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Bollinger Bands ロング戦略

この戦略は、価格がBollinger Bands下限を下回って終値が付き、RSIが売られすぎの状態にある時に買いを入れます。価格が中央バンドに戻ったらロングポジションを決済します。

詳細

  • エントリー条件:
    • 価格がBollinger Bands下限を下回って終値が付く。
    • RSIが売られすぎのレベルを下回る。
  • ロング/ショート: ロングのみ。
  • エグジット条件:
    • 価格がBollinger Bands中央バンドで、またはそれを上回って終値が付く。
  • ストップ: いいえ。
  • デフォルト値:
    • BbLength = 10
    • BbDeviation = 2
    • RsiLength = 14
    • RsiOversold = 30
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: ロング
    • インジケーター: Bollinger Bands, RSI
    • ストップ: いいえ
    • 複雑さ: 低
    • 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.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 Long strategy.
/// Long only: buys when the close is below the lower Bollinger band and RSI is below RsiOversold, and closes the long once the close
/// is at or above the middle band.
/// </summary>
public class BollingerBandsLongStrategy : Strategy
{
	private readonly StrategyParam<int> _bbLength;
	private readonly StrategyParam<decimal> _bbDeviation;
	private readonly StrategyParam<int> _rsiLength;
	private readonly StrategyParam<decimal> _rsiOversold;
	private readonly StrategyParam<DataType> _candleType;

	/// <summary>
	/// Bollinger period.
	/// </summary>
	public int BbLength
	{
		get => _bbLength.Value;
		set => _bbLength.Value = value;
	}

	/// <summary>
	/// Bollinger standard deviation multiplier.
	/// </summary>
	public decimal BbDeviation
	{
		get => _bbDeviation.Value;
		set => _bbDeviation.Value = value;
	}

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

	/// <summary>
	/// RSI oversold level.
	/// </summary>
	public decimal RsiOversold
	{
		get => _rsiOversold.Value;
		set => _rsiOversold.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerBandsLongStrategy()
	{
		_bbLength = Param(nameof(BbLength), 10)
			.SetGreaterThanZero()
			.SetDisplay("BB Length", "Bollinger period", "Bollinger");

		_bbDeviation = Param(nameof(BbDeviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("BB Deviation", "Bollinger standard deviation multiplier", "Bollinger");

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

		_rsiOversold = Param(nameof(RsiOversold), 30m)
			.SetDisplay("RSI Oversold", "RSI oversold level", "RSI");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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 OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var bollinger = new BollingerBands { Length = BbLength, Width = BbDeviation };
		var rsi = new RelativeStrengthIndex { Length = RsiLength };

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

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

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

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

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

		var bands = (BollingerBandsValue)bollingerValue;

		if (bands.LowBand is not decimal lower || bands.MovingAverage is not decimal middle)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var close = candle.ClosePrice;
		var rsi = rsiValue.GetValue<decimal>();

		if (Position == 0 && close < lower && rsi < RsiOversold)
			BuyMarket(Volume);
		else if (Position > 0 && close >= middle)
			SellMarket(Position);
	}
}