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Estrategia TTM Squeeze

La estrategia TTM Squeeze busca períodos de compresión de precios cuando las Bollinger Bands se contraen dentro de los Keltner Channels. Este "squeeze" señala una posible expansión de volatilidad. Durante el squeeze, la estrategia monitorea un oscilador de momentum de regresión lineal y el RSI para medir la dirección. Cuando el squeeze se libera y el momentum gira, se toman posiciones en la dirección del movimiento.

El método busca rupturas explosivas desde rangos tranquilos. Las operaciones se filtran de modo que las configuraciones largas requieren que el momentum suba desde debajo de cero con RSI por encima de 30, mientras que las cortas necesitan que el momentum caiga desde territorio positivo con RSI por debajo de 70. Un parámetro opcional de take-profit puede cerrar automáticamente las operaciones con una ganancia predefinida.

Detalles

  • Criterios de entrada:
    • Squeeze desactivado (Bollinger Bands fuera de Keltner Channels).
    • Largo: Momentum < 0 y subiendo, RSI > 30.
    • Corto: Momentum > 0 y bajando, RSI < 70.
  • Largo/Corto: Ambos lados.
  • Criterios de salida:
    • Señal opuesta o take-profit si está habilitado.
  • Stops: Ninguno por defecto, take-profit opcional.
  • Valores predeterminados:
    • SqueezeLength = 20
    • RsiLength = 14
    • UseTP = False
    • TpPercent = 1.2
  • Filtros:
    • Categoría: Ruptura de volatilidad
    • Dirección: Ambos
    • Indicadores: Bollinger Bands, Keltner Channels, RSI, Regresión lineal
    • Stops: Opcional
    • Complejidad: Medio
    • Marco temporal: Cualquiera
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// TTM Squeeze Strategy.
/// Detects volatility squeeze using BB width narrowing, then trades breakouts.
/// Uses RSI for momentum confirmation.
/// Buys when BB width expands from narrow and RSI > 50.
/// Sells when BB width expands from narrow and RSI less than 50.
/// </summary>
public class TtmSqueezeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<int> _cooldownBars;

	private BollingerBands _bb;
	private RelativeStrengthIndex _rsi;
	private ExponentialMovingAverage _ema;

	private decimal _prevBbWidth;
	private decimal _minBbWidth;
	private int _narrowBars;
	private int _cooldownRemaining;

	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	public TtmSqueezeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_bbLength = Param(nameof(BbLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Indicators");

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

		_cooldownBars = Param(nameof(CooldownBars), 15)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_bb = null;
		_rsi = null;
		_ema = null;
		_prevBbWidth = 0;
		_minBbWidth = decimal.MaxValue;
		_narrowBars = 0;
		_cooldownRemaining = 0;
	}

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

		_bb = new BollingerBands { Length = BbLength, Width = 2.0m };
		_rsi = new RelativeStrengthIndex { Length = RsiLength };
		_ema = new ExponentialMovingAverage { Length = BbLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(_bb, _rsi, _ema, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, IIndicatorValue bbValue, IIndicatorValue rsiValue, IIndicatorValue emaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!_bb.IsFormed || !_rsi.IsFormed || !_ema.IsFormed)
			return;

		if (bbValue.IsEmpty || rsiValue.IsEmpty || emaValue.IsEmpty)
			return;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal mid)
			return;

		var rsiVal = rsiValue.ToDecimal();
		var emaVal = emaValue.ToDecimal();

		// Calculate BB width as percentage
		var bbWidth = mid > 0 ? (upper - lower) / mid * 100 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevBbWidth = bbWidth;
			_minBbWidth = Math.Min(_minBbWidth, bbWidth);
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevBbWidth = bbWidth;
			_minBbWidth = Math.Min(_minBbWidth, bbWidth);
			return;
		}

		if (_prevBbWidth == 0)
		{
			_prevBbWidth = bbWidth;
			_minBbWidth = bbWidth;
			return;
		}

		// Track narrow BB (squeeze)
		if (bbWidth <= _minBbWidth * 1.1m)
		{
			_narrowBars++;
			_minBbWidth = Math.Min(_minBbWidth, bbWidth);
		}
		else if (bbWidth > _prevBbWidth && _narrowBars >= 3)
		{
			// BB is expanding after squeeze - breakout
			if (rsiVal > 50 && candle.ClosePrice > emaVal && Position <= 0)
			{
				if (Position < 0)
					BuyMarket(Math.Abs(Position));
				BuyMarket(Volume);
				_cooldownRemaining = CooldownBars;
				_narrowBars = 0;
				_minBbWidth = bbWidth;
			}
			else if (rsiVal < 50 && candle.ClosePrice < emaVal && Position >= 0)
			{
				if (Position > 0)
					SellMarket(Math.Abs(Position));
				SellMarket(Volume);
				_cooldownRemaining = CooldownBars;
				_narrowBars = 0;
				_minBbWidth = bbWidth;
			}
			else
			{
				_narrowBars = 0;
				_minBbWidth = bbWidth;
			}
		}
		else
		{
			_narrowBars = 0;
			_minBbWidth = bbWidth;
		}

		// Exit long: price falls below lower BB
		if (Position > 0 && candle.ClosePrice < lower)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: price rises above upper BB
		else if (Position < 0 && candle.ClosePrice > upper)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevBbWidth = bbWidth;
	}
}