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零滞后 MACD 交叉策略

该策略复刻自 MetaTrader 5 的 ZeroLagEA-AIP 算法。它使用基于两条零滞后指数移动平均线的零滞后 MACD。当当前 MACD 值高于前一根柱时开空仓，低于前一根柱时开多仓。如果在持仓期间出现反向信号，当前仓位将被平仓，下一根柱再开新仓。

逻辑

  1. 计算两个可配置周期的 ZLEMA。
  2. 两者差值乘以 10 得到零滞后 MACD。
  3. 仅在 MACD 在相邻两根柱之间改变方向时触发交易（可选）。
  4. 仅在设定的开始和结束时间内交易，超出时间或在指定的星期和小时强制平仓。

参数

  • Volume – 订单数量。
  • Fast EMA – 快速 ZLEMA 周期。
  • Slow EMA – 慢速 ZLEMA 周期。
  • Use Fresh Signal – 启用后仅在 MACD 方向变化时交易。
  • Start Hour / End Hour – 以 UTC 表示的交易时间窗口。
  • Kill Day / Kill Hour – 指定的星期和小时用于强制平仓。
  • Candle Type – 用于计算的K线类型。

说明

策略使用 StockSharp 高级 API，通过 SubscribeCandles 和 Bind 获取指标数值，并使用市价单平仓。

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>
/// Zero lag MACD direction change strategy.
/// Buys when the zero lag MACD decreases and sells when it increases.
/// Trades only during the configured time window and closes positions outside it.
/// </summary>
public class ZeroLagMacdCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<bool> _useFreshSignal;
	private readonly StrategyParam<int> _startHour;
	private readonly StrategyParam<int> _endHour;
	private readonly StrategyParam<int> _killDay;
	private readonly StrategyParam<int> _killHour;
	private readonly StrategyParam<DataType> _candleType;

	private ExponentialMovingAverage _fastZlema = null!;
	private ExponentialMovingAverage _slowZlema = null!;

	private decimal _prevMacd;
	private decimal _prevPrevMacd;
	private bool _hasPrev;
	private bool _hasPrevPrev;

	/// <summary>
	/// Fast EMA period.
	/// </summary>
	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }

	/// <summary>
	/// Slow EMA period.
	/// </summary>
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }

	/// <summary>
	/// Require fresh MACD direction change before trading.
	/// </summary>
	public bool UseFreshSignal { get => _useFreshSignal.Value; set => _useFreshSignal.Value = value; }

	/// <summary>
	/// Trading window start hour (inclusive, UTC).
	/// </summary>
	public int StartHour { get => _startHour.Value; set => _startHour.Value = value; }

	/// <summary>
	/// Trading window end hour (exclusive, UTC).
	/// </summary>
	public int EndHour { get => _endHour.Value; set => _endHour.Value = value; }

	/// <summary>
	/// Day of week when all positions are force closed.
	/// 0 - Sunday, 6 - Saturday.
	/// </summary>
	public int KillDay { get => _killDay.Value; set => _killDay.Value = value; }

	/// <summary>
	/// Hour of the day when positions are force closed on <see cref="KillDay"/>.
	/// </summary>
	public int KillHour { get => _killHour.Value; set => _killHour.Value = value; }

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

	/// <summary>
	/// Initializes a new instance of <see cref="ZeroLagMacdCrossoverStrategy"/>.
	/// </summary>
	public ZeroLagMacdCrossoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 5)
		.SetGreaterThanZero()
		.SetDisplay("Fast EMA", "Fast EMA period", "MACD")
		
		.SetOptimize(2, 10, 1);

		_slowLength = Param(nameof(SlowLength), 55)
		.SetGreaterThanZero()
		.SetDisplay("Slow EMA", "Slow EMA period", "MACD")
		
		.SetOptimize(20, 60, 2);

		_useFreshSignal = Param(nameof(UseFreshSignal), true)
		.SetDisplay("Use Fresh Signal", "Trade only on MACD direction change", "MACD");

		_startHour = Param(nameof(StartHour), 9)
		.SetDisplay("Start Hour", "Trading start hour (UTC)", "Time")
		
		.SetOptimize(0, 23, 1);

		_endHour = Param(nameof(EndHour), 15)
		.SetDisplay("End Hour", "Trading end hour (UTC)", "Time")
		
		.SetOptimize(1, 24, 1);

		_killDay = Param(nameof(KillDay), 5)
		.SetDisplay("Kill Day", "Week day for forced close", "Time")
		
		.SetOptimize(0, 6, 1);

		_killHour = Param(nameof(KillHour), 21)
		.SetDisplay("Kill Hour", "Hour for forced close", "Time")
		
		.SetOptimize(0, 23, 1);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).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();
		_prevMacd = 0m;
		_prevPrevMacd = 0m;
		_hasPrev = false;
		_hasPrevPrev = false;
	}

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

		_fastZlema = new ExponentialMovingAverage { Length = FastLength };
		_slowZlema = new ExponentialMovingAverage { Length = SlowLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
		.Bind(_fastZlema, _slowZlema, ProcessCandle)
		.Start();

		StartProtection(null, null);
	}

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

		var time = candle.OpenTime;
		if (time.Hour < StartHour || time.Hour >= EndHour || ((int)time.DayOfWeek == KillDay && time.Hour == KillHour))
		{
			if (Position != 0)
			{
				if (Position > 0)
				SellMarket(Position);
				else
				BuyMarket(-Position);
			}
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		var macd = 10m * (fast - slow);

		if (!_hasPrev)
		{
			_prevMacd = macd;
			_hasPrev = true;
			return;
		}

		if (!_hasPrevPrev)
		{
			_prevPrevMacd = _prevMacd;
			_prevMacd = macd;
			_hasPrevPrev = true;
			return;
		}

		var fresh = !UseFreshSignal || ((_prevMacd > _prevPrevMacd && macd < _prevMacd) || (_prevMacd < _prevPrevMacd && macd > _prevMacd));
		if (!fresh)
		{
			_prevPrevMacd = _prevMacd;
			_prevMacd = macd;
			return;
		}

		if (macd > _prevMacd)
		{
			if (Position > 0)
			{
				SellMarket(Position);
				_prevPrevMacd = _prevMacd;
				_prevMacd = macd;
				return;
			}

			if (Position == 0)
			SellMarket(Volume);
		}
		else if (macd < _prevMacd)
		{
			if (Position < 0)
			{
				BuyMarket(-Position);
				_prevPrevMacd = _prevMacd;
				_prevMacd = macd;
				return;
			}

			if (Position == 0)
			BuyMarket(Volume);
		}

		_prevPrevMacd = _prevMacd;
		_prevMacd = macd;
	}
}