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Vietnamese 3x Supertrend Strategy

This strategy stacks three SuperTrend indicators with different ATR lengths and multipliers. It scales into long positions when the slow trend is bearish and faster trends show pullback opportunities. An optional break-even stop protects profits once price moves favorably.

Details

  • Entry Criteria:
    • Slow SuperTrend in downtrend.
    • Long 1: Medium uptrend and fast downtrend.
    • Long 2: Medium downtrend and price above fast SuperTrend line.
    • Long 3: Fast downtrend and breakout above highest high during the fast downtrend.
  • Long/Short: Long only.
  • Exit Criteria:
    • All SuperTrends turn up and the candle closes bearish.
    • Average entry price above current close.
    • Optional break-even stop if enabled.
  • Stops: Optional break-even stop.
  • Default Values:
    • FastAtrLength = 10
    • FastMultiplier = 1
    • MediumAtrLength = 11
    • MediumMultiplier = 2
    • SlowAtrLength = 12
    • SlowMultiplier = 3
    • UseHighestOfTwoRedCandles = False
    • UseEntryStopLoss = True
    • UseAllDowntrendExit = True
    • UseAvgPriceInLoss = True
  • Filters:
    • Category: Trend following
    • Direction: Long
    • Indicators: SuperTrend
    • Stops: Optional
    • Complexity: Medium
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Vietnamese 3x SuperTrend strategy.
/// Uses three SuperTrend indicators with different settings.
/// Enters long when SuperTrend conditions align.
/// Exits based on break-even, all-uptrend-red-candle, or avg price in loss.
/// </summary>
public class Vietnamese3xSupertrendStrategy : Strategy
{
	private readonly StrategyParam<int> _fastAtrLength;
	private readonly StrategyParam<decimal> _fastMultiplier;
	private readonly StrategyParam<int> _mediumAtrLength;
	private readonly StrategyParam<decimal> _mediumMultiplier;
	private readonly StrategyParam<int> _slowAtrLength;
	private readonly StrategyParam<decimal> _slowMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _highestGreen;
	private bool _breakEvenActive;
	private decimal _avgEntryPrice;
	private int _entryCount;
	private int _cooldownRemaining;

	public int FastAtrLength { get => _fastAtrLength.Value; set => _fastAtrLength.Value = value; }
	public decimal FastMultiplier { get => _fastMultiplier.Value; set => _fastMultiplier.Value = value; }
	public int MediumAtrLength { get => _mediumAtrLength.Value; set => _mediumAtrLength.Value = value; }
	public decimal MediumMultiplier { get => _mediumMultiplier.Value; set => _mediumMultiplier.Value = value; }
	public int SlowAtrLength { get => _slowAtrLength.Value; set => _slowAtrLength.Value = value; }
	public decimal SlowMultiplier { get => _slowMultiplier.Value; set => _slowMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public Vietnamese3xSupertrendStrategy()
	{
		_fastAtrLength = Param(nameof(FastAtrLength), 10)
			.SetDisplay("Fast ATR Length", "ATR length for fast SuperTrend", "SuperTrend");

		_fastMultiplier = Param(nameof(FastMultiplier), 1m)
			.SetDisplay("Fast Multiplier", "ATR multiplier for fast SuperTrend", "SuperTrend");

		_mediumAtrLength = Param(nameof(MediumAtrLength), 11)
			.SetDisplay("Medium ATR Length", "ATR length for medium SuperTrend", "SuperTrend");

		_mediumMultiplier = Param(nameof(MediumMultiplier), 2m)
			.SetDisplay("Medium Multiplier", "ATR multiplier for medium SuperTrend", "SuperTrend");

		_slowAtrLength = Param(nameof(SlowAtrLength), 12)
			.SetDisplay("Slow ATR Length", "ATR length for slow SuperTrend", "SuperTrend");

		_slowMultiplier = Param(nameof(SlowMultiplier), 3m)
			.SetDisplay("Slow Multiplier", "ATR multiplier for slow SuperTrend", "SuperTrend");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highestGreen = 0;
		_breakEvenActive = false;
		_avgEntryPrice = 0;
		_entryCount = 0;
		_cooldownRemaining = 0;
	}

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

		var fast = new SuperTrend { Length = FastAtrLength, Multiplier = FastMultiplier };
		var medium = new SuperTrend { Length = MediumAtrLength, Multiplier = MediumMultiplier };
		var slow = new SuperTrend { Length = SlowAtrLength, Multiplier = SlowMultiplier };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(fast, medium, slow, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var fastSt = (SuperTrendIndicatorValue)fastVal;
		var medSt = (SuperTrendIndicatorValue)medVal;
		var slowSt = (SuperTrendIndicatorValue)slowVal;

		var dir1 = fastSt.IsUpTrend ? 1 : -1;
		var dir2 = medSt.IsUpTrend ? 1 : -1;
		var dir3 = slowSt.IsUpTrend ? 1 : -1;

		// Track highest green candle for breakout entry
		if (dir1 < 0 && _highestGreen == 0)
			_highestGreen = candle.HighPrice;
		if (_highestGreen > 0 && dir1 < 0)
			_highestGreen = Math.Max(_highestGreen, candle.HighPrice);
		if (dir1 >= 0)
			_highestGreen = 0;

		// Exit logic for longs
		if (Position > 0)
		{
			// Break-even stop
			if (dir1 > 0 && dir2 < 0 && dir3 < 0)
			{
				if (!_breakEvenActive && candle.LowPrice > _avgEntryPrice)
					_breakEvenActive = true;
				if (_breakEvenActive && candle.LowPrice <= _avgEntryPrice)
				{
					SellMarket(Math.Abs(Position));
					ResetEntries();
					_cooldownRemaining = CooldownBars;
					return;
				}
			}

			// All uptrend + red candle exit
			if (dir3 > 0 && dir2 > 0 && dir1 > 0 && candle.ClosePrice < candle.OpenPrice)
			{
				SellMarket(Math.Abs(Position));
				ResetEntries();
				_cooldownRemaining = CooldownBars;
				return;
			}

			// Avg price in loss exit
			if (_avgEntryPrice > candle.ClosePrice)
			{
				SellMarket(Math.Abs(Position));
				ResetEntries();
				_cooldownRemaining = CooldownBars;
				return;
			}
		}

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

		// Entry logic - max 3 entries
		if (_entryCount < 3)
		{
			if (dir3 < 0)
			{
				if (dir2 > 0 && dir1 < 0)
				{
					BuyMarket(Volume);
					AddEntry(candle.ClosePrice);
					_cooldownRemaining = CooldownBars;
				}
				else if (dir2 < 0 && candle.ClosePrice > fastSt.Value)
				{
					BuyMarket(Volume);
					AddEntry(candle.ClosePrice);
					_cooldownRemaining = CooldownBars;
				}
			}
			else
			{
				if (dir1 < 0 && _highestGreen > 0 && candle.ClosePrice > _highestGreen)
				{
					BuyMarket(Volume);
					AddEntry(candle.ClosePrice);
					_cooldownRemaining = CooldownBars;
				}
			}
		}
	}

	private void AddEntry(decimal price)
	{
		_avgEntryPrice = (_avgEntryPrice * _entryCount + price) / (_entryCount + 1);
		_entryCount++;
	}

	private void ResetEntries()
	{
		_avgEntryPrice = 0;
		_entryCount = 0;
		_breakEvenActive = false;
	}
}