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Macd Pattern Trader All

Strategy that opens positions on sharp MACD reversals. It looks for two large spikes around a small intermediate value of the MACD line. A sell is opened when the previous MACD value is positive and the current value drops deep into negative territory. A buy is opened on the opposite condition. Stop loss and take profit are derived from recent highs and lows.

The algorithm suits volatile markets where momentum quickly changes direction. It uses only market orders and calculates risk levels from candle history.

Details

  • Entry Criteria: MACD spike ratio based on RatioThreshold.
  • Long/Short: Both directions.
  • Exit Criteria: Stop at recent extreme plus offset or opposite spike.
  • Stops: Yes.
  • Default Values:
    • FastEmaPeriod = 24
    • SlowEmaPeriod = 13
    • StopLossBars = 22
    • TakeProfitBars = 32
    • OffsetPoints = 40
    • RatioThreshold = 5m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Pattern
    • Direction: Both
    • Indicators: MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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;
	}
}