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Estrategia de Ruptura SMC BB

Esta estrategia combina la ruptura de las Bandas de Bollinger con los cambios de swing de Smart Money Concepts. Se abre una posición cuando el precio cruza la Banda de Bollinger en la dirección de un cambio de estructura de mercado. Opcionalmente, la entrada requiere una vela de momentum con un cuerpo grande. Las posiciones se cierran ante un movimiento de regreso a la banda media o una ruptura más allá de los niveles de bloques de órdenes recientes.

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>
/// Smart Money Concepts with Bollinger Bands Breakout Strategy.
/// Uses BB breakout with momentum candle filter and structure shift detection.
/// </summary>
public class SmcBbBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbWidth;
	private readonly StrategyParam<decimal> _momentumBodyPercent;
	private readonly StrategyParam<int> _cooldownBars;

	private BollingerBands _bb;

	private decimal _prevClose;
	private decimal _prevHigh;
	private decimal _prevLow;
	private bool _hasPrev;
	private int _cooldownRemaining;

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

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

	public decimal BbWidth
	{
		get => _bbWidth.Value;
		set => _bbWidth.Value = value;
	}

	public decimal MomentumBodyPercent
	{
		get => _momentumBodyPercent.Value;
		set => _momentumBodyPercent.Value = value;
	}

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

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

		_bbLength = Param(nameof(BbLength), 34)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger Bands period", "Bollinger");

		_bbWidth = Param(nameof(BbWidth), 2m)
			.SetDisplay("BB Width", "Bollinger width multiplier", "Bollinger");

		_momentumBodyPercent = Param(nameof(MomentumBodyPercent), 0.5m)
			.SetDisplay("Momentum Body %", "Minimum body vs range ratio", "Momentum");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.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;
		_prevClose = 0;
		_prevHigh = 0;
		_prevLow = 0;
		_hasPrev = false;
		_cooldownRemaining = 0;
	}

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

		_bb = new BollingerBands { Length = BbLength, Width = BbWidth };

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

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

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

		if (!_bb.IsFormed)
			return;

		if (bbValue.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;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = candle.ClosePrice;
			_prevHigh = candle.HighPrice;
			_prevLow = candle.LowPrice;
			_hasPrev = true;
			return;
		}

		var price = candle.ClosePrice;
		var range = candle.HighPrice - candle.LowPrice;
		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var bodyRatio = range > 0 ? body / range : 0m;

		var isBullishMomentum = bodyRatio >= MomentumBodyPercent && candle.ClosePrice > candle.OpenPrice;
		var isBearishMomentum = bodyRatio >= MomentumBodyPercent && candle.ClosePrice < candle.OpenPrice;

		// Structure shift: new high above previous high
		var breakHigher = _hasPrev && candle.HighPrice > _prevHigh;
		var breakLower = _hasPrev && candle.LowPrice < _prevLow;

		// Buy: close above upper BB + bullish momentum + structure break higher
		if (price > upper && isBullishMomentum && breakHigher && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Sell: close below lower BB + bearish momentum + structure break lower
		else if (price < lower && isBearishMomentum && breakLower && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		// Exit long: price crosses below mid BB
		else if (Position > 0 && price < mid)
		{
			SellMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}
		// Exit short: price crosses above mid BB
		else if (Position < 0 && price > mid)
		{
			BuyMarket(Math.Abs(Position));
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = candle.ClosePrice;
		_prevHigh = candle.HighPrice;
		_prevLow = candle.LowPrice;
		_hasPrev = true;
	}
}