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Стратегия Scalping EMA RSI MACD

Скальпинговая стратегия на 30‑минутных свечах использует пересечение быстрых и медленных EMA, трендовую EMA, фильтры RSI и MACD, а также условие по объёму. Стоп-лосс рассчитывается по ATR, тейк-профит определяется фиксированным соотношением риск/прибыль.

Подробности

  • Критерии входа: Пересечение EMA в направлении тренда, RSI в допустимых пределах, подтверждение MACD и высокий объём.
  • Длинные/Короткие: Оба направления.
  • Критерии выхода: Срабатывание стопа или цели.
  • Стопы: Стоп-лосс по ATR и тейк-профит по RiskReward.
  • Значения по умолчанию:
    • FastEmaLength = 12
    • SlowEmaLength = 26
    • TrendEmaLength = 55
    • RsiLength = 14
    • RsiOverbought = 65
    • RsiOversold = 35
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • AtrLength = 14
    • AtrMultiplier = 2.0
    • RiskReward = 2.0
    • VolumeMaLength = 20
    • VolumeThreshold = 1.3
    • CandleType = TimeSpan.FromMinutes(30)
  • Фильтры:
    • Категория: Scalping
    • Направление: Оба
    • Индикаторы: EMA, RSI, MACD, ATR, Объём
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Внутридневной (30м)
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// 30-minute scalping strategy based on EMA crossover with RSI, MACD and ATR filter.
/// Buys on bullish EMA cross in uptrend with RSI/MACD confirmation.
/// Sells on bearish EMA cross in downtrend with RSI/MACD confirmation.
/// Uses ATR-based stop-loss and take-profit exits.
/// </summary>
public class ScalpingEmaRsiMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaLength;
	private readonly StrategyParam<int> _slowEmaLength;
	private readonly StrategyParam<int> _trendEmaLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _rsiOverbought;
	private readonly StrategyParam<int> _rsiOversold;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _riskReward;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _prevFastEma;
	private decimal _prevSlowEma;
	private decimal _prevMacd;
	private decimal _stopPrice;
	private decimal _takeProfitPrice;
	private decimal _entryPrice;
	private int _cooldownRemaining;

	public int FastEmaLength { get => _fastEmaLength.Value; set => _fastEmaLength.Value = value; }
	public int SlowEmaLength { get => _slowEmaLength.Value; set => _slowEmaLength.Value = value; }
	public int TrendEmaLength { get => _trendEmaLength.Value; set => _trendEmaLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }
	public int RsiOverbought { get => _rsiOverbought.Value; set => _rsiOverbought.Value = value; }
	public int RsiOversold { get => _rsiOversold.Value; set => _rsiOversold.Value = value; }
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public decimal RiskReward { get => _riskReward.Value; set => _riskReward.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public ScalpingEmaRsiMacdStrategy()
	{
		_fastEmaLength = Param(nameof(FastEmaLength), 12)
			.SetDisplay("Fast EMA Length", "Length for fast EMA", "Indicators");

		_slowEmaLength = Param(nameof(SlowEmaLength), 26)
			.SetDisplay("Slow EMA Length", "Length for slow EMA", "Indicators");

		_trendEmaLength = Param(nameof(TrendEmaLength), 55)
			.SetDisplay("Trend EMA Length", "Length for trend EMA", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetDisplay("RSI Length", "Length for RSI", "Indicators");

		_rsiOverbought = Param(nameof(RsiOverbought), 65)
			.SetDisplay("RSI Overbought", "Upper RSI bound", "Indicators");

		_rsiOversold = Param(nameof(RsiOversold), 35)
			.SetDisplay("RSI Oversold", "Lower RSI bound", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetDisplay("ATR Length", "Length for ATR", "Indicators");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetDisplay("ATR Multiplier", "Multiplier for stop-loss", "Risk");

		_riskReward = Param(nameof(RiskReward), 2m)
			.SetDisplay("Risk Reward", "Take profit multiplier", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

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

		_prevFastEma = 0;
		_prevSlowEma = 0;
		_prevMacd = 0;
		_stopPrice = 0;
		_takeProfitPrice = 0;
		_entryPrice = 0;
		_cooldownRemaining = 0;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastEmaLength };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaLength };
		var trendEma = new ExponentialMovingAverage { Length = TrendEmaLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		var macd = new MovingAverageConvergenceDivergence();
		macd.ShortMa.Length = FastEmaLength;
		macd.LongMa.Length = SlowEmaLength;
		var atr = new AverageTrueRange { Length = AtrLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, trendEma, rsi, macd, atr, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal fastEma, decimal slowEma, decimal trendEma, decimal rsi, decimal macd, decimal atr)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevFastEma = fastEma;
			_prevSlowEma = slowEma;
			_prevMacd = macd;
			return;
		}

		var close = candle.ClosePrice;

		// Check stop-loss and take-profit exits first
		if (Position > 0 && _stopPrice > 0)
		{
			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takeProfitPrice)
			{
				SellMarket(Math.Abs(Position));
				_stopPrice = 0;
				_takeProfitPrice = 0;
				_cooldownRemaining = CooldownBars;
				_prevFastEma = fastEma;
				_prevSlowEma = slowEma;
				_prevMacd = macd;
				return;
			}
		}
		else if (Position < 0 && _stopPrice > 0)
		{
			if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takeProfitPrice)
			{
				BuyMarket(Math.Abs(Position));
				_stopPrice = 0;
				_takeProfitPrice = 0;
				_cooldownRemaining = CooldownBars;
				_prevFastEma = fastEma;
				_prevSlowEma = slowEma;
				_prevMacd = macd;
				return;
			}
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevFastEma = fastEma;
			_prevSlowEma = slowEma;
			_prevMacd = macd;
			return;
		}

		// Trend detection
		var upTrend = close > trendEma && fastEma > slowEma;
		var downTrend = close < trendEma && fastEma < slowEma;

		// EMA crossover detection
		var bullCross = _prevFastEma > 0 && _prevFastEma <= _prevSlowEma && fastEma > slowEma;
		var bearCross = _prevFastEma > 0 && _prevFastEma >= _prevSlowEma && fastEma < slowEma;

		// MACD momentum
		var macdRising = macd > _prevMacd;
		var macdFalling = macd < _prevMacd;

		// Entry conditions
		var longCondition = bullCross && upTrend && rsi > 40m && rsi < RsiOverbought && macdRising;
		var shortCondition = bearCross && downTrend && rsi < 60m && rsi > RsiOversold && macdFalling;

		if (longCondition && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_entryPrice = close;
			_stopPrice = close - atr * AtrMultiplier;
			_takeProfitPrice = close + (close - _stopPrice) * RiskReward;
			_cooldownRemaining = CooldownBars;
		}
		else if (shortCondition && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_entryPrice = close;
			_stopPrice = close + atr * AtrMultiplier;
			_takeProfitPrice = close - (_stopPrice - close) * RiskReward;
			_cooldownRemaining = CooldownBars;
		}

		_prevFastEma = fastEma;
		_prevSlowEma = slowEma;
		_prevMacd = macd;
	}
}