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Bollinger Bands Abstand-Strategie

Strategie für den Handel von Bollinger-Bands-Umkehrungen mit einem zusätzlichen Abstandsfilter. Verkauft, wenn der Preis über dem oberen Band plus einem festgelegten Abstand schließt, und kauft, wenn er unter dem unteren Band minus demselben Abstand schließt. Positionen werden durch ein Gewinnziel oder einen Stop-Loss in Preisschritten geschlossen.

Details

  • Einstiegskriterien:
    • Long: Schluss unterhalb des unteren Bollinger Bands minus Abstand
    • Short: Schluss oberhalb des oberen Bollinger Bands plus Abstand
  • Long/Short: Beide
  • Ausstiegskriterien:
    • Gewinnziel erreicht
    • Stop-Loss erreicht
  • Stops: Absolut in Preisschritten
  • Standardwerte:
    • BollingerPeriod = 4
    • BollingerDeviation = 2m
    • BandDistance = 3m
    • ProfitTarget = 3m
    • LossLimit = 20m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filter:
    • Kategorie: Umkehr
    • Richtung: Beide
    • Indikatoren: Bollinger Bands
    • Stops: Ja
    • Komplexität: Grundlegend
    • Zeitrahmen: Kurzfristig
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
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>
/// Strategy trading reversals from Bollinger Bands with extra distance.
/// </summary>
public class BollingerBandsDistanceStrategy : Strategy
{
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<decimal> _bbDeviation;
	private readonly StrategyParam<decimal> _bandDistance;
	private readonly StrategyParam<DataType> _candleType;

	private readonly List<decimal> _closes = new();

	public int BollingerPeriod
	{
		get => _bbPeriod.Value;
		set => _bbPeriod.Value = value;
	}

	public decimal BollingerDeviation
	{
		get => _bbDeviation.Value;
		set => _bbDeviation.Value = value;
	}

	public decimal BandDistance
	{
		get => _bandDistance.Value;
		set => _bandDistance.Value = value;
	}

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

	public BollingerBandsDistanceStrategy()
	{
		_bbPeriod = Param(nameof(BollingerPeriod), 20)
			.SetDisplay("BB Period", "Bollinger Bands length", "Parameters");

		_bbDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetDisplay("Deviation", "Bollinger Bands deviation", "Parameters");

		_bandDistance = Param(nameof(BandDistance), 1m)
			.SetDisplay("Band Distance", "Extra distance from bands in price steps", "Parameters");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_closes.Clear();
	}

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

		SubscribeCandles(CandleType)
			.Bind(ProcessCandle)
			.Start();

		StartProtection(
			new Unit(2000m, UnitTypes.Absolute),
			new Unit(1000m, UnitTypes.Absolute));
	}

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

		_closes.Add(candle.ClosePrice);
		if (_closes.Count > BollingerPeriod)
			_closes.RemoveAt(0);

		if (_closes.Count < BollingerPeriod)
			return;

		var sum = 0m;
		foreach (var close in _closes)
			sum += close;

		var middle = sum / _closes.Count;
		var variance = 0m;
		foreach (var close in _closes)
		{
			var delta = close - middle;
			variance += delta * delta;
		}

		var stdDev = (decimal)Math.Sqrt((double)(variance / _closes.Count));
		var upper = middle + BollingerDeviation * stdDev;
		var lower = middle - BollingerDeviation * stdDev;
		var closePrice = candle.ClosePrice;
		var distance = BandDistance * (Security?.PriceStep ?? 1m);

		if (Position > 0 && closePrice >= middle)
			SellMarket();
		else if (Position < 0 && closePrice <= middle)
			BuyMarket();

		if (Position == 0)
		{
			if (closePrice > upper + distance)
				SellMarket();
			else if (closePrice < lower - distance)
				BuyMarket();
		}
	}
}