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抛物线SAR与MACD确认

该策略将抛物线SAR指标与MACD结合。当价格与SAR交叉且得到MACD同向确认时开仓，以捕捉趋势反转。

详情

  • 入场条件: 价格穿越SAR且MACD线位于信号线上方或下方同向。
  • 多空方向: 双向。
  • 出场条件: 价格/SAR或MACD的反向交叉。
  • 止损: 无。
  • 默认值:
    • SarStart = 0.02m
    • SarIncrement = 0.02m
    • SarMax = 0.2m
    • MacdFast = 12
    • MacdSlow = 26
    • MacdSignal = 9
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: 趋势
    • 方向: 双向
    • 指标: Parabolic SAR, MACD
    • 止损: 无
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险等级: 中等
using System;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// EMA crossover with MACD confirmation.
/// </summary>
public class ParabolicSarMacdTrendZoneStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ParabolicSarMacdTrendZoneStrategy()
	{
		_fastLength = Param(nameof(FastLength), 14).SetGreaterThanZero();
		_slowLength = Param(nameof(SlowLength), 40).SetGreaterThanZero();
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame());
	}

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

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var macd = new MovingAverageConvergenceDivergenceSignal();

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(fast, slow, macd, (candle, fv, sv, macdVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!fv.IsFormed || !sv.IsFormed || !macdVal.IsFormed)
					return;

				var f = fv.ToDecimal();
				var s = sv.ToDecimal();
				var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdVal;
				var macdLine = macdTyped.Macd;
				var signalLine = macdTyped.Signal;

				if (!init)
				{
					prevF = f;
					prevS = s;
					init = true;
					return;
				}

				if (candle.OpenTime - lastSignal >= cooldown)
				{
					if (prevF <= prevS && f > s && macdLine > signalLine && Position <= 0)
					{
						BuyMarket();
						lastSignal = candle.OpenTime;
					}
					else if (prevF >= prevS && f < s && macdLine < signalLine && Position >= 0)
					{
						SellMarket();
						lastSignal = candle.OpenTime;
					}
				}

				prevF = f;
				prevS = s;
			})
			.Start();

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