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Tuga Supertrend

Tuga Supertrend is a long-only strategy based on the SuperTrend indicator. It enters a long position when the SuperTrend direction flips downward and exits when the direction turns upward.

Details

  • Data: Price candles.
  • Entry Criteria:
    • Long: SuperTrend direction changes from up to down within the date window.
  • Exit Criteria: SuperTrend direction changes from down to up.
  • Stops: None.
  • Default Values:
    • StartDate = 2018-01-01
    • EndDate = 2069-12-31
    • AtrPeriod = 10
    • Factor = 3.0
  • Filters:
    • Category: Trend following
    • Direction: Long
    • Indicators: SuperTrend, ATR
    • Complexity: Low
    • 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>
/// Strategy using RSI momentum with EMA trend for directional trading.
/// </summary>
public class TugaSupertrendStrategy : Strategy
{
	private readonly StrategyParam<DateTimeOffset> _startDate;
	private readonly StrategyParam<DateTimeOffset> _endDate;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _factor;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevRsi;
	private decimal _prevFast;
	private decimal _prevSlow;
	private int _cooldown;

	public DateTimeOffset StartDate
	{
		get => _startDate.Value;
		set => _startDate.Value = value;
	}

	public DateTimeOffset EndDate
	{
		get => _endDate.Value;
		set => _endDate.Value = value;
	}

	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	public decimal Factor
	{
		get => _factor.Value;
		set => _factor.Value = value;
	}

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public TugaSupertrendStrategy()
	{
		_startDate = Param(nameof(StartDate), new DateTimeOffset(2018, 1, 1, 0, 0, 0, TimeSpan.Zero))
			.SetDisplay("Start Date", "Start Date", "Date Window");
		_endDate = Param(nameof(EndDate), new DateTimeOffset(2069, 12, 31, 23, 59, 0, TimeSpan.Zero))
			.SetDisplay("End Date", "End Date", "Date Window");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_factor = Param(nameof(Factor), 3m)
			.SetDisplay("Factor", "Multiplier for SuperTrend", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevRsi = 0;
		_prevFast = 0;
		_prevSlow = 0;
		_cooldown = 0;
	}

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

		var rsi = new RelativeStrengthIndex { Length = AtrPeriod };
		var emaFast = new ExponentialMovingAverage { Length = 8 };
		var emaSlow = new ExponentialMovingAverage { Length = 21 };

		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, emaFast, emaSlow, ProcessCandle).Start();

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

	private void ProcessCandle(ICandleMessage candle, decimal rsiVal, decimal emaFast, decimal emaSlow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (_prevRsi == 0 || _prevFast == 0 || _prevSlow == 0)
		{
			_prevRsi = rsiVal;
			_prevFast = emaFast;
			_prevSlow = emaSlow;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevRsi = rsiVal;
			_prevFast = emaFast;
			_prevSlow = emaSlow;
			return;
		}

		var hist = emaFast - emaSlow;
		var histUp = hist > 0m;
		var histDown = hist < 0m;

		var rsiCrossUp = _prevRsi <= 50m && rsiVal > 50m;
		var rsiCrossDown = _prevRsi >= 50m && rsiVal < 50m;

		// Exit
		if (Position > 0 && rsiCrossDown)
		{
			SellMarket();
			_cooldown = 30;
		}
		else if (Position < 0 && rsiCrossUp)
		{
			BuyMarket();
			_cooldown = 30;
		}

		// Entry
		if (Position == 0)
		{
			if (rsiCrossUp && histUp)
			{
				BuyMarket();
				_cooldown = 30;
			}
			else if (rsiCrossDown && histDown)
			{
				SellMarket();
				_cooldown = 30;
			}
		}

		_prevRsi = rsiVal;
		_prevFast = emaFast;
		_prevSlow = emaSlow;
	}
}