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Bollinger Bands Automated

Strategy that places buy limit orders at the lower Bollinger Band and sell limit orders at the upper band. Positions close when the price touches the middle band. Pending orders are refreshed at the start of each candle.

Details

  • Entry Criteria:
    • Long: buy limit at lower Bollinger Band
    • Short: sell limit at upper Bollinger Band
  • Long/Short: Both
  • Exit Criteria:
    • Long: price crosses above middle Bollinger Band
    • Short: price crosses below middle Bollinger Band
  • Stops: None
  • Default Values:
    • BbPeriod = 20
    • BbDeviation = 2m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Bollinger Bands
    • Stops: No
    • Complexity: Basic
    • Timeframe: Short-term
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// Bollinger Bands mean reversion strategy.
/// Buys when price touches lower band, sells when price touches upper band.
/// Closes at middle band.
/// </summary>
public class BollingerBandsAutomatedStrategy : Strategy
{
	private readonly StrategyParam<int> _bbPeriod;
	private readonly StrategyParam<decimal> _bbDeviation;
	private readonly StrategyParam<DataType> _candleType;

	public int BbPeriod { get => _bbPeriod.Value; set => _bbPeriod.Value = value; }
	public decimal BbDeviation { get => _bbDeviation.Value; set => _bbDeviation.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BollingerBandsAutomatedStrategy()
	{
		_bbPeriod = Param(nameof(BbPeriod), 20)
			.SetDisplay("BB Period", "Bollinger Bands period", "Indicators")
			.SetGreaterThanZero();

		_bbDeviation = Param(nameof(BbDeviation), 2m)
			.SetDisplay("BB Deviation", "Bollinger Bands deviation", "Indicators")
			.SetGreaterThanZero();

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles", "General");
	}

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

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

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

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bb, ProcessCandle)
			.Start();

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var middle = (upper + lower) / 2m;
		var close = candle.ClosePrice;

		// Close long at middle band
		if (Position > 0 && close >= middle)
			SellMarket();
		// Close short at middle band
		else if (Position < 0 && close <= middle)
			BuyMarket();

		// Open new positions at band extremes
		if (close <= lower && Position <= 0)
			BuyMarket();
		else if (close >= upper && Position >= 0)
			SellMarket();
	}
}