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BB Swing Strategy

Overview

The BB Swing Strategy is a faithful port of the MetaTrader "BB SWING" expert advisor. It trades Bollinger band pullbacks that align with the prevailing trend defined by two linear weighted moving averages (LWMAs). A higher-timeframe momentum filter and a very slow MACD help confirm the strength of the reversal before any position is opened.

Trading Logic

  1. Work only with finished candles from the CandleType timeframe.
  2. Track the last four completed candles to inspect recent extremes and candle bodies.
  3. Wait for the fast LWMA to stay above (for longs) or below (for shorts) the slow LWMA.
  4. Check that one of the last three lows touches the lower Bollinger band (long setup) or one of the highs touches the upper band (short setup).
  5. Require that the previous candle has a stronger body than its predecessor, signalling momentum away from the band.
  6. Confirm the trend strength with momentum calculated on MomentumCandleType. The strategy measures the absolute distance between the momentum reading and 100; the distance must exceed the configured buy/sell thresholds on any of the latest three momentum values.
  7. Validate the long-term direction with a MACD calculated on the MacdCandleType timeframe. Long entries are allowed while the MACD main line stays above the signal line; shorts require the opposite relation.
  8. When all conditions align, enter a market position using the current martingale volume step.

Position Sizing and Scaling

  • InitialVolume defines the first entry volume.
  • Every additional add-on multiplies the base volume by LotExponent (volume = InitialVolume * LotExponent^n).
  • MaxTrades caps the number of sequential add-ons so the total position size never exceeds InitialVolume * MaxTrades.

Exit and Protection Rules

  • Fixed StopLoss and TakeProfit values expressed in price steps.
  • Optional break-even logic (EnableBreakEven) that moves the stop to BreakEvenOffset once price advances by BreakEvenTrigger steps.
  • Classic trailing stop (EnableTrailingStop) that follows the extreme price by TrailingStop steps.
  • Money management tools:
    • UseMoneyTakeProfit closes positions once unrealised profit in account currency reaches MoneyTakeProfit.
    • UsePercentTakeProfit closes positions once profit equals PercentTakeProfit percent of the starting equity.
    • UseMoneyTrailing activates a profit trail: once profit exceeds MoneyTrailTarget, a pullback of MoneyTrailStop triggers an exit.
  • UseEquityStop monitors equity drawdown relative to the equity peak recorded during the session. A drawdown larger than EquityRiskPercent closes all positions.
  • Optional CloseOnMacdCross exits whenever the MACD main line crosses the signal line against the current position direction.

All protective actions rely on market orders (BuyMarket / SellMarket) to neutralise the entire position.

Parameters

Name Description
InitialVolume Base trade volume used for the first entry.
LotExponent Multiplier applied to the volume of each additional entry while scaling in.
MaxTrades Maximum number of sequential add-ons allowed at any time.
TakeProfit Take profit expressed in price steps.
StopLoss Stop loss expressed in price steps.
FastMaPeriod Period of the fast LWMA calculated on typical prices.
SlowMaPeriod Period of the slow LWMA calculated on typical prices.
MomentumLength Number of bars used in the momentum calculation.
MomentumBuyThreshold Minimum distance from 100 for the higher-timeframe momentum to validate long trades.
MomentumSellThreshold Minimum distance from 100 for the higher-timeframe momentum to validate short trades.
EnableBreakEven Enables break-even stop movement.
BreakEvenTrigger Price steps required to trigger the break-even move.
BreakEvenOffset Offset applied to the stop once break-even activates.
EnableTrailingStop Enables the classic trailing stop in price steps.
TrailingStop Size of the trailing stop expressed in steps.
UseMoneyTakeProfit Enables fixed profit taking in account currency.
MoneyTakeProfit Profit in currency that closes the position when UseMoneyTakeProfit is active.
UsePercentTakeProfit Enables equity-percentage-based profit taking.
PercentTakeProfit Percentage of the initial equity that triggers an exit when UsePercentTakeProfit is active.
UseMoneyTrailing Enables money-based trailing after a target profit is reached.
MoneyTrailTarget Profit level that activates the money trailing logic.
MoneyTrailStop Maximum allowed pullback in currency after activation.
UseEquityStop Enables closing positions when the floating drawdown exceeds a threshold.
EquityRiskPercent Maximum permitted equity drawdown in percent.
CloseOnMacdCross Enables MACD-based exit filtering.
CandleType Primary timeframe used for signal calculations.
MomentumCandleType Higher timeframe used for the momentum filter.
MacdCandleType Very slow timeframe used by the MACD exit filter.

