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Keltner Macd Strategy

Стратегия основана на каналах Кельтнера и MACD. Вход в длинную позицию, когда цена пробивает верхнюю границу канала Кельтнера и MACD > сигнальной. Вход в короткую, когда цена пробивает нижнюю границу канала и MACD < сигнальной. Выход, когда MACD пересекает сигнальную линию в противоположную сторону.

Тестирование показывает среднегодичную доходность около 169%. Стратегию лучше запускать на крипторынке.

Пробои канала Кельтнера служат триггером, а импульс MACD фильтрует направление. Сделки открываются, когда оба сигнала совпадают.

Подходит трейдерам, охотящимся за расширением волатильности при поддержке импульса. Стоп на основе ATR сдерживает риск.

Детали

  • Критерии входа:
    • Long: Close > UpperBand && MACD > Signal
    • Short: Close < LowerBand && MACD < Signal
  • Long/Short: Оба направления
  • Критерии выхода: пересечение MACD в противоположную сторону
  • Стопы: ATR на основе AtrMultiplier
  • Значения по умолчанию:
    • EmaPeriod = 20
    • Multiplier = 2m
    • AtrPeriod = 14
    • MacdFastPeriod = 12
    • MacdSlowPeriod = 26
    • MacdSignalPeriod = 9
    • AtrMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Фильтры:
    • Категория: Mean reversion
    • Направление: Оба
    • Индикаторы: Keltner Channel, MACD
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Среднесрочный
    • Сезонность: Нет
    • Нейронные сети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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;

using StockSharp.Algo;
using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Keltner Channels and MACD.
/// Enters long when price breaks above upper Keltner Channel with MACD > Signal.
/// Enters short when price breaks below lower Keltner Channel with MACD < Signal.
/// Exits when MACD crosses its signal line in the opposite direction.
/// </summary>
public class KeltnerMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private ExponentialMovingAverage _ema;
	private AverageTrueRange _atr;
	private MovingAverageConvergenceDivergenceSignal _macd;
	
	private decimal _prevMacd;
	private decimal _prevSignal;
	private int _cooldown;

	/// <summary>
	/// EMA period for Keltner Channel middle line.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for Keltner Channel bands.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

	/// <summary>
	/// ATR period for Keltner Channel bands.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

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

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

	/// <summary>
	/// MACD signal line period.
	/// </summary>
	public int MacdSignalPeriod
	{
		get => _macdSignalPeriod.Value;
		set => _macdSignalPeriod.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop loss calculation.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of the <see cref="KeltnerMacdStrategy"/>.
	/// </summary>
	public KeltnerMacdStrategy()
	{
		_emaPeriod = Param(nameof(EmaPeriod), 20)
			.SetDisplay("EMA Period", "Period for EMA calculation in Keltner Channel", "Indicators")
			
			.SetOptimize(10, 30, 5);

		_multiplier = Param(nameof(Multiplier), 2m)
			.SetDisplay("ATR Multiplier", "ATR multiplier for Keltner Channel bands", "Indicators")
			
			.SetOptimize(1.5m, 3m, 0.5m);

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("ATR Period", "Period for ATR calculation in Keltner Channel", "Indicators");

		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
			.SetDisplay("MACD Fast Period", "Fast EMA period for MACD calculation", "Indicators")
			;

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 26)
			.SetDisplay("MACD Slow Period", "Slow EMA period for MACD calculation", "Indicators")
			;

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetDisplay("MACD Signal Period", "Signal line period for MACD calculation", "Indicators")
			;

		_cooldownBars = Param(nameof(CooldownBars), 20)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between entries", "General");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetDisplay("Stop Loss ATR Multiplier", "ATR multiplier for stop loss calculation", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe of data for strategy", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 1.0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management")
			
			.SetOptimize(0.5m, 2.0m, 0.5m);
	}

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

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

		_ema?.Reset();
		_atr?.Reset();
		_macd?.Reset();

		_prevMacd = 0;
		_prevSignal = 0;
		_cooldown = 0;
	}

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

		// Create indicators
		_ema = new EMA { Length = EmaPeriod };
		_atr = new AverageTrueRange { Length = AtrPeriod };

		_macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFastPeriod },
				LongMa = { Length = MacdSlowPeriod },
			},
			SignalMa = { Length = MacdSignalPeriod }
		};
		// Initialize variables
		// Create subscription
		var subscription = SubscribeCandles(CandleType);

		// Process candles with indicators
		subscription
			.BindEx(_ema, _atr, _macd, ProcessCandle)
			.Start();

		// Setup chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			
			// MACD in separate area
			var macdArea = CreateChartArea();
			if (macdArea != null)
			{
				DrawIndicator(macdArea, _macd);
			}
			
			DrawOwnTrades(area);
		}

	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue emaValue, IIndicatorValue atrValue, IIndicatorValue macdValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		var ema = emaValue.ToDecimal();
		var atr = atrValue.ToDecimal();

		// Calculate Keltner Channels
		var upperBand = ema + Multiplier * atr;
		var lowerBand = ema - Multiplier * atr;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		// Process MACD separately to get MACD and Signal values
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
		{
			return;
		}

		// Detect MACD crosses
		bool macdCrossedAboveSignal = _prevMacd <= _prevSignal && macd > signal;
		bool macdCrossedBelowSignal = _prevMacd >= _prevSignal && macd < signal;

		// Check if strategy is ready for trading
		if (!IsFormedAndOnlineAndAllowTrading())
		{
			// Store current values for next candle
			_prevMacd = macd;
			_prevSignal = signal;
			return;
		}

		// Trading logic
		if (_cooldown > 0)
			_cooldown--;

		if (_cooldown == 0 && candle.ClosePrice > upperBand * 1.001m && macdCrossedAboveSignal && Position <= 0)
		{
			// Price breaks above upper Keltner Channel with bullish MACD - go long
			BuyMarket(Volume + Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (_cooldown == 0 && candle.ClosePrice < lowerBand * 0.999m && macdCrossedBelowSignal && Position >= 0)
		{
			// Price breaks below lower Keltner Channel with bearish MACD - go short
			SellMarket(Volume + Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		
		// Exit logic based on MACD crosses
		if (Position > 0 && macdCrossedBelowSignal)
		{
			// Exit long position when MACD crosses below Signal
			ClosePosition();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && macdCrossedAboveSignal)
		{
			// Exit short position when MACD crosses above Signal
			ClosePosition();
			_cooldown = CooldownBars;
		}

		// Store current values for next candle
		_prevMacd = macd;
		_prevSignal = signal;
	}
}