Español ES
Ver en GitHub

Estrategia de Rompimiento por Ancho de Banda Bollinger

La estrategia de Rompimiento por Ancho de Banda Bollinger rastrea el Bollinger en busca de expansiones fuertes. Cuando las lecturas saltan más allá de su rango normal, el precio a menudo inicia un nuevo movimiento.

Las pruebas indican un rendimiento anual promedio de aproximadamente 109%. Funciona mejor en el mercado de criptomonedas.

Una posición se abre una vez que el indicador perfora una banda derivada de datos recientes y un multiplicador de desviación. Son posibles operaciones largas y cortas con un stop adjunto.

Este sistema es adecuado para operadores de momentum que buscan rompimientos tempranos. Las operaciones se cierran cuando el Bollinger vuelve hacia la media. Los valores predeterminados comienzan con BollingerLength = 20.

Detalles

  • Criterios de entrada: El indicador supera el promedio por el multiplicador de desviación.
  • Largo/Corto: Ambos direcciones.
  • Criterios de salida: El indicador revierte al promedio.
  • Stops: Sí.
  • Valores predeterminados:
    • BollingerLength = 20
    • BollingerDeviation = 2.0m
    • AvgPeriod = 20
    • Multiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
    • StopMultiplier = 2
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: Bollinger
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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 that trades on Bollinger Band width breakouts.
/// When Bollinger Band width increases significantly above its average, 
/// it enters position in the direction determined by price movement.
/// </summary>
public class BollingerWidthBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerLength;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _avgPeriod;
	private readonly StrategyParam<decimal> _multiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _stopMultiplier;
	
	private BollingerBands _bollinger;
	private SimpleMovingAverage _widthAverage;
	private AverageTrueRange _atr;

	/// <summary>
	/// Bollinger Bands period.
	/// </summary>
	public int BollingerLength
	{
		get => _bollingerLength.Value;
		set => _bollingerLength.Value = value;
	}
	
	/// <summary>
	/// Bollinger Bands standard deviation multiplier.
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}
	
	/// <summary>
	/// Period for width average calculation.
	/// </summary>
	public int AvgPeriod
	{
		get => _avgPeriod.Value;
		set => _avgPeriod.Value = value;
	}
	
	/// <summary>
	/// Standard deviation multiplier for breakout detection.
	/// </summary>
	public decimal Multiplier
	{
		get => _multiplier.Value;
		set => _multiplier.Value = value;
	}
	
	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}
	
	/// <summary>
	/// Stop-loss ATR multiplier.
	/// </summary>
	public int StopMultiplier
	{
		get => _stopMultiplier.Value;
		set => _stopMultiplier.Value = value;
	}
	
	/// <summary>
	/// Initialize <see cref="BollingerWidthBreakoutStrategy"/>.
	/// </summary>
	public BollingerWidthBreakoutStrategy()
	{
		_bollingerLength = Param(nameof(BollingerLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Length", "Period of the Bollinger Bands indicator", "Indicators")
			
			.SetOptimize(10, 50, 5);
			
		_bollingerDeviation = Param(nameof(BollingerDeviation), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Standard deviation multiplier for Bollinger Bands", "Indicators")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);
		
		_avgPeriod = Param(nameof(AvgPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Average Period", "Period for Bollinger width average calculation", "Indicators")
			
			.SetOptimize(10, 50, 5);
		
		_multiplier = Param(nameof(Multiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Multiplier", "Standard deviation multiplier for breakout detection", "Indicators")

			.SetOptimize(1.0m, 3.0m, 0.5m);
		
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_stopMultiplier = Param(nameof(StopMultiplier), 2)
			.SetGreaterThanZero()
			.SetDisplay("Stop Multiplier", "ATR multiplier for stop-loss", "Risk Management")
			
			.SetOptimize(1, 5, 1);
	}
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
	}

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


		// Create indicators
		_bollinger = new BollingerBands
		{
			Length = BollingerLength,
			Width = BollingerDeviation
		};
		
		_widthAverage = new SMA { Length = AvgPeriod };
		_atr = new AverageTrueRange { Length = BollingerLength };
		
		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind Bollinger Bands
		subscription
			.BindEx(_bollinger, _atr, ProcessBollinger)
			.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

		// Create chart area for visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _bollinger);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessBollinger(ICandleMessage candle, IIndicatorValue bollingerValue, IIndicatorValue atrValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!bollingerValue.IsFinal || !atrValue.IsFinal || bollingerValue.IsEmpty || atrValue.IsEmpty)
			return;
		
		// Calculate Bollinger Band width
		if (bollingerValue is not BollingerBandsValue bollingerTyped)
			return;

		if (bollingerTyped.UpBand is not decimal upperBand)
			return;

		if (bollingerTyped.LowBand is not decimal lowerBand)
			return;

		var lastWidth = upperBand - lowerBand;

		// Process width through average
		var widthAvgValue = _widthAverage.Process(new DecimalIndicatorValue(_widthAverage, lastWidth, candle.ServerTime) { IsFinal = true });
		var avgWidth = widthAvgValue.ToDecimal();
		
		// Skip if indicators are not formed yet
		if (!_widthAverage.IsFormed)
		{
			return;
		}

		// Bollinger width breakout detection
		if (lastWidth > avgWidth * (1m + Multiplier / 10m))
		{
			// Determine direction based on price and bands
			var upperDistance = (candle.ClosePrice - upperBand).Abs();
			var lowerDistance = (candle.ClosePrice - lowerBand).Abs();
			var priceDirection = upperDistance < lowerDistance;

			if (priceDirection && Position == 0)
			{
				BuyMarket();
			}
			else if (!priceDirection && Position == 0)
			{
				SellMarket();
			}
		}
	}
}