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3x Supertrend

The 3x Supertrend strategy uses three ATR-based bands with different periods and multipliers. A long position is opened when price rises above all three bands and the fast band switches to uptrend. The trade is closed when price falls below every band, signaling loss of bullish momentum.

Details

  • Data: Price candles.
  • Entry Criteria: Price above all bands and fast band turning up.
  • Exit Criteria: Price below all bands.
  • Stops: None.
  • Default Values:
    • AtrPeriod1 = 11
    • Factor1 = 1
    • AtrPeriod2 = 12
    • Factor2 = 2
    • AtrPeriod3 = 13
    • Factor3 = 3
  • Filters:
    • Category: Trend following
    • Direction: Long only
    • Indicators: ATR-based Supertrend
    • Complexity: Medium
    • 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>
/// Triple Supertrend strategy using three ATR-based bands.
/// Buys when all three bands show uptrend.
/// Sells when all three bands show downtrend.
/// </summary>
public class TripleSupertrendStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candle;
	private readonly StrategyParam<int> _p1, _p2, _p3;
	private readonly StrategyParam<decimal> _f1, _f2, _f3;
	private readonly StrategyParam<int> _cooldownBars;

	private int _cooldownRemaining;

	public DataType CandleType { get => _candle.Value; set => _candle.Value = value; }
	public int AtrPeriod1 { get => _p1.Value; set => _p1.Value = value; }
	public decimal Factor1 { get => _f1.Value; set => _f1.Value = value; }
	public int AtrPeriod2 { get => _p2.Value; set => _p2.Value = value; }
	public decimal Factor2 { get => _f2.Value; set => _f2.Value = value; }
	public int AtrPeriod3 { get => _p3.Value; set => _p3.Value = value; }
	public decimal Factor3 { get => _f3.Value; set => _f3.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public TripleSupertrendStrategy()
	{
		_candle = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
		_p1 = Param(nameof(AtrPeriod1), 11)
			.SetDisplay("ATR1", "Fast ATR", "Supertrend");
		_f1 = Param(nameof(Factor1), 1m)
			.SetDisplay("Factor1", "Fast factor", "Supertrend");
		_p2 = Param(nameof(AtrPeriod2), 12)
			.SetDisplay("ATR2", "Medium ATR", "Supertrend");
		_f2 = Param(nameof(Factor2), 2m)
			.SetDisplay("Factor2", "Medium factor", "Supertrend");
		_p3 = Param(nameof(AtrPeriod3), 13)
			.SetDisplay("ATR3", "Slow ATR", "Supertrend");
		_f3 = Param(nameof(Factor3), 3m)
			.SetDisplay("Factor3", "Slow factor", "Supertrend");
		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_cooldownRemaining = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var ema1 = new ExponentialMovingAverage { Length = AtrPeriod1 };
		var ema2 = new ExponentialMovingAverage { Length = AtrPeriod2 };
		var ema3 = new ExponentialMovingAverage { Length = AtrPeriod3 };
		var atr1 = new AverageTrueRange { Length = AtrPeriod1 };
		var atr2 = new AverageTrueRange { Length = AtrPeriod2 };
		var atr3 = new AverageTrueRange { Length = AtrPeriod3 };

		var sub = SubscribeCandles(CandleType);
		sub.Bind(ema1, ema2, ema3, atr1, atr2, atr3, Process).Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, sub);
			DrawIndicator(area, ema1);
			DrawIndicator(area, ema2);
			DrawIndicator(area, ema3);
			DrawOwnTrades(area);
		}
	}

	private void Process(ICandleMessage c, decimal m1, decimal m2, decimal m3, decimal a1, decimal a2, decimal a3)
	{
		if (c.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var close = c.ClosePrice;
		var lower1 = m1 - a1 * Factor1;
		var lower2 = m2 - a2 * Factor2;
		var lower3 = m3 - a3 * Factor3;
		var upper1 = m1 + a1 * Factor1;
		var upper2 = m2 + a2 * Factor2;
		var upper3 = m3 + a3 * Factor3;

		var up1 = close > lower1;
		var up2 = close > lower2;
		var up3 = close > lower3;
		var dn1 = close < upper1;
		var dn2 = close < upper2;
		var dn3 = close < upper3;

		// Buy: all three bands show uptrend
		if (up1 && up2 && up3 && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: all three bands show downtrend
		else if (!up1 && !up2 && !up3 && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: majority bands flip bearish
		else if (Position > 0 && !up1 && !up2)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: majority bands flip bullish
		else if (Position < 0 && up1 && up2)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
	}
}