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Parabolic SAR MultiTimeframe

Parabolic SAR MultiTimeframe uses four different Parabolic SAR indicators from higher timeframes to confirm a trend before entering a trade. The strategy processes 15-minute candles and checks the state of SAR on 30-minute, 1-hour and 4-hour charts. A long position is opened only when price is above all SAR values; a short position is opened when price is below all SARs.

The method attempts to filter out noise by requiring alignment across multiple timeframes. Position is closed when the opposite condition appears.

Details

  • Entry Criteria: Price relative to Parabolic SAR on 15m/30m/1h/4h timeframes.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal from all SAR indicators.
  • Stops: Uses StartProtection for basic protection, no explicit stop values.
  • Default Values:
    • Step15 = 0.062
    • Step30 = 0.058
    • Step60 = 0.058
    • Step240 = 0.058
    • MaxStep = 0.1
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Parabolic SAR
    • Stops: No
    • Complexity: Intermediate
    • Timeframe: Intraday (15m base with higher confirmations)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium

Usage

  1. Attach the strategy to a security.
  2. Adjust SAR step parameters if needed.
  3. Start the strategy; it will subscribe to 15m, 30m, 1h and 4h candles automatically.
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>
/// Parabolic SAR trend-following strategy with EMA confirmation.
/// </summary>
public class ParabolicSarMultiTimeframeStrategy : Strategy
{
	private readonly StrategyParam<decimal> _sarAcceleration;
	private readonly StrategyParam<decimal> _sarMaxAcceleration;
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	public decimal SarAcceleration { get => _sarAcceleration.Value; set => _sarAcceleration.Value = value; }
	public decimal SarMaxAcceleration { get => _sarMaxAcceleration.Value; set => _sarMaxAcceleration.Value = value; }
	public int EmaLength { get => _emaLength.Value; set => _emaLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public ParabolicSarMultiTimeframeStrategy()
	{
		_sarAcceleration = Param(nameof(SarAcceleration), 0.02m)
			.SetDisplay("SAR Accel", "SAR acceleration factor", "Indicators");

		_sarMaxAcceleration = Param(nameof(SarMaxAcceleration), 0.2m)
			.SetDisplay("SAR Max", "SAR max acceleration", "Indicators");

		_emaLength = Param(nameof(EmaLength), 50)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle Type", "General");
	}

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

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

		var sar = new ParabolicSar { Acceleration = SarAcceleration, AccelerationMax = SarMaxAcceleration };
		var ema = new ExponentialMovingAverage { Length = EmaLength };

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

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

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

		var price = candle.ClosePrice;

		// Buy when price is above both SAR and EMA
		if (price > sarValue && price > emaValue && Position <= 0)
			BuyMarket();
		// Sell when price is below both SAR and EMA
		else if (price < sarValue && price < emaValue && Position >= 0)
			SellMarket();

		// Exit on SAR flip
		if (Position > 0 && price < sarValue)
			SellMarket();
		else if (Position < 0 && price > sarValue)
			BuyMarket();
	}
}