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MACD趋势

该策略基于MACD指标的金叉和死叉。当MACD线向上穿越信号线时做多，向下穿越时做空，出现反向交叉或触发止损则离场。MACD通过衡量动量适应不同市场，此方法旨在顺势跟随，直至指标转变为相反方向。

测试表明年均收益约为 64%，该策略在外汇市场表现最佳。

详情

  • 入场条件: 基于 MA、MACD 的信号
  • 多空方向: 双向
  • 退出条件: 反向信号或止损
  • 止损: 是
  • 默认值:
    • FastEmaPeriod = 12
    • SlowEmaPeriod = 26
    • SignalPeriod = 9
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类型: 趋势
    • 方向: 双向
    • 指标: MA, MACD
    • 止损: 是
    • 复杂度: 基础
    • 时间框架: 日内 (5m)
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 中
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>
/// Strategy based on MACD indicator.
/// It enters long position when MACD crosses above signal line and short position when MACD crosses below signal line.
/// </summary>
public class MacdTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	// Current state
	private bool _prevIsMacdAboveSignal;

	/// <summary>
	/// Period for fast EMA in MACD.
	/// </summary>
	public int FastEmaPeriod
	{
		get => _fastEmaPeriod.Value;
		set => _fastEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period for slow EMA in MACD.
	/// </summary>
	public int SlowEmaPeriod
	{
		get => _slowEmaPeriod.Value;
		set => _slowEmaPeriod.Value = value;
	}

	/// <summary>
	/// Period for signal line in MACD.
	/// </summary>
	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

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

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

	/// <summary>
	/// Initialize the MACD Trend strategy.
	/// </summary>
	public MacdTrendStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 200)
			.SetDisplay("Fast EMA Period", "Period for fast EMA in MACD", "Indicators")

			.SetOptimize(8, 16, 2);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 500)
			.SetDisplay("Slow EMA Period", "Period for slow EMA in MACD", "Indicators")

			.SetOptimize(20, 32, 2);

		_signalPeriod = Param(nameof(SignalPeriod), 200)
			.SetDisplay("Signal Period", "Period for signal line in MACD", "Indicators")

			.SetOptimize(5, 13, 2);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop Loss (%)", "Stop loss as a percentage of entry price", "Risk parameters")
			
			.SetOptimize(1, 3, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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;

	}

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

		// Create MACD indicator with signal line

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastEmaPeriod },
				LongMa = { Length = SlowEmaPeriod },
			},
			SignalMa = { Length = SignalPeriod }
		};
		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, macd);
			DrawOwnTrades(area);
		}

	}

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

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
			return;

		// Check MACD position relative to signal line
		var isMacdAboveSignal = macd > signal;
		
		// Check for crossovers
		var isMacdCrossedAboveSignal = isMacdAboveSignal && !_prevIsMacdAboveSignal;
		var isMacdCrossedBelowSignal = !isMacdAboveSignal && _prevIsMacdAboveSignal;

		// Entry/exit logic based on MACD crossovers
		if (isMacdCrossedAboveSignal && Position <= 0)
		{
			// MACD crossed above signal line - Buy signal
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			LogInfo($"Buy signal: MACD ({macd:F5}) crossed above Signal ({signal:F5})");
		}
		else if (isMacdCrossedBelowSignal && Position >= 0)
		{
			// MACD crossed below signal line - Sell signal
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			LogInfo($"Sell signal: MACD ({macd:F5}) crossed below Signal ({signal:F5})");
		}

		// Update previous state
		_prevIsMacdAboveSignal = isMacdAboveSignal;
	}
}