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ZeroLag MACD 交叉策略

该策略基于 MACD 线与信号线的交叉信号进行交易，来源于 MetaTrader 专家顾问 ZeroLagEA-AIP v0.0.4。策略仅在设定的交易时段运行，可选地要求交叉必须在当前柱上发生。

详情

  • 入场条件：
    • 做多：MACD 线向上穿过信号线。
    • 做空：MACD 线向下穿过信号线。
  • 多空方向：双向。
  • 出场条件：
    • 反向交叉或在指定时间强制平仓。
  • 止损：无。
  • 过滤器：
    • StartHour 与 EndHour 定义的交易时段。
    • 可选的最新交叉要求 (UseFreshSignal)。

参数

  • FastEmaLength = 2
  • SlowEmaLength = 34
  • SignalEmaLength = 2
  • UseFreshSignal = true
  • Volume = 2
  • StartHour = 9
  • EndHour = 15
  • KillDay = 5
  • KillHour = 21
  • CandleType = 1 分钟K线
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 with signal line.
/// </summary>
public class ZeroLagMacdStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _signalLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevMacd;
	private decimal _prevSignal;
	private bool _hasPrev;

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

	public ZeroLagMacdStrategy()
	{
		_fastLength = Param(nameof(FastLength), 12)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "MACD");

		_slowLength = Param(nameof(SlowLength), 26)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "MACD");

		_signalLength = Param(nameof(SignalLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Signal", "Signal EMA period", "MACD");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevMacd = 0;
		_prevSignal = 0;
		_hasPrev = false;
	}

	/// <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.IsFinal)
			return;

		var macdTyped = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		if (macdTyped.Macd is not decimal macdLine || macdTyped.Signal is not decimal signalLine)
			return;

		if (_hasPrev)
		{
			var crossUp = _prevMacd <= _prevSignal && macdLine > signalLine;
			var crossDown = _prevMacd >= _prevSignal && macdLine < signalLine;

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

		_prevMacd = macdLine;
		_prevSignal = signalLine;
		_hasPrev = true;
	}
}