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CaiChannel System Digit Strategy

This strategy is a simplified StockSharp port of the MetaTrader expert i-CAiChannel System Digit.

The algorithm monitors a volatility channel built from a moving average and standard deviation (Bollinger Bands). When a candle closes outside the channel and the next candle returns inside, the strategy trades in the direction of the re-entry.

Parameters

  • Length – period of the moving average.
  • Width – standard deviation multiplier.
  • Candle Type – timeframe for processing.

Trading Logic

  1. Subscribe to candles of the selected timeframe.
  2. Calculate Bollinger Bands with the specified parameters.
  3. If the previous candle closed above the upper band and the current candle closes back inside, go long.
  4. If the previous candle closed below the lower band and the current candle closes back inside, go short.
  5. The position is reversed when the opposite signal occurs.

All signals are generated only on finished candles.

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>
/// CAiChannel System Digit strategy using Bollinger Bands.
/// Buys when price returns inside from above the upper band.
/// Sells when price returns inside from below the lower band.
/// </summary>
public class CaiChannelSystemDigitStrategy : Strategy
{
	private readonly StrategyParam<int> _length;
	private readonly StrategyParam<decimal> _width;
	private readonly StrategyParam<DataType> _candle;
	private bool _prevUp;
	private bool _prevDown;

	public int Length { get => _length.Value; set => _length.Value = value; }
	public decimal Width { get => _width.Value; set => _width.Value = value; }
	public DataType CandleType { get => _candle.Value; set => _candle.Value = value; }

	public CaiChannelSystemDigitStrategy()
	{
		_length = Param(nameof(Length), 12).SetGreaterThanZero();
		_width = Param(nameof(Width), 2m).SetGreaterThanZero();
		_candle = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame());
	}

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

	protected override void OnReseted()
	{
		base.OnReseted();
		_prevUp = false;
		_prevDown = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		_prevUp = false;
		_prevDown = false;

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

		var sub = SubscribeCandles(CandleType);
		sub.BindEx(bb, Process).Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (bbVal is not IBollingerBandsValue bb || bb.UpBand is not decimal up || bb.LowBand is not decimal down)
			return;

		if (_prevUp && candle.ClosePrice <= up && Position <= 0)
			BuyMarket();
		else if (_prevDown && candle.ClosePrice >= down && Position >= 0)
			SellMarket();

		_prevUp = candle.ClosePrice > up;
		_prevDown = candle.ClosePrice < down;
	}
}