zero-line filter.
/// </summary>
public class ArpeetMacdStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevDiff;
	private int _barIndex;
	private int _lastTradeBar;

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

	/// <summary>
	/// Fast MA period.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow MA period.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Signal line period.
	/// </summary>
	public int SignalLength
	{
		get => _signalLength.Value;
		set => _signalLength.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initialize strategy parameters.
	/// </summary>
	public ArpeetMacdStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_fastLength = Param(nameof(FastLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA", "Fast MA period", "Indicators");

		_slowLength = Param(nameof(SlowLength), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA", "Slow MA period", "Indicators");

		_signalLength = Param(nameof(SignalLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Signal line period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 350)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevDiff = 0;
		_barIndex = 0;
		_lastTradeBar = 0;
	}

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

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastLength },
				LongMa = { Length = SlowLength },
			},
			SignalMa = { Length = SignalLength }
		};

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

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

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

		_barIndex++;

		var macdValue = (MovingAverageConvergenceDivergenceSignalValue)value;

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

		var cooldownOk = _barIndex - _lastTradeBar > CooldownBars;

		var diff = macd - signal;
		var crossedUp = diff > 0 && _prevDiff <= 0;
		var crossedDown = diff < 0 && _prevDiff >= 0;

		if (crossedUp && macd < 0 && Position <= 0 && cooldownOk)
		{
			BuyMarket();
			_lastTradeBar = _barIndex;
		}
		else if (crossedDown && macd > 0 && Position >= 0 && cooldownOk)
		{
			SellMarket();
			_lastTradeBar = _barIndex;
		}

		_prevDiff = diff;
	}
}