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MACD CCI Lotfy戦略

スケーリング係数を使用してMACDとCCIを組み合わせた戦略。 両インジケーターが同じ方向に極端なしきい値を交差した時にポジションを開きます。

MACD値に係数を掛けてCCIとのスケールを合わせ、同一しきい値での直接比較を可能にします。 このアプローチは買われ過ぎ・売られ過ぎゾーンからのリバーサルを捉えることを目的とします。

詳細

  • エントリー条件:
    • ロング: CCI < -Threshold かつ MACD * MacdCoefficient < -Threshold
    • ショート: CCI > Threshold かつ MACD * MacdCoefficient > Threshold
  • ロング/ショート: 両方
  • エグジット条件: 逆方向のシグナルが逆ポジションを起動
  • ストップ: なし
  • デフォルト値:
    • CciPeriod = 8
    • FastPeriod = 13
    • SlowPeriod = 33
    • MacdCoefficient = 86000
    • Threshold = 85
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: MACD, CCI
    • ストップ: いいえ
    • 複雑さ: 基本
    • 時間軸: 短期
    • 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.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>
/// Strategy combining MACD and RSI indicators.
/// Opens long when both indicators reach oversold conditions.
/// Opens short when both indicators reach overbought conditions.
/// </summary>
public class MacdCciLotfyStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _macdCoefficient;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<DataType> _candleType;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public decimal MacdCoefficient { get => _macdCoefficient.Value; set => _macdCoefficient.Value = value; }
	public decimal Threshold { get => _threshold.Value; set => _threshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdCciLotfyStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI indicator", "General");

		_fastPeriod = Param(nameof(FastPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast EMA", "Fast EMA length for MACD", "MACD");

		_slowPeriod = Param(nameof(SlowPeriod), 33)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow EMA", "Slow EMA length for MACD", "MACD");

		_macdCoefficient = Param(nameof(MacdCoefficient), 86000m)
			.SetGreaterThanZero()
			.SetDisplay("MACD Coefficient", "Multiplier for MACD value", "MACD");

		_threshold = Param(nameof(Threshold), 25m)
			.SetGreaterThanZero()
			.SetDisplay("Threshold", "Absolute level for signals", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastPeriod },
			LongMa = { Length = SlowPeriod },
		};

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var scaledMacd = macdValue * MacdCoefficient;

		if (rsiValue < 50m - Threshold && scaledMacd < -Threshold)
		{
			if (Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
		}
		else if (rsiValue > 50m + Threshold && scaledMacd > Threshold)
		{
			if (Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
		}
	}
}