用Python编写基于Supertrend“超级趋势线”强化策略

『正文』

简文：

什么是超级趋势指标SuperTrend Indicator?

超级趋势指标SuperTrend Indicator是一个在外汇交易中常用指标，它的设计者是Jason Robinson。它的主要用途是确定价格趋势，和进行趋势追踪。

超级趋势指标SuperTrend Indicator的计算公式：

在做多时：

超级趋势指标SuperTrend =（最高价最低价）/2 – N*ATR(M)

在作图中，这个值只上移不下移，就是取近期的最高值。

在做空时：

超级趋势指标= （最高价最低价）/2 N*ATR(M)

在作图中，这个值只下移不上移，就是取近期的最低值。

在这个指标当中适用了均值（H L）/2，和ATR真是波动幅度的概念。在设置它的参数时，要考虑两个值，N，M。一个用来计算ATR的倍数，一个用来计算ATR的周期数。例如，周期数可以是10日，倍数可以是3倍，这是这个指标的基本设置。对于不同的交易市场，和交易对象来说，这两个参数是可以优化的。它的计算方法与肯特纳通道Ｋｅｌｔｎｅｒ　Ｃｈａｎｎｅｌｓ很相似。

超级趋势指标SuperTrend的主要用途：

1，可以作为决定趋势的过滤器；在上升趋势时，做多；在下降趋势中，做空。

2，可以作为趋势追踪止损。在做多有盈利时，当收盘价小于这个指标近期最高值时，卖出，这样可以锁定利润，又不会因为止盈而错过大趋势。当然，它的正确适用和它的参数设置有密切关系。

原版源码：

/ This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/// © LonesomeTheBlue

//@version=4study('Pivot Point SuperTrend', overlay = true)prd = input(defval = 2, title='Pivot Point Period', minval = 1, maxval = 50)Factor=input(defval = 3, title = 'ATR Factor', minval = 1, step = 0.1)Pd=input(defval = 10, title = 'ATR Period', minval=1)showpivot = input(defval = false, title='Show Pivot Points')showlabel = input(defval = true, title='Show Buy/Sell Labels')showcl = input(defval = false, title='Show PP Center Line')showsr = input(defval = false, title='Show Support/Resistance')

float ph = nafloat pl = naph := pivothigh(prd, prd)pl := pivotlow(prd, prd)

plotshape(ph and showpivot, text='H',  style=shape.labeldown, color=na, textcolor=color.red, location=location.abovebar, transp=0, offset = -prd)

plotshape(pl and showpivot, text='L',  style=shape.labeldown, color=na, textcolor=color.lime, location=location.belowbar, transp=0, offset = -prd)

float center = nacenter := center[1]float lastpp = ph ? ph : pl ? pl : naif lastpp if na(center) center := lastpp else center := (center * 2 lastpp) / 3

Up = center - (Factor * atr(Pd))Dn = center (Factor * atr(Pd))

float TUp = nafloat TDown = naTrend = 0TUp := close[1] > TUp[1] ? max(Up, TUp[1]) : UpTDown := close[1] < TDown[1] ? min(Dn, TDown[1]) : DnTrend := close > TDown[1] ? 1: close < TUp[1]? -1: nz(Trend[1], 1)Trailingsl = Trend == 1 ? TUp : TDown

linecolor = Trend == 1 and nz(Trend[1]) == 1 ? color.lime : Trend == -1 and nz(Trend[1]) == -1 ? color.red : naplot(Trailingsl, color = linecolor , linewidth = 2, title = 'PP SuperTrend')

plot(showcl ? center : na, color = showcl ? center < hl2 ? color.blue : color.red : na, transp = 0)

bsignal = Trend == 1 and Trend[1] == -1ssignal = Trend == -1 and Trend[1] == 1

plotshape(bsignal and showlabel ? Trailingsl : na, title='Buy', text='Buy', location = location.absolute, style = shape.labelup, size = size.tiny, color = color.lime, textcolor = color.black, transp = 0)

plotshape(ssignal and showlabel ? Trailingsl : na, title='Sell', text='Sell', location = location.absolute, style = shape.labeldown, size = size.tiny, color = color.red, textcolor = color.white, transp = 0)

float resistance = nafloat support = nasupport := pl ? pl : support[1]resistance := ph ? ph : resistance[1]

plot(showsr and support ? support : na, color = showsr and support ? color.lime : na, style = plot.style_circles, offset = -prd)

plot(showsr and resistance ? resistance : na, color = showsr and resistance ? color.red : na, style = plot.style_circles, offset = -prd)

alertcondition(Trend == 1 and Trend[1] == -1, title='Buy Signal', message='Buy Signal')alertcondition(Trend == -1 and Trend[1] == 1, title='Sell Signal', message='Sell Signal')alertcondition(change(Trend), title='Trend Changed', message='Trend Changed')

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