大ヒット作 Bollinger ブレイクアウト戦略

using System;
using System.Collections.Generic;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Blockbuster Bollinger breakout strategy.
/// Buys when price closes below lower Bollinger band (mean reversion).
/// Sells when price closes above upper Bollinger band.
/// Exits at middle band.
/// </summary>
public class BlockbusterBollingerStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerWidth;
	private readonly StrategyParam<DataType> _candleType;

	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }
	public decimal BollingerWidth { get => _bollingerWidth.Value; set => _bollingerWidth.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	public BlockbusterBollingerStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetDisplay("BB Period", "Bollinger bands period", "Indicators");

		_bollingerWidth = Param(nameof(BollingerWidth), 1m)
			.SetDisplay("BB Width", "Bollinger bands deviation", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities() => [(Security, CandleType)];
	protected override void OnReseted() { base.OnReseted(); }

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		var bb = new BollingerBands { Length = BollingerPeriod, Width = BollingerWidth };

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

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

		if (!value.IsFinal || value.IsEmpty)
			return;

		var bbVal = value as BollingerBandsValue;
		if (bbVal == null)
			return;

		var upper = bbVal.UpBand;
		var lower = bbVal.LowBand;
		var middle = bbVal.MovingAverage;

		if (upper == null || lower == null || middle == null)
			return;

		var close = candle.ClosePrice;

		// Breakout above upper band - momentum buy
		if (close > upper.Value && Position <= 0)
		{
			if (Position < 0)
				BuyMarket();
			BuyMarket();
		}
		// Breakout below lower band - momentum sell
		else if (close < lower.Value && Position >= 0)
		{
			if (Position > 0)
				SellMarket();
			SellMarket();
		}
		// Exit long at middle
		else if (Position > 0 && close < middle.Value)
		{
			SellMarket();
		}
		// Exit short at middle
		else if (Position < 0 && close > middle.Value)
		{
			BuyMarket();
		}
	}
}

import clr

clr.AddReference("StockSharp.Messages")
clr.AddReference("StockSharp.Algo")
clr.AddReference("StockSharp.Algo.Indicators")
clr.AddReference("StockSharp.Algo.Strategies")

from System import TimeSpan
from StockSharp.Messages import DataType, CandleStates
from StockSharp.Algo.Indicators import BollingerBands
from StockSharp.Algo.Strategies import Strategy


class blockbuster_bollinger_strategy(Strategy):
    def __init__(self):
        super(blockbuster_bollinger_strategy, self).__init__()
        self._bollinger_period = self.Param("BollingerPeriod", 20) \
            .SetDisplay("BB Period", "Bollinger bands period", "Indicators")
        self._bollinger_width = self.Param("BollingerWidth", 1.0) \
            .SetDisplay("BB Width", "Bollinger bands deviation", "Indicators")
        self._candle_type = self.Param("CandleType", DataType.TimeFrame(TimeSpan.FromHours(4))) \
            .SetDisplay("Candle Type", "Candle timeframe", "General")

    @property
    def bollinger_period(self):
        return self._bollinger_period.Value

    @property
    def bollinger_width(self):
        return self._bollinger_width.Value

    @property
    def candle_type(self):
        return self._candle_type.Value

    def OnReseted(self):
        super(blockbuster_bollinger_strategy, self).OnReseted()

    def OnStarted2(self, time):
        super(blockbuster_bollinger_strategy, self).OnStarted2(time)
        bb = BollingerBands()
        bb.Length = self.bollinger_period
        bb.Width = self.bollinger_width
        subscription = self.SubscribeCandles(self.candle_type)
        subscription.BindEx(bb, self.process_candle).Start()

    def process_candle(self, candle, bb_value):
        if candle.State != CandleStates.Finished:
            return
        if not bb_value.IsFinal or bb_value.IsEmpty:
            return
        if bb_value.UpBand is None or bb_value.LowBand is None or bb_value.MovingAverage is None:
            return
        upper = float(bb_value.UpBand)
        lower = float(bb_value.LowBand)
        middle = float(bb_value.MovingAverage)
        close = float(candle.ClosePrice)
        if close > upper and self.Position <= 0:
            if self.Position < 0:
                self.BuyMarket()
            self.BuyMarket()
        elif close < lower and self.Position >= 0:
            if self.Position > 0:
                self.SellMarket()
            self.SellMarket()
        elif self.Position > 0 and close < middle:
            self.SellMarket()
        elif self.Position < 0 and close > middle:
            self.BuyMarket()

    def CreateClone(self):
        return blockbuster_bollinger_strategy()