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Estrategia de Patrón Trader MACD (All)

Estrategia que abre posiciones en reversiones bruscas del MACD. Busca dos grandes picos alrededor de un pequeño valor intermedio de la línea MACD. Se abre una venta cuando el valor anterior del MACD es positivo y el valor actual cae profundamente en territorio negativo. Se abre una compra en la condición opuesta. El stop loss y el take profit se derivan de los máximos y mínimos recientes.

El algoritmo se adapta a mercados volátiles donde el momentum cambia de dirección rápidamente. Utiliza únicamente órdenes de mercado y calcula los niveles de riesgo a partir del historial de velas.

Detalles

  • Criterios de entrada: Relación de picos MACD basada en RatioThreshold.
  • Largo/Corto: Ambos.
  • Criterios de salida: Stop en el extremo reciente más el offset o pico opuesto.
  • Stops: Sí.
  • Valores predeterminados:
    • FastEmaPeriod = 24
    • SlowEmaPeriod = 13
    • StopLossBars = 22
    • TakeProfitBars = 32
    • OffsetPoints = 40
    • RatioThreshold = 5m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Patrón
    • Dirección: Ambos
    • Indicadores: MACD
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía (5m)
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Strategy that trades sharp MACD reversals using recent highs and lows for risk.
/// </summary>
public class MacdPatternTraderAllStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _stopLossBars;
	private readonly StrategyParam<int> _takeProfitBars;
	private readonly StrategyParam<int> _offsetPoints;
	private readonly StrategyParam<decimal> _ratioThreshold;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _macdPrev;
	private decimal _macdPrev2;
	private decimal _stopLossPrice;
	private decimal _takeProfitPrice;

	/// <summary>
	/// Fast EMA period for MACD.
	/// </summary>
	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }

	/// <summary>
	/// Slow EMA period for MACD.
	/// </summary>
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }

	/// <summary>
	/// Number of bars used to calculate stop loss.
	/// </summary>
	public int StopLossBars { get => _stopLossBars.Value; set => _stopLossBars.Value = value; }

	/// <summary>
	/// Number of bars used to calculate take profit.
	/// </summary>
	public int TakeProfitBars { get => _takeProfitBars.Value; set => _takeProfitBars.Value = value; }

	/// <summary>
	/// Offset in points added to stop loss.
	/// </summary>
	public int OffsetPoints { get => _offsetPoints.Value; set => _offsetPoints.Value = value; }

	/// <summary>
	/// Minimal ratio of MACD spikes to previous value.
	/// </summary>
	public decimal RatioThreshold { get => _ratioThreshold.Value; set => _ratioThreshold.Value = value; }

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

	/// <summary>
	/// Initializes a new instance of the <see cref="MacdPatternTraderAllStrategy"/> class.
	/// </summary>
	public MacdPatternTraderAllStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 24)
			.SetDisplay("Fast EMA Period", "Period for fast EMA in MACD", "Indicators")
			
			.SetOptimize(12, 40, 2);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 13)
			.SetDisplay("Slow EMA Period", "Period for slow EMA in MACD", "Indicators")
			
			.SetOptimize(7, 26, 1);

		_stopLossBars = Param(nameof(StopLossBars), 22)
			.SetDisplay("Stop Loss Bars", "Bars to look back for stop loss", "Risk management")
			
			.SetOptimize(10, 40, 1);

		_takeProfitBars = Param(nameof(TakeProfitBars), 32)
			.SetDisplay("Take Profit Bars", "Bars to look back for take profit", "Risk management")
			
			.SetOptimize(10, 60, 2);

		_offsetPoints = Param(nameof(OffsetPoints), 40)
			.SetDisplay("Offset Points", "Point offset added to stop loss", "Risk management")
			
			.SetOptimize(10, 60, 5);

		_ratioThreshold = Param(nameof(RatioThreshold), 8m)
			.SetDisplay("MACD Ratio", "Minimal ratio of surrounding MACD values", "Signals")
			
			.SetOptimize(3m, 7m, 1m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

		_macdPrev = 0m;
		_macdPrev2 = 0m;
		_stopLossPrice = 0m;
		_takeProfitPrice = 0m;
	}

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

		var macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastEmaPeriod },
			LongMa = { Length = SlowEmaPeriod }
		};

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

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

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

		// Manage existing position by fixed stop and target
		if (Position > 0)
		{
			if (candle.LowPrice <= _stopLossPrice || candle.HighPrice >= _takeProfitPrice)
			{
				SellMarket(Position);
				_stopLossPrice = 0m;
				_takeProfitPrice = 0m;
			}
		}
		else if (Position < 0)
		{
			if (candle.HighPrice >= _stopLossPrice || candle.LowPrice <= _takeProfitPrice)
			{
				BuyMarket(Math.Abs(Position));
				_stopLossPrice = 0m;
				_takeProfitPrice = 0m;
			}
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_macdPrev2 = _macdPrev;
			_macdPrev = macdValue;
			return;
		}

		var priceStep = Security?.PriceStep ?? 1m;
		var offset = OffsetPoints * priceStep;
		var stopDistance = offset * 2m;
		var takeDistance = offset * 4m;

		var macdCurr = macdValue;
		var macdLast = _macdPrev;
		var macdLast3 = _macdPrev2;

		if (macdLast != 0m)
		{
			var ratio1 = Math.Abs(macdLast3 / macdLast);
			var ratio2 = Math.Abs(macdCurr / macdLast);

			if ((macdLast3 > 0m || macdCurr < 0m) && ratio1 >= RatioThreshold && ratio2 >= RatioThreshold && Position >= 0)
			{
				var sl = candle.ClosePrice + stopDistance;
				var tp = candle.ClosePrice - takeDistance;
				var volume = Volume + Math.Abs(Position);
				SellMarket(volume);
				_stopLossPrice = sl;
				_takeProfitPrice = tp;
			}
			else if ((macdLast3 < 0m || macdCurr > 0m) && ratio1 >= RatioThreshold && ratio2 >= RatioThreshold && Position <= 0)
			{
				var sl = candle.ClosePrice - stopDistance;
				var tp = candle.ClosePrice + takeDistance;
				var volume = Volume + Math.Abs(Position);
				BuyMarket(volume);
				_stopLossPrice = sl;
				_takeProfitPrice = tp;
			}
		}

		_macdPrev2 = _macdPrev;
		_macdPrev = macdCurr;
	}
}