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TTM Squeeze Strategy

The TTM Squeeze strategy looks for periods of price compression when Bollinger Bands contract inside Keltner Channels. This "squeeze" signals a potential volatility expansion. During the squeeze the strategy monitors a linear regression momentum oscillator and RSI to gauge direction. When the squeeze releases and momentum turns, positions are taken in the direction of the move.

The method seeks explosive breakouts from quiet ranges. Trades are filtered so that long setups require momentum rising from below zero with RSI above 30, while short setups need momentum falling from positive territory with RSI below 70. An optional take-profit parameter can automatically close trades at a predefined gain.

Details

  • Entry Criteria:
    • Squeeze off (Bollinger Bands outside Keltner Channels).
    • Long: Momentum < 0 and rising, RSI > 30.
    • Short: Momentum > 0 and falling, RSI < 70.
  • Long/Short: Both sides.
  • Exit Criteria:
    • Opposite signal or take-profit if enabled.
  • Stops: None by default, optional take-profit.
  • Default Values:
    • SqueezeLength = 20
    • RsiLength = 14
    • UseTP = False
    • TpPercent = 1.2
  • Filters:
    • Category: Volatility breakout
    • Direction: Both
    • Indicators: Bollinger Bands, Keltner Channels, RSI, Linear Regression
    • Stops: Optional
    • Complexity: Medium
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>
/// TTM Squeeze Strategy.
/// Detects volatility squeeze using BB width narrowing, then trades breakouts.
/// Uses RSI for momentum confirmation.
/// Buys when BB width expands from narrow and RSI > 50.
/// Sells when BB width expands from narrow and RSI less than 50.
/// </summary>
public class TtmSqueezeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private BollingerBands _bb;
	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema;

	private decimal _prevBbWidth;
	private decimal _minBbWidth;
	private int _narrowBars;
	private int _cooldownRemaining;

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

	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public TtmSqueezeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_bbLength = Param(nameof(BbLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Indicators");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "RSI period", "Indicators");

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

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

		_bb = null;
		_rsi = null;
		_ema = null;
		_prevBbWidth = 0;
		_minBbWidth = decimal.MaxValue;
		_narrowBars = 0;
		_cooldownRemaining = 0;
	}

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

		_bb = new BollingerBands { Length = BbLength, Width = 2.0m };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_ema = new ExponentialMovingAverage { Length = BbLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_bb, _rsi, _ema, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, IIndicatorValue bbValue, IIndicatorValue rsiValue, IIndicatorValue emaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_bb.IsFormed || !_rsi.IsFormed || !_ema.IsFormed)
			return;

		if (bbValue.IsEmpty || rsiValue.IsEmpty || emaValue.IsEmpty)
			return;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal mid)
			return;

		var rsiVal = rsiValue.ToDecimal();
		var emaVal = emaValue.ToDecimal();

		// Calculate BB width as percentage
		var bbWidth = mid > 0 ? (upper - lower) / mid * 100 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevBbWidth = bbWidth;
			_minBbWidth = Math.Min(_minBbWidth, bbWidth);
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevBbWidth = bbWidth;
			_minBbWidth = Math.Min(_minBbWidth, bbWidth);
			return;
		}

		if (_prevBbWidth == 0)
		{
			_prevBbWidth = bbWidth;
			_minBbWidth = bbWidth;
			return;
		}

		// Track narrow BB (squeeze)
		if (bbWidth <= _minBbWidth * 1.1m)
		{
			_narrowBars++;
			_minBbWidth = Math.Min(_minBbWidth, bbWidth);
		}
		else if (bbWidth > _prevBbWidth && _narrowBars >= 3)
		{
			// BB is expanding after squeeze - breakout
			if (rsiVal > 50 && candle.ClosePrice > emaVal && Position <= 0)
			{
				if (Position < 0)
					BuyMarket(Math.Abs(Position));
				BuyMarket(Volume);
				_cooldownRemaining = CooldownBars;
				_narrowBars = 0;
				_minBbWidth = bbWidth;
			}
			else if (rsiVal < 50 && candle.ClosePrice < emaVal && Position >= 0)
			{
				if (Position > 0)
					SellMarket(Math.Abs(Position));
				SellMarket(Volume);
				_cooldownRemaining = CooldownBars;
				_narrowBars = 0;
				_minBbWidth = bbWidth;
			}
			else
			{
				_narrowBars = 0;
				_minBbWidth = bbWidth;
			}
		}
		else
		{
			_narrowBars = 0;
			_minBbWidth = bbWidth;
		}

		// Exit long: price falls below lower BB
		if (Position > 0 && candle.ClosePrice < lower)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: price rises above upper BB
		else if (Position < 0 && candle.ClosePrice > upper)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevBbWidth = bbWidth;
	}
}