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Bollinger 幅平均回帰戦略

Bollinger 幅平均回帰戦略は、Bollinger の極端な読みに注目し、回帰を利用します。平均レベルから大きく乖離した状態が長続きすることはほとんどありません。

テストでは年平均リターン約 157% を示しています。暗号通貨市場で最もよいパフォーマンスを発揮します。

インジケーターが平均から大きく乖離した後に反転し始めたときにトレードが発動します。ロングとショートの両方のセットアップに保護的なストップが含まれます。

振動を期待するスイングトレーダーに適しており、Bollinger が均衡に戻ると戦略がポジションを閉じます。開始パラメーター BollingerLength = 20。

詳細

  • エントリー条件: インジケーターが平均に向かって戻るクロス。
  • ロング/ショート: 両方向。
  • エグジット条件: インジケーターが平均に回帰。
  • ストップ: はい。
  • デフォルト値:
    • BollingerLength = 20
    • BollingerDeviation = 2.0m
    • WidthLookbackPeriod = 20
    • WidthDeviationMultiplier = 2.0m
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: Mean Reversion
    • 方向: 両方
    • インジケーター: Bollinger
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 短期
    • 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.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bollinger Bands width mean reversion.
/// Enters when the band width is beyond its average by a standard deviation multiplier and starts
/// turning back toward the average: long on an extreme contraction, short on an extreme expansion.
/// Exits when the width returns to its average or the ATR stop is hit.
/// </summary>
public class BollingerWidthMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerLength;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _widthLookbackPeriod;
	private readonly StrategyParam<decimal> _widthDeviationMultiplier;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _widthAverage;
	private StandardDeviation _widthStdDev;
	private decimal? _prevWidth;
	private decimal _stopPrice;

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

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

	/// <summary>
	/// Lookback period for width statistics.
	/// </summary>
	public int WidthLookbackPeriod
	{
		get => _widthLookbackPeriod.Value;
		set => _widthLookbackPeriod.Value = value;
	}

	/// <summary>
	/// Standard deviation multiplier for extreme width.
	/// </summary>
	public decimal WidthDeviationMultiplier
	{
		get => _widthDeviationMultiplier.Value;
		set => _widthDeviationMultiplier.Value = value;
	}

	/// <summary>
	/// ATR period for the stop.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss distance in ATR multiples.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

	/// <summary>
	/// Initialize <see cref="BollingerWidthMeanReversionStrategy"/>.
	/// </summary>
	public BollingerWidthMeanReversionStrategy()
	{
		_bollingerLength = Param(nameof(BollingerLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Length", "Period of Bollinger Bands", "Indicators");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Standard deviations for Bollinger Bands", "Indicators");

		_widthLookbackPeriod = Param(nameof(WidthLookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Width Lookback", "Period for width statistics", "Strategy");

		_widthDeviationMultiplier = Param(nameof(WidthDeviationMultiplier), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Width Deviation Multiplier", "Standard deviation multiplier for extreme width", "Strategy");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "ATR period for the stop", "Risk Management");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2.0m)
			.SetNotNegative()
			.SetDisplay("ATR Multiplier", "Stop-loss distance in ATR multiples", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_widthAverage = null;
		_widthStdDev = null;
		_prevWidth = null;
		_stopPrice = 0m;
	}

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

		var bollinger = new BollingerBands { Length = BollingerLength, Width = BollingerDeviation };
		var atr = new AverageTrueRange { Length = AtrPeriod };
		_widthAverage = new SimpleMovingAverage { Length = WidthLookbackPeriod };
		_widthStdDev = new StandardDeviation { Length = WidthLookbackPeriod };

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

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

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

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

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

		var atr = atrValue.ToDecimal();
		var width = upper - lower;
		var avgWidth = _widthAverage.Process(width, candle.ServerTime, true).ToDecimal();
		var stdWidth = _widthStdDev.Process(width, candle.ServerTime, true).ToDecimal();

		var prevWidth = _prevWidth;
		_prevWidth = width;

		if (!_widthAverage.IsFormed || !_widthStdDev.IsFormed || prevWidth is not decimal prev)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (CheckStop(candle))
			return;

		var close = candle.ClosePrice;
		var stopDistance = AtrMultiplier * atr;

		// Extreme reading that has started to turn back toward the average.
		if (width < avgWidth - WidthDeviationMultiplier * stdWidth && width > prev && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = stopDistance > 0 ? close - stopDistance : 0m;
		}
		else if (width > avgWidth + WidthDeviationMultiplier * stdWidth && width < prev && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = stopDistance > 0 ? close + stopDistance : 0m;
		}
		else if ((Position > 0 && width >= avgWidth) || (Position < 0 && width <= avgWidth))
		{
			ExitPosition();
		}
	}

	private bool CheckStop(ICandleMessage candle)
	{
		if (_stopPrice == 0m)
			return false;

		if ((Position > 0 && candle.LowPrice <= _stopPrice) || (Position < 0 && candle.HighPrice >= _stopPrice))
		{
			ExitPosition();
			return true;
		}

		return false;
	}

	private void ExitPosition()
	{
		if (Position > 0)
			SellMarket(Position);
		else if (Position < 0)
			BuyMarket(-Position);

		_stopPrice = 0m;
	}
}