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MACD Long戦略

RSIの極値とMACDのクロスオーバーを組み合わせて、トレンド内の押し目を捉えます。RSIが極値に達した後、システムはエントリー前に確認のMACDクロスオーバーを待ちます。このアプローチはノイジーなモメンタムの変化をフィルタリングし、高確率のリバーサルに焦点を当てます。

この戦略は両方向で取引し、反対のシグナルが現れると素早く転換できます。MACDはモメンタムの確認を提供し、RSIは買われすぎ・売られすぎのゾーンを示します。エンジンのリスク管理機能を通じて保護的なストップを追加できます。

詳細

  • エントリー条件:
    • ロング: RSIが売られすぎを下回り、その後MACDラインがシグナルを上抜けする。
    • ショート: RSIが買われすぎを上回り、その後MACDラインがシグナルを下抜けする。
  • エグジット条件:
    • 反対のクロスオーバーまたはストップ発動。
  • インジケーター:
    • RSI (長さ14、売られすぎ30、買われすぎ70)
    • MACD (速い12、遅い26、シグナル9)
  • ストップ: StartProtectionまたは外部のマネー管理で実装。
  • デフォルト値:
    • RsiLength = 14
    • Oversold = 30
    • Overbought = 70
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
  • フィルター:
    • モメンタムリバーサル
    • 様々な時間軸で機能
    • インジケーター: RSI、MACD
    • ストップ: オプション
    • 複雑さ: 基本
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>
/// MACD Long strategy.
/// An RSI reading below Oversold arms a long and a reading above Overbought arms a short. The next MACD crossover
/// confirms or cancels the setup: a bullish MACD/signal cross opens an armed long, a bearish cross opens an armed short.
/// Every opposite crossover closes the current position, or reverses it when the opposite side is armed.
/// </summary>
public class MacdLongStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _oversold;
	private readonly StrategyParam<decimal> _overbought;
	private readonly StrategyParam<int> _macdFast;
	private readonly StrategyParam<int> _macdSlow;
	private readonly StrategyParam<int> _macdSignal;
	private readonly StrategyParam<DataType> _candleType;

	private bool _longArmed;
	private bool _shortArmed;
	private decimal? _prevMacd;
	private decimal? _prevSignal;

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal Oversold
	{
		get => _oversold.Value;
		set => _oversold.Value = value;
	}

	/// <summary>
	/// RSI overbought level.
	/// </summary>
	public decimal Overbought
	{
		get => _overbought.Value;
		set => _overbought.Value = value;
	}

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

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

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public MacdLongStrategy()
	{
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "RSI");

		_oversold = Param(nameof(Oversold), 30m)
			.SetDisplay("Oversold", "RSI oversold level", "RSI");

		_overbought = Param(nameof(Overbought), 70m)
			.SetDisplay("Overbought", "RSI overbought level", "RSI");

		_macdFast = Param(nameof(MacdFast), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "MACD fast EMA period", "MACD");

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

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation", "General");
	}

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

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

		_longArmed = false;
		_shortArmed = false;
		_prevMacd = null;
		_prevSignal = null;
	}

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

		_longArmed = false;
		_shortArmed = false;
		_prevMacd = null;
		_prevSignal = null;

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

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

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

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

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

		if (!rsiValue.IsFormed || !macdValue.IsFormed)
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		var rsi = rsiValue.ToDecimal();

		if (rsi < Oversold)
			_longArmed = true;

		if (rsi > Overbought)
			_shortArmed = true;

		var prevMacd = _prevMacd;
		var prevSignal = _prevSignal;
		_prevMacd = macd;
		_prevSignal = signal;

		if (prevMacd is not decimal lastMacd || prevSignal is not decimal lastSignal)
			return;

		var crossUp = lastMacd <= lastSignal && macd > signal;
		var crossDown = lastMacd >= lastSignal && macd < signal;

		var longSignal = crossUp && _longArmed;
		var shortSignal = crossDown && _shortArmed;

		// The first crossover after the RSI extreme decides the setup either way.
		if (crossUp)
			_longArmed = false;

		if (crossDown)
			_shortArmed = false;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (longSignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (shortSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && crossDown)
			SellMarket(Position);
		else if (Position < 0 && crossUp)
			BuyMarket(-Position);
	}
}