BollingerBandTrendFollowStrategy.cs

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.IO;
using cAlgo.API;
using cAlgo.API.Collections;
using cAlgo.API.Indicators;
using cAlgo.API.Internals;

namespace cAlgo.Robots
{
    [Robot(TimeZone = TimeZones.UTC, AccessRights = AccessRights.None)]
    public class BollingerBandTrendFollow_cBot : Robot
    {
        // ********************************
        // User defined inputs
        // ********************************
        
        // Basic settings
        [Parameter("Length", Group ="Basic settings", DefaultValue = 20)]
        public int Length { get; set; }
        
        [Parameter("Upper", Group ="Basic settings", DefaultValue = 1)]
        public int MultiplierUpper { get; set; }
        
        [Parameter("Lower", Group ="Basic settings", DefaultValue = 0.5)]
        public double MultiplierLower { get; set; }
        
        [Parameter("Risk percentage", Group ="Basic settings", DefaultValue = 2.5)]
        public double RiskPercentage { get; set; }
        
        [Parameter("Atr Multiplier", Group ="Basic settings", DefaultValue = 2)]
        public int AtrMultiplier {get; set;}
        
        [Parameter("Atr Length", Group ="Basic settings", DefaultValue = 20)]
        public int AtrLength { get; set; }
        
        // Filter settings
        [Parameter("Enable Filter", Group ="Filter settings", DefaultValue =false)]
        public bool EnableFilter {get; set;} 
        
        [Parameter("Price above SMA(X)", Group ="Filter settings", DefaultValue =200)]
        public int SmaLength {get;set;}
        
        [Parameter("RSI > X", Group ="Filter settings", DefaultValue = 0)]
        public int RsiValue {get;set;}
        
        protected override void OnStart()
        {   

        }
        
        protected override void OnBarClosed()
        {   
            // **********************************
            // Perform calculations and analysis
            // **********************************
            
            double stdLastValue = Indicators.StandardDeviation(Bars.ClosePrices, Length, MovingAverageType.Simple).Result.LastValue;
            double smaLastValue = Indicators.SimpleMovingAverage(Bars.ClosePrices, Length).Result.LastValue;
            
            double upperBand = smaLastValue + (MultiplierUpper * stdLastValue);
            double lowerBand = smaLastValue - (MultiplierLower * stdLastValue);  
            
            string label = $"BollingerBandTrendFollow_cBot-{Symbol.Name}";
             
            // Filter
            double lastClosePrice = Bars.ClosePrices.LastValue;
            bool priceAboveSMA = lastClosePrice > Indicators.SimpleMovingAverage(Bars.ClosePrices, SmaLength).Result.LastValue;
            bool rsiAboveValue = Indicators.RelativeStrengthIndex(Bars.ClosePrices, 14).Result.LastValue > RsiValue;
            bool filter = EnableFilter ? priceAboveSMA && rsiAboveValue : true;
            
            // Check position
            Position position = Positions.Find(label);
            bool isOpenPosition = position != null;
            
            // Trade amount
            double qty = ((RiskPercentage/100) * Account.Balance) / (AtrMultiplier * Indicators.AverageTrueRange(AtrLength, MovingAverageType.Simple).Result.LastValue);
            double qtyInLots = ((int)(qty /Symbol.VolumeInUnitsStep)) * Symbol.VolumeInUnitsStep;
            
            bool buyCondition = lastClosePrice > upperBand && !isOpenPosition && filter;
            bool sellCondition = lastClosePrice < lowerBand && isOpenPosition;
           
            
            // ********************************
            // Manage trade
            // ********************************
            
            // Entry
            if(buyCondition)
            {
                ExecuteMarketOrder(TradeType.Buy, SymbolName, qtyInLots, label);
            }
            
            // Exit
            if(sellCondition) {
                position.Close();
            }

            Print("Sucessful call OnBarClosed() method.");
        }
    }
}