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MACD 突破策略

本策略关注 MACD 指标的突然扩张。当数值明显超出常态范围时，价格往往开始新的走势。

测试表明年均收益约为 94%，该策略在股票市场表现最佳。

当指标突破根据近期数据及偏差倍数构建的通道时开仓，可做多也可做空，并配合止损。MACD 回到均值附近后平仓。

该系统适合动量交易者捕捉早期突破。

详细信息

  • 入场条件: Indicator exceeds average by deviation multiplier.
  • Long/Short: 双向 directions.
  • 退出条件: Indicator reverts to average.
  • 止损: 是
  • 默认值:
    • FastEmaPeriod = 12
    • SlowEmaPeriod = 26
    • SignalPeriod = 9
    • SmaPeriod = 20
    • DeviationMultiplier = 2.0m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • 筛选条件:
    • 类别: 突破
    • 方向: 双向
    • 指标: MACD
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 短期
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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>
/// MACD Breakout Strategy that enters positions when MACD Histogram breaks out of its normal range.
/// </summary>
public class MacdBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private MovingAverageConvergenceDivergenceSignal _macd;
	private SimpleMovingAverage _macdHistSma;
	private StandardDeviation _macdHistStdDev;
	
	private decimal _prevMacdHistValue;
	private decimal _prevMacdHistSmaValue;

	/// <summary>
	/// MACD Fast EMA period.
	/// </summary>
	public int FastEmaPeriod
	{
		get => _fastEmaPeriod.Value;
		set => _fastEmaPeriod.Value = value;
	}

	/// <summary>
	/// MACD Slow EMA period.
	/// </summary>
	public int SlowEmaPeriod
	{
		get => _slowEmaPeriod.Value;
		set => _slowEmaPeriod.Value = value;
	}

	/// <summary>
	/// MACD Signal line period.
	/// </summary>
	public int SignalPeriod
	{
		get => _signalPeriod.Value;
		set => _signalPeriod.Value = value;
	}

	/// <summary>
	/// Period for MACD Histogram moving average.
	/// </summary>
	public int SmaPeriod
	{
		get => _smaPeriod.Value;
		set => _smaPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for breakout threshold.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public MacdBreakoutStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA Period", "Period for MACD fast EMA", "MACD Settings")
			
			.SetOptimize(8, 20, 4);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA Period", "Period for MACD slow EMA", "MACD Settings")
			
			.SetOptimize(20, 40, 4);

		_signalPeriod = Param(nameof(SignalPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal Period", "Period for MACD signal line", "MACD Settings")
			
			.SetOptimize(5, 15, 2);

		_smaPeriod = Param(nameof(SmaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Period for MACD Histogram moving average", "Indicator Settings")
			
			.SetOptimize(10, 30, 5);

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Standard deviation multiplier for breakout threshold", "Breakout Settings")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management")
			
			.SetOptimize(1.0m, 4.0m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_prevMacdHistSmaValue = default;
		_prevMacdHistValue = default;
	}

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

		// Initialize indicators

		_macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastEmaPeriod },
				LongMa = { Length = SlowEmaPeriod },
			},
			SignalMa = { Length = SignalPeriod }
		};
		_macdHistSma = new SMA { Length = SmaPeriod };
		_macdHistStdDev = new StandardDeviation { Length = SmaPeriod };

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		
		subscription
			.BindEx(_macd, ProcessCandle)
			.Start();

		// Enable position protection
		StartProtection(
			new Unit(StopLossPercent, UnitTypes.Percent),
			new Unit(StopLossPercent * 1.5m, UnitTypes.Percent));

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

		base.OnStarted2(time);
	}

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

		// Check if strategy is ready for trading
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		// Extract the histogram value (MACD Line - Signal Line)
		if (macdTyped.Macd is not decimal macd || macdTyped.Signal is not decimal signal)
		{
			return;
		}

		// Process indicators for MACD histogram
		var macdHistSmaValue = _macdHistSma.Process(new DecimalIndicatorValue(_macdHistSma, macd, candle.ServerTime)).ToDecimal();
		var macdHistStdDevValue = _macdHistStdDev.Process(new DecimalIndicatorValue(_macdHistStdDev, macd, candle.ServerTime)).ToDecimal();
		
		// Store previous values on first call
		if (_prevMacdHistValue == 0 && _prevMacdHistSmaValue == 0)
		{
			_prevMacdHistValue = macd;
			_prevMacdHistSmaValue = macdHistSmaValue;
			return;
		}

		// Calculate breakout thresholds
		var upperThreshold = macdHistSmaValue + DeviationMultiplier * macdHistStdDevValue;
		var lowerThreshold = macdHistSmaValue - DeviationMultiplier * macdHistStdDevValue;

		// Trading logic
		if (macd > upperThreshold && Position <= 0)
		{
			// MACD Histogram broke above upper threshold - buy signal (long)
			BuyMarket(Volume);
			LogInfo($"Buy signal: MACD Hist({macd}) > Upper Threshold({upperThreshold})");
		}
		else if (macd < lowerThreshold && Position >= 0)
		{
			// MACD Histogram broke below lower threshold - sell signal (short)
			SellMarket(Volume + Math.Abs(Position));
			LogInfo($"Sell signal: MACD Hist({macd}) < Lower Threshold({lowerThreshold})");
		}
		// Exit conditions
		else if (Position > 0 && macd < macdHistSmaValue)
		{
			// Exit long position when MACD Histogram returns below its mean
			SellMarket(Math.Abs(Position));
			LogInfo($"Exit long: MACD Hist({macd}) < SMA({macdHistSmaValue})");
		}
		else if (Position < 0 && macd > macdHistSmaValue)
		{
			// Exit short position when MACD Histogram returns above its mean
			BuyMarket(Math.Abs(Position));
			LogInfo($"Exit short: MACD Hist({macd}) > SMA({macdHistSmaValue})");
		}

		// Update previous values
		_prevMacdHistValue = macd;
		_prevMacdHistSmaValue = macdHistSmaValue;
	}
}