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三指标策略

概述

该策略是将原始 MQL5 专家顾问 “Three indicators” 转换到 StockSharp 平台后的版本。在所选周期的每一根收盘 K 线时，策略会同时评估 MACD、随机指标和 RSI 三个经典震荡指标。只有当所有过滤条件朝同一方向时才会入场，从而保持与原脚本一致的信号确认逻辑。

交易逻辑

  1. K 线方向过滤：比较当前已收盘 K 线与上一根 K 线的开盘价。当前开盘价更高则倾向做多，更低则倾向做空。
  2. MACD 斜率过滤：计算 MACD 主线当前值与上一根的差值。主线下降支持做多，主线上升支持做空，与原策略完全一致。
  3. 随机指标过滤：检查 %D 相对于 50 的位置。低于 50 支持多头，高于 50 支持空头。
  4. RSI 过滤：依据 RSI 与 50 的关系。低于 50 允许做多，高于 50 允许做空。

当且仅当 四项过滤 同向时，策略才会开仓。如果持仓期间出现反向信号，策略会立即通过一次市场单同时平掉原有仓位并建立反向仓位，去除 MQL 版本中 30 秒的延迟。

参数

参数 说明
CandleType 使用的 K 线周期，默认 1 分钟。
TradeVolume 开仓或反手时使用的交易量。
MacdFastPeriod MACD 快速 EMA 周期。
MacdSlowPeriod MACD 慢速 EMA 周期。
MacdSignalPeriod MACD 信号线 EMA 周期。
MacdPriceType 提供给 MACD 的价格类型（收盘价、开盘价、最高价、最低价、中价、典型价、加权价）。
StochasticKPeriod %K 的计算周期。
StochasticDPeriod %D 的平滑周期。
StochasticSlowing 在计算 %D 前对 %K 进行的附加平滑长度。
RsiPeriod RSI 的平滑周期。
RsiPriceType 输入 RSI 的价格类型。

指标

  • MACD：按照设置的快/慢 EMA 以及信号线周期计算。
  • 随机指标 (Stochastic Oscillator)：使用 StockSharp 默认实现，可调节 %K、%D 以及 slowing。
  • RSI：用于最终的动量方向确认。

行为说明

  • 策略仅处理 收盘 K 线，相比原始按新 Bar 第一个 Tick 触发的方式更加稳定。
  • 原代码中的 Sleep(30000) 被去除，反手时直接发送合并的市价单。
  • 随机指标采用 StockSharp 默认的 SMA 平滑方式，与原 MQL 实现的效果一致。
  • MACD 与 RSI 的价格来源通过 IndicatorAppliedPrice 枚举配置，对应 MetaTrader 的全部选项。

风险管理

策略不会自动设置止损或止盈，仓位控制完全由三重指标信号决定。如需固定风险控制，请在外部添加相应模块。

使用建议

  1. 通过 CandleType 选择交易品种的时间框架。
  2. 根据市场波动调整各指标参数，以平衡信号频率与稳定性。
  3. 利用策略绘制的 K 线与指标曲线检查信号是否一致。
  4. 如需固定止损/止盈，请结合外部资金管理或保护模块。
namespace StockSharp.Samples.Strategies;

using System;

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

/// <summary>
/// Combines MACD, Stochastic Oscillator, and RSI filters.
/// All three indicators must agree on direction to enter a trade.
/// </summary>
public class ThreeIndicatorsStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _stochasticKPeriod;
	private readonly StrategyParam<int> _stochasticDPeriod;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<int> _signalCooldownBars;

	private decimal? _previousOpen;
	private decimal? _previousMacdMain;
	private int _previousCompositeSignal;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int MacdFastPeriod { get => _macdFastPeriod.Value; set => _macdFastPeriod.Value = value; }
	public int MacdSlowPeriod { get => _macdSlowPeriod.Value; set => _macdSlowPeriod.Value = value; }
	public int MacdSignalPeriod { get => _macdSignalPeriod.Value; set => _macdSignalPeriod.Value = value; }
	public int StochasticKPeriod { get => _stochasticKPeriod.Value; set => _stochasticKPeriod.Value = value; }
	public int StochasticDPeriod { get => _stochasticDPeriod.Value; set => _stochasticDPeriod.Value = value; }
	public int RsiPeriod { get => _rsiPeriod.Value; set => _rsiPeriod.Value = value; }
	public int SignalCooldownBars { get => _signalCooldownBars.Value; set => _signalCooldownBars.Value = value; }

	public ThreeIndicatorsStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle type", "Primary timeframe", "General");

