Classic Bollinger Strategy

Overview

BollingerStrategyClassicStrategy is a strategy based on the BollingerBands indicator. It opens positions when the price reaches the upper or lower boundary of the Bollinger Bands.

Main Components

The strategy inherits from Strategy and uses parameters for configuration:

public class BollingerStrategyClassicStrategy : Strategy
{
    private readonly StrategyParam<int> _bollingerLength;
    private readonly StrategyParam<decimal> _bollingerDeviation;
    private readonly StrategyParam<DataType> _candleType;

    private BollingerBands _bollingerBands;
}

Strategy Parameters

The strategy allows customizing the following parameters:

BollingerLength - Bollinger Bands indicator period (default 20)
BollingerDeviation - standard deviation multiplier (default 2.0)
CandleType - candle type to work with (default 5-minute)

All parameters are available for optimization with specified value ranges.

Strategy Initialization

In the OnStarted method, the Bollinger Bands indicator is created, candle subscription is set up, and visualization is prepared:

protected override void OnStarted(DateTimeOffset time)
{
    base.OnStarted(time);

    // Create indicator
    _bollingerBands = new BollingerBands
    {
        Length = BollingerLength,
        Width = BollingerDeviation
    };

    // Create subscription and bind indicator
    var subscription = SubscribeCandles(CandleType);
    subscription
        .Bind(_bollingerBands, ProcessCandle)
        .Start();

    // Set up visualization on the chart
    var area = CreateChartArea();
    if (area != null)
    {
        DrawCandles(area, subscription);
        DrawIndicator(area, _bollingerBands, System.Drawing.Color.Purple);
        DrawOwnTrades(area);
    }
}

Processing Candles

The ProcessCandle method is called for each completed candle and implements the trading logic:

private void ProcessCandle(ICandleMessage candle, decimal middleBand, decimal upperBand, decimal lowerBand)
{
    // Skip incomplete candles
    if (candle.State != CandleStates.Finished)
        return;

    // Check if the strategy is ready for trading
    if (!IsFormedAndOnlineAndAllowTrading())
        return;

    // Trading logic:
    // Sell when price reaches or exceeds the upper band
    if (candle.ClosePrice >= upperBand && Position >= 0)
    {
        SellMarket(Volume + Math.Abs(Position));
    }
    // Buy when price reaches or falls below the lower band
    else if (candle.ClosePrice <= lowerBand && Position <= 0)
    {
        BuyMarket(Volume + Math.Abs(Position));
    }
}

Trading Logic

Sell signal: candle close price reaches or exceeds the upper Bollinger Band when there is no short position
Buy signal: candle close price reaches or falls below the lower Bollinger Band when there is no long position
Position volume increases by the current position amount with each new trade

Features

The strategy automatically determines instruments to work with via the GetWorkingSecurities() method
The strategy only works with completed candles
The indicator and trades are visualized on a chart when a graphic area is available
Parameter optimization is supported to find optimal strategy settings

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