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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
    • StochD = 3
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 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.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>
/// Supertrend + Stochastic strategy.
/// Strategy enters trades when Supertrend indicates trend direction and Stochastic confirms with oversold/overbought conditions.
/// </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<int> _stochD;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private int _cooldown;

	// Indicators
	private SuperTrend _supertrend;
	private StochasticOscillator _stochastic;

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

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

	/// <summary>
	/// Stochastic period.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

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

	/// <summary>
	/// Stochastic %D period.
	/// </summary>
	public int StochD
	{
		get => _stochD.Value;
		set => _stochD.Value = value;
	}

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

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

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public SupertrendStochasticStrategy()
	{
		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "Supertrend ATR period length", "Supertrend")
			
			.SetOptimize(5, 20, 1);

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3.0m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "Supertrend ATR multiplier", "Supertrend")
			
			.SetOptimize(1.0m, 5.0m, 0.5m);

		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Stochastic oscillator period", "Stochastic")
			
			.SetOptimize(5, 30, 5);

		_stochK = Param(nameof(StochK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %K", "Stochastic %K period", "Stochastic")
			
			.SetOptimize(1, 10, 1);

		_stochD = Param(nameof(StochD), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %D", "Stochastic %D period", "Stochastic")
			
			.SetOptimize(1, 10, 1);

		_cooldownBars = Param(nameof(CooldownBars), 8)
			.SetRange(1, 50)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

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

		_stopLossPercent = Param(nameof(StopLossPercent), 1.0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management")
			
			.SetOptimize(0.5m, 2.0m, 0.5m);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_supertrend = null;
		_stochastic = null;
		_cooldown = 0;
	}

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

		// Create indicators
		_supertrend = new()
		{
			Length = SupertrendPeriod,
			Multiplier = SupertrendMultiplier
		};

		_stochastic = new()
		{
			K = { Length = StochK },
			D = { Length = StochD },
		};

		Indicators.Add(_supertrend);
		Indicators.Add(_stochastic);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent));

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

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

		var stResult = _supertrend.Process(candle);
		var stochResult = _stochastic.Process(candle);

		if (!_supertrend.IsFormed || !_stochastic.IsFormed)
			return;

		if (stResult is not SuperTrendIndicatorValue stVal)
			return;

		if (stochResult is not StochasticOscillatorValue stochTyped || stochTyped.K is not decimal stochK)
			return;

		var isBullish = stVal.IsUpTrend;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		if (Position != 0)
			return;

		// Buy: bullish supertrend + stochastic oversold area
		if (isBullish && stochK < 30)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Sell: bearish supertrend + stochastic overbought area
		else if (!isBullish && stochK > 70)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
	}
}