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Supertrend & CCI Strategy Scalp 策略

该策略使用两条 Supertrend 线和一个平滑的 CCI 来捕捉短期反转。 当第一条 Supertrend 在价格上方、第二条在价格下方且平滑 CCI 低于 -100 时买入；做空逻辑相反。

细节

  • 入场条件: Supertrend1 在价格上方、Supertrend2 在价格下方、平滑 CCI < -100（做多）；相反条件做空
  • 多空方向: 双向
  • 出场条件: Supertrend 反向排列或 CCI 突破 ±100
  • 止损: 无
  • 默认值:
    • AtrLength1 = 14
    • Factor1 = 3
    • AtrLength2 = 14
    • Factor2 = 6
    • CciLength = 20
    • SmoothingLength = 5
    • MaType = MovingAverageTypeEnum.Simple
    • CciLevel = 100
  • 过滤器:
    • 分类: 趋势
    • 方向: 双向
    • 指标: Supertrend, CCI, Moving Average
    • 止损: 无
    • 复杂度: 基础
    • 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>
/// Supertrend CCI scalp strategy using EMA crossover.
/// </summary>
public class SupertrendCciScalpStrategy : Strategy
{
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<DataType> _candleType;

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

	public SupertrendCciScalpStrategy()
	{
		_slowLength = Param(nameof(SlowLength), 40)
			.SetGreaterThanZero()
			.SetDisplay("Slow Length", "Slow EMA period", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type", "General");
	}

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

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		var fast = new ExponentialMovingAverage { Length = 14 };
		var slow = new ExponentialMovingAverage { Length = SlowLength };
		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); }
	}
}