Notes

  • The strategy processes finished candles only; it does not react intrabar.
  • All stop and target calculations use the instrument price step reported by the connected exchange. Ensure PriceStep is configured correctly for precise risk control.
  • Money- and equity-based protections rely on the strategy portfolio statistics available in StockSharp. When running in tester mode make sure the portfolio feed is enabled.
  • Unlike the original MQL expert, this C# implementation maintains a single aggregated position per direction. Scaling in increases the aggregate position instead of opening multiple discrete tickets.
  • Bollinger bands use a fixed length of 20 and width of 2 standard deviations on typical prices, matching the original code.
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;

public class BbSwingStrategy : Strategy
{
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _stopLossPoints;
	private readonly StrategyParam<int> _takeProfitPoints;

	private ExponentialMovingAverage _fast;
	private ExponentialMovingAverage _slow;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _entryPrice;
	private int _cooldown;

	public int FastPeriod { get => _fastPeriod.Value; set => _fastPeriod.Value = value; }
	public int SlowPeriod { get => _slowPeriod.Value; set => _slowPeriod.Value = value; }
	public int StopLossPoints { get => _stopLossPoints.Value; set => _stopLossPoints.Value = value; }
	public int TakeProfitPoints { get => _takeProfitPoints.Value; set => _takeProfitPoints.Value = value; }

	public BbSwingStrategy()
	{
		_fastPeriod = Param(nameof(FastPeriod), 14).SetGreaterThanZero().SetDisplay("Fast Period", "Fast EMA period", "Indicator");
		_slowPeriod = Param(nameof(SlowPeriod), 50).SetGreaterThanZero().SetDisplay("Slow Period", "Slow EMA period", "Indicator");
		_stopLossPoints = Param(nameof(StopLossPoints), 200).SetNotNegative().SetDisplay("Stop Loss", "Stop-loss in price steps", "Risk");
		_takeProfitPoints = Param(nameof(TakeProfitPoints), 400).SetNotNegative().SetDisplay("Take Profit", "Take-profit in price steps", "Risk");
	}

	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		yield return (Security, TimeSpan.FromMinutes(5).TimeFrame());
	}

	protected override void OnReseted()
	{
		base.OnReseted();
		_fast = null; _slow = null;
		_prevFast = 0; _prevSlow = 0; _entryPrice = 0; _cooldown = 0;
	}

	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_fast = new ExponentialMovingAverage { Length = FastPeriod };
		_slow = new ExponentialMovingAverage { Length = SlowPeriod };
		var subscription = SubscribeCandles(TimeSpan.FromMinutes(5).TimeFrame());
		subscription.Bind(_fast, _slow, ProcessCandle);
		subscription.Start();
	}

	private void ProcessCandle(ICandleMessage candle, decimal fastValue, decimal slowValue)
	{
		if (candle.State != CandleStates.Finished) return;
		if (!_fast.IsFormed || !_slow.IsFormed) { _prevFast = fastValue; _prevSlow = slowValue; return; }
		if (_cooldown > 0) { _cooldown--; _prevFast = fastValue; _prevSlow = slowValue; return; }

		var close = candle.ClosePrice;
		var step = Security?.PriceStep ?? 1m;

		if (Position > 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close <= _entryPrice - StopLossPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close >= _entryPrice + TakeProfitPoints * step) { SellMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}
		else if (Position < 0 && _entryPrice > 0)
		{
			if (StopLossPoints > 0 && close >= _entryPrice + StopLossPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
			if (TakeProfitPoints > 0 && close <= _entryPrice - TakeProfitPoints * step) { BuyMarket(); _entryPrice = 0; _cooldown = 100; _prevFast = fastValue; _prevSlow = slowValue; return; }
		}

		if (_prevFast <= _prevSlow && fastValue > slowValue && Position <= 0)
		{ if (Position < 0) BuyMarket(); BuyMarket(); _entryPrice = close; _cooldown = 100; }
		else if (_prevFast >= _prevSlow && fastValue < slowValue && Position >= 0)
		{ if (Position > 0) SellMarket(); SellMarket(); _entryPrice = close; _cooldown = 100; }

		_prevFast = fastValue; _prevSlow = slowValue;
	}
}