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BBSR Extreme

A band reentry strategy with an EMA slope filter and ATR protection. C, L, U, E denote raw close, lower band, upper band and EMA; p denotes the preceding formed candle.

Trading rules

Long: C[p] < L[p] && C > L && E > E[p]. Short: C[p] > U[p] && C < U && E < E[p]. Equality does not pass. Enter only while flat, by Volume; no pyramiding, reversal or fixed bar cooldown.

Freeze A = ATR from the signal candle before submitting the entry. Native local market protection uses the actual fill: long stop/target fill - 2A / fill + 3A; short fill + 2A / fill - 3A. Multipliers are parameters. Later ATR values do not move these levels. Bid/ask subscriptions allow exits between signal candles and close the actual filled volume.

Only finished candles and fully formed indicators can generate entries. An existing position is managed until its exit; pending market orders prevent duplicate submissions.

Bollinger deviation is the population standard deviation of the rolling closes, including the current finished candle.

Parameters

Parameter Default
BollingerPeriod 20
BollingerMultiplier 2
MaLength 7 (EMA)
AtrLength 14 (Wilder)
AtrStopMultiplier 2
AtrProfitMultiplier 3
CandleType 5m 
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 uses Bollinger Bands breakout with moving average trend filter and ATR-based exits.
/// </summary>
public class BbsrExtremeStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerMultiplier;
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrStopMultiplier;
	private readonly StrategyParam<decimal> _atrProfitMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevLower;
	private decimal _prevUpper;
	private decimal _prevClose;
	private decimal _prevMa;
	private bool _isInitialized;
	private Order _pending;

	private bool IsPending => _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed);

	/// <summary>
	/// Period for Bollinger Bands calculation.
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for Bollinger Bands.
	/// </summary>
	public decimal BollingerMultiplier
	{
		get => _bollingerMultiplier.Value;
		set => _bollingerMultiplier.Value = value;
	}

	/// <summary>
	/// Moving average length.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop calculation.
	/// </summary>
	public decimal AtrStopMultiplier
	{
		get => _atrStopMultiplier.Value;
		set => _atrStopMultiplier.Value = value;
	}

	/// <summary>
	/// ATR multiplier for take profit.
	/// </summary>
	public decimal AtrProfitMultiplier
	{
		get => _atrProfitMultiplier.Value;
		set => _atrProfitMultiplier.Value = value;
	}

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

	/// <summary>
	/// Initializes the strategy.
	/// </summary>
	public BbsrExtremeStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Bollinger Bands length", "Indicators");

		_bollingerMultiplier = Param(nameof(BollingerMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Multiplier", "Standard deviation multiplier", "Indicators");

		_maLength = Param(nameof(MaLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "Length for moving average", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR indicator period", "Risk Management");

		_atrStopMultiplier = Param(nameof(AtrStopMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Stop Multiplier", "ATR multiplier for stop", "Risk Management");

		_atrProfitMultiplier = Param(nameof(AtrProfitMultiplier), 3m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Profit Multiplier", "ATR multiplier for take profit", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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();
		_prevLower = default;
		_prevUpper = default;
		_prevClose = default;
		_prevMa = default;
		_isInitialized = false;
		_pending = null;
	}

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

		var bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerMultiplier
		};

		var ma = new EMA
		{
			Length = MaLength
		};

		var atr = new AverageTrueRange
		{
			Length = AtrLength
		};

		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Start();
		}

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx([bollinger, ma, atr], ProcessCandle)
			.Start();

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

	}


	private void ProcessCandle(ICandleMessage candle, IIndicatorValue[] values)
	{
		if (candle.State != CandleStates.Finished
			|| values[0] is not BollingerBandsValue bb || !values[0].IsFormed
			|| bb.UpBand is not decimal upper || bb.LowBand is not decimal lower
			|| !values[1].IsFormed || !values[2].IsFormed)
			return;
		var ma = values[1].GetValue<decimal>();
		var atr = values[2].GetValue<decimal>();
		var bull = _isInitialized && _prevClose < _prevLower && candle.ClosePrice > lower && ma > _prevMa;
		var bear = _isInitialized && _prevClose > _prevUpper && candle.ClosePrice < upper && ma < _prevMa;
		_prevLower = lower;
		_prevUpper = upper;
		_prevClose = candle.ClosePrice;
		_prevMa = ma;
		_isInitialized = true;
		if (Position != 0m || IsPending || atr <= 0m || !IsFormedAndOnlineAndAllowTrading())
			return;
		if (!bull && !bear)
			return;
		// Freeze distances before registering the entry; native protection anchors them to actual fills.
		StartProtection(new Unit(atr * AtrProfitMultiplier, UnitTypes.Absolute),
			new Unit(atr * AtrStopMultiplier, UnitTypes.Absolute), useMarketOrders: true, isLocalStop: true);
		_pending = CreateOrder(bull ? Sides.Buy : Sides.Sell, 0m, Volume);
		_pending.Type = OrderTypes.Market;
		_pending.Comment = "0556Entry";
		RegisterOrder(_pending);
	}

}