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BBSR Extreme

バンド内への回帰を EMA 傾きで絞り込み、ATR で保護します。C,L,U,E は元の終値、下側バンド、上側バンド、EMA、p は直前の指標形成済み足です。

取引ルール

買い：C[p] < L[p] && C > L && E > E[p]。売り：C[p] > U[p] && C < U && E < E[p]。等号は対象外です。ノーポジション時のみ Volume で新規建てし、追加、反転、固定待機足数はありません。

発注前にシグナル足の A=ATR を固定します。実約定価格を基準とするネイティブのローカル保護：買いの損切り/利確は fill-2A / fill+3A、売りは fill+2A / fill-3A。倍率は変更可能で、後続 ATR による移動はありません。bid/ask 購読により足の間でも実約定数量を成行決済します。

指標のウォームアップ完了後、確定足だけで新規シグナルを生成します。保有ポジションは決済まで管理し、未完了の成行注文がある間は重複発注しません。

ボリンジャーバンドは現在の確定足を含む終値の移動窓から母標準偏差を計算します。

パラメーター

Parameter Default
BollingerPeriod 20
BollingerMultiplier 2
MaLength 7 (EMA)
AtrLength 14 (Wilder)
AtrStopMultiplier 2
AtrProfitMultiplier 3
CandleType 5m 
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>
/// Strategy uses Bollinger Bands breakout with moving average trend filter and ATR-based exits.
/// </summary>
public class BbsrExtremeStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerMultiplier;
	private readonly StrategyParam<int> _maLength;
	private readonly StrategyParam<int> _atrLength;
	private readonly StrategyParam<decimal> _atrStopMultiplier;
	private readonly StrategyParam<decimal> _atrProfitMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _prevLower;
	private decimal _prevUpper;
	private decimal _prevClose;
	private decimal _prevMa;
	private bool _isInitialized;
	private Order _pending;

	private bool IsPending => _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed);

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

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

	/// <summary>
	/// Moving average length.
	/// </summary>
	public int MaLength
	{
		get => _maLength.Value;
		set => _maLength.Value = value;
	}

	/// <summary>
	/// ATR period.
	/// </summary>
	public int AtrLength
	{
		get => _atrLength.Value;
		set => _atrLength.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop calculation.
	/// </summary>
	public decimal AtrStopMultiplier
	{
		get => _atrStopMultiplier.Value;
		set => _atrStopMultiplier.Value = value;
	}

	/// <summary>
	/// ATR multiplier for take profit.
	/// </summary>
	public decimal AtrProfitMultiplier
	{
		get => _atrProfitMultiplier.Value;
		set => _atrProfitMultiplier.Value = value;
	}

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

	/// <summary>
	/// Initializes the strategy.
	/// </summary>
	public BbsrExtremeStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Bollinger Bands length", "Indicators");

		_bollingerMultiplier = Param(nameof(BollingerMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Multiplier", "Standard deviation multiplier", "Indicators");

		_maLength = Param(nameof(MaLength), 7)
			.SetGreaterThanZero()
			.SetDisplay("MA Length", "Length for moving average", "Indicators");

		_atrLength = Param(nameof(AtrLength), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Length", "ATR indicator period", "Risk Management");

		_atrStopMultiplier = Param(nameof(AtrStopMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Stop Multiplier", "ATR multiplier for stop", "Risk Management");

		_atrProfitMultiplier = Param(nameof(AtrProfitMultiplier), 3m)
			.SetGreaterThanZero()
			.SetDisplay("ATR Profit Multiplier", "ATR multiplier for take profit", "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();
		_prevLower = default;
		_prevUpper = default;
		_prevClose = default;
		_prevMa = default;
		_isInitialized = false;
		_pending = null;
	}

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

		var bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerMultiplier
		};

		var ma = new EMA
		{
			Length = MaLength
		};

		var atr = new AverageTrueRange
		{
			Length = AtrLength
		};

		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Start();
		}

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

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

	}


	private void ProcessCandle(ICandleMessage candle, IIndicatorValue[] values)
	{
		if (candle.State != CandleStates.Finished
			|| values[0] is not BollingerBandsValue bb || !values[0].IsFormed
			|| bb.UpBand is not decimal upper || bb.LowBand is not decimal lower
			|| !values[1].IsFormed || !values[2].IsFormed)
			return;
		var ma = values[1].GetValue<decimal>();
		var atr = values[2].GetValue<decimal>();
		var bull = _isInitialized && _prevClose < _prevLower && candle.ClosePrice > lower && ma > _prevMa;
		var bear = _isInitialized && _prevClose > _prevUpper && candle.ClosePrice < upper && ma < _prevMa;
		_prevLower = lower;
		_prevUpper = upper;
		_prevClose = candle.ClosePrice;
		_prevMa = ma;
		_isInitialized = true;
		if (Position != 0m || IsPending || atr <= 0m || !IsFormedAndOnlineAndAllowTrading())
			return;
		if (!bull && !bear)
			return;
		// Freeze distances before registering the entry; native protection anchors them to actual fills.
		StartProtection(new Unit(atr * AtrProfitMultiplier, UnitTypes.Absolute),
			new Unit(atr * AtrStopMultiplier, UnitTypes.Absolute), useMarketOrders: true, isLocalStop: true);
		_pending = CreateOrder(bull ? Sides.Buy : Sides.Sell, 0m, Volume);
		_pending.Type = OrderTypes.Market;
		_pending.Comment = "0556Entry";
		RegisterOrder(_pending);
	}

}