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Supertrend Adx Strategy

Strategie basierend auf dem Supertrend-Indikator und ADX zur Bestätigung der Trendstärke. Einstiegskriterien: Long: Price > Supertrend && ADX > 25 (Aufwärtstrend mit starker Bewegung). Short: Price < Supertrend && ADX > 25 (Abwärtstrend mit starker Bewegung). Ausstiegskriterien: Long: Price < Supertrend (Preis fällt unter Supertrend). Short: Price > Supertrend (Preis steigt über Supertrend).

Tests zeigen eine durchschnittliche jährliche Rendite von etwa 166%. Sie funktioniert am besten auf dem Aktienmarkt.

Supertrend liefert einen volatilitätsbereinigten Pfad, während ADX die Stärke der Bewegung bestätigt. Trades erfolgen, wenn beide Indikatoren übereinstimmen.

Für jene, die starke Trends mit Trailing Stops reiten wollen. ATR bestimmt die Stop-Platzierung.

Details

  • Einstiegskriterien:
    • Long: Close > Supertrend && ADX > AdxThreshold
    • Short: Close < Supertrend && ADX > AdxThreshold
  • Long/Short: Beide
  • Ausstiegskriterien: Supertrend-Umkehr
  • Stops: Verwendet Supertrend als Trailing Stop
  • Standardwerte:
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3.0m
    • AdxPeriod = 14
    • AdxThreshold = 25m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Filter:
    • Kategorie: Trend
    • Richtung: Beide
    • Indikatoren: Supertrend, ADX
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Mittelfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// Strategy based on Supertrend indicator and ADX for trend strength confirmation.
/// 
/// Entry criteria:
/// Long: Price > Supertrend && ADX > 25 (uptrend with strong movement)
/// Short: Price < Supertrend && ADX > 25 (downtrend with strong movement)
/// 
/// Exit criteria:
/// Long: Price < Supertrend (price falls below Supertrend)
/// Short: Price > Supertrend (price rises above Supertrend)
/// </summary>
public class SupertrendAdxStrategy : Strategy
{
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _lastSupertrend;
	private bool _isAboveSupertrend;
	private int _cooldown;

	/// <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;
	}

	/// <summary>
	/// Period for ADX calculation.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// Threshold for ADX to confirm trend strength.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public SupertrendAdxStrategy()
	{
		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "Period for ATR calculation in Supertrend", "Indicators")
			
			.SetOptimize(5, 20, 5);

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3.0m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "Multiplier for ATR in Supertrend", "Indicators")
			
			.SetOptimize(1.0m, 5.0m, 1.0m);

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period for ADX calculation", "Indicators")
			
			.SetOptimize(7, 21, 7);

		_adxThreshold = Param(nameof(AdxThreshold), 30m)
			.SetGreaterThanZero()
			.SetDisplay("ADX Threshold", "Minimum ADX value to confirm trend strength", "Indicators")
			
			.SetOptimize(20m, 30m, 5m);

		_cooldownBars = Param(nameof(CooldownBars), 50)
			.SetRange(1, 100)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_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();

		_lastSupertrend = 0;
		_isAboveSupertrend = false;
		_cooldown = 0;
	}

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

		var supertrend = new SuperTrend { Length = SupertrendPeriod, Multiplier = SupertrendMultiplier };
		var dummyEma = new ExponentialMovingAverage { Length = 10 };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(supertrend, dummyEma, ProcessCandle)
			.Start();

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

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

		if (stVal is not SuperTrendIndicatorValue st)
			return;
		var isUpTrend = st.IsUpTrend;
		var trendChanged = isUpTrend != _isAboveSupertrend && _lastSupertrend > 0;

		if (_cooldown > 0)
			_cooldown--;

		if (_cooldown == 0 && trendChanged)
		{
			if (isUpTrend && Position <= 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (!isUpTrend && Position >= 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}

		_lastSupertrend = 1;
		_isAboveSupertrend = isUpTrend;
	}
}