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MACD 信号策略

该策略基于 MACD 线与其信号线的差值进行交易。 当该差值突破基于 ATR 的阈值时开仓，反向突破时平仓。 策略使用以 tick 为单位的移动止损和固定止盈。

细节

  • 入场条件：
    • 多头：MACD - Signal 上穿 ATR * Level。
    • 空头：MACD - Signal 下穿 -ATR * Level。
  • 方向：双向。
  • 出场条件：
    • 反向突破阈值。
  • 止损/止盈：
    • 固定 tick 止盈。
    • 可选移动止损。
  • 指标：
    • MACD（可调节 fast、slow、signal 周期）。
    • ATR(200) 用于计算阈值。
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;

using StockSharp.Algo;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MACD signal strategy with ATR-based threshold and trailing stop.
/// Opens positions when MACD crosses the signal line beyond an ATR-adjusted level.
/// </summary>
public class MacdSignalStrategy : Strategy
{
	private readonly StrategyParam<decimal> _takeProfitTicks;
	private readonly StrategyParam<decimal> _trailingStopTicks;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<decimal> _atrLevel;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _signalEma;
	private AverageTrueRange _atr;
	private decimal _prevDelta;
	private bool _hasPrevDelta;

	/// <summary>
	/// Take profit in ticks.
	/// </summary>
	public decimal TakeProfitTicks
	{
		get => _takeProfitTicks.Value;
		set => _takeProfitTicks.Value = value;
	}

	/// <summary>
	/// Trailing stop in ticks.
	/// </summary>
	public decimal TrailingStopTicks
	{
		get => _trailingStopTicks.Value;
		set => _trailingStopTicks.Value = value;
	}

	/// <summary>
	/// Fast EMA period for MACD.
	/// </summary>
	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period for MACD.
	/// </summary>
	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

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

	/// <summary>
	/// ATR multiplier for MACD threshold.
	/// </summary>
	public decimal AtrLevel
	{
		get => _atrLevel.Value;
		set => _atrLevel.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of the <see cref="MacdSignalStrategy"/>.
	/// </summary>
	public MacdSignalStrategy()
	{
		_takeProfitTicks = Param(nameof(TakeProfitTicks), 10m)
			.SetDisplay("Take Profit", "Take profit in ticks", "Risk Management");

		_trailingStopTicks = Param(nameof(TrailingStopTicks), 25m)
			.SetDisplay("Trailing Stop", "Trailing stop in ticks", "Risk Management");

		_fastPeriod = Param(nameof(FastPeriod), 9)
			.SetDisplay("Fast EMA", "Fast EMA period for MACD", "Indicators");

		_slowPeriod = Param(nameof(SlowPeriod), 15)
			.SetDisplay("Slow EMA", "Slow EMA period for MACD", "Indicators");

		_signalPeriod = Param(nameof(SignalPeriod), 8)
			.SetDisplay("Signal", "Signal line period for MACD", "Indicators");

		_atrLevel = Param(nameof(AtrLevel), 0.01m)
			.SetDisplay("ATR Level", "ATR multiplier for threshold", "Logic");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_signalEma = null;
		_atr = null;
		_prevDelta = 0m;
		_hasPrevDelta = false;
	}

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

		var fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		var slowEma = new ExponentialMovingAverage { Length = SlowPeriod };
		_signalEma = new ExponentialMovingAverage { Length = SignalPeriod };
		_atr = new() { Length = 14 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fastEma, slowEma, ProcessCandle)
			.Start();

		var step = Security?.PriceStep ?? 1m;
		StartProtection(
			takeProfit: new Unit(TakeProfitTicks * step, UnitTypes.Absolute),
			stopLoss: TrailingStopTicks > 0 ? new Unit(TrailingStopTicks * step, UnitTypes.Absolute) : null,
			isStopTrailing: TrailingStopTicks > 0);

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

	private void ProcessCandle(ICandleMessage candle, decimal fastEma, decimal slowEma)
	{
		if (candle.State != CandleStates.Finished)
			return;

		var atrValue = _atr.Process(candle);
		var delta = fastEma - slowEma;
		var signal = _signalEma.Process(delta, candle.CloseTime, true).ToDecimal();

		if (!atrValue.IsFinal || !_signalEma.IsFormed)
			return;

		delta -= signal;
		var rr = atrValue.ToDecimal() * AtrLevel;

		if (!_hasPrevDelta)
		{
			_prevDelta = delta;
			_hasPrevDelta = true;
			return;
		}

		var prevDelta = _prevDelta;
		_prevDelta = delta;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position <= 0 && delta > rr && prevDelta <= rr)
		{
			BuyMarket(Volume + Math.Abs(Position));
		}
		else if (Position >= 0 && delta < -rr && prevDelta >= -rr)
		{
			SellMarket(Volume + Math.Abs(Position));
		}
		else if (Position > 0 && delta < 0)
		{
			SellMarket(Math.Abs(Position));
		}
		else if (Position < 0 && delta > 0)
		{
			BuyMarket(Math.Abs(Position));
		}
	}
}