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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 width mean reversion strategy.
/// Trades contractions and expansions of normalized Bollinger Bands width around its recent average.
/// </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<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _cooldownBars;

	private BollingerBands _bollinger;
	private decimal[] _widthHistory;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;

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

	/// <summary>
	/// Deviation multiplier for Bollinger Bands.
	/// </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>
	/// Multiplier for width standard deviation thresholds.
	/// </summary>
	public decimal WidthDeviationMultiplier
	{
		get => _widthDeviationMultiplier.Value;
		set => _widthDeviationMultiplier.Value = value;
	}

	/// <summary>
	/// Stop loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of <see cref="BollingerWidthMeanReversionStrategy"/>.
	/// </summary>
	public BollingerWidthMeanReversionStrategy()
	{
		_bollingerLength = Param(nameof(BollingerLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Length", "Period for Bollinger Bands calculation", "Indicators")
			.SetOptimize(10, 50, 5);

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Deviation multiplier for Bollinger Bands", "Indicators")
			.SetOptimize(1m, 3m, 0.5m);

		_widthLookbackPeriod = Param(nameof(WidthLookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Width Lookback", "Lookback for width mean", "Strategy Parameters")
			.SetOptimize(10, 50, 5);

		_widthDeviationMultiplier = Param(nameof(WidthDeviationMultiplier), 1m)
			.SetGreaterThanZero()
			.SetDisplay("Width Dev Mult", "Multiplier for width standard deviation threshold", "Strategy Parameters")
			.SetOptimize(0.5m, 3m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "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();
		_bollinger = null;
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_widthHistory = new decimal[WidthLookbackPeriod];
	}

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

		_bollinger = new BollingerBands
		{
			Length = BollingerLength,
			Width = BollingerDeviation,
		};

		_widthHistory = new decimal[WidthLookbackPeriod];
		_currentIndex = 0;
		_filledCount = 0;
		_cooldown = 0;

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

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

		StartProtection(new(), new Unit(StopLossPercent, UnitTypes.Percent));
	}

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

		if (!_bollinger.IsFormed)
			return;

		var bb = (BollingerBandsValue)bollingerValue;
		if (bb.UpBand is not decimal upperBand ||
			bb.LowBand is not decimal lowerBand ||
			bb.MovingAverage is not decimal middleBand)
			return;

		if (middleBand <= 0)
			return;

		var lastWidth = (upperBand - lowerBand) / middleBand;

		_widthHistory[_currentIndex] = lastWidth;
		_currentIndex = (_currentIndex + 1) % WidthLookbackPeriod;

		if (_filledCount < WidthLookbackPeriod)
			_filledCount++;

		if (_filledCount < WidthLookbackPeriod)
			return;

		var avgWidth = 0m;
		var sumSq = 0m;

		for (var i = 0; i < WidthLookbackPeriod; i++)
			avgWidth += _widthHistory[i];

		avgWidth /= WidthLookbackPeriod;

		if (avgWidth <= 0)
			return;

		for (var i = 0; i < WidthLookbackPeriod; i++)
		{
			var diff = _widthHistory[i] - avgWidth;
			sumSq += diff * diff;
		}

		var stdWidth = (decimal)Math.Sqrt((double)(sumSq / WidthLookbackPeriod));

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

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

		var lowerThreshold = avgWidth - WidthDeviationMultiplier * stdWidth;
		var upperThreshold = avgWidth + WidthDeviationMultiplier * stdWidth;

		if (Position == 0)
		{
			if (lastWidth < lowerThreshold)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (lastWidth > upperThreshold)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0 && lastWidth >= avgWidth)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && lastWidth <= avgWidth)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}