Bollinger Strategy with Focus on Lower Band

Overview

BollingerStrategyLowBandStrategy is a strategy based on the BollingerBands indicator. It opens a short position when the price reaches the lower boundary of the Bollinger Bands and closes it when the price reaches the middle line.

Main Components

The strategy inherits from Strategy and uses parameters for configuration:

public class BollingerStrategyLowBandStrategy : 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 touches the lower band (only when no position exists)
    if (candle.ClosePrice <= lowerBand && Position == 0)
    {
        SellMarket(Volume);
    }
    // Buy to close the position when price reaches the middle line (only with a short position)
    else if (candle.ClosePrice >= middleBand && Position < 0)
    {
        BuyMarket(Math.Abs(Position));
    }
}

Trading Logic

Sell signal: candle close price reaches or falls below the lower Bollinger Band when there is no open position
Buy signal (closing short position): candle close price reaches or exceeds the middle Bollinger Band line when there is a short position
Position volume is fixed when opening and equals the entire current position when closing

Features

The strategy automatically determines instruments to work with via the GetWorkingSecurities() method
The strategy only works with completed candles
The strategy uses only the lower band and middle line of the Bollinger Bands indicator
Only short positions are opened
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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