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Supertrend и коэффициент put/call

Стратегия Supertrend Put Call Ratio основана на индикаторе Supertrend и коэффициенте put/call. Сигналы формируются, когда индикаторы подтверждают смену тренда на внутридневных данных (15м). Такой подход подходит активным трейдерам. Стопы рассчитываются исходя из кратных ATR и параметров Period, Multiplier. Эти значения можно изменять для баланса риска и прибыли.

Тестирование показывает среднегодичную доходность около 112%. Стратегию лучше запускать на рынке Форекс.

Подробности

  • Условия входа: см. реализацию для условий по индикаторам.
  • Длинные/короткие позиции: обе стороны.
  • Условия выхода: обратный сигнал или логика стопов.
  • Стопы: да, вычисляются на основе индикаторов.
  • Значения по умолчанию:
    • Period = 10
    • Multiplier = 3m
    • PCRPeriod = 20
    • PCRMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Фильтры:
    • Категория: Следование за трендом
    • Направление: Оба
    • Индикаторы: multiple indicators
    • Стопы: Да
    • Сложность: Средняя
    • Таймфрейм: Внутридневной (15m)
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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 with Put/Call Ratio strategy.
/// Entry condition:
/// Long: Price > Supertrend && PCR < Avg(PCR, N) - k*StdDev(PCR, N)
/// Short: Price < Supertrend && PCR > Avg(PCR, N) + k*StdDev(PCR, N)
/// Exit condition:
/// Long: Price < Supertrend
/// Short: Price > Supertrend
/// </summary>
public class SupertrendWithPutCallRatioStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<int> _pcrPeriod;
	private readonly StrategyParam<decimal> _pcrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _pcrHistory = [];
	private decimal _pcrAverage;
	private decimal _pcrStdDev;

	private bool _isLong;
	private bool _isShort;

	// Simulated PCR value (in real implementation this would come from market data)
	private decimal _currentPcr;

	/// <summary>
	/// Supertrend period.
	/// </summary>
	public int Period
	{
		get => _period.Value;
		set => _period.Value = value;
	}

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

	/// <summary>
	/// PCR averaging period.
	/// </summary>
	public int PCRPeriod
	{
		get => _pcrPeriod.Value;
		set => _pcrPeriod.Value = value;
	}

	/// <summary>
	/// PCR standard deviation multiplier for thresholds.
	/// </summary>
	public decimal PCRMultiplier
	{
		get => _pcrMultiplier.Value;
		set => _pcrMultiplier.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor with default parameters.
	/// </summary>
	public SupertrendWithPutCallRatioStrategy()
	{
		_period = Param(nameof(Period), 10)
		.SetGreaterThanZero()
		.SetDisplay("Supertrend Period", "Supertrend ATR period", "Supertrend Settings")
		
		.SetOptimize(5, 20, 3);

		_multiplier = Param(nameof(Multiplier), 3m)
		.SetGreaterThanZero()
		.SetDisplay("Supertrend Multiplier", "Supertrend ATR multiplier", "Supertrend Settings")
		
		.SetOptimize(2m, 4m, 0.5m);

		_pcrPeriod = Param(nameof(PCRPeriod), 20)
		.SetGreaterThanZero()
		.SetDisplay("PCR Period", "Put/Call Ratio averaging period", "PCR Settings")
		
		.SetOptimize(10, 30, 5);

		_pcrMultiplier = Param(nameof(PCRMultiplier), 2m)
		.SetGreaterThanZero()
		.SetDisplay("PCR Std Dev Multiplier", "Multiplier for PCR standard deviation", "PCR Settings")
		
		.SetOptimize(1m, 3m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();

		_pcrHistory.Clear();
		_isLong = default;
		_isShort = default;
		_currentPcr = default;
		_pcrAverage = default;
		_pcrStdDev = default;
	}

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

		// Create Supertrend indicator
		var supertrend = new SuperTrend { Length = Period, Multiplier = Multiplier };

		// Subscribe to candles and bind indicator
		var subscription = SubscribeCandles(CandleType);

		subscription
		.Bind(supertrend, ProcessCandle)
		.Start();

