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Estratégia Bollinger Cci

Implementação da estratégia - Bollinger Bands + CCI. Compra quando o preço está abaixo da banda inferior de Bollinger e o CCI está abaixo de -100 (sobrevendido). Vende quando o preço está acima da banda superior de Bollinger e o CCI está acima de 100 (sobrecomprado).

Os testes indicam um retorno anual médio de aproximadamente 73%. Funciona melhor no mercado de criptomoedas.

As bandas de Bollinger mapeiam os limites de volatilidade, e o CCI mede a distância da média. Rompimentos além de uma banda com confirmação do CCI acionam operações.

Adequado para mercados voláteis onde as tendências se expandem rapidamente. Stops baseados em ATR são aplicados para segurança.

Detalhes

  • Critérios de entrada:
    • Comprado: Close < LowerBand && CCI < CciOversold
    • Vendido: Close > UpperBand && CCI > CciOverbought
  • Comprado/Vendido: Ambos
  • Critérios de saída: O preço retorna à banda do meio
  • Stops: Baseados em ATR usando StopLossAtr
  • Valores padrão:
    • BollingerPeriod = 20
    • BollingerDeviation = 2.0m
    • CciPeriod = 20
    • CciOversold = -100m
    • CciOverbought = 100m
    • StopLossAtr = 2
    • AtrPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame() O stop fica a StopLossAtr ATR (AtrPeriod) do fechamento de entrada e é verificado nos fechamentos dos candles. Um sinal de entrada contra uma posição aberta a inverte.
  • Filtros:
    • Categoria: Reversão à média
    • Direção: Ambos
    • Indicadores: Bollinger Bands, CCI
    • Stops: Sim
    • Complexidade: Intermediário
    • Período: Médio prazo
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
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 CCI strategy.
/// A close below the lower band with CCI below CciOversold goes long and a close above the upper band with CCI above CciOverbought goes short,
/// reversing an opposite position. The position closes when price returns to the middle band. The stop lies StopLossAtr ATR from the entry
/// close and is checked on candle closes.
/// </summary>
public class BollingerCciStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<decimal> _stopLossAtr;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _stopPrice;

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

	/// <summary>
	/// Standard deviation multiplier of the bands.
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}

	/// <summary>
	/// Period of CCI.
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

	/// <summary>
	/// CCI level for longs.
	/// </summary>
	public decimal CciOversold
	{
		get => _cciOversold.Value;
		set => _cciOversold.Value = value;
	}

	/// <summary>
	/// CCI level for shorts.
	/// </summary>
	public decimal CciOverbought
	{
		get => _cciOverbought.Value;
		set => _cciOverbought.Value = value;
	}

	/// <summary>
	/// Stop distance from the entry in ATRs.
	/// </summary>
	public decimal StopLossAtr
	{
		get => _stopLossAtr.Value;
		set => _stopLossAtr.Value = value;
	}

	/// <summary>
	/// Period of the stop ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerCciStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Period of the Bollinger Bands", "Indicators");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Standard deviation multiplier of the bands", "Indicators");

		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period of CCI", "Indicators");

		_cciOversold = Param(nameof(CciOversold), -100m)
			.SetDisplay("CCI Oversold", "CCI level for longs", "Indicators");

		_cciOverbought = Param(nameof(CciOverbought), 100m)
			.SetDisplay("CCI Overbought", "CCI level for shorts", "Indicators");

		_stopLossAtr = Param(nameof(StopLossAtr), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss ATR", "Stop distance from the entry in ATRs", "Risk");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of the stop ATR", "Risk");

		_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();
		_stopPrice = default;
	}

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

		_stopPrice = default;

		var bollinger = new BollingerBands { Length = BollingerPeriod, Width = BollingerDeviation };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

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

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

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

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

		if (!bollingerValue.IsFormed || !cciValue.IsFormed || !atrValue.IsFormed)
			return;

		var bands = (BollingerBandsValue)bollingerValue;

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var atr = atrValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var cci = cciValue.GetValue<decimal>();

		if (close < lower && cci < CciOversold && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - StopLossAtr * atr;
		}
		else if (close > upper && cci > CciOverbought && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + StopLossAtr * atr;
		}
		else if (Position > 0 && (close >= middle || (StopLossAtr > 0 && close <= _stopPrice)))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (close <= middle || (StopLossAtr > 0 && close >= _stopPrice)))
		{
			BuyMarket(-Position);
		}
	}
}