Bollinger Strategy with Focus on Upper Band

Overview

BollingerStrategyUpBandStrategy is a strategy based on the BollingerBands indicator. It opens a long position when the price reaches the upper 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 BollingerStrategyUpBandStrategy : 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:
    // Buy when price touches the upper band (only when no position exists)
    if (candle.ClosePrice >= upperBand && Position == 0)
    {
        BuyMarket(Volume);
    }
    // Sell to close the position when price reaches the middle line (only with a long position)
    else if (candle.ClosePrice <= middleBand && Position > 0)
    {
        SellMarket(Math.Abs(Position));
    }
}

Trading Logic

Buy signal: candle close price reaches or exceeds the upper Bollinger Band when there is no open position
Sell signal (closing long position): candle close price reaches or falls below the middle Bollinger Band line when there is a long 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 upper band and middle line of the Bollinger Bands indicator
Only long 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

Table of Contents