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Bollinger Cci Strategy

戦略の実装 - Bollinger Bands + CCI。価格が下部 Bollinger Band を下回り、CCI が -100 を下回っている（売られすぎ）場合に買い。価格が上部 Bollinger Band を上回り、CCI が 100 を上回っている（買われすぎ）場合に売り。

テストでは年平均収益率は約 73% を示しています。暗号資産市場で最もパフォーマンスが優れています。

Bollinger Bands はボラティリティの限界をマッピングし、CCI は平均からの距離を測定します。CCI の確認を伴うバンド超えのブレイクアウトがトレードを引き起こします。

トレンドが素早く伸びるボラティリティの高い市場に適しています。安全のために ATR ベースのストップが適用されます。

詳細

  • エントリー条件:
    • ロング: Close < LowerBand && CCI < CciOversold
    • ショート: Close > UpperBand && CCI > CciOverbought
  • ロング/ショート: 両方
  • エグジット条件: 価格が中間バンドに戻る
  • ストップ: StopLoss を使用した ATR ベース
  • デフォルト値:
    • BollingerPeriod = 20
    • BollingerDeviation = 2.0m
    • CciPeriod = 20
    • CciOversold = -100m
    • CciOverbought = 100m
    • StopLoss = new Unit(2, UnitTypes.Absolute)
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 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, CCI
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 中期
    • 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.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;

using StockSharp.Algo;
using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Implementation of strategy - Bollinger Bands + CCI.
/// Buy when price is below lower Bollinger Band and CCI is below -100 (oversold).
/// Sell when price is above upper Bollinger Band and CCI is above 100 (overbought).
/// </summary>
public class BollingerCciStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<Unit> _stopLoss;
	private readonly StrategyParam<DataType> _candleType;

	private int _cooldown;

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

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

	/// <summary>
	/// CCI period.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// CCI oversold level.
	/// </summary>
	public decimal CciOversold
	{
		get => _cciOversold.Value;
		set => _cciOversold.Value = value;
	}

	/// <summary>
	/// CCI overbought level.
	/// </summary>
	public decimal CciOverbought
	{
		get => _cciOverbought.Value;
		set => _cciOverbought.Value = value;
	}

	/// <summary>
	/// Bars to wait between trades.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Stop-loss value.
	/// </summary>
	public Unit StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Candle type used for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize <see cref="BollingerCciStrategy"/>.
	/// </summary>
	public BollingerCciStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Period for Bollinger Bands", "Bollinger Parameters");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Deviation multiplier for Bollinger Bands", "Bollinger Parameters");

		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period for Commodity Channel Index", "CCI Parameters");

		_cciOversold = Param(nameof(CciOversold), -100m)
			.SetDisplay("CCI Oversold", "CCI level to consider market oversold", "CCI Parameters");

		_cciOverbought = Param(nameof(CciOverbought), 100m)
			.SetDisplay("CCI Overbought", "CCI level to consider market overbought", "CCI Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 80)
			.SetRange(5, 500)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_stopLoss = Param(nameof(StopLoss), new Unit(2, UnitTypes.Absolute))
			.SetDisplay("Stop Loss", "Stop loss in ATR or value", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "General");
	}

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

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

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

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

		var cci = new CommodityChannelIndex { Length = CciPeriod };

		// Setup candle subscription
		var subscription = SubscribeCandles(CandleType);
		
		// Bind indicators to candles
		subscription
			.BindEx(bollinger, cci, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, bollinger);
			
			// Create separate area for CCI
			var cciArea = CreateChartArea();
			if (cciArea != null)
			{
				DrawIndicator(cciArea, cci);
			}
			
			DrawOwnTrades(area);
		}

	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!bollingerValue.IsFormed || !cciValue.IsFormed)
			return;

		// In this function we receive only the middle band value from the Bollinger Bands indicator
		// We need to calculate the upper and lower bands ourselves or get them directly from the indicator

		// Get Bollinger Bands values from the indicator
		var bb = (BollingerBandsValue)bollingerValue;
		var middleBand = bb.MovingAverage;
		var upperBand = bb.UpBand;
		var lowerBand = bb.LowBand;
		var cciTyped = cciValue.ToDecimal();

		// Current price
		var price = candle.ClosePrice;

		LogInfo($"Candle: {candle.OpenTime}, Close: {price}, " +
			$"Upper Band: {upperBand}, Middle Band: {middleBand}, Lower Band: {lowerBand}, " +
			$"CCI: {cciTyped}");

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

		// Trading rules
		var lowerTouch = price <= lowerBand * 1.002m;
		var upperTouch = price >= upperBand * 0.998m;

		if (lowerTouch && cciTyped < CciOversold && Position == 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
			
			LogInfo($"Buy signal: Price below lower Bollinger Band and CCI oversold ({cciTyped} < {CciOversold}).");
		}
		else if (upperTouch && cciTyped > CciOverbought && Position == 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
			
			LogInfo($"Sell signal: Price above upper Bollinger Band and CCI overbought ({cciTyped} > {CciOverbought}).");
		}
		// Exit conditions
		else if (price > middleBand && Position > 0)
		{
			// Exit long position when price returns to the middle band
			SellMarket();
			_cooldown = CooldownBars;
			LogInfo($"Exit long: Price returned to middle band. Position: {Position}");
		}
		else if (price < middleBand && Position < 0)
		{
			// Exit short position when price returns to the middle band
			BuyMarket();
			_cooldown = CooldownBars;
			LogInfo($"Exit short: Price returned to middle band. Position: {Position}");
		}
	}
}