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Volume Supertrend Strategy

本策略利用成交量与Supertrend指标。当成交量大于均值且价格在Supertrend上方时做多；当成交量大于均值且价格在Supertrend下方时做空，表明放量趋势。

测试表明年均收益约为 64%，该策略在外汇市场表现最佳。

适合在趋势市场中寻找机会的交易者。

细节

  • 入场条件:
    • 多头: Volume > Avg(Volume) && Price > Supertrend
    • 空头: Volume > Avg(Volume) && Price < Supertrend
  • 多/空: 双向
  • 离场条件:
    • 多头: Supertrend转向下时平仓
    • 空头: Supertrend转向上时平仓
  • 止损: 是
  • 默认值:
    • VolumeAvgPeriod = 20
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopLossPercent = 2.0m
  • 过滤器:
    • 类别: Trend
    • 方向: 双向
    • 指标: Volume Supertrend
    • 止损: 是
    • 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.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>
/// Strategy based on Volume and Supertrend indicators
/// </summary>
public class VolumeSupertrendStrategy : Strategy
{
	private readonly StrategyParam<int> _volumeAvgPeriod;
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private int _cooldown;

	/// <summary>
	/// Volume average period
	/// </summary>
	public int VolumeAvgPeriod
	{
		get => _volumeAvgPeriod.Value;
		set => _volumeAvgPeriod.Value = value;
	}

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

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

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

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

	/// <summary>
	/// Constructor
	/// </summary>
	public VolumeSupertrendStrategy()
	{
		_volumeAvgPeriod = Param(nameof(VolumeAvgPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("Volume Avg Period", "Period for volume average calculation", "Volume")
			;

		_supertrendPeriod = Param(nameof(SupertrendPeriod), 10)
			.SetRange(5, 30)
			.SetDisplay("Supertrend Period", "ATR period for Supertrend", "Supertrend")
			;

		_supertrendMultiplier = Param(nameof(SupertrendMultiplier), 3m)
			.SetRange(1m, 5m)
			.SetDisplay("Supertrend Multiplier", "Multiplier for Supertrend calculation", "Supertrend")
			;

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop-loss %", "Stop-loss as percentage of entry price", "Risk Management")
			
			.SetOptimize(1m, 3m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();

		_cooldown = 0;
	}

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

		// Initialize indicators
		var volumeMA = new ExponentialMovingAverage { Length = VolumeAvgPeriod };
		var supertrend = new SuperTrend
		{
			Length = SupertrendPeriod,
			Multiplier = SupertrendMultiplier
		};

		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(supertrend, volumeMA, ProcessSignals)
			.Start();

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

	private void ProcessSignals(ICandleMessage candle, IIndicatorValue supertrendValue, IIndicatorValue volumeValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		if (_cooldown > 0)
			_cooldown--;

		if (_cooldown == 0 && Position <= 0)
		{
			BuyMarket();
			_cooldown = 500;
		}
	}
}