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BB ブレイクアウト・モメンタム・スクイーズ戦略

BB Breakout Momentum Squeeze戦略は、Bollinger Bandsのブレイクアウトオシレーターとボラティリティスクイーズフィルターを組み合わせます。Bollinger BandsがKeltner Channelsの外に出たときにスクイーズが検出され、潜在的な拡大を示します。この拡大中に強気ブレイクアウトオシレーターが閾値を上回るとロングトレードが発生し、弱気クロスはショートトレードを使用します。ストップはATRバンドに基づき、リスク-リワード目標がエグジットロジックを完成させます。

詳細

  • エントリー条件:
    • スクイーズオフ（Bollinger BandsがKeltner Channelsの外側）。
    • ロング: 強気オシレーターが閾値を上回る。
    • ショート: 弱気オシレーターが閾値を上回る。
  • ロング/ショート: 両方。
  • エグジット条件:
    • 価格がATRストップまたはリスク-リワード目標に達する。
  • ストップ: ATRバンドとリスク-リワード目標。
  • デフォルト値:
    • BbLength = 14
    • BbMultiplier = 1.0
    • Threshold = 50
    • SqueezeLength = 20
    • SqueezeBbMultiplier = 2.0
    • KcMultiplier = 2.0
    • AtrLength = 30
    • AtrMultiplier = 1.4
    • RrRatio = 1.5
  • フィルター:
    • カテゴリ: ボラティリティブレイクアウト
    • 方向: 両方
    • インジケーター: Bollinger Bands, Keltner Channels, ATR
    • ストップ: あり
    • 複雑さ: 中程度
    • 時間軸: 任意
    • 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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Bollinger Breakout + Momentum Squeeze strategy.
/// </summary>
public class BbBreakoutMomentumSqueezeStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbMultiplier;
	private readonly StrategyParam<decimal> _threshold;
	private readonly StrategyParam<int> _squeezeLength;
	private readonly StrategyParam<decimal> _squeezeBbMultiplier;
	private readonly StrategyParam<decimal> _kcMultiplier;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<decimal> _rrRatio;
	
	private BollingerBands _bbBreakout;
	private BollingerBands _squeezeBb;
	private KeltnerChannels _keltner;
	private AverageTrueRange _atr;
	private SimpleMovingAverage _bullNum;
	private SimpleMovingAverage _bullDen;
	private SimpleMovingAverage _bearNum;
	private SimpleMovingAverage _bearDen;
	private SimpleMovingAverage _upperBandMa;
	private SimpleMovingAverage _lowerBandMa;
	
	private decimal? _prevBull;
	private decimal? _prevBear;
	
	/// <summary>
	/// Initializes a new instance of the <see cref="BbBreakoutMomentumSqueezeStrategy"/>.
	/// </summary>
	public BbBreakoutMomentumSqueezeStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles to use", "General");
		
		_bbLength = Param(nameof(BbLength), 10)
		.SetGreaterThanZero()
		.SetDisplay("BB Breakout Length", "Length for Bollinger breakout calculation", "BB Breakout")

		.SetOptimize(10, 30, 2);
		
		_bbMultiplier = Param(nameof(BbMultiplier), 1.0m)
		.SetDisplay("BB Breakout Mult", "Bollinger breakout multiplier", "BB Breakout");
		
		_threshold = Param(nameof(Threshold), 0m)
		.SetRange(0m, 100m)
		.SetDisplay("Threshold", "Middle line threshold", "BB Breakout");
		
		_squeezeLength = Param(nameof(SqueezeLength), 20)
		.SetGreaterThanZero()
		.SetDisplay("Squeeze Length", "Length for squeeze calculation", "Squeeze");
		
		_squeezeBbMultiplier = Param(nameof(SqueezeBbMultiplier), 2.0m)
		.SetDisplay("Bollinger Mult", "Bollinger Band std multiplier for squeeze", "Squeeze");
		
		_kcMultiplier = Param(nameof(KcMultiplier), 2.0m)
		.SetDisplay("Keltner Mult", "Keltner Channel multiplier", "Squeeze");
		
		_atrLength = Param(nameof(AtrLength), 30)
		.SetGreaterThanZero()
		.SetDisplay("ATR Length", "ATR calculation length", "ATR");
		
		_atrMultiplier = Param(nameof(AtrMultiplier), 1.4m)
		.SetDisplay("ATR Multiplier", "ATR stop multiplier", "ATR");
		
		_rrRatio = Param(nameof(RrRatio), 1.5m)
		.SetDisplay("RR Ratio", "Risk reward ratio", "Risk");
	}
	
	/// <summary>
	/// Candle type for strategy calculation.
	/// </summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	
	/// <summary>
	/// Bollinger breakout length.
	/// </summary>
	public int BbLength { get => _bbLength.Value; set => _bbLength.Value = value; }
	
	/// <summary>
	/// Bollinger breakout multiplier.
	/// </summary>
	public decimal BbMultiplier { get => _bbMultiplier.Value; set => _bbMultiplier.Value = value; }
	
	/// <summary>
	/// Midline threshold for bull/bear oscillator.
	/// </summary>
	public decimal Threshold { get => _threshold.Value; set => _threshold.Value = value; }
	
	/// <summary>
	/// Squeeze calculation length.
	/// </summary>
	public int SqueezeLength { get => _squeezeLength.Value; set => _squeezeLength.Value = value; }
	
	/// <summary>
	/// Bollinger multiplier for squeeze detection.
	/// </summary>
	public decimal SqueezeBbMultiplier { get => _squeezeBbMultiplier.Value; set => _squeezeBbMultiplier.Value = value; }
	
