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MACD AO Pattern Strategy

Overview

This strategy is a faithful StockSharp port of the FORTRADER MACD.mq5 expert advisor. It implements the "AOP" pattern that watches the MACD oscillator for deep excursions away from the zero line followed by a hook back toward neutrality. When the hook is confirmed the strategy enters in the direction of the expected reversal and immediately applies fixed stop-loss and take-profit targets expressed in pips.

Strategy Logic

Data preparation

  • Operates on the candle series selected by the CandleType parameter (5-minute candles by default).
  • Uses a standard MACD indicator with configurable fast, slow and signal periods (defaults 12/26/9).
  • Stores the MACD main line values of the three most recent completed candles in order to reproduce the MQL index-based access (iMACD(...,1..3)).

Short setup (bearish hook)

  1. Arm – once the MACD main line of the latest closed candle drops below BearishExtremeLevel (default −0.0015) the strategy starts watching for a reversal.
  2. Neutral pullback – when MACD rises back above BearishNeutralLevel (default −0.0005) the hook validation stage becomes active.
  3. Hook confirmation – the previous three MACD values must form a local maximum (macd₁ < macd₂ > macd₃) while the most recent value still stays below the neutral level and the older value remains above it. This recreates the original pattern that ensures momentum is fading.
  4. Entry – if no long position is open (Position <= 0) a market sell order of OrderVolume is sent. Protective levels are calculated immediately: stop-loss above the entry by StopLossPips and take-profit below by TakeProfitPips (converted to price by GetPipSize).
  5. Any positive MACD reading cancels the setup and resets the internal bearish state machine until a new deep negative stretch appears.

Long setup (bullish hook)

  1. Arm – once MACD rises above BullishExtremeLevel (default +0.0015) the bullish watch mode is activated.
  2. Immediate cancel – if MACD falls below zero the bullish scenario is abandoned, mirroring the MQL logic.
  3. Neutral pullback – a drop back below BullishNeutralLevel (default +0.0005) primes the hook confirmation.
  4. Hook confirmation – the three stored MACD values must create a local minimum (macd₁ > macd₂ < macd₃) while respecting the neutral thresholds.
  5. Entry – if there is no short exposure (Position >= 0) the strategy buys at market with OrderVolume and sets stop-loss and take-profit around the entry symmetric to the short rules.

Risk management

  • Stop-loss and take-profit are always active via _stopPrice and _takePrice. They are evaluated on every completed candle using the recorded high/low to emulate broker-side execution in the original EA.
  • Pips are converted to absolute prices using Security.PriceStep. For 3- and 5-digit FX symbols the step is multiplied by 10 to match the MQL adjustment for fractional pips.
  • Whenever the strategy exits a position because of the protective levels it clears them immediately and waits for a fresh setup on the next candles.

Parameters

Parameter Description Default
CandleType Candle data series processed by the strategy. 5-minute time frame
OrderVolume Volume submitted with each market order. 0.1
TakeProfitPips Distance to the profit target in pips. Marked for optimization. 60
StopLossPips Distance to the stop-loss in pips. Marked for optimization. 70
MacdFastPeriod Fast EMA length for MACD. 12
MacdSlowPeriod Slow EMA length for MACD. 26
MacdSignalPeriod Signal EMA length for MACD. 9
BearishExtremeLevel Negative MACD threshold that arms short opportunities. −0.0015
BearishNeutralLevel Negative MACD threshold used to validate the bearish hook. −0.0005
BullishExtremeLevel Positive MACD threshold that arms long opportunities. +0.0015
BullishNeutralLevel Positive MACD threshold used to validate the bullish hook. +0.0005

Additional Notes

  • The strategy only reacts once per finished candle, mimicking the original PrevBars guard in MQL.
  • Stop-loss/take-profit management is purely price-based; there are no trailing adjustments or re-entries until the full state machine cycles again.
  • Designed for hedging accounts in the source EA, but this port enforces a single net position by checking Position before sending new orders.
  • No Python version is provided as requested.
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>
/// MACD-based reversal strategy that reproduces the FORTRADER AOP pattern.
/// </summary>
public class MacdAoPatternStrategy : Strategy
{
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<int> _stopLossPips;
	private readonly StrategyParam<decimal> _orderVolume;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<decimal> _bearishExtremeLevel;
	private readonly StrategyParam<decimal> _bearishNeutralLevel;
	private readonly StrategyParam<decimal> _bullishExtremeLevel;
	private readonly StrategyParam<decimal> _bullishNeutralLevel;
	private readonly StrategyParam<DataType> _candleType;

	private MACD _macd = null!;

	private decimal? _macdPrev1;
	private decimal? _macdPrev2;
	private decimal? _macdPrev3;

	private bool _bearishStageArmed;
	private bool _bearishTriggerReady;
	private bool _bearishSignalPending;

	private bool _bullishStageArmed;
	private bool _bullishTriggerReady;
	private bool _bullishSignalPending;

	private decimal? _stopPrice;
	private decimal? _takePrice;

