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Sensitive MACD Trailing Strategy

Overview

This strategy is a direct StockSharp conversion of the "Sensitive" MACD expert advisor for MetaTrader 5. It combines MACD crossovers with configurable risk management tools (fixed stop loss, take profit, and pip-based trailing stops). The algorithm works exclusively on completed candles and uses the high-level API to subscribe to the desired timeframe.

Indicators and Data

  • MACD (Moving Average Convergence Divergence) – configured with independent fast, slow, and signal EMA lengths.
  • Candles – user-selectable timeframe provided through the CandleType parameter.

Entry Conditions

  1. A new candle must close to avoid intrabar noise.
  2. MACD values are processed from the indicator binding:
    • macd represents the MACD main line.
    • signal is the signal line (EMA of the MACD difference).
  3. Long entry requirements:
    • MACD crosses above the signal line (macd > signal while the previous values satisfied macd < signal).
    • MACD remains in negative territory (macd < 0).
    • The absolute MACD magnitude is greater than MacdOpenLevel * Point, ensuring a meaningful displacement.
    • No open long position is active (net position is less than or equal to zero). Existing shorts are reversed by sending the necessary quantity.
  4. Short entry requirements mirror the long setup:
    • MACD crosses below the signal line while remaining positive.
    • Absolute MACD magnitude exceeds the configured threshold.
    • No open short position exists (net position is greater than or equal to zero). Existing longs are flattened before opening the short.

Exit Management

  • Take Profit: Once the trade is opened, the strategy stores a target level defined by TakeProfitPips. If a long candle's high or a short candle's low reaches this level, the position is closed at market.
  • Stop Loss: A protective stop is calculated from StopLossPips. For longs, a price drop to the stop level triggers a market exit. Shorts react to price increases reaching the stop.
  • Trailing Stop: When TrailingStopPips is non-zero, the algorithm activates a trailing logic after the price advances by at least TrailingStopPips + TrailingStepPips pips from the entry. Subsequent movements tighten the stop level by always keeping the specified trailing distance from the latest close. The trailing step must be positive whenever the trailing stop is enabled; otherwise, the strategy stops with an error message.
  • When no position is active, internal tracking variables are reset to prepare for the next trade.

Position Sizing

Order quantities are controlled through the built-in Volume strategy parameter (default: 0.1). Reversals automatically add the absolute value of the current position to the desired volume to switch directions in a single market order.

Parameters

Parameter Description Default
FastLength Fast EMA period used by the MACD main line. 12
SlowLength Slow EMA period used by the MACD main line. 26
SignalLength Signal EMA period for the MACD. 9
MacdOpenLevel Minimum MACD magnitude (in price points) required to trigger trades. 3
StopLossPips Distance of the protective stop in pips. 35
TakeProfitPips Take-profit distance in pips. 75
TrailingStopPips Trailing stop distance in pips (0 disables trailing). 5
TrailingStepPips Additional distance price must move before the trailing stop updates. 5
CandleType Source candle type (timeframe). 1-minute candles
Volume Order volume, expressed in lots/contracts depending on the instrument. 0.1

Additional Notes

  • Pips and MACD point values are derived from the instrument's price step and decimal precision. The code adjusts for 3- and 5-digit forex symbols by scaling the pip size accordingly.
  • All comments inside the source are written in English, and the implementation uses only high-level StockSharp APIs in line with the project guidelines.
  • The strategy intentionally avoids partial fills management and assumes market orders are filled immediately when running in the simulator or real trading. Further safeguards can be added if needed.
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Sensitive MACD Trailing strategy. Uses EMA crossover (5/15).
/// </summary>
public class SensitiveMacdTrailingStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private decimal? _prevFast;
	private decimal? _prevSlow;

	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 SensitiveMacdTrailingStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame()).SetDisplay("Candle Type", "Timeframe", "General");
		_fastPeriod = Param(nameof(FastPeriod), 5).SetGreaterThanZero().SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowPeriod = Param(nameof(SlowPeriod), 15).SetGreaterThanZero().SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevFast = null;
		_prevSlow = null;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_prevFast = null; _prevSlow = null;
		var fast = new ExponentialMovingAverage { Length = FastPeriod };
		var slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(fast, slow, ProcessCandle).Start();
		var area = CreateChartArea();
		if (area != null) { DrawCandles(area, subscription); DrawIndicator(area, fast); DrawIndicator(area, slow); DrawOwnTrades(area); }
	}

	private void ProcessCandle(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!IsFormedAndOnlineAndAllowTrading()) { _prevFast = fast; _prevSlow = slow; return; }
		if (_prevFast == null || _prevSlow == null) { _prevFast = fast; _prevSlow = slow; return; }
		var prevAbove = _prevFast.Value > _prevSlow.Value;
		var currAbove = fast > slow;
		_prevFast = fast; _prevSlow = slow;
		if (!prevAbove && currAbove && Position <= 0) { if (Position < 0) BuyMarket(); BuyMarket(); }
		else if (prevAbove && !currAbove && Position >= 0) { if (Position > 0) SellMarket(); SellMarket(); }
	}
}