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Стратегия BBTrend SuperTrend Decision

Стратегия вычисляет значение BBTrend на основе двух полос Боллинджера с различными периодами и передаёт его в расчёт SuperTrend. Полученное направление SuperTrend определяет открытие длинных или коротких позиций. Дополнительно можно включить защиту в виде тейк‑профита и стоп‑лосса в процентах.

Детали

  • Критерии входа:
    • Лонг: направление SuperTrend вверх.
    • Шорт: направление SuperTrend вниз.
  • Длинные/короткие: обе стороны, настраивается.
  • Критерии выхода:
    • Противоположное направление SuperTrend.
  • Стопы: опциональные тейк‑профит и стоп‑лосс в процентах.
  • Значения по умолчанию:
    • Длина коротких BB = 20, длинных BB = 50, StdDev = 2.
    • Длина SuperTrend = 10, множитель = 7.
    • Тейк‑профит = 30%, стоп‑лосс = 20%.
  • Фильтры:
    • Категория: Следование тренду
    • Направление: Оба
    • Индикаторы: Bollinger Bands, SuperTrend
    • Стопы: Опциональные TP/SL
    • Сложность: Средняя
    • Таймфрейм: Краткосрочный
    • 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>
/// BBTrend with SuperTrend decision strategy.
/// Computes BBTrend from two Bollinger Bands and applies a SuperTrend
/// calculation to generate long and short entries.
/// </summary>
public class BbtrendSupertrendDecisionStrategy : Strategy
{
	/// <summary>
	/// Protection mode for take profit and stop loss.
	/// </summary>
	public enum TpSlModes
	{
		None,
		TP,
		SL,
		Both
	}

	private readonly StrategyParam<int> _shortBbLength;
	private readonly StrategyParam<int> _longBbLength;
	private readonly StrategyParam<decimal> _stdDev;
	private readonly StrategyParam<int> _supertrendLength;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<Sides?> _tradeDirection;
	private readonly StrategyParam<TpSlModes> _tpSlCondition;
	private readonly StrategyParam<decimal> _takeProfitPerc;
	private readonly StrategyParam<decimal> _stopLossPerc;
	private readonly StrategyParam<DataType> _candleType;
	
	private decimal? _previousBbTrend;
	private decimal? _prevUp;
	private decimal? _prevDn;
	private decimal? _prevAtr;
	private decimal? _prevSt;
	
	/// <summary>
	/// Short Bollinger Bands length.
	/// </summary>
	public int ShortBbLength
	{
		get => _shortBbLength.Value;
		set => _shortBbLength.Value = value;
	}
	
	/// <summary>
	/// Long Bollinger Bands length.
	/// </summary>
	public int LongBbLength
	{
		get => _longBbLength.Value;
		set => _longBbLength.Value = value;
	}
	
	/// <summary>
	/// Bollinger Bands standard deviation.
	/// </summary>
	public decimal StdDev
	{
		get => _stdDev.Value;
		set => _stdDev.Value = value;
	}
	
	/// <summary>
	/// SuperTrend ATR period.
	/// </summary>
	public int SupertrendLength
	{
		get => _supertrendLength.Value;
		set => _supertrendLength.Value = value;
	}
	
	/// <summary>
	/// SuperTrend multiplier.
	/// </summary>
	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}
	
	/// <summary>
	/// Trading direction.
	/// </summary>
	public Sides? TradeDirection
	{
		get => _tradeDirection.Value;
		set => _tradeDirection.Value = value;
	}
	
	/// <summary>
	/// Take profit / stop loss mode.
	/// </summary>
	public TpSlModes TpSlCondition
	{
		get => _tpSlCondition.Value;
		set => _tpSlCondition.Value = value;
	}
	
	/// <summary>
	/// Take profit percentage.
	/// </summary>
	public decimal TakeProfitPerc
	{
		get => _takeProfitPerc.Value;
		set => _takeProfitPerc.Value = value;
	}
	
	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPerc
	{
		get => _stopLossPerc.Value;
		set => _stopLossPerc.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Constructor.
	/// </summary>
	public BbtrendSupertrendDecisionStrategy()
	{
		_shortBbLength = Param(nameof(ShortBbLength), 20)
		.SetGreaterThanZero()
		.SetDisplay("Short BB Length", "Short Bollinger Bands length", "BBTrend")
		
		.SetOptimize(10, 40, 5);
		
		_longBbLength = Param(nameof(LongBbLength), 50)
		.SetGreaterThanZero()
		.SetDisplay("Long BB Length", "Long Bollinger Bands length", "BBTrend")
		
		.SetOptimize(30, 100, 5);
		
		_stdDev = Param(nameof(StdDev), 2m)
		.SetGreaterThanZero()
		.SetDisplay("Std Dev", "Standard deviation", "BBTrend");
		
