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MACDパターントレーダー戦略 (All)

MACD の急激なリバーサル時にポジションを建てる戦略です。MACD ラインの小さな中間値の前後にある 2 つの大きなスパイクを探します。前回の MACD 値が正で現在の値が深くマイナス圏に落ち込んだ場合に売りを建て、逆の条件で買いを建てます。ストップロスとテイクプロフィットは直近の高値・安値から算出されます。

このアルゴリズムはモメンタムが素早く方向を変えるボラティリティの高い市場に適しています。成行注文のみを使用し、ローソク足の履歴からリスクレベルを計算します。

詳細

  • エントリー条件: RatioThreshold に基づく MACD スパイク比率。
  • ロング/ショート: 両方。
  • エグジット条件: 直近の極値プラスオフセットでのストップ、または反対方向のスパイク。
  • ストップ: あり。
  • デフォルト値:
    • FastEmaPeriod = 24
    • SlowEmaPeriod = 13
    • StopLossBars = 22
    • TakeProfitBars = 32
    • OffsetPoints = 40
    • RatioThreshold = 5m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: パターン
    • 方向: 両方
    • インジケーター: MACD
    • ストップ: あり
    • 複雑さ: 中級
    • 時間軸: イントラデイ (5m)
    • 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 that trades sharp MACD reversals using recent highs and lows for risk.
/// </summary>
public class MacdPatternTraderAllStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _stopLossBars;
	private readonly StrategyParam<int> _takeProfitBars;
	private readonly StrategyParam<int> _offsetPoints;
	private readonly StrategyParam<decimal> _ratioThreshold;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _macdPrev;
	private decimal _macdPrev2;
	private decimal _stopLossPrice;
	private decimal _takeProfitPrice;

	/// <summary>
	/// Fast EMA period for MACD.
	/// </summary>
	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }

	/// <summary>
	/// Slow EMA period for MACD.
	/// </summary>
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }

	/// <summary>
	/// Number of bars used to calculate stop loss.
	/// </summary>
	public int StopLossBars { get => _stopLossBars.Value; set => _stopLossBars.Value = value; }

	/// <summary>
	/// Number of bars used to calculate take profit.
	/// </summary>
	public int TakeProfitBars { get => _takeProfitBars.Value; set => _takeProfitBars.Value = value; }

	/// <summary>
	/// Offset in points added to stop loss.
	/// </summary>
	public int OffsetPoints { get => _offsetPoints.Value; set => _offsetPoints.Value = value; }

	/// <summary>
	/// Minimal ratio of MACD spikes to previous value.
	/// </summary>
	public decimal RatioThreshold { get => _ratioThreshold.Value; set => _ratioThreshold.Value = value; }

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

	/// <summary>
	/// Initializes a new instance of the <see cref="MacdPatternTraderAllStrategy"/> class.
	/// </summary>
	public MacdPatternTraderAllStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 24)
			.SetDisplay("Fast EMA Period", "Period for fast EMA in MACD", "Indicators")
			
			.SetOptimize(12, 40, 2);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 13)
			.SetDisplay("Slow EMA Period", "Period for slow EMA in MACD", "Indicators")
			
			.SetOptimize(7, 26, 1);

		_stopLossBars = Param(nameof(StopLossBars), 22)
			.SetDisplay("Stop Loss Bars", "Bars to look back for stop loss", "Risk management")
			
			.SetOptimize(10, 40, 1);

		_takeProfitBars = Param(nameof(TakeProfitBars), 32)
			.SetDisplay("Take Profit Bars", "Bars to look back for take profit", "Risk management")
			
			.SetOptimize(10, 60, 2);

		_offsetPoints = Param(nameof(OffsetPoints), 40)
			.SetDisplay("Offset Points", "Point offset added to stop loss", "Risk management")
			
			.SetOptimize(10, 60, 5);

		_ratioThreshold = Param(nameof(RatioThreshold), 8m)
			.SetDisplay("MACD Ratio", "Minimal ratio of surrounding MACD values", "Signals")
			
			.SetOptimize(3m, 7m, 1m);

		_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();

		_macdPrev = 0m;
		_macdPrev2 = 0m;
		_stopLossPrice = 0m;
		_takeProfitPrice = 0m;
	}

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

		var macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastEmaPeriod },
			LongMa = { Length = SlowEmaPeriod }
		};

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

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

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

		// Manage existing position by fixed stop and target
		if (Position > 0)
		{
			if (candle.LowPrice <= _stopLossPrice || candle.HighPrice >= _takeProfitPrice)
			{
				SellMarket(Position);
				_stopLossPrice = 0m;
				_takeProfitPrice = 0m;
			}
		}
		else if (Position < 0)
		{
			if (candle.HighPrice >= _stopLossPrice || candle.LowPrice <= _takeProfitPrice)
			{
				BuyMarket(Math.Abs(Position));
				_stopLossPrice = 0m;
				_takeProfitPrice = 0m;
			}
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_macdPrev2 = _macdPrev;
			_macdPrev = macdValue;
			return;
		}

		var priceStep = Security?.PriceStep ?? 1m;
		var offset = OffsetPoints * priceStep;
		var stopDistance = offset * 2m;
		var takeDistance = offset * 4m;

		var macdCurr = macdValue;
		var macdLast = _macdPrev;
		var macdLast3 = _macdPrev2;

		if (macdLast != 0m)
		{
			var ratio1 = Math.Abs(macdLast3 / macdLast);
			var ratio2 = Math.Abs(macdCurr / macdLast);

			if ((macdLast3 > 0m || macdCurr < 0m) && ratio1 >= RatioThreshold && ratio2 >= RatioThreshold && Position >= 0)
			{
				var sl = candle.ClosePrice + stopDistance;
				var tp = candle.ClosePrice - takeDistance;
				var volume = Volume + Math.Abs(Position);
				SellMarket(volume);
				_stopLossPrice = sl;
				_takeProfitPrice = tp;
			}
			else if ((macdLast3 < 0m || macdCurr > 0m) && ratio1 >= RatioThreshold && ratio2 >= RatioThreshold && Position <= 0)
			{
				var sl = candle.ClosePrice - stopDistance;
				var tp = candle.ClosePrice + takeDistance;
				var volume = Volume + Math.Abs(Position);
				BuyMarket(volume);
				_stopLossPrice = sl;
				_takeProfitPrice = tp;
			}
		}

		_macdPrev2 = _macdPrev;
		_macdPrev = macdCurr;
	}
}