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Supertrend Stochastic Strategy

Supertrend + Stochastic strategy. Strategy enters trades when Supertrend indicates trend direction and Stochastic confirms with oversold/overbought conditions.

Testing indicates an average annual return of about 142%. It performs best in the stocks market.

Supertrend marks the trend, and Stochastic points out temporary counter moves. Entries happen once Stochastic exits oversold or overbought against the trend.

Best for momentum traders needing clear trend cues. ATR values define the stop distance.

Details

  • Entry Criteria:
    • Long: Close > Supertrend && StochK < 20
    • Short: Close < Supertrend && StochK > 80
  • Long/Short: Both
  • Exit Criteria: Supertrend reversal
  • Stops: Uses Supertrend as trailing stop
  • Default Values:
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3.0m
    • StochPeriod = 14
    • StochK = 3
    • StochOversold = 20
    • StochOverbought = 80
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() The 20 and 80 in the rules are the defaults of StochOversold and StochOverbought. %K is the stochastic over StochPeriod candles smoothed over StochK candles; %D plays no part. The stop is the Supertrend line itself, whose distance comes from its ATR: a long closes when Supertrend flips down and a short when it flips up. An entry signal against an open position reverses it.
  • Filters:
    • Category: Mean reversion
    • Direction: Both
    • Indicators: Supertrend, Stochastic Oscillator
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Mid-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// Supertrend Stochastic strategy.
/// A close above the Supertrend line with %K below StochOversold goes long and a close below it with %K above StochOverbought goes short,
/// reversing an opposite position; %K is the stochastic over StochPeriod candles smoothed over StochK candles. The Supertrend line is the trailing stop: a long closes when Supertrend flips down and a short
/// when it flips up.
/// </summary>
public class SupertrendStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<int> _stochK;
	private readonly StrategyParam<decimal> _stochOversold;
	private readonly StrategyParam<decimal> _stochOverbought;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// ATR period of Supertrend.
	/// </summary>
	public int SupertrendPeriod
	{
		get => _supertrendPeriod.Value;
		set => _supertrendPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier of Supertrend.
	/// </summary>
	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}

	/// <summary>
	/// Lookback period of the raw stochastic.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period of %K.
	/// </summary>
	public int StochK
	{
		get => _stochK.Value;
		set => _stochK.Value = value;
	}

	/// <summary>
	/// %K level for longs.
	/// </summary>
	public decimal StochOversold
	{
		get => _stochOversold.Value;
		set => _stochOversold.Value = value;
	}

	/// <summary>
	/// %K level for shorts.
	/// </summary>
	public decimal StochOverbought
	{
		get => _stochOverbought.Value;
		set => _stochOverbought.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public SupertrendStochasticStrategy()
	{
		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "ATR period of Supertrend", "Supertrend");

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "ATR multiplier of Supertrend", "Supertrend");

		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Lookback period of the raw stochastic", "Stochastic");

		_stochK = Param(nameof(StochK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %K", "Smoothing period of %K", "Stochastic");

		_stochOversold = Param(nameof(StochOversold), 20m)
			.SetDisplay("Stochastic Oversold", "%K level for longs", "Stochastic");

		_stochOverbought = Param(nameof(StochOverbought), 80m)
			.SetDisplay("Stochastic Overbought", "%K level for shorts", "Stochastic");

		_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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var supertrend = new SuperTrend { Length = SupertrendPeriod, Multiplier = SupertrendMultiplier };
		// The D line of the core oscillator is the smoothed %K.
		var stochastic = new StochasticOscillator
		{
			K = { Length = StochPeriod },
			D = { Length = StochK },
		};

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

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, stochastic);
			}
		}
	}

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

		if (!supertrendValue.IsFormed || !stochasticValue.IsFormed || supertrendValue is not SuperTrendIndicatorValue trend)
			return;

		if (stochasticValue is not IStochasticOscillatorValue { D: decimal k })
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var line = trend.Value;
		var isUpTrend = trend.IsUpTrend;
		var close = candle.ClosePrice;

		if (close > line && k < StochOversold && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < line && k > StochOverbought && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && !isUpTrend)
			SellMarket(Position);
		else if (Position < 0 && isUpTrend)
			BuyMarket(-Position);
	}
}