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Strategie TradingView Supertrend Flip

Strategie basierend auf Supertrend-Indikator-Flips mit Volumenbestätigung

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 79%. Am besten funktioniert sie auf dem Aktienmarkt.

TradingView Supertrend Flip emuliert die Farbwechsel des beliebten Indikators. Ein Wechsel von Rot zu Grün signalisiert einen Long-Einstieg und Grün zu Rot einen Short-Einstieg. Die Strategie steigt beim nächsten Flip aus.

Volumenbestätigung kann verwendet werden, um Fehlsignale in dünn gehandelten Perioden zu vermeiden. Indem nur bei Flips mit unterstützendem Volumen gehandelt wird, zielt die Methode auf zuverlässigere Umkehrungen ab.

Details

  • Einstiegskriterien: Signale basierend auf ATR, Supertrend.
  • Long/Short: Beide Richtungen.
  • Ausstiegskriterien: Entgegengesetztes Signal.
  • Stops: Nein.
  • Standardwerte:
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3.0m
    • VolumeAvgPeriod = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • Filter:
    • Kategorie: Trend
    • Richtung: Beide
    • Indikatoren: ATR, Supertrend
    • Stops: Nein
    • Komplexität: Grundlegend
    • Zeitrahmen: Intraday (5m)
    • Saisonalität: Nein
    • Neural Networks: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Supertrend indicator flips.
/// Detects when Supertrend direction changes and trades accordingly.
/// </summary>
public class TradingViewSupertrendFlipStrategy : Strategy
{
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _volumeAvgPeriod;
	private readonly StrategyParam<bool> _useVolumeFilter;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeAverage;
	private bool _prevIsUpTrend;
	private bool _hasPrevValues;

	/// <summary>
	/// Period for Supertrend calculation.
	/// </summary>
	public int SupertrendPeriod
	{
		get => _supertrendPeriod.Value;
		set => _supertrendPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier for Supertrend calculation.
	/// </summary>
	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}

	public int VolumeAvgPeriod { get => _volumeAvgPeriod.Value; set => _volumeAvgPeriod.Value = value; }
	public bool UseVolumeFilter { get => _useVolumeFilter.Value; set => _useVolumeFilter.Value = value; }

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize the TradingView Supertrend Flip strategy.
	/// </summary>
	public TradingViewSupertrendFlipStrategy()
	{
		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "Period for Supertrend calculation", "Indicators")
			.SetOptimize(7, 14, 1);

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3.0m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "Multiplier for Supertrend", "Indicators")
			.SetOptimize(3.0m, 5.0m, 0.5m);

		_volumeAvgPeriod = Param(nameof(VolumeAvgPeriod), 20).SetGreaterThanZero();
		_useVolumeFilter = Param(nameof(UseVolumeFilter), true);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_volumeAverage = null;
		_prevIsUpTrend = default;
		_hasPrevValues = default;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_volumeAverage = new SimpleMovingAverage { Length = VolumeAvgPeriod };

		var supertrend = new SuperTrend
		{
			Length = SupertrendPeriod,
			Multiplier = SupertrendMultiplier
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(supertrend, ProcessCandle, allowEmpty: true)
			.Start();

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

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

		// Feed volume during Supertrend warm-up, using the current bar in the 20-bar SMA.
		var volumeValue = _volumeAverage.Process(new DecimalIndicatorValue(_volumeAverage, candle.TotalVolume, candle.OpenTime) { IsFinal = true });
		if (!supertrendValue.IsFormed || supertrendValue.IsEmpty || !IsFormedAndOnlineAndAllowTrading())
			return;

		// The native direction preserves inclusive flips when the close equals a band.
		var isUpTrend = ((SuperTrendIndicatorValue)supertrendValue).IsUpTrend;
		var confirmed = !UseVolumeFilter || (_volumeAverage.IsFormed && candle.TotalVolume > volumeValue.GetValue<decimal>());

		if (!_hasPrevValues)
		{
			_hasPrevValues = true;
			_prevIsUpTrend = isUpTrend;
			return;
		}

		// Detect flip
		var isFlippedBullish = isUpTrend && !_prevIsUpTrend;
		var isFlippedBearish = !isUpTrend && _prevIsUpTrend;

		_prevIsUpTrend = isUpTrend;

		if (isFlippedBullish && Position <= 0)
		{
			if (confirmed)
				BuyMarket(Volume + Math.Abs(Position));
			else if (Position < 0m)
				BuyMarket(Math.Abs(Position));
		}
		else if (isFlippedBearish && Position >= 0)
		{
			if (confirmed)
				SellMarket(Volume + Math.Abs(Position));
			else if (Position > 0m)
				SellMarket(Math.Abs(Position));
		}
	}
}