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MACD Sample Classic 策略

该策略使用 StockSharp 高级 API 复刻 MetaTrader 4 中的 "MACD Sample" 智能交易系统。它仅在单一标的上双向交易：当 MACD 线在合适的零轴一侧穿越信号线且 26 周期 EMA 走势配合时入场。固定止盈与跟踪止损通过 StartProtection 模块实现，与原版 EA 的风险控制保持一致。

交易逻辑

  1. 等待至少 100 根收盘完成的 K 线，保证 MACD 与 EMA 拥有足够历史数据。
  2. 计算标准 MACD(12, 26, 9) 以及其信号线，并额外计算周期为 TrendMaPeriod（默认 26）的指数移动平均作为趋势过滤器。
  3. 做多入场 —— 仅在当前无持仓时触发。MACD 必须位于零轴下方并向上穿越信号线，上一根 K 线中 MACD 低于信号线，当前绝对值超过 MacdOpenLevel（以价格点表示），同时趋势 EMA 向上。
  4. 做空入场 —— 条件对称：MACD 位于零轴上方并向下穿越信号线，上一根 K 线 MACD 高于信号线，当前值超过 MacdOpenLevel，EMA 向下。
  5. 平多 —— 当 MACD 在零轴上方重新跌破信号线且数值高于 MacdCloseLevel 时平仓，也可能提前被 StartProtection 的止盈或跟踪止损触发。
  6. 平空 —— 当 MACD 在零轴下方重新上穿信号线且绝对值高于 MacdCloseLevel 时平仓，同样受保护模块控制。

策略始终最多持有一笔仓位，全部使用按 Volume 属性指定手数的市价单。所有“点数”参数会自动乘以标的的最小价位变动（PriceStep），从而模拟 MetaTrader 的 Point 定义。

参数说明

参数 描述 默认值 备注
FastEmaPeriod MACD 的快 EMA 周期 12 可优化范围 6…18。
SlowEmaPeriod MACD 的慢 EMA 周期 26 可优化范围 20…32。
SignalPeriod MACD 信号线的 EMA 周期 9 可优化范围 5…13。
TrendMaPeriod 趋势过滤用 EMA 周期 26 可优化范围 20…40。
MacdOpenLevel 入场阈值（MACD 点数） 3 对应 MT4 中的 MACDOpenLevel。
MacdCloseLevel 离场阈值（MACD 点数） 2 对应 MACDCloseLevel。
TakeProfitPoints 止盈距离（价格点） 50 设为 0 可关闭止盈。
TrailingStopPoints 跟踪止损距离（价格点） 30 设为 0 可关闭跟踪止损。
CandleType 指标使用的 K 线类型 5 分钟时间框架 支持任意 StockSharp 蜡烛类型。

实现细节

  • 通过 BindEx / Bind 将 MACD 与 EMA 绑定到蜡烛订阅，StockSharp 会自动提供已完成的指标值，无需手动缓存。
  • 只有在 IsFormedAndOnlineAndAllowTrading() 返回真时才评估信号，避免在加载历史或离线状态下误下单。
  • 所有以“点”为单位的阈值都会按 Security.PriceStep 缩放，精准复现 MetaTrader 的点值算法。
  • StartProtection 把固定止盈和跟踪止损交给交易所侧保护单，可通过参数启用或关闭任一模块。
  • 使用 LogInfo 记录每一次决策，方便与原始 EA 的回测报表进行对比验证。

使用建议

  • 原策略主要针对外汇主流货币对的日内交易，建议从相同市场与时间框架入手，再按标的特性微调参数。
  • 如果标的的最小跳动值较特殊，请确认 Security.PriceStep 已正确配置；否则系统会使用默认值 1.0。
  • 需要组合层面风控时，可结合 StockSharp 的投资组合保护功能或外部资金管理模块。

标签

  • 趋势跟随
  • 动量
  • MACD 交叉
  • 日内交易（默认 5 分钟）
  • 止盈与跟踪止损
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>
/// MACD strategy that replicates the original MetaTrader "MACD Sample" expert advisor behaviour.
/// </summary>
public class MacdSampleClassicStrategy : Strategy
{

	private readonly StrategyParam<int> _fastEmaPeriod;
	private readonly StrategyParam<int> _slowEmaPeriod;
	private readonly StrategyParam<int> _signalPeriod;
	private readonly StrategyParam<int> _trendMaPeriod;
	private readonly StrategyParam<decimal> _macdOpenLevel;
	private readonly StrategyParam<decimal> _macdCloseLevel;
	private readonly StrategyParam<decimal> _takeProfitPoints;
	private readonly StrategyParam<decimal> _trailingStopPoints;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _minimumHistoryCandles;

	private decimal _pointSize;
	private decimal? _prevMacd;
	private decimal? _prevSignal;
	private decimal? _trendMaCurrent;
	private decimal? _trendMaPrevious;
	private int _finishedCandles;
	private DateTimeOffset? _lastProcessedTime;

