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MACD Slope Mean Reversion

The MACD Slope Mean Reversion strategy focuses on extreme readings of the MACD to exploit reversion. Wide departures from the normal level rarely last.

Trades trigger when the indicator swings far from its mean and then begins to reverse. Both long and short setups include a protective stop.

Suited for swing traders expecting oscillations, the strategy closes out once the MACD returns toward balance. Starting parameter FastMacdPeriod = 12.

Details

  • Entry Criteria: Indicator crosses back toward mean.
  • Long/Short: Both directions.
  • Exit Criteria: Indicator reverts to average.
  • Stops: Yes.
  • Default Values:
    • FastMacdPeriod = 12
    • SlowMacdPeriod = 26
    • SignalMacdPeriod = 9
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: MACD
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Short-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MACD slope mean reversion strategy.
/// Trades reversions from extreme MACD histogram slopes and exits when the slope returns to its recent average.
/// </summary>
public class MacdSlopeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _fastMacdPeriod;
	private readonly StrategyParam<int> _slowMacdPeriod;
	private readonly StrategyParam<int> _signalMacdPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _fastEma;
	private decimal _slowEma;
	private decimal _signalEma;
	private decimal _previousHistogram;
	private decimal[] _slopeHistory;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;
	private bool _isInitialized;

	/// <summary>
	/// MACD fast period.
	/// </summary>
	public int FastMacdPeriod
	{
		get => _fastMacdPeriod.Value;
		set => _fastMacdPeriod.Value = value;
	}

	/// <summary>
	/// MACD slow period.
	/// </summary>
	public int SlowMacdPeriod
	{
		get => _slowMacdPeriod.Value;
		set => _slowMacdPeriod.Value = value;
	}

	/// <summary>
	/// MACD signal period.
	/// </summary>
	public int SignalMacdPeriod
	{
		get => _signalMacdPeriod.Value;
		set => _signalMacdPeriod.Value = value;
	}

	/// <summary>
	/// Period for slope statistics.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier for standard deviation to determine entry threshold.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Cooldown bars between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="MacdSlopeMeanReversionStrategy"/>.
	/// </summary>
	public MacdSlopeMeanReversionStrategy()
	{
		_fastMacdPeriod = Param(nameof(FastMacdPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA period for MACD", "Indicator Parameters")
			.SetOptimize(8, 20, 2);

		_slowMacdPeriod = Param(nameof(SlowMacdPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA period for MACD", "Indicator Parameters")
			.SetOptimize(20, 40, 2);

		_signalMacdPeriod = Param(nameof(SignalMacdPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal line period for MACD", "Indicator Parameters")
			.SetOptimize(5, 15, 2);

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for slope statistics", "Strategy Parameters")
			.SetOptimize(10, 50, 5);

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Multiplier for standard deviation to determine entry threshold", "Strategy Parameters")
			.SetOptimize(1m, 3m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_fastEma = default;
		_slowEma = default;
		_signalEma = default;
		_previousHistogram = default;
		_slopeHistory = new decimal[LookbackPeriod];
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_isInitialized = default;
	}

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

		_slopeHistory = new decimal[LookbackPeriod];
		_currentIndex = 0;
		_filledCount = 0;
		_cooldown = 0;

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

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

		StartProtection(new(), new Unit(StopLossPercent, UnitTypes.Percent));
	}

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

		var closePrice = candle.ClosePrice;

		if (!_isInitialized)
		{
			_fastEma = closePrice;
			_slowEma = closePrice;
			_signalEma = 0;
			_previousHistogram = 0;
			_isInitialized = true;
			return;
		}

		var fastAlpha = 2m / (FastMacdPeriod + 1m);
		var slowAlpha = 2m / (SlowMacdPeriod + 1m);
		var signalAlpha = 2m / (SignalMacdPeriod + 1m);

		_fastEma += fastAlpha * (closePrice - _fastEma);
		_slowEma += slowAlpha * (closePrice - _slowEma);

		var macdLine = _fastEma - _slowEma;
		_signalEma += signalAlpha * (macdLine - _signalEma);
		var histogram = macdLine - _signalEma;
		var histogramSlope = histogram - _previousHistogram;
		_previousHistogram = histogram;

		_slopeHistory[_currentIndex] = histogramSlope;
		_currentIndex = (_currentIndex + 1) % LookbackPeriod;

		if (_filledCount < LookbackPeriod)
			_filledCount++;

		if (_filledCount < LookbackPeriod)
			return;

		var averageSlope = 0m;
		var sumSq = 0m;

		for (var i = 0; i < LookbackPeriod; i++)
			averageSlope += _slopeHistory[i];

		averageSlope /= LookbackPeriod;

		for (var i = 0; i < LookbackPeriod; i++)
		{
			var diff = _slopeHistory[i] - averageSlope;
			sumSq += diff * diff;
		}

		var slopeStdDev = (decimal)Math.Sqrt((double)(sumSq / LookbackPeriod));

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		var lowerThreshold = averageSlope - DeviationMultiplier * slopeStdDev;
		var upperThreshold = averageSlope + DeviationMultiplier * slopeStdDev;

		if (Position == 0)
		{
			if (histogramSlope < lowerThreshold && histogram < 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (histogramSlope > upperThreshold && histogram > 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0 && histogramSlope >= averageSlope)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && histogramSlope <= averageSlope)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}