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Стратегия Larry Connors Percent B Bollinger

Стратегия следует подходу Larry Connors %B. Покупка выполняется, когда цена находится выше SMA200 и значение Bollinger %B остаётся ниже порога три подряд свечи. Позиция закрывается, когда %B поднимается выше верхнего порога.

Конфигурация по умолчанию рассчитана на дневные свечи.

Подробности

  • Условия входа: цена выше SMA200 и %B ниже LowPercentB три последовательные свечи.
  • Длинные/короткие позиции: только длинные.
  • Условия выхода: %B поднимается выше HighPercentB или срабатывает стоп.
  • Стопы: да.
  • Значения по умолчанию:
    • SmaPeriod = 200
    • BollingerPeriod = 20
    • BollingerDeviation = 2.0m
    • LowPercentB = 0.2m
    • HighPercentB = 0.8m
    • StopLossPercent = 2.0m
    • CandleType = TimeSpan.FromDays(1)
  • Фильтры:
    • Категория: Trend Following
    • Направление: Long
    • Индикаторы: Bollinger Bands, SMA
    • Стопы: да
    • Сложность: базовая
    • Таймфрейм: дневной
    • Сезонность: нет
    • Нейросети: нет
    • Дивергенция: нет
    • Уровень риска: средний
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>
/// Larry Connors %B strategy using Bollinger Bands.
/// Buys when price is above SMA200 and %B stays below a threshold for three consecutive candles.
/// Exits when %B rises above the upper threshold.
/// </summary>
public class LarryConnorsPercentBStrategy : Strategy
{
	private readonly StrategyParam<int> _smaPeriod;
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<decimal> _lowPercentB;
	private readonly StrategyParam<decimal> _highPercentB;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _maxEntries;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevPercentB1;
	private decimal? _prevPercentB2;
	private int _entriesExecuted;
	private int _barsSinceSignal;

	/// <summary>
	/// SMA period for trend filter (default: 200).
	/// </summary>
	public int SmaPeriod
	{
		get => _smaPeriod.Value;
		set => _smaPeriod.Value = value;
	}

	/// <summary>
	/// Period for Bollinger Bands (default: 20).
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriod.Value;
		set => _bollingerPeriod.Value = value;
	}

	/// <summary>
	/// Deviation for Bollinger Bands (default: 2.0).
	/// </summary>
	public decimal BollingerDeviation
	{
		get => _bollingerDeviation.Value;
		set => _bollingerDeviation.Value = value;
	}

	/// <summary>
	/// Lower threshold for %B (default: 0.2).
	/// </summary>
	public decimal LowPercentB
	{
		get => _lowPercentB.Value;
		set => _lowPercentB.Value = value;
	}

	/// <summary>
	/// Upper threshold for %B to exit (default: 0.8).
	/// </summary>
	public decimal HighPercentB
	{
		get => _highPercentB.Value;
		set => _highPercentB.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage from entry price (default: 2%).
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Type of candles used for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Maximum entries per run.
	/// </summary>
	public int MaxEntries
	{
		get => _maxEntries.Value;
		set => _maxEntries.Value = value;
	}

	/// <summary>
	/// Minimum bars between entries.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

	/// <summary>
	/// Initializes the strategy.
	/// </summary>
	public LarryConnorsPercentBStrategy()
	{
		_smaPeriod = Param(nameof(SmaPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("SMA Period", "Period for long-term trend filter", "General")
			
			.SetOptimize(100, 300, 50);

		_bollingerPeriod = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Period for Bollinger Bands", "Bollinger")
			
			.SetOptimize(10, 30, 5);

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Deviation", "Standard deviation for Bollinger Bands", "Bollinger")
			
			.SetOptimize(1.0m, 3.0m, 0.5m);

		_lowPercentB = Param(nameof(LowPercentB), 0.35m)
			.SetDisplay("Low %B", "Lower threshold for %B", "Signals")
			
			.SetOptimize(0.1m, 0.3m, 0.05m);

		_highPercentB = Param(nameof(HighPercentB), 0.8m)
			.SetDisplay("High %B", "Upper threshold for %B to exit", "Signals")
			
			.SetOptimize(0.7m, 0.9m, 0.05m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk")
			
			.SetOptimize(1.0m, 5.0m, 1.0m);

		_maxEntries = Param(nameof(MaxEntries), 45)
			.SetGreaterThanZero()
			.SetDisplay("Max Entries", "Maximum entries per run", "Risk");

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetGreaterThanZero()
			.SetDisplay("Cooldown Bars", "Minimum bars between entries", "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();

		_prevPercentB1 = null;
		_prevPercentB2 = null;
		_entriesExecuted = 0;
		_barsSinceSignal = 0;
	}

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

		var bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerDeviation
		};
		var dummyEma = new ExponentialMovingAverage { Length = 10 };

		var subscription = SubscribeCandles(CandleType);
		_entriesExecuted = 0;
		_barsSinceSignal = CooldownBars;
		subscription
			.BindEx(bollinger, dummyEma, ProcessCandle)
			.Start();

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

	}

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

		_barsSinceSignal++;

		var bb = (BollingerBandsValue)bollingerInd;
		var upper = bb.UpBand ?? 0m;
		var lower = bb.LowBand ?? 0m;
		if (upper == 0m || lower == 0m || upper == lower)
			return;

		var percentB = (candle.ClosePrice - lower) / (upper - lower);

		if (_prevPercentB1 is not decimal prev1 || _prevPercentB2 is not decimal prev2)
		{
			_prevPercentB2 = _prevPercentB1;
			_prevPercentB1 = percentB;
			return;
		}

		var condition2 = prev1 < LowPercentB && percentB < LowPercentB;

		if (Position <= 0 && _entriesExecuted < MaxEntries && _barsSinceSignal >= CooldownBars && condition2)
		{
			BuyMarket();
			_entriesExecuted++;
			_barsSinceSignal = 0;
		}
		else if (Position > 0 && percentB > HighPercentB)
		{
			SellMarket();
			_barsSinceSignal = 0;
		}

		_prevPercentB2 = _prevPercentB1;
		_prevPercentB1 = percentB;
	}
}