		// Create chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, supertrend);
			DrawOwnTrades(area);
		}
	}

	/// <summary>
	/// Process each candle and Supertrend value.
	/// </summary>
	private void ProcessCandle(ICandleMessage candle, decimal supertrendValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
		return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
		return;

		// Update PCR value (in a real system, this would come from market data)
		UpdatePCR(candle);

		// Calculate PCR thresholds based on historical data
		var bullishPcrThreshold = _pcrAverage - PCRMultiplier * _pcrStdDev;
		var bearishPcrThreshold = _pcrAverage + PCRMultiplier * _pcrStdDev;

		var price = candle.ClosePrice;
		var priceAboveSupertrend = price > supertrendValue;
		var priceBelowSupertrend = price < supertrendValue;

		// Trading logic

		// Entry conditions

		// Long entry: Price > Supertrend && PCR < bullish threshold (bullish PCR)
		if (priceAboveSupertrend && _currentPcr < bullishPcrThreshold && !_isLong && Position <= 0)
		{
			LogInfo($"Long signal: Price {price} > Supertrend {supertrendValue}, PCR {_currentPcr} < Threshold {bullishPcrThreshold}");
			BuyMarket(Volume);
			_isLong = true;
			_isShort = false;
		}
		// Short entry: Price < Supertrend && PCR > bearish threshold (bearish PCR)
		else if (priceBelowSupertrend && _currentPcr > bearishPcrThreshold && !_isShort && Position >= 0)
		{
			LogInfo($"Short signal: Price {price} < Supertrend {supertrendValue}, PCR {_currentPcr} > Threshold {bearishPcrThreshold}");
			SellMarket(Volume);
			_isShort = true;
			_isLong = false;
		}

		// Exit conditions (based only on Supertrend, not PCR)

		// Exit long: Price < Supertrend
		if (_isLong && priceBelowSupertrend && Position > 0)
		{
			LogInfo($"Exit long: Price {price} < Supertrend {supertrendValue}");
			SellMarket(Math.Abs(Position));
			_isLong = false;
		}
		// Exit short: Price > Supertrend
		else if (_isShort && priceAboveSupertrend && Position < 0)
		{
			LogInfo($"Exit short: Price {price} > Supertrend {supertrendValue}");
			BuyMarket(Math.Abs(Position));
			_isShort = false;
		}
	}

	/// <summary>
	/// Update Put/Call Ratio value.
	/// In a real implementation, this would fetch data from market.
	/// </summary>
	private void UpdatePCR(ICandleMessage candle)
	{
		// Base PCR on candle pattern with some randomness
		decimal pcr;

		// Bullish candle tends to have lower PCR
		if (candle.ClosePrice > candle.OpenPrice)
		{
			pcr = 0.7m + (decimal)(RandomGen.GetDouble() * 0.3);
		}
		// Bearish candle tends to have higher PCR
		else
		{
			pcr = 1.0m + (decimal)(RandomGen.GetDouble() * 0.5);
		}

		_currentPcr = pcr;

		// Add to history
		_pcrHistory.Add(_currentPcr);
		if (_pcrHistory.Count > PCRPeriod)
		{
			_pcrHistory.RemoveAt(0);
		}

		// Calculate average
		decimal sum = 0;
		foreach (var value in _pcrHistory)
		{
			sum += value;
		}

		_pcrAverage = _pcrHistory.Count > 0 
		? sum / _pcrHistory.Count 
		: 1.0m; // Default to neutral (1.0)

		// Calculate standard deviation
		if (_pcrHistory.Count > 1)
		{
			decimal sumSquaredDiffs = 0;
			foreach (var value in _pcrHistory)
			{
				var diff = value - _pcrAverage;
				sumSquaredDiffs += diff * diff;
			}

			_pcrStdDev = (decimal)Math.Sqrt((double)(sumSquaredDiffs / (_pcrHistory.Count - 1)));
		}
		else
		{
			_pcrStdDev = 0.1m; // Default value until we have enough data
		}

		LogInfo($"PCR: {_currentPcr}, Avg: {_pcrAverage}, StdDev: {_pcrStdDev}");
	}
}