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Bollinger Band Width Breakout 戦略

Bollinger Bandの幅は上部バンドと下部バンドの間隔を測定します。幅の拡大はボラティリティとトレンド形成の可能性を示します。この戦略は幅が増加しているときにブレイクアウトを取引します。

テストでは年間平均リターン約151%が示されています。株式市場で最も優れたパフォーマンスを発揮します。

中央バンドに対する価格の位置が方向を決定します。中央バンドより上で価格が拡大するチャンネルはロングを引き起こし、下では拡大するチャンネルがショートを引き起こします。

バンド幅が収縮するかボラティリティストップに達するとエグジットが発生します。

詳細

  • エントリー条件: バンド幅が拡大し、価格が中央バンドに対して位置する。
  • ロング/ショート: 両方向。
  • エグジット条件: バンド幅が収縮するかストップ。
  • ストップ: はい。
  • デフォルト値:
    • BollingerPeriod = 20
    • BollingerDeviation = 2.0m
    • AtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 両方
    • インジケーター: Bollinger Bands, ATR
    • ストップ: はい
    • 複雑さ: 基本
    • 時間軸: イントラデイ
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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>
/// Trades a strict increase in absolute Bollinger width in the price/middle direction,
/// closes on any strict contraction, and protects actual fills with frozen entry ATR.
/// </summary>
public class BollingerBandWidthStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _previousWidth;
	private Order _pendingOrder;
	private Unit _stopDistance;
	private bool _protectionStarted;

	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal BollingerDeviation { get => _bollingerDeviation.Value; set => _bollingerDeviation.Value = value; }
	public int AtrPeriod { get => _atrPeriod.Value; set => _atrPeriod.Value = value; }
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BollingerBandWidthStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20).SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Period for Bollinger Bands calculation", "Indicators")
			.SetOptimize(10, 30, 5);
		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m).SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Deviation for Bollinger Bands calculation", "Indicators")
			.SetOptimize(1.5m, 2.5m, 0.25m);
		_atrPeriod = Param(nameof(AtrPeriod), 14).SetGreaterThanZero()
			.SetDisplay("ATR Period", "Wilder ATR lookback for protection", "Protection");
		_atrMultiplier = Param(nameof(AtrMultiplier), 2m).SetNotNegative()
			.SetDisplay("ATR Stop Multiplier", "Frozen entry ATR stop distance; zero disables it", "Protection");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		OrderRegistering += order => _pendingOrder = order;
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	protected override void OnReseted()
	{
		base.OnReseted();
		_previousWidth = null;
		_pendingOrder = null;
		_stopDistance = null;
		_protectionStarted = false;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_previousWidth = null;
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}
		var bollinger = new BollingerBands { Length = BollingerPeriod, Width = BollingerDeviation };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.BindEx(bollinger, atr, ProcessCandle, false).Start();
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, bollinger);
			DrawOwnTrades(area);
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// Native protection runs before this callback, including between finished candles.
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue bollingerValue, IIndicatorValue atrValue)
	{
		if (candle.State != CandleStates.Finished || !bollingerValue.Indicator.IsFormed || !atrValue.Indicator.IsFormed
			|| !IsFormedAndOnlineAndAllowTrading())
			return;
		var bb = (BollingerBandsValue)bollingerValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal middle)
			return;
		var width = upper - lower;
		var previous = _previousWidth;
		_previousWidth = width;
		// A fully formed zero-width bar is a valid baseline, not an uninitialized sentinel.
		if (previous is not decimal prev)
			return;
		if (_pendingOrder is not null && _pendingOrder.State is not (OrderStates.Done or OrderStates.Failed))
			return;
		// Equal width is neutral, not contraction; the middle is an entry-only filter.
		if (Position != 0m && width < prev)
		{
			if (Position > 0m) SellMarket(Position);
			else BuyMarket(Math.Abs(Position));
		}
		else if (Position == 0m && width > prev)
		{
			var atr = atrValue.GetValue<decimal>();
			if (candle.ClosePrice > middle) Enter(Sides.Buy, atr);
			else if (candle.ClosePrice < middle) Enter(Sides.Sell, atr);
		}
	}

	private void Enter(Sides side, decimal atr)
	{
		var distance = atr * AtrMultiplier;
		_stopDistance ??= new Unit(distance);
		// Keep the Unit reference held by native cached protection controllers.
		_stopDistance.Value = distance;
		if (!_protectionStarted && distance > 0m)
		{
			StartProtection(new Unit(), _stopDistance, useMarketOrders: true, isLocalStop: true);
			_protectionStarted = true;
		}
		RegisterOrder(new Order
		{
			Security = Security,
			Portfolio = Portfolio,
			Type = OrderTypes.Market,
			Side = side,
			Volume = Volume,
			Comment = "Bollinger width entry",
		});
	}
}