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ATR MACD 戦略

ATR MACD は、MACD クロスオーバーでトレードする際に Average True Range のボラティリティをポジションサイズの調整に使用します。 ATR の値が大きいほどトレードサイズが小さくなり、異なる市場局面でもリスクを一定に保ちます。

テストでは平均年間リターンは約154%を示しています。株式市場で最も良いパフォーマンスを発揮します。

MACD がシグナルラインをクロスしたときにエントリーし、反対のクロスオーバーまたはパーセントストップでイグジットします。

この組み合わせは、変化するボラティリティを考慮しながらモメンタムを捉えることを目指します。

詳細

  • エントリー条件: インジケーターシグナル
  • ロング/ショート: 両方
  • エグジット条件: ストップロスまたは反対シグナル
  • ストップ: はい、パーセントベース
  • デフォルト値:
    • CandleType = 15 minute
    • StopLossPercent = 2
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • AtrPeriod = 14
    • AtrAvgPeriod = 20 MACDがシグナル線を上抜ければ買い、下抜ければ売り、反対のクロスでドテンします。新しいポジションのサイズは、Volumeに直近AtrAvgPeriod個のATRの平均を掛けて現在のATRで割り、数量刻みに切り下げた値です。
  • フィルター:
    • カテゴリ: トレンドフォロー
    • 方向: 両方
    • インジケーター: ATR, MACD
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// ATR MACD strategy.
/// A MACD cross above its signal line goes long and a cross below goes short, the opposite cross reversing the position.
/// Each new position is sized as Volume times the average of the last AtrAvgPeriod ATR values divided by the current ATR,
/// rounded down to the volume step, so higher volatility trades smaller. A percent stop limits the loss.
/// </summary>
public class AtrMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<int> _atrAvgPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private bool? _prevAbove;
	private readonly List<decimal> _atrs = [];

	/// <summary>
	/// Fast EMA period of MACD.
	/// </summary>
	public int MacdFast
	{
		get => _macdFast.Value;
		set => _macdFast.Value = value;
	}

	/// <summary>
	/// Slow EMA period of MACD.
	/// </summary>
	public int MacdSlow
	{
		get => _macdSlow.Value;
		set => _macdSlow.Value = value;
	}

	/// <summary>
	/// Signal line period of MACD.
	/// </summary>
	public int MacdSignal
	{
		get => _macdSignal.Value;
		set => _macdSignal.Value = value;
	}

	/// <summary>
	/// Period of ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR values the typical volatility is averaged over.
	/// </summary>
	public int AtrAvgPeriod
	{
		get => _atrAvgPeriod.Value;
		set => _atrAvgPeriod.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public AtrMacdStrategy()
	{
		_macdFast = Param(nameof(MacdFast), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA period of MACD", "MACD");

		_macdSlow = Param(nameof(MacdSlow), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA period of MACD", "MACD");

		_macdSignal = Param(nameof(MacdSignal), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal line period of MACD", "MACD");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of ATR", "Sizing");

		_atrAvgPeriod = Param(nameof(AtrAvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("ATR Average Period", "ATR values the typical volatility is averaged over", "Sizing");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevAbove = null;
		_atrs.Clear();
	}

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

		_prevAbove = null;
		_atrs.Clear();

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFast },
				LongMa = { Length = MacdSlow },
			},
			SignalMa = { Length = MacdSignal }
		};
		var atr = new AverageTrueRange { Length = AtrPeriod };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, macd);
				DrawIndicator(oscillators, atr);
			}
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		if (atrValue.IsFormed)
		{
			_atrs.Add(atrValue.GetValue<decimal>());

			if (_atrs.Count > AtrAvgPeriod)
				_atrs.RemoveAt(0);
		}

		if (!macdValue.IsFormed)
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		var isAbove = macd > signal;
		var wasAbove = _prevAbove;
		_prevAbove = isAbove;

		if (wasAbove is not bool was || was == isAbove || _atrs.Count < AtrAvgPeriod)
			return;

		var currentAtr = _atrs[^1];

		if (currentAtr <= 0 || !IsFormedAndOnlineAndAllowTrading())
			return;

		var size = Volume * _atrs.Average() / currentAtr;

		if (Security?.VolumeStep is decimal step && step > 0)
			size = Math.Max(step, Math.Floor(size / step) * step);

		if (isAbove && Position <= 0)
			BuyMarket(size + Math.Abs(Position));
		else if (!isAbove && Position >= 0)
			SellMarket(size + Math.Abs(Position));
	}
}