Merge pull request #14 from GeorgeFreelanceDeveloper/feature/bollinge…

…r-band-simple-strategy

Feature/bollinger band simple strategy

strategies/trend-follow/BollingerBandTrendFollow/scripts/BollingerBandTrendFollowStrategy.cs

@@ -0,0 +1,100 @@
+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("Benchmark Symbol", Group ="Filter settings", DefaultValue ="US500")]
+        public string BenchmarkSymbol {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
+            DataSeries benchmarkSymbolClosePrices = MarketData.GetBars(TimeFrame.Daily, BenchmarkSymbol).ClosePrices;
+            double benchmarkSymbolClose =benchmarkSymbolClosePrices.LastValue;
+            bool filter = EnableFilter ? benchmarkSymbolClose >= Indicators.SimpleMovingAverage(benchmarkSymbolClosePrices, 200).Result.LastValue: 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;
+
+            double lastClose = Bars.ClosePrices.LastValue;
+
+            bool buyCondition = lastClose > upperBand && !isOpenPosition && filter;
+            bool sellCondition = lastClose < lowerBand && isOpenPosition;
+
+
+            // ********************************
+            // Manage trade
+            // ********************************
+
+            // Entry
+            if(buyCondition)
+            {
+                ExecuteMarketOrder(TradeType.Buy, SymbolName, qtyInLots, label);
+            }
+
+            // Exit
+            if(sellCondition) {
+                position.Close();
+            }
+        }
+    }
+}