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Bollinger Stochastic 戦略

Bollinger Stochastic は、ボリンジャーバンドとストキャスティクスオシレーターを組み合わせて、過度に伸び切った動きを識別します。 オシレーターが極端なゾーンにある状態で価格が外側のバンドに触れると、反発の可能性が示唆されます。

テストでは平均年間リターンは約133%を示しています。暗号資産市場で最も良いパフォーマンスを発揮します。

このシステムはそれらの極端な状況に逆張りし、ストキャスティクスが売られすぎの状態で価格が下側バンドに触れたときにロング、上側バンドでストキャスティクスが買われすぎの状態でショートします。

平均回帰が起こらない場合のリスクを、パーセントベースのストップで制限します。

詳細

  • エントリー条件: インジケーターシグナル
  • ロング/ショート: 両方
  • エグジット条件: ストップロスまたは反対シグナル
  • ストップ: はい、パーセントベース
  • デフォルト値:
    • CandleType = 15 minute
    • StopLoss = 2%
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: Bollinger Bands, Stochastic
    • ストップ: はい
    • 複雑さ: 中級
    • 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>
/// Strategy combining Bollinger Bands and Stochastic oscillator for mean-reversion.
/// Buys when price touches lower band with oversold stochastic, sells at upper band with overbought.
/// </summary>
public class BollingerStochasticStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<decimal> _stochOversold;
	private readonly StrategyParam<decimal> _stochOverbought;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _stochK;
	private int _cooldown;

	/// <summary>
	/// Data type for candles.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Period for Bollinger Bands calculation.
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for Bollinger Bands.
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}

	/// <summary>
	/// Stochastic oversold level.
	/// </summary>
	public decimal StochOversold
	{
		get => _stochOversold.Value;
		set => _stochOversold.Value = value;
	}

	/// <summary>
	/// Stochastic overbought level.
	/// </summary>
	public decimal StochOverbought
	{
		get => _stochOverbought.Value;
		set => _stochOverbought.Value = value;
	}

	/// <summary>
	/// Cooldown bars between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes a new instance of the <see cref="BollingerStochasticStrategy"/>.
	/// </summary>
	public BollingerStochasticStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");

		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("BB Period", "Period for Bollinger Bands", "Bollinger Settings");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2.0m)
			.SetDisplay("BB Deviation", "Standard deviation multiplier", "Bollinger Settings");

		_stochOversold = Param(nameof(StochOversold), 20m)
			.SetDisplay("Oversold Level", "Stochastic oversold level", "Stochastic Settings");

		_stochOverbought = Param(nameof(StochOverbought), 80m)
			.SetDisplay("Overbought Level", "Stochastic overbought level", "Stochastic Settings");

		_cooldownBars = Param(nameof(CooldownBars), 50)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General")
			.SetRange(5, 500);
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_stochK = 50;
		_cooldown = 0;
	}

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

		var bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerDeviation
		};

		var stochastic = new StochasticOscillator();

		var subscription = SubscribeCandles(CandleType);

		// Bind stochastic with BindEx
		subscription.BindEx(stochastic, OnStochastic);

		// Bind bollinger bands with BindEx
		subscription
			.BindEx(bollinger, ProcessCandle)
			.Start();

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

			var stochArea = CreateChartArea();
			if (stochArea != null)
				DrawIndicator(stochArea, stochastic);
		}
	}

	private void OnStochastic(ICandleMessage candle, IIndicatorValue stochValue)
	{
		var stoch = (IStochasticOscillatorValue)stochValue;
		if (stoch.K is decimal k)
			_stochK = k;
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var close = candle.ClosePrice;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		// Buy: price at lower band + stochastic oversold
		if (close <= lower && _stochK < StochOversold && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		// Sell: price at upper band + stochastic overbought
		else if (close >= upper && _stochK > StochOverbought && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}

		// Exit long at middle band
		if (Position > 0 && close > middle)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		// Exit short at middle band
		else if (Position < 0 && close < middle)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
	}
}