		_supertrendLength = Param(nameof(SupertrendLength), 10)
		.SetGreaterThanZero()
		.SetDisplay("ST Length", "SuperTrend ATR period", "SuperTrend")
		
		.SetOptimize(5, 20, 1);
		
		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 12m)
		.SetGreaterThanZero()
		.SetDisplay("ST Factor", "SuperTrend multiplier", "SuperTrend")
		
		.SetOptimize(1m, 10m, 1m);
		
		_tradeDirection = Param(nameof(TradeDirection), (Sides?)null)
		.SetDisplay("Direction", "Allowed trading direction", "Trading");
		
		_tpSlCondition = Param(nameof(TpSlCondition), TpSlModes.None)
		.SetDisplay("TP/SL Mode", "Protection mode", "Risk");
		
		_takeProfitPerc = Param(nameof(TakeProfitPerc), 30m)
		.SetGreaterThanZero()
		.SetDisplay("Take Profit (%)", "Take profit percentage", "Risk");
		
		_stopLossPerc = Param(nameof(StopLossPerc), 20m)
		.SetGreaterThanZero()
		.SetDisplay("Stop Loss (%)", "Stop loss percentage", "Risk");
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles", "General");
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_previousBbTrend = null;
		_prevUp = null;
		_prevDn = null;
		_prevAtr = null;
		_prevSt = null;
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		var shortBb = new BollingerBands { Length = ShortBbLength, Width = StdDev };
		var longBb = new BollingerBands { Length = LongBbLength, Width = StdDev };
		
		var subscription = SubscribeCandles(CandleType);
		subscription
		.BindEx([shortBb, longBb], ProcessCandle)
		.Start();
		
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, shortBb);
			DrawIndicator(area, longBb);
			DrawOwnTrades(area);
		}
		
		Unit tp = default;
		Unit sl = default;
		if (TpSlCondition == TpSlModes.TP || TpSlCondition == TpSlModes.Both)
		tp = TakeProfitPerc.Percents();
		if (TpSlCondition == TpSlModes.SL || TpSlCondition == TpSlModes.Both)
		sl = StopLossPerc.Percents();
		if (tp != default || sl != default)
		StartProtection(tp, sl);
	}
	
	private void ProcessCandle(ICandleMessage candle, IIndicatorValue[] values)
	{
		if (candle.State != CandleStates.Finished)
		return;

		if (values[0] is not BollingerBandsValue shortBbValue ||
			shortBbValue.UpBand is not decimal shortUpper ||
			shortBbValue.LowBand is not decimal shortLower ||
			shortBbValue.MovingAverage is not decimal shortMiddle)
			return;
		if (values[1] is not BollingerBandsValue longBbValue ||
			longBbValue.UpBand is not decimal longUpper ||
			longBbValue.LowBand is not decimal longLower)
			return;

		var bbTrend = (Math.Abs(shortLower - longLower) - Math.Abs(shortUpper - longUpper)) / shortMiddle * 100m;
		
		if (_previousBbTrend is null)
		{
			_previousBbTrend = bbTrend;
			return;
		}
		
		var open = _previousBbTrend.Value;
		var close = bbTrend;
		var high = Math.Max(open, close);
		var low = Math.Min(open, close);
		
		var tr = Math.Max(Math.Max(high - low, Math.Abs(high - open)), Math.Abs(low - open));
		var atr = _prevAtr is null ? tr : _prevAtr.Value + (tr - _prevAtr.Value) / SupertrendLength;
		
		var hl2 = (high + low) / 2m;
		var up = hl2 + SupertrendMultiplier * atr;
		if (_prevUp is not null && !((up < _prevUp.Value) || (open > _prevUp.Value)))
		up = _prevUp.Value;
		var dn = hl2 - SupertrendMultiplier * atr;
		if (_prevDn is not null && !((dn > _prevDn.Value) || (open < _prevDn.Value)))
		dn = _prevDn.Value;
		
		int dir;
		if (_prevAtr is null)
		dir = 1;
		else if (_prevSt.HasValue && _prevUp.HasValue && _prevSt.Value == _prevUp.Value)
		dir = close > up ? -1 : 1;
		else
		dir = close < dn ? 1 : -1;
		
		var st = dir == -1 ? dn : up;
		
		var allowLong = TradeDirection == null || TradeDirection == Sides.Buy;
		var allowShort = TradeDirection == null || TradeDirection == Sides.Sell;
		
		// Entry/exit based on direction change
		if (allowLong && dir < 0 && Position <= 0)
			BuyMarket();
		else if (allowShort && dir > 0 && Position >= 0)
			SellMarket();
		
		_previousBbTrend = close;
		_prevAtr = atr;
		_prevUp = up;
		_prevDn = dn;
		_prevSt = st;
	}
}