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MACD Fixed PSAR Strategy

Overview

This strategy is a C# port of the MetaTrader expert advisor EA_MACD_FixedPSAR. It trades trend reversals by combining a MACD crossover filter with an EMA trend check. Risk management mirrors the original implementation and supports both a fixed-distance trailing stop and a Parabolic SAR style trailing mode. All distances are configured in pips and internally converted to price units based on the instrument tick size.

Indicators

  • MovingAverageConvergenceDivergenceSignal (12, 26, 9) delivers MACD and signal lines.
  • ExponentialMovingAverage (default 26) confirms the short-term trend direction.

Trading Logic

  1. Entry Conditions
    • Long: MACD crosses above its signal line while remaining below zero, the absolute MACD value exceeds the MACD Open Level, and the EMA is rising compared with the previous candle.
    • Short: MACD crosses below its signal line while remaining above zero, the absolute MACD value exceeds the MACD Open Level, and the EMA is falling compared with the previous candle.
  2. Exit Conditions
    • MACD reversal that exceeds the MACD Close Level in the opposite direction.
    • Configurable take-profit and stop-loss levels, both measured in pips.
    • Optional trailing stop behaviour:
      • Fixed: maintains a constant distance from the latest close.
      • Fixed PSAR: emulates the incremental Parabolic SAR adjustment used by the MQL version.

Parameters

Name Description
Volume Trading volume used for market orders.
TakeProfitPips Take-profit distance in pips.
StopLossPips Stop-loss distance in pips.
TrailMode Trailing stop logic (None, Fixed, FixedPsar).
TrailingStopPips Distance for the fixed trailing mode.
PsarStep Initial acceleration factor for the PSAR trailing mode.
PsarMaximum Maximum acceleration factor for the PSAR trailing mode.
MacdOpenLevelPips Minimum MACD magnitude (in pips) required to open a position.
MacdCloseLevelPips Minimum MACD magnitude (in pips) required to close a position.
TrendPeriod EMA period used for trend confirmation.
CandleType Candle series type for indicator calculations.

Notes

  • All thresholds are stored in pips and translated into price units using the instrument tick size (with five or three decimal fixes emulating the MetaTrader adjustment).
  • Trailing stop logic updates only on fully formed candles to avoid premature exits.
  • The strategy draws candles, both indicators, and trade marks on the default chart area when available.
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>
/// Simplified from "EA_MACD_FixedPSAR" MetaTrader expert.
/// Combines MACD histogram crossover with EMA trend filter.
/// Buys when MACD histogram goes positive and price above EMA.
/// Sells when MACD histogram goes negative and price below EMA.
/// </summary>
public class MacdFixedPsarStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _trendPeriod;

	private MovingAverageConvergenceDivergence _macd;
	private ExponentialMovingAverage _trendEma;
	private readonly Queue<decimal> _macdHistory = new();
	private decimal? _prevHistogram;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

	public int TrendPeriod
	{
		get => _trendPeriod.Value;
		set => _trendPeriod.Value = value;
	}

	public MacdFixedPsarStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for MACD calculations", "General");

		_fastPeriod = Param(nameof(FastPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period for MACD", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period for MACD", "Indicators");

		_signalPeriod = Param(nameof(SignalPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "Signal line smoothing period", "Indicators");

		_trendPeriod = Param(nameof(TrendPeriod), 60)
			.SetGreaterThanZero()
			.SetDisplay("Trend EMA", "Trend filter EMA period (computed as SMA)", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevHistogram = null;
		_macdHistory.Clear();

		_macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastPeriod },
			LongMa = { Length = SlowPeriod },
		};
		_trendEma = new ExponentialMovingAverage { Length = TrendPeriod };

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

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

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

		if (!_macd.IsFormed || !_trendEma.IsFormed)
			return;

		var close = candle.ClosePrice;

		// Compute signal line manually
		_macdHistory.Enqueue(macdValue);
		if (_macdHistory.Count > SignalPeriod)
			_macdHistory.Dequeue();

		if (_macdHistory.Count < SignalPeriod)
			return;

		decimal signalSum = 0;
		var history = _macdHistory.ToArray();
		foreach (var v in history)
			signalSum += v;
		var signal = signalSum / history.Length;

		var histogram = macdValue - signal;

		if (_prevHistogram is null)
		{
			_prevHistogram = histogram;
			return;
		}

		var volume = Volume;
		if (volume <= 0)
			volume = 1;

		var crossUp = _prevHistogram.Value <= 0 && histogram > 0;
		var crossDown = _prevHistogram.Value >= 0 && histogram < 0;

		if (crossUp && close > trendValue)
		{
			if (Position <= 0)
				BuyMarket(Position < 0 ? Math.Abs(Position) + volume : volume);
		}
		else if (crossDown && close < trendValue)
		{
			if (Position >= 0)
				SellMarket(Position > 0 ? Math.Abs(Position) + volume : volume);
		}

		_prevHistogram = histogram;
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		_macd = null;
		_trendEma = null;
		_prevHistogram = null;
		_macdHistory.Clear();

		base.OnReseted();
	}
}