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MACD + 随机趋势过滤策略

本策略重现 MQL/7604 目录中的 MetaTrader 智能交易系统。原脚本调用了一个返回“绿色/红色”缓冲区的自定义指标。参数组合 (15, 3, 3) 与经典随机指标完全一致，因此在 StockSharp 版本中我们使用平台自带的 Stochastic 作为过滤器，同时辅以 MACD 与指数移动平均线 (EMA) 判断趋势。

策略支持多空双向。只有当随机指标在收盘时向做单方向交叉、MACD 柱状图与信号线出现对应的穿越并且远离零轴、EMA 也给出相同方向的斜率时才允许入场。风险控制与 MQL 版本一致：固定止损、止盈以及基于点差的追踪止损，当价格朝有利方向发展时自动上移或下移保护位。

指标

  • MovingAverageConvergenceDivergenceSignal (fast = 12, slow = 26, signal = 9)：要求 MACD 柱状图在当前柱穿越信号线，并且多头时位于零轴下方、空头时位于零轴上方。MacdOpenLevel 与 MacdCloseLevel 设定了柱状图距离零轴的最小绝对值。
  • Stochastic (Length = 15, KPeriod = 3, DPeriod = 3)：%K 对应原脚本中的绿色缓冲区。做多时必须满足 %K > %D，做空时相反，同时该条件也负责触发离场。
  • ExponentialMovingAverage (Period = 26)：EMA 作为趋势过滤器，做多需要当前值高于上一根 EMA，做空则需要当前值低于上一根 EMA。

入场规则

  1. 多头
    • 收盘时 %K > %D。
    • MACD 柱状图 < 0 且高于信号线。
    • 前一根柱子中 MACD < 信号线（当前柱完成向上交叉）。
    • |MACD| > MacdOpenLevel * 价格步长。
    • EMA 上升（当前 EMA 大于前一根）。
  2. 空头
    • 收盘时 %K < %D。
    • MACD 柱状图 > 0 且低于信号线。
    • 前一根柱子中 MACD > 信号线（当前柱完成向下交叉）。
    • MACD > MacdOpenLevel * 价格步长。
    • EMA 下降（当前 EMA 小于前一根）。

若已有持仓，则不会开立新仓，直至原仓位平仓。

离场规则

持仓期间持续检查以下条件：

  • 指标离场
    • 多头：%K < %D，MACD > 0 且 < 信号线，上一根柱子中 MACD 高于信号线，并且 |MACD| > MacdCloseLevel * 价格步长。
    • 空头：%K > %D，MACD < 0 且 > 信号线，上一根柱子中 MACD 低于信号线，并且 |MACD| > MacdCloseLevel * 价格步长。
  • 止损：StopLossPoints * PriceStep。
  • 止盈：TakeProfitPoints * PriceStep。
  • 追踪止损：当浮盈超过 TrailingStopPoints * PriceStep 时，将止损上移/下移，确保至少锁定该收益。

参数

名称 说明 默认值
TradeVolume 下单手数 0.1
TakeProfitPoints 止盈距离（点） 10
StopLossPoints 止损距离（点） 50
TrailingStopPoints 追踪止损距离（点） 5
MacdOpenLevel 入场所需的 MACD 最小绝对值 3
MacdCloseLevel 离场所需的 MACD 最小绝对值 2
MacdFastPeriod MACD 快速 EMA 长度 12
MacdSlowPeriod MACD 慢速 EMA 长度 26
MacdSignalPeriod MACD 信号线 EMA 长度 9
EmaPeriod 趋势 EMA 的周期 26
StochasticLength 随机指标基础周期 15
StochasticKPeriod %K 平滑周期 3
StochasticDPeriod %D 平滑周期 3
CandleType 计算所用的 K 线类型 15m

说明

  • 策略仅处理已完成的蜡烛，与原始 MQL start() 循环一致。
  • 一个“点”由交易品种的 PriceStep 决定；若没有提供该值，则默认使用 1。
  • 完全采用 StockSharp 高阶 API：通过 SubscribeCandles().BindEx(...) 绑定指标，不手动维护历史缓冲区，交易使用 BuyMarket/SellMarket 市价指令。
using System;
using System.Collections.Generic;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// MACD strategy with stochastic confirmation and EMA trend filter.
/// Buy when MACD crosses above signal with stochastic K > D and price above EMA.
/// Sell when MACD crosses below signal with stochastic K < D and price below EMA.
/// </summary>
public class MacdStochasticFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _macdFastPeriod;
	private readonly StrategyParam<int> _macdSlowPeriod;
	private readonly StrategyParam<int> _macdSignalPeriod;
	private readonly StrategyParam<int> _emaPeriod;
	private readonly StrategyParam<int> _stochKLength;
	private readonly StrategyParam<int> _stochDLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevMacd;
	private decimal? _prevSignal;

