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Supertrend Adx 策略

该策略结合Supertrend指标与ADX，用于确认趋势强度。做多条件：价格高于Supertrend且ADX>25；做空条件：价格低于Supertrend且ADX>25。价格反向突破Supertrend时平仓。

测试表明年均收益约为 166%，该策略在股票市场表现最佳。

Supertrend提供经波动调整的趋势路径，ADX确认动量。当两项指标一致时入场。适合追随强劲趋势并使用跟踪止损的交易者，ATR用于确定止损。

细节

  • 入场条件:
    • 多头: Close > Supertrend && ADX > AdxThreshold
    • 空头: Close < Supertrend && ADX > AdxThreshold
  • 多/空: 双向
  • 离场条件: Supertrend反转
  • 止损: 使用Supertrend作为跟踪止损
  • 默认值:
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3.0m
    • AdxPeriod = 14
    • AdxThreshold = 25m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame() 与持仓方向相反的入场信号会反转持仓。
  • 过滤器:
    • 类别: Trend
    • 方向: 双向
    • 指标: Supertrend, ADX
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 中期
    • 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 Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Supertrend ADX strategy.
/// A close above the Supertrend line while ADX is above AdxThreshold goes long and a close below it while ADX is above the threshold goes short,
/// reversing an opposite position. The Supertrend line is the trailing stop: a long closes when price closes below it, as Supertrend flips
/// down, and a short when price closes above it.
/// </summary>
public class SupertrendAdxStrategy : Strategy
{
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<decimal> _adxThreshold;
	private readonly StrategyParam<DataType> _candleType;

	/// <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>
	/// Period of ADX.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

	/// <summary>
	/// ADX level of a strong trend.
	/// </summary>
	public decimal AdxThreshold
	{
		get => _adxThreshold.Value;
		set => _adxThreshold.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public SupertrendAdxStrategy()
	{
		_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");

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ADX Period", "Period of ADX", "ADX");

		_adxThreshold = Param(nameof(AdxThreshold), 25m)
			.SetDisplay("ADX Threshold", "ADX level of a strong trend", "ADX");

		_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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

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

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

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, adx);
			}
		}
	}

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

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

		if (adxValue is not AverageDirectionalIndexValue { MovingAverage: decimal strength })
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var line = trend.Value;
		var isUpTrend = trend.IsUpTrend;
		var close = candle.ClosePrice;
		var strong = strength > AdxThreshold;

		if (close > line && strong && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (close < line && strong && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && !isUpTrend)
			SellMarket(Position);
		else if (Position < 0 && isUpTrend)
			BuyMarket(-Position);
	}
}