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ATR MACD Strategy

ATR MACD uses volatility from the Average True Range to adjust position size while trading MACD crossovers. Larger ATR readings result in smaller trade size, keeping risk consistent across market regimes.

Testing indicates an average annual return of about 154%. It performs best in the stocks market.

Entries occur when MACD crosses its signal line, with exits triggered by the opposite crossover or a volatility-based stop.

This combination seeks to capture momentum while accounting for changing volatility.

Details

  • Entry Criteria: indicator signal
  • Long/Short: Both
  • Exit Criteria: stop-loss or opposite signal
  • Stops: Yes, percent based
  • Default Values:
    • CandleType = 15 minute
    • StopLoss = 2%
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: ATR, MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • 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 that uses ATR for volatility detection and MACD for trend direction.
/// Enters when MACD confirms trend direction.
/// </summary>
public class AtrMacdStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _atrValue;
	private int _cooldown;

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

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Strategy constructor.
	/// </summary>
	public AtrMacdStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_atrValue = 0;
		_cooldown = 0;
	}

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

		var atr = new AverageTrueRange { Length = 14 };
		var macd = new MovingAverageConvergenceDivergenceSignal();

		var subscription = SubscribeCandles(CandleType);

		// Bind ATR to capture value
		subscription.BindEx(atr, OnAtr);

		// Bind MACD for main logic
		subscription
			.BindEx(macd, ProcessCandle)
			.Start();

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

			var atrArea = CreateChartArea();
			if (atrArea != null)
				DrawIndicator(atrArea, atr);

			var macdArea = CreateChartArea();
			if (macdArea != null)
				DrawIndicator(macdArea, macd);
		}
	}

	private void OnAtr(ICandleMessage candle, IIndicatorValue atrValue)
	{
		if (atrValue.IsFormed)
			_atrValue = atrValue.ToDecimal();
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (macdValue is not MovingAverageConvergenceDivergenceSignalValue macdTyped)
			return;

		if (macdTyped.Macd is not decimal macdLine || macdTyped.Signal is not decimal signalLine)
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Entry: MACD bullish crossover
		if (macdLine > signalLine && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Entry: MACD bearish crossover
		else if (macdLine < signalLine && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit on MACD crossover against position
		if (Position > 0 && macdLine < signalLine)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && macdLine > signalLine)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}