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Supertrend 反转策略

Supertrend 指标结合 ATR 和价格生成跟随式支撑/阻力。当该线从价格上方翻到下方或相反时，可能预示趋势转换。本策略交易这种翻转。

测试表明年均收益约为 151%，该策略在股票市场表现最佳。

每根K线根据 ATR 计算更新 Supertrend 水平。当指标从价格上方转至下方时做多；从下方转至上方时做空。示例代码未设置明确止损，因此离场需手动或由其他风险模块控制。

由于该指标对波动反应较快，交易者常配合其他过滤器减少假信号。

细节

  • 入场条件：Supertrend 相对于价格翻转。
  • 多/空：双向。
  • 退出条件：手动或外部止损。
  • 止损：未定义。
  • 默认值：
    • Period = 10
    • Multiplier = 3.0
    • CandleType = 15 分钟
  • 过滤条件：
    • 类别: 趋势跟随
    • 方向: 双向
    • 指标: Supertrend
    • 止损: 可选
    • 复杂度: 基础
    • 时间框架: 日内
    • 季节性: 无
    • 神经网络: 无
    • 背离: 无
    • 风险级别: 中等
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Supertrend Reversal strategy.
/// Uses the built-in SuperTrend indicator.
/// Enters long when SuperTrend flips to uptrend (below price).
/// Enters short when SuperTrend flips to downtrend (above price).
/// Uses cooldown to control trade frequency.
/// </summary>
public class SupertrendReversalStrategy : Strategy
{
	private readonly StrategyParam<int> _period;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private bool? _prevIsUpTrend;
	private int _cooldown;

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

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

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Cooldown bars.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public SupertrendReversalStrategy()
	{
		_period = Param(nameof(Period), 10)
			.SetRange(7, 20)
			.SetDisplay("Period", "ATR period for SuperTrend", "SuperTrend");

		_multiplier = Param(nameof(Multiplier), 3.0m)
			.SetRange(2.0m, 4.0m)
			.SetDisplay("Multiplier", "ATR multiplier for SuperTrend", "SuperTrend");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_cooldownBars = Param(nameof(CooldownBars), 500)
			.SetRange(1, 1000)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevIsUpTrend = null;
		_cooldown = default;
	}

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

		_prevIsUpTrend = null;
		_cooldown = 0;

		var superTrend = new SuperTrend
		{
			Length = Period,
			Multiplier = Multiplier
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(superTrend, ProcessCandle)
			.Start();

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

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue stValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!stValue.IsFormed)
			return;

		var stTyped = (SuperTrendIndicatorValue)stValue;
		var isUpTrend = stTyped.IsUpTrend;

		if (_prevIsUpTrend == null)
		{
			_prevIsUpTrend = isUpTrend;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevIsUpTrend = isUpTrend;
			return;
		}

		// SuperTrend flipped to uptrend = bullish
		var flippedUp = _prevIsUpTrend == false && isUpTrend;
		// SuperTrend flipped to downtrend = bearish
		var flippedDown = _prevIsUpTrend == true && !isUpTrend;

		if (Position == 0 && flippedUp)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (Position == 0 && flippedDown)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position > 0 && flippedDown)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && flippedUp)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}

		_prevIsUpTrend = isUpTrend;
	}
}