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Bar Range Strategy

The Bar Range strategy enters long when the current bar's range is among the highest of recent bars and the candle closes below its open. The position is closed after a fixed number of bars.

Details

  • Entry Criteria:
    • Range = High − Low
    • Percent rank of range over LookbackPeriod ≥ PercentRankThreshold
    • Close < Open
  • Exit Criteria: Close position after ExitBars bars.
  • Default Values:
    • LookbackPeriod = 50
    • PercentRankThreshold = 95
    • ExitBars = 1
  • Filters:
    • Category: Volatility
    • Direction: Long
    • Indicators: Percent Rank
    • Stops: No
    • Complexity: Low
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
using System;
using System.Collections.Generic;
using System.Linq;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bar Range strategy.
/// Long only: buys a bearish candle (close below open) whose high-low range has a percent rank of at least PercentRankThreshold
/// among the previous LookbackPeriod ranges, and closes the long after ExitBars bars.
/// </summary>
public class BarRangeStrategy : Strategy
{
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _percentRankThreshold;
	private readonly StrategyParam<int> _exitBars;
	private readonly StrategyParam<DataType> _candleType;

	private readonly Queue<decimal> _ranges = new();
	private int _barsInPosition;

	/// <summary>
	/// Previous bars the range is ranked against.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Minimum percent rank of the range that allows an entry.
	/// </summary>
	public decimal PercentRankThreshold
	{
		get => _percentRankThreshold.Value;
		set => _percentRankThreshold.Value = value;
	}

	/// <summary>
	/// Bars after which the long is closed.
	/// </summary>
	public int ExitBars
	{
		get => _exitBars.Value;
		set => _exitBars.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BarRangeStrategy()
	{
		_lookbackPeriod = Param(nameof(LookbackPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Previous bars the range is ranked against", "Indicators");

		_percentRankThreshold = Param(nameof(PercentRankThreshold), 95m)
			.SetRange(0m, 100m)
			.SetDisplay("Percent Rank Threshold", "Minimum percent rank of the range that allows an entry", "Indicators");

		_exitBars = Param(nameof(ExitBars), 1)
			.SetGreaterThanZero()
			.SetDisplay("Exit Bars", "Bars after which the long is closed", "Trading");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_ranges.Clear();
		_barsInPosition = 0;
	}

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

		_ranges.Clear();
		_barsInPosition = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ProcessCandle)
			.Start();

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

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

		var range = candle.HighPrice - candle.LowPrice;

		// Percent rank: share of the previous LookbackPeriod ranges that do not exceed the current one.
		decimal? rank = null;
		if (_ranges.Count == LookbackPeriod)
			rank = 100m * _ranges.Count(r => r <= range) / LookbackPeriod;

		_ranges.Enqueue(range);
		while (_ranges.Count > LookbackPeriod)
			_ranges.Dequeue();

		if (Position > 0)
			_barsInPosition++;
		else
			_barsInPosition = 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			if (_barsInPosition >= ExitBars)
				SellMarket(Position);

			return;
		}

		if (Position == 0 && rank is decimal r && r >= PercentRankThreshold && candle.ClosePrice < candle.OpenPrice)
			BuyMarket(Volume);
	}
}