	/// <summary>
	/// Keltner multiplier for squeeze detection.
	/// </summary>
	public decimal KcMultiplier { get => _kcMultiplier.Value; set => _kcMultiplier.Value = value; }
	
	/// <summary>
	/// ATR calculation length.
	/// </summary>
	public int AtrLength { get => _atrLength.Value; set => _atrLength.Value = value; }
	
	/// <summary>
	/// ATR stop multiplier.
	/// </summary>
	public decimal AtrMultiplier { get => _atrMultiplier.Value; set => _atrMultiplier.Value = value; }
	
	/// <summary>
	/// Risk reward ratio.
	/// </summary>
	public decimal RrRatio { get => _rrRatio.Value; set => _rrRatio.Value = value; }
	
	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}
	
	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		
		_prevBull = null;
		_prevBear = null;
	}
	
	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		
		_bbBreakout = new BollingerBands { Length = BbLength, Width = BbMultiplier };
		_squeezeBb = new BollingerBands { Length = SqueezeLength, Width = SqueezeBbMultiplier };
		_keltner = new KeltnerChannels { Length = SqueezeLength, Multiplier = KcMultiplier };
		_atr = new AverageTrueRange { Length = AtrLength };
		_bullNum = new SMA { Length = BbLength };
		_bullDen = new SMA { Length = BbLength };
		_bearNum = new SMA { Length = BbLength };
		_bearDen = new SMA { Length = BbLength };
		_upperBandMa = new SMA { Length = 3 };
		_lowerBandMa = new SMA { Length = 3 };
		
		var subscription = SubscribeCandles(CandleType);
		subscription
		.BindEx(_bbBreakout, _squeezeBb, _keltner, _atr, ProcessCandle)
		.Start();

		StartProtection(
			takeProfit: new Unit(2, UnitTypes.Percent),
			stopLoss: new Unit(1, UnitTypes.Percent)
		);

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}
	}
	
	private void ProcessCandle(ICandleMessage candle, IIndicatorValue bbBreakoutIv, IIndicatorValue squeezeBbIv, IIndicatorValue keltnerIv, IIndicatorValue atrIv)
	{
		if (candle.State != CandleStates.Finished)
		return;

		if (bbBreakoutIv is not BollingerBandsValue bbBreakoutValue ||
			bbBreakoutValue.UpBand is not decimal breakoutUpper ||
			bbBreakoutValue.LowBand is not decimal breakoutLower)
			return;

		if (squeezeBbIv is not BollingerBandsValue squeezeBbValue ||
			squeezeBbValue.UpBand is not decimal squeezeUpper ||
			squeezeBbValue.LowBand is not decimal squeezeLower)
			return;

		if (keltnerIv is not KeltnerChannelsValue keltnerValue ||
			keltnerValue.Upper is not decimal kcUpper ||
			keltnerValue.Lower is not decimal kcLower)
			return;

		if (atrIv.ToNullableDecimal() is not decimal atr)
			return;
		
		var close = candle.ClosePrice;
		var time = candle.ServerTime;

		var bullNumVal = _bullNum.Process(new DecimalIndicatorValue(_bullNum, Math.Max(close - breakoutUpper, 0m), time) { IsFinal = true }).ToNullableDecimal();
		var bullDenVal = _bullDen.Process(new DecimalIndicatorValue(_bullDen, Math.Abs(close - breakoutUpper), time) { IsFinal = true }).ToNullableDecimal();
		var bearNumVal = _bearNum.Process(new DecimalIndicatorValue(_bearNum, Math.Max(breakoutLower - close, 0m), time) { IsFinal = true }).ToNullableDecimal();
		var bearDenVal = _bearDen.Process(new DecimalIndicatorValue(_bearDen, Math.Abs(breakoutLower - close), time) { IsFinal = true }).ToNullableDecimal();
		
		if (bullNumVal is not decimal bullNum || bullDenVal is not decimal bullDen ||
		bearNumVal is not decimal bearNum || bearDenVal is not decimal bearDen)
		return;
		
		if (!_bullNum.IsFormed || !_bullDen.IsFormed || !_bearNum.IsFormed || !_bearDen.IsFormed)
		return;
		
		var bull = bullDen == 0 ? 0m : bullNum / bullDen * 100m;
		var bear = bearDen == 0 ? 0m : bearNum / bearDen * 100m;
		
		var bullCross = _prevBull.HasValue && _prevBull <= Threshold && bull > Threshold;
		var bearCross = _prevBear.HasValue && _prevBear <= Threshold && bear > Threshold;
		
		_prevBull = bull;
		_prevBear = bear;
		
		var squeezeDotGreen = squeezeLower < kcLower || squeezeUpper > kcUpper;
		
		var upperBandVal = _upperBandMa.Process(new DecimalIndicatorValue(_upperBandMa, close + atr * AtrMultiplier, time) { IsFinal = true }).ToNullableDecimal();
		var lowerBandVal = _lowerBandMa.Process(new DecimalIndicatorValue(_lowerBandMa, close - atr * AtrMultiplier, time) { IsFinal = true }).ToNullableDecimal();
		
		if (upperBandVal is not decimal upperBand || lowerBandVal is not decimal lowerBand)
		return;
		
		if (!_upperBandMa.IsFormed || !_lowerBandMa.IsFormed)
		return;
		
		if (bullCross && Position == 0)
		{
			BuyMarket();
		}
		else if (bearCross && Position == 0)
		{
			SellMarket();
		}
	}
}