managing-apps/src/Managing.Domain/Strategies/MACDCrossStrategy.cs

using Managing.Core;
using Managing.Domain.Candles;
using Managing.Domain.Shared.Rules;
using Managing.Domain.Strategies.Base;
using Skender.Stock.Indicators;
using static Managing.Common.Enums;

namespace Managing.Domain.Strategies;

public class MacdCrossStrategy : Strategy
{
    public List<Signal> Signals { get; set; }

    public MacdCrossStrategy(string name, int fastPeriods, int slowPeriods, int signalPeriods) :
        base(name, StrategyType.MacdCross)
    {
        Signals = new List<Signal>();
        FastPeriods = fastPeriods;
        SlowPeriods = slowPeriods;
        SignalPeriods = signalPeriods;
    }

    public override List<Signal> Run()
    {
        if (Candles.Count <= 2 * (SlowPeriods + SignalPeriods))
        {
            return null;
        }

        try
        {
            var macd = Candles.GetMacd(FastPeriods.Value, SlowPeriods.Value, SignalPeriods.Value).ToList();
            var macdCandle = MapMacdToCandle(macd, Candles.TakeLast(SignalPeriods.Value));

            if (macd.Count == 0)
                return null;

            var previousCandle = macdCandle[0];
            foreach (var currentCandle in macdCandle.Skip(1))
            {
                if (previousCandle.Histogram > 0 && currentCandle.Histogram < 0 && currentCandle.Macd < 0)
                {
                    AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
                }

                if (previousCandle.Histogram < 0 && currentCandle.Histogram > 0 && currentCandle.Macd > 0)
                {
                    AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
                }

                previousCandle = currentCandle;
            }

            return Signals.Where(s => s.Confidence != Confidence.None).OrderBy(s => s.Date).ToList();
        }
        catch (RuleException)
        {
            return null;
        }
    }

    public override StrategiesResultBase GetStrategyValues()
    {
        return new StrategiesResultBase()
        {
            Macd = Candles.GetMacd(FastPeriods.Value, SlowPeriods.Value, SignalPeriods.Value).ToList()
        };
    }


    private List<CandleMacd> MapMacdToCandle(List<MacdResult> macd, IEnumerable<Candle> candles)
    {
        var macdList = new List<CandleMacd>();
        foreach (var candle in candles)
        {
            var currentMacd = macd.Find(candle.Date);
            if (currentMacd != null)
            {
                macdList.Add(new CandleMacd()
                {
                    Close = candle.Close,
                    Open = candle.Open,
                    Date = candle.Date,
                    Ticker = candle.Ticker,
                    Exchange = candle.Exchange,
                    Macd = currentMacd.Macd.Value,
                    Histogram = currentMacd.Histogram.Value
                });
            }
        }

        return macdList;
    }

    private void AddSignal(CandleMacd candleSignal, TradeDirection direction,
        Confidence confidence)
    {
        var signal = new Signal(MiscExtensions.ParseEnum<Ticker>(candleSignal.Ticker), direction, confidence,
            candleSignal, candleSignal.Date, candleSignal.Exchange, Type, SignalType);
        if (!Signals.Any(s => s.Identifier == signal.Identifier))
        {
            Signals.AddItem(signal);
        }
    }

    private class CandleMacd : Candle
    {
        public double Macd { get; set; }
        public double Signal { get; set; }
        public double Histogram { get; set; }
    }
}