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4H Bollinger ブレイクアウト戦略

4H Bollinger ブレイクアウト戦略は、4時間足チャートでBollinger Bandsのブレイクアウトを取引します。出来高とトレンドの確認とともに価格が下部バンドを上抜けた際にロングポジションを建てます。価格が上部バンドを下抜けてRSIが閾値を下回った際にショートポジションを建てます。

詳細

  • エントリー条件:
    • ロング: 終値が下部バンドを上抜け、出来高がそのSMAを上回り、価格がトレンドSMAを上回る。
    • ショート: 終値が上部バンドを下抜け、出来高がそのSMAを上回り、価格がトレンドSMAを下回り、RSI < 85。
  • ロング/ショート: 両方。
  • エグジット条件:
    • ロング: 終値が上部バンドを上抜け。
    • ショート: 終値が下部バンドを下抜け。
  • ストップ: なし。
  • デフォルト値:
    • BollingerLength = 20
    • BollingerMultiplier = 1.8
    • VolumeLength = 20
    • TrendLength = 80
    • RsiLength = 14
    • UseLongSignals = True
    • UseShortSignals = True
  • フィルター:
    • カテゴリ: トレンド・ブレイクアウト
    • 方向: 両方
    • インジケーター: Bollinger Bands, 出来高SMA, トレンドSMA, RSI
    • ストップ: なし
    • 複雑さ: 中程度
    • 時間軸: 4H
    • 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>
/// 4H Bollinger Breakout strategy.
/// A long opens when the close crosses above the lower band with volume above its SMA and price above the trend SMA. A short opens
/// when the close crosses below the upper band with volume above its SMA, price below the trend SMA and RSI below 85. A long closes
/// when the close crosses above the upper band and a short when it crosses below the lower band.
/// </summary>
public class BollingerBreakout2Strategy : Strategy
{
	private const decimal _rsiShortLimit = 85m;

	private readonly StrategyParam<int> _bollingerLength;
	private readonly StrategyParam<decimal> _bollingerMultiplier;
	private readonly StrategyParam<int> _volumeLength;
	private readonly StrategyParam<int> _trendLength;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<bool> _useLongSignals;
	private readonly StrategyParam<bool> _useShortSignals;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _volumeSma;
	private decimal? _prevClose;
	private decimal? _prevUpper;
	private decimal? _prevLower;

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

	/// <summary>
	/// Bollinger Bands standard deviation multiplier.
	/// </summary>
	public decimal BollingerMultiplier
	{
		get => _bollingerMultiplier.Value;
		set => _bollingerMultiplier.Value = value;
	}

	/// <summary>
	/// Period of the volume SMA.
	/// </summary>
	public int VolumeLength
	{
		get => _volumeLength.Value;
		set => _volumeLength.Value = value;
	}

	/// <summary>
	/// Period of the trend SMA.
	/// </summary>
	public int TrendLength
	{
		get => _trendLength.Value;
		set => _trendLength.Value = value;
	}

	/// <summary>
	/// Period of RSI.
	/// </summary>
	public int RsiLength
	{
		get => _rsiLength.Value;
		set => _rsiLength.Value = value;
	}

	/// <summary>
	/// Allow long trades.
	/// </summary>
	public bool UseLongSignals
	{
		get => _useLongSignals.Value;
		set => _useLongSignals.Value = value;
	}

	/// <summary>
	/// Allow short trades.
	/// </summary>
	public bool UseShortSignals
	{
		get => _useShortSignals.Value;
		set => _useShortSignals.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerBreakout2Strategy()
	{
		_bollingerLength = Param(nameof(BollingerLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Length", "Bollinger Bands period", "Bollinger Bands");

		_bollingerMultiplier = Param(nameof(BollingerMultiplier), 1.8m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Multiplier", "Standard deviation multiplier", "Bollinger Bands");

		_volumeLength = Param(nameof(VolumeLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("Volume Length", "Period of the volume SMA", "Filters");

		_trendLength = Param(nameof(TrendLength), 80)
			.SetGreaterThanZero()
			.SetDisplay("Trend Length", "Period of the trend SMA", "Filters");

		_rsiLength = Param(nameof(RsiLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("RSI Length", "Period of RSI", "Filters");

		_useLongSignals = Param(nameof(UseLongSignals), true)
			.SetDisplay("Use Long Signals", "Allow long trades", "General");

		_useShortSignals = Param(nameof(UseShortSignals), true)
			.SetDisplay("Use Short Signals", "Allow short trades", "General");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).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();
		_volumeSma = null;
		_prevClose = null;
		_prevUpper = null;
		_prevLower = null;
	}

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

		_prevClose = null;
		_prevUpper = null;
		_prevLower = null;

		var bollinger = new BollingerBands { Length = BollingerLength, Width = BollingerMultiplier };
		var trendSma = new SimpleMovingAverage { Length = TrendLength };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };
		_volumeSma = new SimpleMovingAverage { Length = VolumeLength };

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

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
				DrawIndicator(oscillators, rsi);
		}
	}

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

		var volumeAverage = _volumeSma.Process(candle.TotalVolume, candle.ServerTime, true).ToDecimal();

		if (!bollingerValue.IsFormed || bollingerValue is not BollingerBandsValue { UpBand: decimal upper, LowBand: decimal lower })
			return;

		var close = candle.ClosePrice;
		var prevClose = _prevClose;
		var prevUpper = _prevUpper;
		var prevLower = _prevLower;
		_prevClose = close;
		_prevUpper = upper;
		_prevLower = lower;

		if (!_volumeSma.IsFormed || !trendValue.IsFormed || !rsiValue.IsFormed)
			return;

		if (prevClose is not decimal pc || prevUpper is not decimal pu || prevLower is not decimal pl)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var trend = trendValue.ToDecimal();
		var rsi = rsiValue.ToDecimal();
		var volumeHigh = candle.TotalVolume > volumeAverage;

		var crossAboveLower = pc <= pl && close > lower;
		var crossBelowUpper = pc >= pu && close < upper;
		var crossAboveUpper = pc <= pu && close > upper;
		var crossBelowLower = pc >= pl && close < lower;

		var longSignal = UseLongSignals && crossAboveLower && volumeHigh && close > trend;
		var shortSignal = UseShortSignals && crossBelowUpper && volumeHigh && close < trend && rsi < _rsiShortLimit;

		if (longSignal && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (shortSignal && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
		else if (Position > 0 && crossAboveUpper)
			SellMarket(Position);
		else if (Position < 0 && crossBelowLower)
			BuyMarket(-Position);
	}
}