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双MACD

该策略结合两组MACD指标。慢速MACD的柱线突破零轴且快速MACD柱线同向时入场。若快速MACD反转或触发止损/止盈则平仓。

测试显示年化收益约为65%，在股票市场表现最佳。

细节

  • 入场条件：慢速MACD柱线穿越零轴并得到快速MACD确认。
  • 多空方向：双向。
  • 退出条件：快速MACD反转或达到止损/止盈。
  • 止损：有。
  • 默认参数：
    • Macd1FastLength = 34
    • Macd1SlowLength = 144
    • Macd1SignalLength = 9
    • Macd2FastLength = 100
    • Macd2SlowLength = 200
    • Macd2SignalLength = 50
    • StopLossPercent = 1.0m
    • TakeProfitPercent = 1.5m
    • CandleType = TimeSpan.FromMinutes(15)
  • 过滤器：
    • 类别: 趋势
    • 方向: 双向
    • 指标: MACD
    • 止损: 有
    • 复杂度: 中等
    • 时间框架: 日内 (15m)
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
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>
/// DualMacdStrategy using EMA crossover for trend timing.
/// Enters long on golden cross, short on death cross.
/// </summary>
public class DualMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevFastEma;
	private decimal _prevSlowEma;

	public int FastEmaPeriod { get => _fastEmaPeriod.Value; set => _fastEmaPeriod.Value = value; }
	public int SlowEmaPeriod { get => _slowEmaPeriod.Value; set => _slowEmaPeriod.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public DualMacdStrategy()
	{
		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 450)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");

		_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();
		_prevFastEma = 0m;
		_prevSlowEma = 0m;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastEmaPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowEmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, 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 fastEmaValue, decimal slowEmaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevFastEma == 0m || _prevSlowEma == 0m)
		{
			_prevFastEma = fastEmaValue;
			_prevSlowEma = slowEmaValue;
			return;
		}

		if (_prevFastEma <= _prevSlowEma && fastEmaValue > slowEmaValue && Position <= 0)
		{
			BuyMarket();
		}
		else if (_prevFastEma >= _prevSlowEma && fastEmaValue < slowEmaValue && Position >= 0)
		{
			SellMarket();
		}

		_prevFastEma = fastEmaValue;
		_prevSlowEma = slowEmaValue;
	}
}