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枢轴点 SuperTrend 趋势过滤 策略

该策略将基于枢轴点的 SuperTrend 与另一个 SuperTrend 趋势过滤器及移动平均线结合使用。当趋势翻转或枢轴 SuperTrend 在指定日期范围内发出信号时进行交易。

细节

  • 入场条件：
    • 趋势过滤器转为上行且价格位于移动平均线之上。
    • 枢轴 SuperTrend 在设定的日期范围内给出买入信号。
  • 出场条件：
    • 趋势过滤器转为下行或枢轴 SuperTrend 给出卖出信号。
  • 止损：无
  • 默认值：
    • PivotPeriod = 2
    • Factor = 3
    • AtrPeriod = 10
    • TrendAtrPeriod = 10
    • TrendMultiplier = 3
    • MaPeriod = 20
  • 过滤器：
    • 类别：Trend
    • 方向：双向
    • 指标：Pivot, SuperTrend, SMA
    • 止损：无
    • 复杂度：中等
    • 时间框架：任意
    • 季节性：可选
    • 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>
/// Pivot Point SuperTrend with trend filter strategy.
/// Uses EMA crossover with SMA trend filter.
/// </summary>
public class PivotPointSuperTrendTrendFilterStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _maPeriod;

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

	/// <summary>
	/// Slow moving average period.
	/// </summary>
	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }

	/// <summary>
	/// Constructor.
	/// </summary>
	public PivotPointSuperTrendTrendFilterStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");

		_maPeriod = Param(nameof(MaPeriod), 40)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Slow EMA period", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType)];

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

		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = MaPeriod };

		var prevF = 0m;
		var prevS = 0m;
		var init = false;
		var lastSignal = DateTimeOffset.MinValue;
		var cooldown = TimeSpan.FromMinutes(360);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(fast, slow, (candle, f, s) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

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

				if (!init)
				{
					prevF = f;
					prevS = s;
					init = true;
					return;
				}

				if (candle.OpenTime - lastSignal >= cooldown)
				{
					if (prevF <= prevS && f > s && Position <= 0)
					{
						BuyMarket();
						lastSignal = candle.OpenTime;
					}
					else if (prevF >= prevS && f < s && Position >= 0)
					{
						SellMarket();
						lastSignal = candle.OpenTime;
					}
				}

				prevF = f;
				prevS = s;
			})
			.Start();

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