	/// <summary>
	/// Fast EMA period inside MACD.
	/// </summary>
	public int MacdFastPeriod
	{
		get => _macdFastPeriod.Value;
		set => _macdFastPeriod.Value = value;
	}

	/// <summary>
	/// Slow EMA period inside MACD.
	/// </summary>
	public int MacdSlowPeriod
	{
		get => _macdSlowPeriod.Value;
		set => _macdSlowPeriod.Value = value;
	}

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

	/// <summary>
	/// Trend EMA period used as directional filter.
	/// </summary>
	public int EmaPeriod
	{
		get => _emaPeriod.Value;
		set => _emaPeriod.Value = value;
	}

	/// <summary>
	/// Stochastic %K length.
	/// </summary>
	public int StochKLength
	{
		get => _stochKLength.Value;
		set => _stochKLength.Value = value;
	}

	/// <summary>
	/// Stochastic %D length.
	/// </summary>
	public int StochDLength
	{
		get => _stochDLength.Value;
		set => _stochDLength.Value = value;
	}

	/// <summary>
	/// Type of candles used by the strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public MacdStochasticFilterStrategy()
	{
		_macdFastPeriod = Param(nameof(MacdFastPeriod), 12)
			.SetDisplay("MACD Fast", "Fast EMA period for MACD", "Indicators");

		_macdSlowPeriod = Param(nameof(MacdSlowPeriod), 26)
			.SetDisplay("MACD Slow", "Slow EMA period for MACD", "Indicators");

		_macdSignalPeriod = Param(nameof(MacdSignalPeriod), 9)
			.SetDisplay("MACD Signal", "Signal EMA period for MACD", "Indicators");

		_emaPeriod = Param(nameof(EmaPeriod), 26)
			.SetDisplay("Trend EMA", "EMA period for trend filter", "Indicators");

		_stochKLength = Param(nameof(StochKLength), 14)
			.SetDisplay("Stochastic K", "Look-back length for stochastic K", "Indicators");

		_stochDLength = Param(nameof(StochDLength), 3)
			.SetDisplay("Stochastic D", "Smoothing for D line", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe for price data", "General");
	}

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

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

		_prevMacd = null;
		_prevSignal = null;
	}

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

		_prevMacd = null;
		_prevSignal = null;

		var macd = new MovingAverageConvergenceDivergenceSignal
		{
			Macd =
			{
				ShortMa = { Length = MacdFastPeriod },
				LongMa = { Length = MacdSlowPeriod }
			},
			SignalMa = { Length = MacdSignalPeriod }
		};

		var stochastic = new StochasticOscillator
		{
			K = { Length = StochKLength },
			D = { Length = StochDLength }
		};

		var ema = new ExponentialMovingAverage { Length = EmaPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(macd, stochastic, ema, ProcessCandle)
			.Start();
	}

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

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

		if (macdValue is not MovingAverageConvergenceDivergenceSignalValue macdData)
			return;

		if (macdData.Macd is not decimal macd || macdData.Signal is not decimal signal)
			return;

		if (stochValue is not StochasticOscillatorValue stochData)
			return;

		if (stochData.K is not decimal kVal || stochData.D is not decimal dVal)
			return;

		var emaVal = emaValue.ToDecimal();

		if (_prevMacd is not decimal prevMacd || _prevSignal is not decimal prevSignal)
		{
			_prevMacd = macd;
			_prevSignal = signal;
			return;
		}

		// MACD crossover signals
		var macdBullishCross = prevMacd <= prevSignal && macd > signal;
		var macdBearishCross = prevMacd >= prevSignal && macd < signal;

		// Long: MACD bullish cross + stochastic K > D + price above EMA
		if (Position <= 0 && macdBullishCross && kVal > dVal && candle.ClosePrice > emaVal)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Short: MACD bearish cross + stochastic K < D + price below EMA
		else if (Position >= 0 && macdBearishCross && kVal < dVal && candle.ClosePrice < emaVal)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}

		_prevMacd = macd;
		_prevSignal = signal;
	}
}