	/// <summary>
	/// Fast EMA period for the MACD indicator.
	/// </summary>
	public int FastEmaPeriod
	{
		get => _fastEmaPeriod.Value;
		set => _fastEmaPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period for the MACD indicator.
	/// </summary>
	public int SlowEmaPeriod
	{
		get => _slowEmaPeriod.Value;
		set => _slowEmaPeriod.Value = value;
	}

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

	/// <summary>
	/// Period of the trend EMA used as direction filter.
	/// </summary>
	public int TrendMaPeriod
	{
		get => _trendMaPeriod.Value;
		set => _trendMaPeriod.Value = value;
	}

	/// <summary>
	/// Threshold for MACD entries expressed in points (price steps).
	/// </summary>
	public decimal MacdOpenLevel
	{
		get => _macdOpenLevel.Value;
		set => _macdOpenLevel.Value = value;
	}

	/// <summary>
	/// Threshold for MACD exits expressed in points (price steps).
	/// </summary>
	public decimal MacdCloseLevel
	{
		get => _macdCloseLevel.Value;
		set => _macdCloseLevel.Value = value;
	}

	/// <summary>
	/// Take profit distance measured in price points.
	/// </summary>
	public decimal TakeProfitPoints
	{
		get => _takeProfitPoints.Value;
		set => _takeProfitPoints.Value = value;
	}

	/// <summary>
	/// Trailing stop distance measured in price points.
	/// </summary>
	public decimal TrailingStopPoints
	{
		get => _trailingStopPoints.Value;
		set => _trailingStopPoints.Value = value;
	}

	/// <summary>
	/// Candle type used for indicator calculations.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	/// <summary>
	/// Number of finished candles required before the strategy begins trading.
	/// </summary>
	public int MinimumHistoryCandles
	{
		get => _minimumHistoryCandles.Value;
		set => _minimumHistoryCandles.Value = value;
	}

	/// <summary>
	/// Initialize default parameters for the MACD Sample strategy.
	/// </summary>
	public MacdSampleClassicStrategy()
	{
		Volume = 1;

		_fastEmaPeriod = Param(nameof(FastEmaPeriod), 12)
		.SetDisplay("Fast EMA", "Fast EMA period for MACD", "Indicators")
		
		.SetOptimize(6, 18, 2);

		_slowEmaPeriod = Param(nameof(SlowEmaPeriod), 26)
		.SetDisplay("Slow EMA", "Slow EMA period for MACD", "Indicators")
		
		.SetOptimize(20, 32, 2);

		_signalPeriod = Param(nameof(SignalPeriod), 9)
		.SetDisplay("Signal EMA", "Signal EMA period for MACD", "Indicators")
		
		.SetOptimize(5, 13, 2);

		_trendMaPeriod = Param(nameof(TrendMaPeriod), 26)
		.SetDisplay("Trend EMA", "EMA period used for directional filter", "Indicators")
		
		.SetOptimize(20, 40, 2);

		_macdOpenLevel = Param(nameof(MacdOpenLevel), 0m)
		.SetDisplay("MACD Open", "Entry threshold in MACD points", "Signals")
		
		.SetOptimize(1m, 5m, 1m);

		_macdCloseLevel = Param(nameof(MacdCloseLevel), 0m)
		.SetDisplay("MACD Close", "Exit threshold in MACD points", "Signals")
		
		.SetOptimize(1m, 4m, 1m);

		_takeProfitPoints = Param(nameof(TakeProfitPoints), 50m)
		.SetDisplay("Take Profit", "Take profit distance in price points", "Risk")
		
		.SetOptimize(20m, 100m, 10m);

		_trailingStopPoints = Param(nameof(TrailingStopPoints), 30m)
		.SetDisplay("Trailing Stop", "Trailing stop distance in price points", "Risk")
		
		.SetOptimize(10m, 60m, 10m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
		.SetDisplay("Candle Type", "Candle type used for analysis", "General");
		_minimumHistoryCandles = Param(nameof(MinimumHistoryCandles), 30)
			.SetDisplay("Warm-up candles", "Number of finished candles required before trading starts", "General")
			.SetGreaterThanZero();
	}

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

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

		_pointSize = 0m;
		_prevMacd = null;
		_prevSignal = null;
		_trendMaCurrent = null;
		_trendMaPrevious = null;
		_finishedCandles = 0;
		_lastProcessedTime = null;
	}

