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多周期AI SuperTrend结合ADX策略

该策略结合两个SuperTrend指标和ADX强度过滤器。通过比较价格WMA与SuperTrend WMA来确认趋势方向。当两个SuperTrend均为多头且ADX显示正向强度时开多；相反条件下开空。第一个SuperTrend的ATR用作追踪止损。

  • 多头：两个SuperTrend多头，价格WMA高于SuperTrend WMA，+DI > -DI且ADX高于阈值。
  • 空头：两个SuperTrend空头，价格WMA低于SuperTrend WMA，-DI > +DI且ADX高于阈值。
  • 指标：SuperTrend、WMA、ATR、ADX。
  • 止损：基于第一个SuperTrend的ATR追踪止损。
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>
/// Multi-TF AI SuperTrend with ADX Strategy - simplified EMA cross with RSI filter.
/// </summary>
public class MultiTfAiSuperTrendWithAdxStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<int> _rsiLength;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int FastLength { get => _fastLength.Value; set => _fastLength.Value = value; }
	public int SlowLength { get => _slowLength.Value; set => _slowLength.Value = value; }
	public int RsiLength { get => _rsiLength.Value; set => _rsiLength.Value = value; }

	public MultiTfAiSuperTrendWithAdxStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
		_fastLength = Param(nameof(FastLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Indicators");
		_slowLength = Param(nameof(SlowLength), 30)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Indicators");
		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI", "RSI period", "Indicators");
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var fast = new ExponentialMovingAverage { Length = FastLength };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };

		var prevFast = 0m;
		var prevSlow = 0m;
		var initialized = false;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(fast, slow, rsi, (candle, fastVal, slowVal, rsiVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				if (!fast.IsFormed || !slow.IsFormed || !rsi.IsFormed)
					return;

				if (!initialized)
				{
					prevFast = fastVal;
					prevSlow = slowVal;
					initialized = true;
					return;
				}

				// EMA crossover with RSI confirmation
				if (prevFast <= prevSlow && fastVal > slowVal && rsiVal > 45 && Position <= 0)
					BuyMarket();
				else if (prevFast >= prevSlow && fastVal < slowVal && rsiVal < 55 && Position > 0)
					SellMarket();

				prevFast = fastVal;
				prevSlow = slowVal;
			})
			.Start();

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