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Bollinger Breakout Momentum 策略

基于原始 MQL 策略改写。该策略在布林带宽度超过阈值时，结合 EMA、MACD 和 RSI 的确认进行交易。每次波动性扩张只进场一次，止损沿中轨移动，并使用固定点数的止盈。

细节

  • 入场条件：
    • 多头：带宽超过 BreakoutFactor，MACD > 0，RSI > 50，EMA 高于中轨，上一根收盘价高于上一根上轨
    • 空头：带宽超过 BreakoutFactor，MACD < 0，RSI < 50，EMA 低于中轨，上一根收盘价低于上一根下轨
  • 方向：双向
  • 出场条件：
    • 多头：价格触及中轨止损或达到固定止盈
    • 空头：价格触及中轨止损或达到固定止盈
  • 止损：当前布林带中轨，每根K线更新
  • 止盈：按点数固定距离
  • 默认值：
    • BollingerLength = 18
    • BollingerDeviation = 2m
    • BreakoutFactor = 0.0015m
    • TakeProfitPips = 100
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 筛选：
    • 类型：Breakout
    • 方向：双向
    • 指标：Bollinger Bands, EMA, MACD, RSI
    • 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.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy trading Bollinger Band breakouts with band momentum confirmation.
/// </summary>
public class BollingerBreakoutMomentumStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerLength;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<int> _takeProfitPips;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _breakoutPercent;
	private readonly StrategyParam<int> _cooldownBars;

	private decimal _stopPrice;
	private decimal _takePrice;
	private decimal? _prevUpper;
	private decimal? _prevLower;
	private decimal? _prevMiddle;
	private int _cooldownRemaining;

	public int BollingerLength { get => _bollingerLength.Value; set => _bollingerLength.Value = value; }
	public decimal BollingerDeviation { get => _bollingerDeviation.Value; set => _bollingerDeviation.Value = value; }
	public int TakeProfitPips { get => _takeProfitPips.Value; set => _takeProfitPips.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal BreakoutPercent { get => _breakoutPercent.Value; set => _breakoutPercent.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public BollingerBreakoutMomentumStrategy()
	{
		_bollingerLength = Param(nameof(BollingerLength), 18)
			.SetDisplay("BB Length", "Bollinger Bands length", "Parameters");

		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m)
			.SetDisplay("BB Deviation", "Bollinger Bands deviation", "Parameters");

		_takeProfitPips = Param(nameof(TakeProfitPips), 200)
			.SetDisplay("Take Profit (pips)", "Distance for profit target", "Risk");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(4).TimeFrame())
			.SetDisplay("Candle Type", "Type of working candles", "General");

		_breakoutPercent = Param(nameof(BreakoutPercent), 0.002m)
			.SetDisplay("Breakout %", "Minimum breakout beyond the Bollinger boundary", "Filters");

		_cooldownBars = Param(nameof(CooldownBars), 4)
			.SetDisplay("Cooldown Bars", "Completed candles to wait after a position change", "Trading");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_stopPrice = 0m;
		_takePrice = 0m;
		_prevUpper = null;
		_prevLower = null;
		_prevMiddle = null;
		_cooldownRemaining = 0;
	}

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

		var bollinger = new BollingerBands
		{
			Length = BollingerLength,
			Width = BollingerDeviation
		};

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(bollinger, ProcessCandle)
			.Start();

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

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

		if (_cooldownRemaining > 0)
			_cooldownRemaining--;

		var bb = (BollingerBandsValue)bbValue;
		if (bb.UpBand is not decimal upper || bb.LowBand is not decimal lower || bb.MovingAverage is not decimal middle)
			return;

		var step = Security.PriceStep ?? 1m;
		var price = candle.ClosePrice;

		if (Position > 0)
		{
			if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takePrice)
			{
				SellMarket();
				_cooldownRemaining = CooldownBars;
			}
			else
			{
				_stopPrice = Math.Max(_stopPrice, middle);
			}
		}
		else if (Position < 0)
		{
			if (candle.HighPrice >= _stopPrice || candle.LowPrice <= _takePrice)
			{
				BuyMarket();
				_cooldownRemaining = CooldownBars;
			}
			else
			{
				_stopPrice = Math.Min(_stopPrice, middle);
			}
		}
		else if (_prevUpper is decimal prevUpper && _prevLower is decimal prevLower && _prevMiddle is decimal prevMiddle && _cooldownRemaining == 0)
		{
			var upperRising = upper > prevUpper && middle > prevMiddle;
			var lowerFalling = lower < prevLower && middle < prevMiddle;
			var buySignal = upperRising && price > upper * (1m + BreakoutPercent);
			var sellSignal = lowerFalling && price < lower * (1m - BreakoutPercent);

			if (buySignal)
			{
				BuyMarket();
				_stopPrice = middle;
				_takePrice = price + TakeProfitPips * step;
				_cooldownRemaining = CooldownBars;
			}
			else if (sellSignal)
			{
				SellMarket();
				_stopPrice = middle;
				_takePrice = price - TakeProfitPips * step;
				_cooldownRemaining = CooldownBars;
			}
		}

		_prevUpper = upper;
		_prevLower = lower;
		_prevMiddle = middle;
	}
}