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Macd Cci Lotfy 策略

该策略结合 MACD 与 CCI 指标，并使用系数对 MACD 进行缩放。 当两个指标在同一方向突破极值阈值时开仓。

MACD 值乘以系数后与 CCI 同一阈值比较，旨在捕捉超买和超卖后的反转。

细节

  • 入场条件：
    • 多头：CCI < -Threshold 且 MACD * MacdCoefficient < -Threshold
    • 空头：CCI > Threshold 且 MACD * MacdCoefficient > Threshold
  • 方向：双向
  • 出场条件：相反信号触发反向仓位
  • 止损：无
  • 默认值：
    • CciPeriod = 8
    • FastPeriod = 13
    • SlowPeriod = 33
    • MacdCoefficient = 86000
    • Threshold = 85
    • CandleType = TimeSpan.FromMinutes(1).TimeFrame()
  • 过滤器：
    • 分类：均值回归
    • 方向：双向
    • 指标：MACD, CCI
    • 止损：否
    • 复杂度：基础
    • 时间框架：短期
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中等
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>
/// Strategy combining MACD and RSI indicators.
/// Opens long when both indicators reach oversold conditions.
/// Opens short when both indicators reach overbought conditions.
/// </summary>
public class MacdCciLotfyStrategy : Strategy
{
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<decimal> _macdCoefficient;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<DataType> _candleType;

	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public decimal MacdCoefficient { get => _macdCoefficient.Value; set => _macdCoefficient.Value = value; }
	public decimal Threshold { get => _threshold.Value; set => _threshold.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public MacdCciLotfyStrategy()
	{
		_rsiPeriod = Param(nameof(RsiPeriod), 8)
			.SetGreaterThanZero()
			.SetDisplay("RSI Period", "Period of RSI indicator", "General");

		_fastPeriod = Param(nameof(FastPeriod), 13)
			.SetGreaterThanZero()
			.SetDisplay("MACD Fast EMA", "Fast EMA length for MACD", "MACD");

		_slowPeriod = Param(nameof(SlowPeriod), 33)
			.SetGreaterThanZero()
			.SetDisplay("MACD Slow EMA", "Slow EMA length for MACD", "MACD");

		_macdCoefficient = Param(nameof(MacdCoefficient), 86000m)
			.SetGreaterThanZero()
			.SetDisplay("MACD Coefficient", "Multiplier for MACD value", "MACD");

		_threshold = Param(nameof(Threshold), 25m)
			.SetGreaterThanZero()
			.SetDisplay("Threshold", "Absolute level for signals", "General");

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

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

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

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

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };
		var macd = new MovingAverageConvergenceDivergence
		{
			ShortMa = { Length = FastPeriod },
			LongMa = { Length = SlowPeriod },
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(macd, rsi, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var scaledMacd = macdValue * MacdCoefficient;

		if (rsiValue < 50m - Threshold && scaledMacd < -Threshold)
		{
			if (Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
		}
		else if (rsiValue > 50m + Threshold && scaledMacd > Threshold)
		{
			if (Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
		}
	}
}