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XMACD Modes Strategy

Strategy based on the MACD indicator that supports four different entry modes:

  • Breakdown: open trades when MACD crosses the zero line.
  • MacdTwist: react to a change in MACD direction from falling to rising or vice versa.
  • SignalTwist: use turning points of the signal line as triggers.
  • MacdDisposition: trade on crossovers between MACD and its signal line.

The strategy subscribes to 4-hour candles and calculates a classic MACD (EMA 12/26 with a 9-period signal). It can both open and close positions on opposite signals. Risk is managed through optional stop loss and take profit expressed as percentages of the entry price.

Details

  • Entry Criteria: MACD-based signals depending on selected mode.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal or stop.
  • Stops: Yes.
  • Default Values:
    • FastEmaPeriod = 12
    • SlowEmaPeriod = 26
    • SignalPeriod = 9
    • CandleType = TimeSpan.FromHours(4)
    • Mode = MacdDisposition
    • StopLossPercent = 2m
    • TakeProfitPercent = 4m
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Swing (4h)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// EMA crossover strategy (MACD-style).
/// </summary>
public class XmacdModesStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFast;
	private decimal _prevSlow;
	private bool _hasPrev;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public XmacdModesStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Period", "Fast EMA period", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Period", "Slow EMA period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = 0;
		_prevSlow = 0;
		_hasPrev = false;
	}

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

		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };

		SubscribeCandles(CandleType)
			.Bind(fast, slow, ProcessCandle)
			.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastVal, decimal slowVal)
	{
		if (candle.State != CandleStates.Finished) return;

		if (!_hasPrev)
		{
			_prevFast = fastVal;
			_prevSlow = slowVal;
			_hasPrev = true;
			return;
		}

		var crossUp = _prevFast <= _prevSlow && fastVal > slowVal;
		var crossDown = _prevFast >= _prevSlow && fastVal < slowVal;

		if (crossUp && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (crossDown && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}

		_prevFast = fastVal;
		_prevSlow = slowVal;
	}
}