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Bollinger Supertrend 策略

此策略将布林带与Supertrend结合，在强劲趋势中寻找入场点。布林带衡量波动扩大，Supertrend跟踪整体趋势并充当跟踪止损。

测试表明年均收益约为 79%，该策略在股票市场表现最佳。

当价格收于上轨上方并保持在Supertrend之上时做多；当价格收于下轨下方且位于Supertrend之下时做空。价格反向突破Supertrend时离场。

该策略适合希望捕捉持续行情而非快速反转的交易者，Supertrend止损会随着市场波动自动调整。

细节

  • 入场条件:
    • 多头: Close > UpperBand && Close > Supertrend
    • 空头: Close < LowerBand && Close < Supertrend
  • 多/空: 双向
  • 离场条件:
    • 多头: 价格跌破Supertrend时平仓
    • 空头: 价格突破Supertrend时平仓
  • 止损: 通过Supertrend跟踪止损
  • 默认值:
    • BollingerPeriod = 20
    • BollingerDeviation = 2
    • SupertrendPeriod = 10
    • SupertrendMultiplier = 3
    • CandleType = TimeSpan.FromMinutes(15) 价格收于Supertrend线下方时多头平仓，收于其上方时空头平仓。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: Bollinger Bands, 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.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bollinger Supertrend strategy.
/// A close above the upper Bollinger band that is also above the Supertrend line goes long and a close below the lower band that is also
/// below the Supertrend goes short, reversing an opposite position. The Supertrend is the trailing stop: a long closes when price closes
/// below the line and a short when it closes above it.
/// </summary>
public class BollingerSupertrendStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _supertrendPeriod;
	private readonly StrategyParam<decimal> _supertrendMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Period of the Bollinger Bands.
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier of the bands.
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerSupertrendStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Period", "Period of the Bollinger Bands", "Bollinger");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("BB Deviation", "Standard deviation multiplier of the bands", "Bollinger");

		_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");

		_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 bollinger = new BollingerBands { Length = BollingerPeriod, Width = BollingerDeviation };
		var supertrend = new SuperTrend { Length = SupertrendPeriod, Multiplier = SupertrendMultiplier };

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

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

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

		if (!bollingerValue.IsFormed || !supertrendValue.IsFormed)
			return;

		var bands = (BollingerBandsValue)bollingerValue;

		if (bands.UpBand is not decimal upper || bands.LowBand is not decimal lower || supertrendValue is not SuperTrendIndicatorValue trend)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var line = trend.Value;
		var close = candle.ClosePrice;

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