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ZeroLag MACDクロスオーバー戦略

この戦略はMetaTrader 5の ZeroLagEA-AIP アルゴリズムを再現します。2本のゼロラグ指数移動平均から構築されたゼロラグMACDを使用します。前のバーと比べてMACD値が増加するとショートポジションを開き、MACDが減少するとロングポジションを開きます。ポジションを保有中に逆方向のシグナルが現れると、現在のポジションを決済し、次のバーで新しいポジションを開きます。

ロジック

  1. 設定可能な期間を持つ2本のゼロラグEMAを計算します。
  2. その差を10倍した値がゼロラグMACD値を形成します。
  3. 連続する2本のバー間でMACDの方向が変化した時のみ取引を実行します（オプション）。
  4. 設定された開始時刻と終了時刻の間でのみ取引が許可されます。この時間帯外または指定された曜日と時刻にすべてのポジションが強制決済されます。

パラメーター

  • Volume – 注文ボリューム。
  • Fast EMA – 高速ゼロラグEMAの期間。
  • Slow EMA – 低速ゼロラグEMAの期間。
  • Use Fresh Signal – 有効にすると、MACDの新しい方向変化のみで取引します。
  • Start Hour / End Hour – UTCでの取引セッションの境界。
  • Kill Day / Kill Hour – すべてのポジションが決済される曜日と時刻。
  • Candle Type – 計算に使用するローソク足データ。

注記

この戦略はStockSharpの高レベルAPIを使用し、SubscribeCandlesとBindでインジケーター値を受信します。ポジションは成行注文で決済されます。

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>
/// Zero lag MACD direction change strategy.
/// Buys when the zero lag MACD decreases and sells when it increases.
/// Trades only during the configured time window and closes positions outside it.
/// </summary>
public class ZeroLagMacdCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<bool> _useFreshSignal;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<int> _killDay;
	private readonly StrategyParam<int> _killHour;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _fastZlema = null!;
	private ExponentialMovingAverage _slowZlema = null!;

	private decimal _prevMacd;
	private decimal _prevPrevMacd;
	private bool _hasPrev;
	private bool _hasPrevPrev;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }

	/// <summary>
	/// Require fresh MACD direction change before trading.
	/// </summary>
	public bool UseFreshSignal { get => _useFreshSignal.Value; set => _useFreshSignal.Value = value; }

	/// <summary>
	/// Trading window start hour (inclusive, UTC).
	/// </summary>
	public int StartHour { get => _startHour.Value; set => _startHour.Value = value; }

	/// <summary>
	/// Trading window end hour (exclusive, UTC).
	/// </summary>
	public int EndHour { get => _endHour.Value; set => _endHour.Value = value; }

	/// <summary>
	/// Day of week when all positions are force closed.
	/// 0 - Sunday, 6 - Saturday.
	/// </summary>
	public int KillDay { get => _killDay.Value; set => _killDay.Value = value; }

	/// <summary>
	/// Hour of the day when positions are force closed on <see cref="KillDay"/>.
	/// </summary>
	public int KillHour { get => _killHour.Value; set => _killHour.Value = value; }

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

	/// <summary>
	/// Initializes a new instance of <see cref="ZeroLagMacdCrossoverStrategy"/>.
	/// </summary>
	public ZeroLagMacdCrossoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 5)
		.SetGreaterThanZero()
		.SetDisplay("Fast EMA", "Fast EMA period", "MACD")
		
		.SetOptimize(2, 10, 1);

		_slowLength = Param(nameof(SlowLength), 55)
		.SetGreaterThanZero()
		.SetDisplay("Slow EMA", "Slow EMA period", "MACD")
		
		.SetOptimize(20, 60, 2);

		_useFreshSignal = Param(nameof(UseFreshSignal), true)
		.SetDisplay("Use Fresh Signal", "Trade only on MACD direction change", "MACD");

		_startHour = Param(nameof(StartHour), 9)
		.SetDisplay("Start Hour", "Trading start hour (UTC)", "Time")
		
		.SetOptimize(0, 23, 1);

		_endHour = Param(nameof(EndHour), 15)
		.SetDisplay("End Hour", "Trading end hour (UTC)", "Time")
		
		.SetOptimize(1, 24, 1);

		_killDay = Param(nameof(KillDay), 5)
		.SetDisplay("Kill Day", "Week day for forced close", "Time")
		
		.SetOptimize(0, 6, 1);

		_killHour = Param(nameof(KillHour), 21)
		.SetDisplay("Kill Hour", "Hour for forced close", "Time")
		
		.SetOptimize(0, 23, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMacd = 0m;
		_prevPrevMacd = 0m;
		_hasPrev = false;
		_hasPrevPrev = false;
	}

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

		_fastZlema = new ExponentialMovingAverage { Length = FastLength };
		_slowZlema = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(_fastZlema, _slowZlema, ProcessCandle)
		.Start();

		StartProtection(null, null);
	}

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished)
		return;

		var time = candle.OpenTime;
		if (time.Hour < StartHour || time.Hour >= EndHour || ((int)time.DayOfWeek == KillDay && time.Hour == KillHour))
		{
			if (Position != 0)
			{
				if (Position > 0)
				SellMarket(Position);
				else
				BuyMarket(-Position);
			}
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		var macd = 10m * (fast - slow);

		if (!_hasPrev)
		{
			_prevMacd = macd;
			_hasPrev = true;
			return;
		}

		if (!_hasPrevPrev)
		{
			_prevPrevMacd = _prevMacd;
			_prevMacd = macd;
			_hasPrevPrev = true;
			return;
		}

		var fresh = !UseFreshSignal || ((_prevMacd > _prevPrevMacd && macd < _prevMacd) || (_prevMacd < _prevPrevMacd && macd > _prevMacd));
		if (!fresh)
		{
			_prevPrevMacd = _prevMacd;
			_prevMacd = macd;
			return;
		}

		if (macd > _prevMacd)
		{
			if (Position > 0)
			{
				SellMarket(Position);
				_prevPrevMacd = _prevMacd;
				_prevMacd = macd;
				return;
			}

			if (Position == 0)
			SellMarket(Volume);
		}
		else if (macd < _prevMacd)
		{
			if (Position < 0)
			{
				BuyMarket(-Position);
				_prevPrevMacd = _prevMacd;
				_prevMacd = macd;
				return;
			}

			if (Position == 0)
			BuyMarket(Volume);
		}

		_prevPrevMacd = _prevMacd;
		_prevMacd = macd;
	}
}