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Bollinger Bands Long Strategy

This strategy buys when the price closes below the lower Bollinger Band and the RSI is oversold. It exits the long position once price returns to the middle band.

Details

  • Entry Criteria:
    • Price closes below the lower Bollinger Band.
    • RSI below the oversold level.
  • Long/Short: Long only.
  • Exit Criteria:
    • Price closes at or above the middle Bollinger Band.
  • Stops: No.
  • Default Values:
    • BbLength = 10
    • BbDeviation = 2
    • RsiLength = 14
    • RsiOversold = 30
  • Filters:
    • Category: Mean reversion
    • Direction: Long
    • Indicators: Bollinger Bands, RSI
    • Stops: No
    • Complexity: Low
    • Timeframe: Any
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bollinger Bands Long strategy.
/// Long only: buys when the close is below the lower Bollinger band and RSI is below RsiOversold, and closes the long once the close
/// is at or above the middle band.
/// </summary>
public class BollingerBandsLongStrategy : Strategy
{
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbDeviation;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Bollinger period.
	/// </summary>
	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	/// <summary>
	/// Bollinger standard deviation multiplier.
	/// </summary>
	public decimal BbDeviation
	{
		get => _bbDeviation.Value;
		set => _bbDeviation.Value = value;
	}

	/// <summary>
	/// RSI period.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerBandsLongStrategy()
	{
		_bbLength = Param(nameof(BbLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger period", "Bollinger");

		_bbDeviation = Param(nameof(BbDeviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("BB Deviation", "Bollinger standard deviation multiplier", "Bollinger");

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

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI oversold level", "RSI");

		_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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var bollinger = new BollingerBands { Length = BbLength, Width = BbDeviation };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bollinger, rsi, ProcessCandle)
			.Start();

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, rsi);
			}
		}
	}

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

		if (!bollingerValue.IsFormed || !rsiValue.IsFormed)
			return;

		var bands = (BollingerBandsValue)bollingerValue;

		if (bands.LowBand is not decimal lower || bands.MovingAverage is not decimal middle)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var rsi = rsiValue.GetValue<decimal>();

		if (Position == 0 && close < lower && rsi < RsiOversold)
			BuyMarket(Volume);
		else if (Position > 0 && close >= middle)
			SellMarket(Position);
	}
}