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

		_pointSize = Security?.PriceStep ?? 1m;

		// Configure indicators exactly as in the original expert advisor.
		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = FastEmaPeriod },
				LongMa = { Length = SlowEmaPeriod },
			},
			SignalMa = { Length = SignalPeriod }
		};

		var trendMa = new ExponentialMovingAverage { Length = TrendMaPeriod };

		// Subscribe to candles and bind indicators for automatic updates.
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(macd, ProcessMacdValues);
		subscription.Bind(trendMa, ProcessTrendMaValue);
		subscription.Start();

		// Visualize price, indicators and trades when a chart is available.
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, macd);
			DrawIndicator(area, trendMa);
			DrawOwnTrades(area);
		}

		var takeProfitDistance = TakeProfitPoints * _pointSize;
		var trailingDistance = TrailingStopPoints * _pointSize;

		if (takeProfitDistance > 0m || trailingDistance > 0m)
		{
			StartProtection(
			takeProfitDistance > 0m ? new Unit(takeProfitDistance, UnitTypes.Absolute) : null,
			trailingDistance > 0m ? new Unit(trailingDistance, UnitTypes.Absolute) : null,
			isStopTrailing: trailingDistance > 0m);
		}
	}

	private void ProcessTrendMaValue(ICandleMessage candle, decimal maValue)
	{
		if (candle.State != CandleStates.Finished)
		return;

		// Keep current and previous EMA values for the directional filter.
		_trendMaPrevious = _trendMaCurrent;
		_trendMaCurrent = maValue;
	}

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

		// Avoid duplicate processing for the same candle.
		if (_lastProcessedTime != candle.OpenTime)
		{
			_lastProcessedTime = candle.OpenTime;
			_finishedCandles++;
		}

		// indicators checked below

		if (_finishedCandles < MinimumHistoryCandles)
		return;

		var macdSignal = (MovingAverageConvergenceDivergenceSignalValue)macdValue;

		if (macdSignal.Macd is not decimal macdCurrent ||
		macdSignal.Signal is not decimal signalCurrent)
		{
			return;
		}

		if (_prevMacd is not decimal macdPrevious ||
		_prevSignal is not decimal signalPrevious ||
		_trendMaCurrent is not decimal trendMaCurrent ||
		_trendMaPrevious is not decimal trendMaPrevious)
		{
			_prevMacd = macdCurrent;
			_prevSignal = signalCurrent;
			return;
		}

		var macdOpenThreshold = MacdOpenLevel * _pointSize;
		var macdCloseThreshold = MacdCloseLevel * _pointSize;

		// Determine trend direction using EMA slope.
		var isTrendUp = trendMaCurrent > trendMaPrevious;
		var isTrendDown = trendMaCurrent < trendMaPrevious;

		var buySignal = macdCurrent < 0m &&
		macdCurrent > signalCurrent &&
		macdPrevious < signalPrevious &&
		Math.Abs(macdCurrent) > macdOpenThreshold &&
		isTrendUp;

		var sellSignal = macdCurrent > 0m &&
		macdCurrent < signalCurrent &&
		macdPrevious > signalPrevious &&
		macdCurrent > macdOpenThreshold &&
		isTrendDown;

		var exitLongSignal = macdCurrent > 0m &&
		macdCurrent < signalCurrent &&
		macdPrevious > signalPrevious &&
		macdCurrent > macdCloseThreshold;

		var exitShortSignal = macdCurrent < 0m &&
		macdCurrent > signalCurrent &&
		macdPrevious < signalPrevious &&
		Math.Abs(macdCurrent) > macdCloseThreshold;

		if (buySignal && Position == 0m)
		{
			// MACD crossed up in negative territory and EMA confirms uptrend.
			BuyMarket();
			LogInfo($"Open long: MACD {macdCurrent:F5} above signal {signalCurrent:F5}.");
		}
		else if (sellSignal && Position == 0m)
		{
			// MACD crossed down in positive territory and EMA confirms downtrend.
			SellMarket();
			LogInfo($"Open short: MACD {macdCurrent:F5} below signal {signalCurrent:F5}.");
		}
		else if (exitLongSignal && Position > 0m)
		{
			// MACD crossed back below the signal line in positive zone - close long.
			SellMarket();
			LogInfo($"Close long: MACD {macdCurrent:F5} dropped under signal {signalCurrent:F5}.");
		}
		else if (exitShortSignal && Position < 0m)
		{
			// MACD crossed back above the signal line in negative zone - close short.
			BuyMarket();
			LogInfo($"Close short: MACD {macdCurrent:F5} rose above signal {signalCurrent:F5}.");
		}

		_prevMacd = macdCurrent;
		_prevSignal = signalCurrent;
	}
}