	/// <summary>
	/// Distance to the take-profit level measured in pips.
	/// </summary>
	public int TakeProfitPips
	{
		get => _takeProfitPips.Value;
		set => _takeProfitPips.Value = value;
	}

	/// <summary>
	/// Distance to the stop-loss level measured in pips.
	/// </summary>
	public int StopLossPips
	{
		get => _stopLossPips.Value;
		set => _stopLossPips.Value = value;
	}

	/// <summary>
	/// Volume used for each market order.
	/// </summary>
	public decimal OrderVolume
	{
		get => _orderVolume.Value;
		set => _orderVolume.Value = value;
	}

	/// <summary>
	/// Fast EMA period for the MACD indicator.
	/// </summary>
	public int MacdFastPeriod
	{
		get => _macdFastPeriod.Value;
		set => _macdFastPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period for the MACD indicator.
	/// </summary>
	public int MacdSlowPeriod
	{
		get => _macdSlowPeriod.Value;
		set => _macdSlowPeriod.Value = value;
	}

	/// <summary>
	/// Signal line EMA period for the MACD indicator.
	/// </summary>
	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	/// <summary>
	/// MACD level that arms the bearish setup when the oscillator stretches deeply negative.
	/// </summary>
	public decimal BearishExtremeLevel
	{
		get => _bearishExtremeLevel.Value;
		set => _bearishExtremeLevel.Value = value;
	}

	/// <summary>
	/// MACD level that confirms the bearish hook back toward the zero line.
	/// </summary>
	public decimal BearishNeutralLevel
	{
		get => _bearishNeutralLevel.Value;
		set => _bearishNeutralLevel.Value = value;
	}

	/// <summary>
	/// MACD level that arms the bullish setup when the oscillator stretches deeply positive.
	/// </summary>
	public decimal BullishExtremeLevel
	{
		get => _bullishExtremeLevel.Value;
		set => _bullishExtremeLevel.Value = value;
	}

	/// <summary>
	/// MACD level that confirms the bullish hook back toward the zero line.
	/// </summary>
	public decimal BullishNeutralLevel
	{
		get => _bullishNeutralLevel.Value;
		set => _bullishNeutralLevel.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="MacdAoPatternStrategy"/>.
	/// </summary>
	public MacdAoPatternStrategy()
	{
		_takeProfitPips = Param(nameof(TakeProfitPips), 60)
			.SetGreaterThanZero()
			.SetDisplay("Take Profit (pips)", "Take-profit distance in pips", "Risk")
			;

		_stopLossPips = Param(nameof(StopLossPips), 70)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss (pips)", "Stop-loss distance in pips", "Risk")
			;

		_orderVolume = Param(nameof(OrderVolume), 0.1m)
			.SetGreaterThanZero()
			.SetDisplay("Order Volume", "Volume for every market order", "Orders");

		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast", "Fast EMA length", "Indicators");

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow", "Slow EMA length", "Indicators");

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("MACD Signal", "Signal EMA length", "Indicators");

		_bearishExtremeLevel = Param(nameof(BearishExtremeLevel), -100m)
			.SetDisplay("Bearish Extreme", "Negative MACD level that arms shorts", "Signals");

		_bearishNeutralLevel = Param(nameof(BearishNeutralLevel), -30m)
			.SetDisplay("Bearish Neutral", "Negative MACD level that confirms the hook", "Signals");

		_bullishExtremeLevel = Param(nameof(BullishExtremeLevel), 100m)
			.SetDisplay("Bullish Extreme", "Positive MACD level that arms longs", "Signals");

		_bullishNeutralLevel = Param(nameof(BullishNeutralLevel), 30m)
			.SetDisplay("Bullish Neutral", "Positive MACD level that confirms the hook", "Signals");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Source series for the strategy", "General");
	}

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

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

		_macdPrev1 = null;
		_macdPrev2 = null;
		_macdPrev3 = null;

		_bearishStageArmed = false;
		_bearishTriggerReady = false;
		_bearishSignalPending = false;

		_bullishStageArmed = false;
		_bullishTriggerReady = false;
		_bullishSignalPending = false;

		_stopPrice = null;
		_takePrice = null;
	}

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

		Volume = OrderVolume;

		_macd = new MACD();
		_macd.ShortMa.Length = MacdFastPeriod;
		_macd.LongMa.Length = MacdSlowPeriod;

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

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

		// First handle protective exits using the finished candle range.
		HandlePositionExit(candle);

		if (!_macd.IsFormed)
		{
			UpdateMacdHistory(macdLine);
			return;
		}

		if (_macdPrev1 is null || _macdPrev2 is null || _macdPrev3 is null)
		{
			UpdateMacdHistory(macdLine);
			return;
		}

		var macd1 = _macdPrev1.Value;
		var macd2 = _macdPrev2.Value;
		var macd3 = _macdPrev3.Value;