		_macdFastPeriod = Param(nameof(MacdFastPeriod), 11)
			.SetDisplay("MACD fast", "Fast EMA length", "MACD");

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 53)
			.SetDisplay("MACD slow", "Slow EMA length", "MACD");

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 26)
			.SetDisplay("MACD signal", "Signal smoothing", "MACD");

		_stochasticKPeriod = Param(nameof(StochasticKPeriod), 40)
			.SetDisplay("Stochastic %K", "%K length", "Stochastic");

		_stochasticDPeriod = Param(nameof(StochasticDPeriod), 23)
			.SetDisplay("Stochastic %D", "%D smoothing", "Stochastic");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
			.SetDisplay("RSI period", "RSI length", "RSI");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 2)
			.SetNotNegative()
			.SetDisplay("Signal Cooldown Bars", "Closed candles to wait before a new entry", "General");
	}

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

		_previousOpen = null;
		_previousMacdMain = null;
		_previousCompositeSignal = 0;
		_cooldownRemaining = 0;
	}

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

		_previousOpen = null;
		_previousMacdMain = null;
		_previousCompositeSignal = 0;
		_cooldownRemaining = 0;

		var macd = new MovingAverageConvergenceDivergenceSignal();
		macd.Macd.ShortMa.Length = MacdFastPeriod;
		macd.Macd.LongMa.Length = MacdSlowPeriod;
		macd.SignalMa.Length = MacdSignalPeriod;

		var stochastic = new StochasticOscillator();
		stochastic.K.Length = StochasticKPeriod;
		stochastic.D.Length = StochasticDPeriod;

		var rsi = new RelativeStrengthIndex { Length = RsiPeriod };

		var subscription = SubscribeCandles(CandleType);

		subscription
			.BindEx(macd, stochastic, rsi, ProcessCandle)
			.Start();

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

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

		if (!macdValue.IsFinal || !stochValue.IsFinal || !rsiValue.IsFinal)
			return;

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		if (!macdValue.IsFormed || !stochValue.IsFormed || !rsiValue.IsFormed)
			return;

		var macdVal = (MovingAverageConvergenceDivergenceSignalValue)macdValue;
		var macdMain = macdVal.Macd ?? 0m;

		var stoch = (StochasticOscillatorValue)stochValue;
		var stochasticD = stoch.D ?? 50m;

		var rsi = rsiValue.GetValue<decimal>();

		if (_previousOpen == null || _previousMacdMain == null)
		{
			_previousOpen = candle.OpenPrice;
			_previousMacdMain = macdMain;
			return;
		}

		// Candle direction
		var candleSignal = candle.OpenPrice > _previousOpen.Value ? 1 : candle.OpenPrice < _previousOpen.Value ? -1 : 0;

		// MACD direction (difference decreasing = bullish momentum)
		var macdDelta = macdMain - _previousMacdMain.Value;
		var macdSignal = macdDelta < 0m ? 1 : macdDelta > 0m ? -1 : 0;

		// Stochastic direction
		var stochSignal = stochasticD < 50m ? 1 : stochasticD > 50m ? -1 : 0;

		// RSI direction
		var rsiSignal = rsi < 50m ? 1 : rsi > 50m ? -1 : 0;

		var longSignal = candleSignal >= 0 && macdSignal >= 0 && stochSignal >= 0 && rsiSignal >= 0;
		var shortSignal = candleSignal <= 0 && macdSignal <= 0 && stochSignal <= 0 && rsiSignal <= 0;

		var compositeSignal = longSignal ? 1 : shortSignal ? -1 : 0;

		if (_cooldownRemaining == 0 && compositeSignal != 0 && compositeSignal != _previousCompositeSignal)
		{
			if (compositeSignal > 0 && Position <= 0)
			{
				BuyMarket(Volume + (Position < 0 ? -Position : 0m));
				_cooldownRemaining = SignalCooldownBars;
			}
			else if (compositeSignal < 0 && Position >= 0)
			{
				SellMarket(Volume + (Position > 0 ? Position : 0m));
				_cooldownRemaining = SignalCooldownBars;
			}
		}

		_previousOpen = candle.OpenPrice;
		_previousMacdMain = macdMain;
		_previousCompositeSignal = compositeSignal;
	}
}