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Bollinger Band Squeeze Strategy

该策略监控布林带宽度以发现低波动时期，当带宽相对于近期平均收窄时，预示即将出现波动扩张。

测试表明年均收益约为 100%，该策略在外汇市场表现最佳。

识别到“Squeeze”后，策略等待价格突破带外：收盘价上破上轨则做多，下破下轨则做空。若价格回到带内或触及止损，则平仓。

此方法适合交易波动性突破的投资者，通过带宽过滤，可避免震荡期的虚假信号。

细节

  • 入场条件:
    • 多头: 带宽收窄后，收盘价上破上轨
    • 空头: 带宽收窄后，收盘价下破下轨
  • 多/空: 双向
  • 离场条件:
    • 多头: 价格跌回带内
    • 空头: 价格升回带内
  • 止损: 通常为2倍ATR
  • 默认值:
    • BollingerPeriod = 20
    • BollingerMultiplier = 2.0m
    • LookbackPeriod = 20
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Breakout
    • 方向: 双向
    • 指标: Bollinger Bands
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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>
/// Bollinger Band Squeeze strategy. 
/// Trades when volatility decreases (bands squeeze) followed by a breakout.
/// </summary>
public class BollingerBandSqueezeStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriodParam;
	private readonly StrategyParam<decimal> _bollingerMultiplierParam;
	private readonly StrategyParam<int> _lookbackPeriodParam;
	private readonly StrategyParam<DataType> _candleTypeParam;

	private BollingerBands _bollinger;
	private AverageTrueRange _atr;
	private decimal _prevBollingerWidth;
	private decimal _avgBollingerWidth;
	private decimal _bollingerWidthSum;
	private readonly Queue<decimal> _bollingerWidths = [];

	/// <summary>
	/// Bollinger Bands period.
	/// </summary>
	public int BollingerPeriod
	{
		get => _bollingerPeriodParam.Value;
		set => _bollingerPeriodParam.Value = value;
	}

	/// <summary>
	/// Bollinger Bands multiplier.
	/// </summary>
	public decimal BollingerMultiplier
	{
		get => _bollingerMultiplierParam.Value;
		set => _bollingerMultiplierParam.Value = value;
	}

	/// <summary>
	/// Period for averaging Bollinger width.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriodParam.Value;
		set => _lookbackPeriodParam.Value = value;
	}

	/// <summary>
	/// Candle type for strategy.
	/// </summary>
	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public BollingerBandSqueezeStrategy()
	{
		_bollingerPeriodParam = Param(nameof(BollingerPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Bollinger Period", "Period for Bollinger Bands calculation", "Parameters")
			
			.SetOptimize(10, 30, 5);

		_bollingerMultiplierParam = Param(nameof(BollingerMultiplier), 2.0m)
			.SetRange(0.1m, decimal.MaxValue)
			.SetDisplay("Bollinger Multiplier", "Standard deviation multiplier for Bollinger Bands", "Parameters")
			
			.SetOptimize(1.5m, 3.0m, 0.5m);

		_lookbackPeriodParam = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for averaging Bollinger width", "Parameters")
			
			.SetOptimize(10, 30, 5);

		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "Common");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_bollinger = null;
		_atr = null;
		_prevBollingerWidth = 0;
		_avgBollingerWidth = 0;
		_bollingerWidthSum = 0;
		_bollingerWidths.Clear();
	}

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

		// Initialize indicator
		_bollinger = new BollingerBands
		{
			Length = BollingerPeriod,
			Width = BollingerMultiplier
		};

		_atr = new AverageTrueRange { Length = BollingerPeriod };
		// Create subscription and bind indicator
		var subscription = SubscribeCandles(CandleType);
		subscription
				.BindEx(_bollinger, ProcessCandle)
				.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _bollinger);
			DrawOwnTrades(area);
		}

		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute), // No take profit
			stopLoss: new Unit(2, UnitTypes.Absolute) // Stop loss at 2*ATR
		);
	}

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var bollingerTyped = (BollingerBandsValue)bollingerValue;

		if (bollingerTyped.UpBand is not decimal upperBand)
			return;

		if (bollingerTyped.LowBand is not decimal lowerBand)
			return;

		// Calculate Bollinger width (upper - lower)
		var bollingerWidth = upperBand - lowerBand;

		// Track average Bollinger width over lookback period
		_bollingerWidths.Enqueue(bollingerWidth);
		_bollingerWidthSum += bollingerWidth;

		if (_bollingerWidths.Count > LookbackPeriod)
		{
			var oldValue = _bollingerWidths.Dequeue();
			_bollingerWidthSum -= oldValue;
		}

		if (_bollingerWidths.Count == LookbackPeriod)
		{
			_avgBollingerWidth = _bollingerWidthSum / LookbackPeriod;

			// Detect Bollinger Band squeeze (narrowing bands)
			bool isSqueeze = bollingerWidth < _avgBollingerWidth;

			// Breakout after squeeze
			if (isSqueeze)
			{
				// Upside breakout
				if (candle.ClosePrice > upperBand && Position <= 0)
				{
					BuyMarket(Volume + Math.Abs(Position));
				}
				// Downside breakout
				else if (candle.ClosePrice < lowerBand && Position >= 0)
				{
					SellMarket(Volume + Math.Abs(Position));
				}
			}
		}

		_prevBollingerWidth = bollingerWidth;
	}
}