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MACDトレンドモード戦略

MACDインジケーターを使用し、ヒストグラムの傾き、クラウドクロスオーバー、ゼロラインクロスの3つのトレンド検出モードを選択して取引する戦略。

詳細

  • エントリー条件:
    • ヒストグラム: ヒストグラムが下落後に上昇に転じるとロング；上昇後に下落に転じるとショート。
    • クラウド: MACDラインが以前にシグナルラインの上にあり下にクロスするとロング；逆のクロスでショート。
    • ゼロ: ヒストグラムがゼロラインを反対方向にクロスする。
  • ロング/ショート: 両方向。
  • エグジット条件: 反対の条件でポジションを閉じる。
  • ストップ: なし。
  • デフォルト値:
    • FastLength = 12
    • SlowLength = 26
    • SignalLength = 9
    • TrendMode = TrendMode.Cloud
    • Volume = 1m
    • CandleType = TimeSpan.FromHours(4)
  • フィルター:
    • カテゴリ: トレンド
    • 方向: 両方
    • インジケーター: MACD
    • ストップ: なし
    • 複雑さ: 中級
    • 時間軸: 4h
    • 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: はい（ヒストグラム）
    • リスクレベル: 中
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>
/// MACD strategy with selectable trend detection modes.
/// </summary>
public class MacdTrendModeStrategy : Strategy
{
	public enum TrendModes { Histogram, Cloud, Zero }

	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<TrendModes> _trendMode;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevHist, _prevPrevHist;
	private bool _hasPrevHist, _hasPrevPrevHist;
	private decimal _prevMacd, _prevSignal;
	private bool _hasPrevLines;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int SignalLength { get => _signalLength.Value; set => _signalLength.Value = value; }
	public TrendModes TrendMode { get => _trendMode.Value; set => _trendMode.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdTrendModeStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12).SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast EMA period", "MACD");
		_slowLength = Param(nameof(SlowLength), 26).SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "MACD");
		_signalLength = Param(nameof(SignalLength), 9).SetGreaterThanZero()
			.SetDisplay("Signal Length", "Signal line period", "MACD");
		_trendMode = Param(nameof(TrendMode), TrendModes.Cloud)
			.SetDisplay("Trend Mode", "Trend detection mode", "General");
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHist = default;
		_prevPrevHist = default;
		_hasPrevHist = false;
		_hasPrevPrevHist = false;
		_prevMacd = default;
		_prevSignal = default;
		_hasPrevLines = false;
	}

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

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd = { ShortMa = { Length = FastLength }, LongMa = { Length = SlowLength } },
			SignalMa = { Length = SignalLength }
		};

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

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

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

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

		var macdTyped = (IMovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (macdTyped.Macd is not decimal macdVal || macdTyped.Signal is not decimal signalVal)
			return;

		var hist = macdVal - signalVal;
		var buySignal = false;
		var sellSignal = false;

		switch (TrendMode)
		{
			case TrendModes.Histogram:
				if (_hasPrevHist && _hasPrevPrevHist)
				{
					if (_prevHist < _prevPrevHist && hist > _prevHist) buySignal = true;
					if (_prevHist > _prevPrevHist && hist < _prevHist) sellSignal = true;
				}
				_prevPrevHist = _prevHist;
				_hasPrevPrevHist = _hasPrevHist;
				_prevHist = hist;
				_hasPrevHist = true;
				break;

			case TrendModes.Cloud:
				if (_hasPrevLines)
				{
					if (_prevMacd <= _prevSignal && macdVal > signalVal) buySignal = true;
					if (_prevMacd >= _prevSignal && macdVal < signalVal) sellSignal = true;
				}
				_prevMacd = macdVal;
				_prevSignal = signalVal;
				_hasPrevLines = true;
				break;

			case TrendModes.Zero:
				if (_hasPrevHist)
				{
					if (_prevHist <= 0m && hist > 0m) buySignal = true;
					if (_prevHist >= 0m && hist < 0m) sellSignal = true;
				}
				_prevHist = hist;
				_hasPrevHist = true;
				break;
		}

		if (buySignal && Position <= 0)
		{
			if (Position < 0) BuyMarket();
			BuyMarket();
		}
		else if (sellSignal && Position >= 0)
		{
			if (Position > 0) SellMarket();
			SellMarket();
		}
	}
}