		// --- Bearish sequence --------------------------------------------------

		if (macd1 < BearishExtremeLevel && !_bearishStageArmed)
		{
			// Arm the bearish setup after a deep negative MACD reading.
			_bearishStageArmed = true;
		}

		if (macd1 > BearishNeutralLevel && _bearishStageArmed)
		{
			// MACD returned toward zero, prepare for the hook confirmation.
			_bearishStageArmed = false;
			_bearishTriggerReady = true;
		}

		var bearishHook = _bearishTriggerReady &&
			macd1 < macd2 &&
			macd2 > macd3 &&
			macd1 < BearishNeutralLevel &&
			macd2 > BearishNeutralLevel;

		if (bearishHook)
		{
			// Confirm the bearish hook pattern.
			_bearishTriggerReady = false;
			_bearishSignalPending = true;
		}

		if (macd1 > 0)
		{
			// Positive MACD invalidates the bearish scenario.
			ResetBearishState();
		}

		if (_bearishSignalPending && Position <= 0)
		{
			// Execute the short entry with predefined stop-loss and take-profit.
			SellMarket();

			var pip = GetPipSize();
			var entryPrice = candle.ClosePrice;
			_stopPrice = entryPrice + StopLossPips * pip;
			_takePrice = entryPrice - TakeProfitPips * pip;

			ResetBearishState();
		}

		// --- Bullish sequence --------------------------------------------------

		if (macd1 > BullishExtremeLevel && !_bullishStageArmed)
		{
			// Arm the bullish setup after a strong positive MACD expansion.
			_bullishStageArmed = true;
		}

		if (macd1 < 0)
		{
			// Negative MACD cancels the bullish scenario immediately.
			ResetBullishState();
		}
		else if (macd1 < BullishNeutralLevel && _bullishStageArmed)
		{
			// MACD retraced toward zero, allow the hook confirmation.
			_bullishStageArmed = false;
			_bullishTriggerReady = true;
		}

		var bullishHook = _bullishTriggerReady &&
			macd1 > macd2 &&
			macd2 < macd3 &&
			macd1 > BullishNeutralLevel &&
			macd2 < BullishNeutralLevel;

		if (bullishHook)
		{
			// Confirm the bullish hook pattern.
			_bullishTriggerReady = false;
			_bullishSignalPending = true;
		}

		if (_bullishSignalPending && Position >= 0)
		{
			// Execute the long entry with the configured targets.
			BuyMarket();

			var pip = GetPipSize();
			var entryPrice = candle.ClosePrice;
			_stopPrice = entryPrice - StopLossPips * pip;
			_takePrice = entryPrice + TakeProfitPips * pip;

			ResetBullishState();
		}

		UpdateMacdHistory(macdLine);
	}

	private void HandlePositionExit(ICandleMessage candle)
	{
		if (Position > 0)
		{
			var exitVolume = Math.Abs(Position);

			if (_stopPrice.HasValue && candle.LowPrice <= _stopPrice.Value)
			{
				// Long stop-loss hit inside the finished candle range.
				SellMarket();
				ResetProtectionLevels();
				return;
			}

			if (_takePrice.HasValue && candle.HighPrice >= _takePrice.Value)
			{
				// Long take-profit reached.
				SellMarket();
				ResetProtectionLevels();
			}
		}
		else if (Position < 0)
		{
			var exitVolume = Math.Abs(Position);

			if (_stopPrice.HasValue && candle.HighPrice >= _stopPrice.Value)
			{
				// Short stop-loss triggered within the candle.
				BuyMarket();
				ResetProtectionLevels();
				return;
			}

			if (_takePrice.HasValue && candle.LowPrice <= _takePrice.Value)
			{
				// Short take-profit reached.
				BuyMarket();
				ResetProtectionLevels();
			}
		}
	}

	private void UpdateMacdHistory(decimal macdValue)
	{
		_macdPrev3 = _macdPrev2;
		_macdPrev2 = _macdPrev1;
		_macdPrev1 = macdValue;
	}

	private void ResetBearishState()
	{
		_bearishStageArmed = false;
		_bearishTriggerReady = false;
		_bearishSignalPending = false;
	}

	private void ResetBullishState()
	{
		_bullishStageArmed = false;
		_bullishTriggerReady = false;
		_bullishSignalPending = false;
	}

	private void ResetProtectionLevels()
	{
		_stopPrice = null;
		_takePrice = null;
	}

	private decimal GetPipSize()
	{
		var step = Security?.PriceStep ?? 0.0001m;
		var decimals = Security?.Decimals;

		if (decimals == 3 || decimals == 5)
			return step * 10m;

		return step;
	}
}