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Пересечение MACD

Стратегия основана на пересечении MACD в заданной зоне.

MACD Crossover открывает позицию, когда линия MACD пересекает сигнальную линию и само значение MACD находится между нижним и верхним порогами. Противоположное пересечение закрывает открытую позицию. Стопы не используются.

Детали

  • Критерии входа: пересечение MACD в зоне.
  • Длинные/короткие: оба направления.
  • Критерии выхода: противоположное пересечение.
  • Стопы: нет.
  • Значения по умолчанию:
    • FastLength = 12
    • SlowLength = 26
    • SignalLength = 9
    • LowerThreshold = -0.5m
    • UpperThreshold = 0.5m
    • CandleType = TimeSpan.FromMinutes(5)
  • Фильтры:
    • Категория: Тренд
    • Направление: Оба
    • Индикаторы: MACD
    • Стопы: Нет
    • Сложность: Базовая
    • Таймфрейм: Внутридневной (5m)
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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>
/// MACD crossover strategy within predefined zone.
/// Goes long when MACD crosses above signal line inside the zone and short on opposite condition.
/// Closes positions on opposite crossovers regardless of zone.
/// </summary>
public class MacdCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<decimal> _lowerThreshold;
	private readonly StrategyParam<decimal> _upperThreshold;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private bool _prevIsMacdAboveSignal;
	private int _barsFromSignal;

	/// <summary>
	/// Fast EMA period for MACD.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow EMA period for MACD.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

	/// <summary>
	/// Signal line period for MACD.
	/// </summary>
	public int SignalLength
	{
		get => _signalLength.Value;
		set => _signalLength.Value = value;
	}

	/// <summary>
	/// Lower bound of important MACD zone.
	/// </summary>
	public decimal LowerThreshold
	{
		get => _lowerThreshold.Value;
		set => _lowerThreshold.Value = value;
	}

	/// <summary>
	/// Upper bound of important MACD zone.
	/// </summary>
	public decimal UpperThreshold
	{
		get => _upperThreshold.Value;
		set => _upperThreshold.Value = value;
	}

	/// <summary>
	/// Minimum bars between executed signals.
	/// </summary>
	public int SignalCooldownBars
	{
		get => _signalCooldownBars.Value;
		set => _signalCooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="MacdCrossoverStrategy"/>.
	/// </summary>
	public MacdCrossoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast Length", "Fast EMA period", "MACD Settings")
			
			.SetOptimize(8, 16, 2);

		_slowLength = Param(nameof(SlowLength), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "MACD Settings")
			
			.SetOptimize(20, 32, 2);

		_signalLength = Param(nameof(SignalLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Length", "Signal line period", "MACD Settings")
			
			.SetOptimize(5, 13, 2);

		_lowerThreshold = Param(nameof(LowerThreshold), -100m)
			.SetDisplay("Lower Threshold", "Lower bound for MACD zone", "MACD Zone")

			.SetOptimize(-1m, 0m, 0.1m);

		_upperThreshold = Param(nameof(UpperThreshold), 100m)
			.SetDisplay("Upper Threshold", "Upper bound for MACD zone", "MACD Zone")

			.SetOptimize(0m, 1m, 0.1m);

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 3)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Bars", "Minimum bars between trade signals", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(10).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevIsMacdAboveSignal = false;
		_barsFromSignal = int.MaxValue;
	}

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

		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 is not IMovingAverageConvergenceDivergenceSignalValue macdTyped)
			return;

		var macd = macdTyped.Macd ?? 0m;
		var signal = macdTyped.Signal ?? 0m;

		var isMacdAboveSignal = macd > signal;
		var crossUp = isMacdAboveSignal && !_prevIsMacdAboveSignal;
		var crossDown = !isMacdAboveSignal && _prevIsMacdAboveSignal;
		var inZone = macd >= LowerThreshold && macd <= UpperThreshold;
		_barsFromSignal++;

		if (_barsFromSignal >= SignalCooldownBars)
		{
			if (crossUp)
			{
				if (Position < 0)
				{
					BuyMarket();
					_barsFromSignal = 0;
				}
				else if (inZone && Position == 0)
				{
					BuyMarket();
					_barsFromSignal = 0;
				}
			}
			else if (crossDown)
			{
				if (Position > 0)
				{
					SellMarket();
					_barsFromSignal = 0;
				}
				else if (inZone && Position == 0)
				{
					SellMarket();
					_barsFromSignal = 0;
				}
			}
		}

		_prevIsMacdAboveSignal = isMacdAboveSignal;
	}
}