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Color NonLag Dot MACD Strategy

Strategy using MACD indicator with several signal detection modes. The approach is ported from the MQL "Exp_ColorNonLagDotMACD" expert advisor.

Details

  • Entry Criteria: Depends on selected mode (zero line breakout, MACD twist, signal line twist, or MACD crossing signal line).
  • Long/Short: Both directions, can be enabled separately.
  • Exit Criteria: Opposite signals or configured stop/target.
  • Stops: Optional percent based stop loss and take profit.
  • Default Values:
    • FastLength = 12
    • SlowLength = 26
    • SignalLength = 9
    • Mode = MacdDisposition
    • TakeProfitPercent = 4
    • StopLossPercent = 2
    • CandleType = TimeSpan.FromHours(4)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: 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>
/// Strategy based on MACD signal line crossover.
/// Buys when MACD crosses above signal, sells when below.
/// </summary>
public class ColorNonLagDotMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevMacd;
	private decimal? _prevSignal;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ColorNonLagDotMacdStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast EMA period", "Indicator");

		_slowLength = Param(nameof(SlowLength), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "Indicator");

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

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMacd = null;
		_prevSignal = null;
	}

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

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

		SubscribeCandles(CandleType)
			.BindEx(macd, ProcessCandle)
			.Start();
	}

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

		var value = (IMovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (value.Macd is not decimal macd || value.Signal is not decimal signal)
			return;

		if (_prevMacd is not null && _prevSignal is not null)
		{
			var crossUp = _prevMacd <= _prevSignal && macd > signal;
			var crossDown = _prevMacd >= _prevSignal && macd < signal;

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

		_prevMacd = macd;
		_prevSignal = signal;
	}
}