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BBands Stop Strategy

This strategy uses the BBands Stop indicator derived from Bollinger Bands to follow market trends. When the stop line flips upward, it closes any short position and opens a long one. A downward flip closes long positions and opens short. Parameters control Bollinger period, deviation, risk offset and permissions for entering or exiting longs and shorts.

Details

  • Entry Criteria:
    • Long: Uptrend stop line is active.
    • Short: Downtrend stop line is active.
  • Long/Short: Both.
  • Exit Criteria:
    • Opposite stop signal.
  • Stops: Trailing stop from Bollinger Bands.
  • Filters: None.
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 stop based trend following strategy.
/// </summary>
public class BBandsStopStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _deviation;
	private readonly StrategyParam<decimal> _moneyRisk;
	private readonly StrategyParam<bool> _buyPosOpen;
	private readonly StrategyParam<bool> _sellPosOpen;
	private readonly StrategyParam<bool> _buyPosClose;
	private readonly StrategyParam<bool> _sellPosClose;

	private int _trend;
	private decimal _smax1;
	private decimal _smin1;
	private decimal _bsmax1;
	private decimal _bsmin1;
	private bool _initialized;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int Length { get => _length.Value; set => _length.Value = value; }
	public decimal Deviation { get => _deviation.Value; set => _deviation.Value = value; }
	public decimal MoneyRisk { get => _moneyRisk.Value; set => _moneyRisk.Value = value; }
	public bool BuyPosOpen { get => _buyPosOpen.Value; set => _buyPosOpen.Value = value; }
	public bool SellPosOpen { get => _sellPosOpen.Value; set => _sellPosOpen.Value = value; }
	public bool BuyPosClose { get => _buyPosClose.Value; set => _buyPosClose.Value = value; }
	public bool SellPosClose { get => _sellPosClose.Value; set => _sellPosClose.Value = value; }

	public BBandsStopStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles", "General");
		_length = Param(nameof(Length), 20)
		.SetDisplay("Length", "Bollinger period", "Indicator");
		_deviation = Param(nameof(Deviation), 1.5m)
		.SetDisplay("Deviation", "Bollinger deviation", "Indicator");
		_moneyRisk = Param(nameof(MoneyRisk), 1m)
		.SetDisplay("Money Risk", "Offset factor", "Indicator");
		_buyPosOpen = Param(nameof(BuyPosOpen), true)
		.SetDisplay("Buy Open", "Allow to enter long", "Trading");
		_sellPosOpen = Param(nameof(SellPosOpen), true)
		.SetDisplay("Sell Open", "Allow to enter short", "Trading");
		_buyPosClose = Param(nameof(BuyPosClose), true)
		.SetDisplay("Buy Close", "Allow to exit long", "Trading");
		_sellPosClose = Param(nameof(SellPosClose), true)
		.SetDisplay("Sell Close", "Allow to exit short", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_trend = 0;
		_smax1 = 0;
		_smin1 = 0;
		_bsmax1 = 0;
		_bsmin1 = 0;
		_initialized = false;
	}

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

		var bb = new BollingerBands
		{
		Length = Length,
		Width = Deviation
		};

		SubscribeCandles(CandleType).BindEx(bb, ProcessCandle).Start();
	}

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

		var bbVal = (BollingerBandsValue)value;

		if (bbVal.UpBand is not decimal upper ||
			bbVal.LowBand is not decimal lower ||
			bbVal.MovingAverage is not decimal middle)
			return;

		var mRisk = 0.5m * (MoneyRisk - 1m);
		var smax0 = upper;
		var smin0 = lower;

		if (!_initialized)
		{
		_initialized = true;
		_smax1 = smax0;
		_smin1 = smin0;
		var firstOffset = mRisk * (smax0 - smin0);
		_bsmax1 = smax0 + firstOffset;
		_bsmin1 = smin0 - firstOffset;
		return;
		}

		var prevTrend = _trend;

		if (candle.ClosePrice > _smax1)
		_trend = 1;
		else if (candle.ClosePrice < _smin1)
		_trend = -1;

		if (_trend > 0 && smin0 < _smin1)
		smin0 = _smin1;
		else if (_trend < 0 && smax0 > _smax1)
		smax0 = _smax1;

		var dsize = mRisk * (smax0 - smin0);
		var bsmax0 = smax0 + dsize;
		var bsmin0 = smin0 - dsize;

		if (_trend > 0 && bsmin0 < _bsmin1)
		bsmin0 = _bsmin1;
		else if (_trend < 0 && bsmax0 > _bsmax1)
		bsmax0 = _bsmax1;

		if (_trend > 0 && prevTrend <= 0)
		{
		if (SellPosClose && Position < 0)
		BuyMarket();
		if (BuyPosOpen && Position <= 0)
		BuyMarket();
		}
		else if (_trend < 0 && prevTrend >= 0)
		{
		if (BuyPosClose && Position > 0)
		SellMarket();
		if (SellPosOpen && Position >= 0)
		SellMarket();
		}

		_smax1 = smax0;
		_smin1 = smin0;
		_bsmax1 = bsmax0;
		_bsmin1 = bsmin0;
	}
}