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Macd Volume 戦略

MACD（移動平均収束拡散）と出来高確認を組み合わせた戦略。MACDラインがシグナルラインを交差し、出来高の増加で確認されたときにポジションを取ります。

テストでは年平均リターン約175%を示しています。株式市場で最もパフォーマンスが高いです。

MACDのクロスオーバーは、モメンタムを確認するための出来高増加によってフィルタリングされます。買いシグナルは拡大する出来高を伴う強気のクロスで発生し、売りはその逆です。

出来高スパイクを観察するモメンタムトレーダーに価値があるかもしれません。リスクはパーセントストップを使って制限されます。

詳細

  • エントリー条件:
    • ロング: MACD crosses above Signal && Volume > AvgVolume * VolumeMultiplier
    • ショート: MACD crosses below Signal && Volume > AvgVolume * VolumeMultiplier
  • ロング/ショート: 両方
  • エグジット条件:
    • 反対方向へのMACDクロス
  • ストップ: StopLossPercent でのパーセントベース
  • デフォルト値:
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • VolumePeriod = 20
    • VolumeMultiplier = 1.5m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() AvgVolumeは直前VolumePeriod本の平均出来高です。MACDのクロスは逆方向のポジションを必ず決済するため、出来高急増を伴うクロスではドテンし、伴わないクロスでは決済のみになります。
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 両方
    • インジケーター: MACD, Volume
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 中期
    • 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>
/// MACD Volume strategy.
/// A MACD cross closes a position against it. The cross opens a position in its direction only when the candle's volume exceeds
/// VolumeMultiplier times the average of the previous VolumePeriod candles, so a confirmed cross reverses the position.
/// A percent stop limits the loss.
/// </summary>
public class MacdVolumeStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<int> _volumePeriod;
	private readonly StrategyParam<decimal> _volumeMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

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

	/// <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>
	/// Previous candles the volume is averaged over.
	/// </summary>
	public int VolumePeriod
	{
		get => _volumePeriod.Value;
		set => _volumePeriod.Value = value;
	}

	/// <summary>
	/// How many times the average volume a candle must exceed.
	/// </summary>
	public decimal VolumeMultiplier
	{
		get => _volumeMultiplier.Value;
		set => _volumeMultiplier.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 MacdVolumeStrategy()
	{
		_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");

		_volumePeriod = Param(nameof(VolumePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume Period", "Previous candles the volume is averaged over", "Volume");

		_volumeMultiplier = Param(nameof(VolumeMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Volume Multiplier", "How many times the average volume a candle must exceed", "Volume");

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_volumes.Clear();
		_prevAbove = null;
	}

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

		_volumes.Clear();
		_prevAbove = null;

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

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, 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);
			}
		}
	}

	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)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Volume is compared with the candles before this one.
		var average = _volumes.Count == VolumePeriod ? _volumes.Average() : (decimal?)null;

		_volumes.Add(candle.TotalVolume);

		if (_volumes.Count > VolumePeriod)
			_volumes.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)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var confirmed = average is decimal avgVolume && candle.TotalVolume > avgVolume * VolumeMultiplier;

		if (isAbove)
		{
			if (confirmed && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (Position < 0)
				BuyMarket(-Position);
		}
		else
		{
			if (confirmed && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
			else if (Position > 0)
				SellMarket(Position);
		}
	}
}