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Estratégia de Rastreamento de Liquidez MACD

MACD Liquidity Tracker utiliza os estados de cor do MACD para gerar sinais de negociação. Quatro modos (Fast, Normal, Safe, Crossover) ajustam a sensibilidade dos sinais. Stop loss e take profit opcionais são suportados.

Detalhes

  • Dados: Velas de preço.
  • Critérios de entrada:
    • Comprado: Depende de SystemType (padrão Normal usa MACD acima da linha de sinal).
    • Vendido: Depende de SystemType (padrão Normal usa MACD abaixo da linha de sinal).
  • Critérios de saída: Sinal oposto.
  • Stops: Stop loss e take profit opcionais.
  • Valores padrão:
    • FastLength = 25
    • SlowLength = 60
    • SignalLength = 220
    • AllowShortTrades = false
    • SystemType = Normal
    • UseStopLoss = false
    • StopLossPercent = 3
    • UseTakeProfit = false
    • TakeProfitPercent = 6
    • StartDate = 2018-01-01
    • EndDate = 2069-12-31
    • CandleType = tf(5)
  • Filtros:
    • Categoria: Tendência
    • Direção: Comprado/Vendido
    • Indicadores: MACD
    • Stops: Sim
    • Complexidade: Básico
    • Período: Intradiário (5m)
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

public class MacdLiquidityTrackerStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _emaFast;
	private ExponentialMovingAverage _emaSlow;
	private decimal _prevMacd;
	private bool _initialized;
	private int _barsFromSignal;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdLiquidityTrackerStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12).SetDisplay("Fast", "Fast EMA", "MACD");
		_slowLength = Param(nameof(SlowLength), 26).SetDisplay("Slow", "Slow EMA", "MACD");
		_cooldownBars = Param(nameof(CooldownBars), 10).SetDisplay("Cooldown", "Bars between signals", "Risk");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candles", "General");
	}

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

		_emaFast = null;
		_emaSlow = null;
		_prevMacd = 0m;
		_initialized = false;
		_barsFromSignal = int.MaxValue;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevMacd = 0;
		_initialized = false;
		_barsFromSignal = int.MaxValue;

		_emaFast = new ExponentialMovingAverage { Length = FastLength };
		_emaSlow = new ExponentialMovingAverage { Length = SlowLength };

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

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

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

		if (fast == 0 || slow == 0)
			return;

		var isFastAbove = fast > slow;

		if (!_initialized) { _prevMacd = isFastAbove ? 1m : -1m; _initialized = true; _barsFromSignal = 0; return; }
		if (_barsFromSignal < 10000) _barsFromSignal++;

		var prevAbove = _prevMacd > 0;
		var crossUp = isFastAbove && !prevAbove;
		var crossDown = !isFastAbove && prevAbove;
		var canSignal = _barsFromSignal >= CooldownBars;

		if (canSignal && crossUp && Position <= 0)
		{
			BuyMarket();
			_barsFromSignal = 0;
		}
		else if (canSignal && crossDown && Position >= 0)
		{
			SellMarket();
			_barsFromSignal = 0;
		}

		_prevMacd = isFastAbove ? 1m : -1m;
	}
}