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Estratégia Neon de Ondas de Momentum

A estratégia Neon de Ondas de Momentum usa cruzamentos do histograma MACD para operar em ambas as direções. A estratégia vai comprado quando o histograma cruza acima do nível de entrada (zero por padrão) e vai vendido quando cruza abaixo. As posições são fechadas quando o histograma atinge os níveis de saída configurados.

Detalhes

  • Critérios de entrada: O histograma MACD cruza o nível de entrada.
  • Comprado/Vendido: Ambas as direções.
  • Critérios de saída: O histograma cruza os níveis de saída de comprado/vendido.
  • Stops: Não.
  • Valores padrão:
    • FastLength = 12
    • SlowLength = 26
    • SignalLength = 20
    • EntryLevel = 0
    • LongExitLevel = 11
    • ShortExitLevel = -9
    • CandleType = 1 minute
  • Filtros:
    • Categoria: Momentum
    • Direção: Ambos
    • Indicadores: MACD
    • Stops: Não
    • Complexidade: Básico
    • Período: Intradiário (1m)
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
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>
/// Neon Momentum Waves strategy based on MACD histogram levels.
/// The histogram (MACD line minus signal line) crossing above EntryLevel goes long and crossing below it goes short, reversing an
/// opposite position. A long closes once the histogram reaches LongExitLevel and a short once it reaches ShortExitLevel.
/// </summary>
public class NeonMomentumWavesStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _entryLevel;
	private readonly StrategyParam<decimal> _longExitLevel;
	private readonly StrategyParam<decimal> _shortExitLevel;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevHist;

	/// <summary>
	/// MACD fast EMA length.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// MACD slow EMA length.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// MACD signal smoothing length.
	/// </summary>
	public int SignalLength
	{
		get => _signalLength.Value;
		set => _signalLength.Value = value;
	}

	/// <summary>
	/// Histogram entry level.
	/// </summary>
	public decimal EntryLevel
	{
		get => _entryLevel.Value;
		set => _entryLevel.Value = value;
	}

	/// <summary>
	/// Histogram level to exit long position.
	/// </summary>
	public decimal LongExitLevel
	{
		get => _longExitLevel.Value;
		set => _longExitLevel.Value = value;
	}

	/// <summary>
	/// Histogram level to exit short position.
	/// </summary>
	public decimal ShortExitLevel
	{
		get => _shortExitLevel.Value;
		set => _shortExitLevel.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="NeonMomentumWavesStrategy"/>.
	/// </summary>
	public NeonMomentumWavesStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12)
			.SetDisplay("Fast Length", "MACD fast EMA length", "MACD");

		_slowLength = Param(nameof(SlowLength), 26)
			.SetDisplay("Slow Length", "MACD slow EMA length", "MACD");

		_signalLength = Param(nameof(SignalLength), 20)
			.SetDisplay("Signal Length", "MACD signal smoothing", "MACD");

		_entryLevel = Param(nameof(EntryLevel), 0m)
			.SetDisplay("Entry Level", "Histogram entry threshold", "Parameters");

		_longExitLevel = Param(nameof(LongExitLevel), 11m)
			.SetDisplay("Long Exit Level", "Histogram level to exit longs", "Parameters");

		_shortExitLevel = Param(nameof(ShortExitLevel), -9m)
			.SetDisplay("Short Exit Level", "Histogram level to exit shorts", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(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();
		_prevHist = null;
	}

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

		_prevHist = null;

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastLength },
				LongMa = { Length = SlowLength },
			},
			SignalMa = { Length = SignalLength }
		};

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

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

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

		if (!macdValue.IsFormed)
			return;

		var typed = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (typed.Macd is not decimal macdLine || typed.Signal is not decimal signal)
			return;

		var hist = macdLine - signal;
		var prevHist = _prevHist;
		_prevHist = hist;

		if (prevHist is not decimal prev)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (prev <= EntryLevel && hist > EntryLevel && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (prev >= EntryLevel && hist < EntryLevel && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && hist >= LongExitLevel)
			SellMarket(Position);
		else if (Position < 0 && hist <= ShortExitLevel)
			BuyMarket(-Position);
	}
}