Español ES
Ver en GitHub

Estrategia Tripple MACD

Combina cuatro cálculos de MACD con un filtro RSI. Se abre una posición larga cuando el histograma MACD promediado se vuelve positivo en una vela alcista y el RSI está por debajo de 55. La operación se cierra en la condición opuesta.

  • Indicadores: MACD, RSI
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Combines multiple EMA difference lines (simulating MACD histogram) with RSI filter.
/// Buys when averaged MACD histogram turns positive with RSI below threshold.
/// </summary>
public class TrippleMacdStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<decimal> _takeProfitPercent;
	private readonly StrategyParam<int> _fast1;
	private readonly StrategyParam<int> _slow1;
	private readonly StrategyParam<int> _fast2;
	private readonly StrategyParam<int> _slow2;

	private decimal _prevHist;
	private decimal _prevRsi;
	private int _cooldown;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public decimal TakeProfitPercent { get => _takeProfitPercent.Value; set => _takeProfitPercent.Value = value; }
	public int Fast1 { get => _fast1.Value; set => _fast1.Value = value; }
	public int Slow1 { get => _slow1.Value; set => _slow1.Value = value; }
	public int Fast2 { get => _fast2.Value; set => _fast2.Value = value; }
	public int Slow2 { get => _slow2.Value; set => _slow2.Value = value; }

	public TrippleMacdStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI Period", "RSI calculation length", "Indicators");
		_takeProfitPercent = Param(nameof(TakeProfitPercent), 4m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");
		_fast1 = Param(nameof(Fast1), 8).SetDisplay("Fast1", "Fast period 1", "Indicators");
		_slow1 = Param(nameof(Slow1), 21).SetDisplay("Slow1", "Slow period 1", "Indicators");
		_fast2 = Param(nameof(Fast2), 13).SetDisplay("Fast2", "Fast period 2", "Indicators");
		_slow2 = Param(nameof(Slow2), 34).SetDisplay("Slow2", "Slow period 2", "Indicators");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHist = 0;
		_prevRsi = 0;
		_cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var emaFast1 = new ExponentialMovingAverage { Length = Fast1 };
		var emaSlow1 = new ExponentialMovingAverage { Length = Slow1 };
		var emaFast2 = new ExponentialMovingAverage { Length = Fast2 };
		var emaSlow2 = new ExponentialMovingAverage { Length = Slow2 };
		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(emaFast1, emaSlow1, emaFast2, emaSlow2, rsi, ProcessCandle).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, emaFast1);
			DrawIndicator(area, emaSlow1);
			DrawOwnTrades(area);
		}
	}

	private void ProcessCandle(ICandleMessage candle, decimal f1, decimal s1, decimal f2, decimal s2, decimal rsiVal)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Simulated MACD histograms
		var macd1 = f1 - s1;
		var macd2 = f2 - s2;
		var hist = (macd1 + macd2) / 2m;

		if (_prevHist == 0 || _prevRsi == 0)
		{
			_prevHist = hist;
			_prevRsi = rsiVal;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevHist = hist;
			_prevRsi = rsiVal;
			return;
		}

		// histogram trend direction
		var histUp = hist > 0m;
		var histDown = hist < 0m;

		// RSI cross 50
		var rsiUp = _prevRsi <= 50m && rsiVal > 50m;
		var rsiDown = _prevRsi >= 50m && rsiVal < 50m;

		// Exit on opposite RSI cross
		if (Position > 0 && rsiDown)
		{
			SellMarket();
			_cooldown = 80;
		}
		else if (Position < 0 && rsiUp)
		{
			BuyMarket();
			_cooldown = 80;
		}

		// Entry: RSI cross 50 + histogram confirms
		if (Position == 0)
		{
			if (rsiUp && histUp)
			{
				BuyMarket();
				_cooldown = 80;
			}
			else if (rsiDown && histDown)
			{
				SellMarket();
				_cooldown = 80;
			}
		}

		_prevRsi = rsiVal;

		_prevHist = hist;
	}
}