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Exp Super Trend Strategy

Strategy converted from MQL script Exp_Super_Trend.mq5 (ID 14269). It follows the direction of the SuperTrend indicator and reverses positions whenever the trend flips. The implementation uses StockSharp high level API and the built-in SuperTrend indicator.

The indicator calculates a dynamic support or resistance line based on ATR. When price stays above this line the trend is considered bullish, otherwise bearish. The strategy opens a long position during bullish periods and switches to a short position during bearish periods. Each flip of the indicator causes an immediate position reversal.

This approach works best in trending markets where large moves follow a breakout. It is also useful as an educational template showing how to connect an indicator using BindEx and execute market orders on completed candles.

Details

  • Entry Criteria:
    • Long: SuperTrend signals an uptrend.
    • Short: SuperTrend signals a downtrend.
  • Long/Short: Both.
  • Exit Criteria: Opposite signal from SuperTrend (position is reversed).
  • Stops: No explicit stop-loss; the indicator line acts as a trailing stop.
  • Default Values:
    • AtrPeriod = 10
    • Multiplier = 3m
    • CandleType = TimeSpan.FromHours(1).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: SuperTrend
    • Stops: Indicator based
    • Complexity: Basic
    • Timeframe: Medium (1 hour by default)
    • Seasonality: None
    • 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 expert strategy.
/// Opens positions following the SuperTrend direction.
/// </summary>
public class ExpSuperTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;

	private SuperTrend _superTrend;

	/// <summary>
	/// ATR period for SuperTrend.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for SuperTrend.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="ExpSuperTrendStrategy"/>.
	/// </summary>
	public ExpSuperTrendStrategy()
	{
		_atrPeriod = Param(nameof(AtrPeriod), 10)
			.SetDisplay("ATR Period", "ATR period for SuperTrend", "SuperTrend")
			.SetGreaterThanZero()
			
			.SetOptimize(5, 20, 1);

		_multiplier = Param(nameof(Multiplier), 3m)
			.SetDisplay("Multiplier", "ATR multiplier for SuperTrend", "SuperTrend")
			.SetGreaterThanZero()
			
			.SetOptimize(1m, 5m, 0.5m);

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_superTrend = default;
	}

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

		_superTrend = new SuperTrend
		{
			Length = AtrPeriod,
			Multiplier = Multiplier
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_superTrend, ProcessCandle)
			.Start();
	}

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

		if (stValue is not SuperTrendIndicatorValue st)
			return;

		var isUpTrend = st.IsUpTrend;

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