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超级趋势成交量策略

该策略在 Supertrend 指标的基础上加入成交量确认。 当 Supertrend 出现反转并伴随成交量上升时，新的动能更可能启动。 只有当 Supertrend 信号出现且成交量高于平均水平时，策略才顺势入场。 止损沿 Supertrend 线跟踪，若收盘穿越其另一侧则离场。

测试表明年均收益约为 145%，该策略在加密市场表现最佳。

细节

  • 入场条件：指标信号
  • 多/空：均可
  • 退出条件：止损或反向信号
  • 止损：是，按百分比
  • 默认值:
    • CandleType = 15分钟
    • StopLossPercent = 2
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3
    • VolumePeriod = 20 Supertrend翻转（收盘价位于线的另一侧）会平掉逆向持仓。仅当该K线成交量高于前VolumePeriod根K线均值时，才按翻转方向开仓，因此得到确认的翻转会反转持仓。
  • 过滤器:
    • 类别：趋势跟随
    • 方向：双向
    • 指标：Supertrend, 成交量
    • 止损：有
    • 复杂度：中等
    • 时间框架：日内
    • 季节性：否
    • 神经网络：否
    • 背离：否
    • 风险等级：中等
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Supertrend Volume strategy.
/// A Supertrend flip happens when a candle closes on the other side of the line. A position closes on the flip against it,
/// and the flip opens a position in its direction only when the candle's volume is above the average of the previous VolumePeriod candles,
/// so a confirmed flip reverses the position. A percent stop limits the loss.
/// </summary>
public class SupertrendVolumeStrategy : Strategy
{
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _volumePeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _volumes = [];
	private bool? _prevIsUpTrend;

	/// <summary>
	/// ATR period of Supertrend.
	/// </summary>
	public int SupertrendPeriod
	{
		get => _supertrendPeriod.Value;
		set => _supertrendPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier of Supertrend.
	/// </summary>
	public decimal SupertrendMultiplier
	{
		get => _supertrendMultiplier.Value;
		set => _supertrendMultiplier.Value = value;
	}

	/// <summary>
	/// Previous candles the volume is averaged over.
	/// </summary>
	public int VolumePeriod
	{
		get => _volumePeriod.Value;
		set => _volumePeriod.Value = value;
	}

	/// <summary>
	/// Stop loss percentage from entry price.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public SupertrendVolumeStrategy()
	{
		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Period", "ATR period of Supertrend", "Supertrend");

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3m)
			.SetGreaterThanZero()
			.SetDisplay("Supertrend Multiplier", "ATR multiplier of Supertrend", "Supertrend");

		_volumePeriod = Param(nameof(VolumePeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume Period", "Previous candles the volume is averaged over", "Volume");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk");

		_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();
		_volumes.Clear();
		_prevIsUpTrend = null;
	}

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

		_volumes.Clear();
		_prevIsUpTrend = null;

		var supertrend = new SuperTrend { Length = SupertrendPeriod, Multiplier = SupertrendMultiplier };

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

		StartProtection(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}

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

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

		// Volume is compared with the candles before this one.
		var average = _volumes.Count == VolumePeriod ? _volumes.Average() : (decimal?)null;

		_volumes.Add(candle.TotalVolume);

		if (_volumes.Count > VolumePeriod)
			_volumes.RemoveAt(0);

		if (!supertrendValue.IsFormed || supertrendValue is not SuperTrendIndicatorValue value)
			return;

		var isUpTrend = value.IsUpTrend;
		var wasUpTrend = _prevIsUpTrend;
		_prevIsUpTrend = isUpTrend;

		if (wasUpTrend is not bool was || was == isUpTrend)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var confirmed = average is decimal avgVolume && candle.TotalVolume > avgVolume;

		if (isUpTrend)
		{
			if (confirmed && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (Position < 0)
				BuyMarket(-Position);
		}
		else
		{
			if (confirmed && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
			else if (Position > 0)
				SellMarket(Position);
		}
	}
}