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Estratégia Bollinger Supertrend

Esta estratégia combina as Bandas de Bollinger com o indicador Supertrend para identificar entradas durante movimentos direcionais fortes. As Bandas de Bollinger medem a expansão da volatilidade enquanto a linha Supertrend acompanha a tendência geral e atua como trailing stop.

Os testes indicam um retorno anual médio de aproximadamente 79%. Funciona melhor no mercado de ações.

Um trade comprado é acionado quando o preço fecha acima da Banda de Bollinger superior e permanece acima da linha Supertrend, confirmando o alinhamento do momentum e da tendência. Um trade vendido ocorre quando o preço fecha abaixo da banda inferior enquanto permanece abaixo do nível Supertrend. Os trades são encerrados assim que o preço cruza de volta pelo Supertrend, indicando que o momentum desapareceu.

Como o sistema aguarda rompimentos além da volatilidade normal, é adequado para traders que buscam capturar movimentos sustentados em vez de reversões rápidas. O stop Supertrend se ajusta dinamicamente aos movimentos do mercado, ajudando a gerenciar o risco sem intervenção manual.

Detalhes

  • Critérios de entrada:
    • Comprado: Close > upper Bollinger Band && Close > Supertrend
    • Vendido: Close < lower Bollinger Band && Close < Supertrend
  • Comprado/Vendido: Ambos os lados.
  • Critérios de saída:
    • Comprado: Sair quando o preço cruzar abaixo do Supertrend
    • Vendido: Sair quando o preço cruzar acima do Supertrend
  • Stops: Sim, via trailing stop Supertrend.
  • Valores padrão:
    • BollingerPeriod = 20
    • BollingerDeviation = 2.0m
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3.0m
    • CandleType = TimeSpan.FromMinutes(15)
  • Filtros:
    • Categoria: Tendência
    • Direção: Ambos
    • Indicadores: Bollinger Bands, Supertrend
    • Stops: Sim
    • Complexidade: Intermediário
    • Período: Intradiário
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
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>
/// Strategy based on Bollinger Bands and Supertrend indicators.
/// Enters long when price breaks above upper Bollinger Band and is above Supertrend.
/// Enters short when price breaks below lower Bollinger Band and is below Supertrend.
/// Uses Supertrend for dynamic exit.
/// </summary>
public class BollingerSupertrendStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;
	
	private BollingerBands _bollinger;
	private AverageTrueRange _atr;
	
	private bool _isLongTrend;
	private decimal _supertrendValue;
	private decimal _lastClose;
	private int _cooldown;
	
	/// <summary>
	/// Bollinger Bands period.
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}
	
	/// <summary>
	/// Bollinger Bands standard deviation multiplier.
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}
	
	/// <summary>
	/// Supertrend ATR period.
	/// </summary>
	public int SupertrendPeriod
	{
		get => _supertrendPeriod.Value;
		set => _supertrendPeriod.Value = value;
	}
	
	/// <summary>
	/// Supertrend ATR multiplier.
	/// </summary>
	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}
	
	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Candle type parameter.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerSupertrendStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Period for Bollinger Bands calculation", "Indicators")
			
			.SetOptimize(10, 30, 5);
			
		_bollingerDeviation = Param(nameof(BollingerDeviation), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Standard deviation multiplier for Bollinger Bands", "Indicators")
			
			.SetOptimize(1.5m, 3.0m, 0.5m);
			
		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "ATR period for Supertrend calculation", "Indicators")
			
			.SetOptimize(7, 14, 1);
			
		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3.0m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "ATR multiplier for Supertrend calculation", "Indicators")
			
			.SetOptimize(2.0m, 4.0m, 0.5m);

		_cooldownBars = Param(nameof(CooldownBars), 60)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");
			
		_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 OnReseted()
	{
		base.OnReseted();

		_bollinger = null;
		_atr = null;
		_isLongTrend = default;
		_supertrendValue = default;
		_lastClose = default;
		_cooldown = 0;
	}

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

// Initialize indicators
		_bollinger = new BollingerBands
	{
Length = BollingerPeriod,
Width = BollingerDeviation
	};
		
		_atr = new AverageTrueRange
		{
			Length = SupertrendPeriod
		};
		
		// Create candles subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind Bollinger indicator to candle subscription
		subscription
			.BindEx(_bollinger, _atr, ProcessCandle)
			.Start();
		
		// Setup chart if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _bollinger);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle, IIndicatorValue bollingerValue, IIndicatorValue atrValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;
			
		// Extract Bollinger Band values
		var bb = (BollingerBandsValue)bollingerValue;
		if (bb.MovingAverage is not decimal middleBand)
			return;
		if (bb.UpBand is not decimal upperBand)
			return;
		if (bb.LowBand is not decimal lowerBand)
			return;

		// Calculate Supertrend
		// Note: This is a simplified Supertrend implementation
		decimal atrValue2 = atrValue.ToDecimal() * SupertrendMultiplier;
		decimal upperBand2 = (candle.HighPrice + candle.LowPrice) / 2 + atrValue2;
		decimal lowerBand2 = (candle.HighPrice + candle.LowPrice) / 2 - atrValue2;
		
		// Determine Supertrend value and direction
		if (_lastClose == 0)
		{
			// First candle initialization
			_supertrendValue = candle.ClosePrice > (candle.HighPrice + candle.LowPrice) / 2 ? 
				lowerBand2 : upperBand2;
			_isLongTrend = candle.ClosePrice > _supertrendValue;
		}
		else
		{
			// Calculate Supertrend
			if (_isLongTrend)
			{
				// Previous trend was up
				if (candle.ClosePrice < _supertrendValue)
				{
					// Trend changes to down
					_isLongTrend = false;
					_supertrendValue = upperBand2;
				}
				else
				{
					// Trend remains up, adjust supertrend value
					_supertrendValue = Math.Max(lowerBand2, _supertrendValue);
				}
			}
			else
			{
				// Previous trend was down
				if (candle.ClosePrice > _supertrendValue)
				{
					// Trend changes to up
					_isLongTrend = true;
					_supertrendValue = lowerBand2;
				}
				else
				{
					// Trend remains down, adjust supertrend value
					_supertrendValue = Math.Min(upperBand2, _supertrendValue);
				}
			}
		}
		
		_lastClose = candle.ClosePrice;
		
		// Trading logic
		bool isPriceAboveSupertrend = candle.ClosePrice > _supertrendValue;
		bool isPriceAboveUpperBand = candle.ClosePrice > upperBand;
		bool isPriceBelowLowerBand = candle.ClosePrice < lowerBand;
		if (_cooldown > 0)
			_cooldown--;
		
		// Long signal: Price breaks above upper Bollinger Band and is above Supertrend
		if (_cooldown == 0 && isPriceAboveUpperBand && isPriceAboveSupertrend)
		{
			if (Position <= 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}
		// Short signal: Price breaks below lower Bollinger Band and is below Supertrend
		else if (_cooldown == 0 && isPriceBelowLowerBand && !isPriceAboveSupertrend)
		{
			if (Position >= 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		// Exit signals based on Supertrend
		else if ((Position > 0 && !isPriceAboveSupertrend) || 
				(Position < 0 && isPriceAboveSupertrend))
		{
			if (Position > 0)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
			else if (Position < 0)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
		}
	}
}