Bollinger Channel and CCI Entries with ATR Trailing Stops
Summary
This strategy combines Bollinger channels and the Commodity Channel Index (CCI) to place entries on 15-minute bars. When flat, a positive CCI prompts a buy order at the upper Bollinger level, while a negative CCI prompts a short order at the lower level. The supplied defaults are an 18-bar channel with a 3.4 deviation, a 10-bar CCI, and a 30-bar ATR. Position size defaults to one unit.
For an open long, the strategy tracks the highest price since entry and places a stop five-point-two ATRs below that high. For a short, it tracks the lowest price and places a stop the same ATR multiple above it. The document is source code and describes the mechanics, but provides no backtest settings or performance evidence. Its behavior therefore cannot establish profitability; the wide ATR multiple and indicator settings would need evaluation across instruments and market conditions.
Key ideas
- Entries are conditioned on the CCI sign and use the corresponding upper or lower Bollinger channel as the order level.
- The strategy processes signals on 15-minute bars and uses an 18-bar, 3.4-deviation Bollinger channel by default.
- Long and short exits use ATR-based trailing stops that follow the trade's favorable price extreme.
- The default ATR window is 30 bars and the stop distance is 5.2 times ATR.
- The document gives implementation details but no backtest results or evidence of profitability.
Tags
Full text
# BollChannelStrategy
# BollChannelStrategy
布林通道策略。
用布林通道和CCI开仓，并用ATR止损的策略。
## Source (MIT)
```python
"""布林通道策略。"""
from vnpy_ctastrategy import (
CtaTemplate,
StopOrder,
TickData,
BarData,
TradeData,
OrderData,
BarGenerator,
ArrayManager,
)
class BollChannelStrategy(CtaTemplate):
"""用布林通道和CCI开仓，并用ATR止损的策略。"""
author: str = "用Python的交易员"
boll_window: int = 18
boll_dev: float = 3.4
cci_window: int = 10
atr_window: int = 30
sl_multiplier: float = 5.2
fixed_size: int = 1
boll_up: float = 0
boll_down: float = 0
cci_value: float = 0
atr_value: float = 0
intra_trade_high: float = 0
intra_trade_low: float = 0
long_stop: float = 0
short_stop: float = 0
parameters: list[str] = [
"boll_window",
"boll_dev",
"cci_window",
"atr_window",
"sl_multiplier",
"fixed_size"
]
variables: list[str] = [
"boll_up",
"boll_down",
"cci_value",
"atr_value",
"intra_trade_high",
"intra_trade_low",
"long_stop",
"short_stop"
]
def on_init(self) -> None:
"""
策略初始化完成时的回调。
"""
self.write_log("策略初始化")
self.bg: BarGenerator = BarGenerator(self.on_bar, 15, self.on_15min_bar)
self.am: ArrayManager = ArrayManager()
self.load_bar(10)
def on_start(self) -> None:
"""
策略启动时的回调。
"""
self.write_log("策略启动")
def on_stop(self) -> None:
"""
策略停止时的回调。
"""
self.write_log("策略停止")
def on_tick(self, tick: TickData) -> None:
"""
新 Tick 数据更新时的回调。
"""
self.bg.update_tick(tick)
def on_bar(self, bar: BarData) -> None:
"""
新 K 线数据更新时的回调。
"""
self.bg.update_bar(bar)
def on_15min_bar(self, bar: BarData) -> None:
"""在15分钟K线上按布林通道和CCI开仓，并用ATR跟踪止损。"""
self.cancel_all()
am: ArrayManager = self.am
am.update_bar(bar)
if not am.inited:
return
self.boll_up, self.boll_down = am.boll(self.boll_window, self.boll_dev)
self.cci_value = am.cci(self.cci_window)
self.atr_value = am.atr(self.atr_window)
if self.pos == 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = bar.low_price
if self.cci_value > 0:
self.buy(self.boll_up, self.fixed_size, True)
elif self.cci_value < 0:
self.short(self.boll_down, self.fixed_size, True)
elif self.pos > 0:
self.intra_trade_high = max(self.intra_trade_high, bar.high_price)
self.intra_trade_low = bar.low_price
self.long_stop = self.intra_trade_high - self.atr_value * self.sl_multiplier
self.sell(self.long_stop, abs(self.pos), True)
elif self.pos < 0:
self.intra_trade_high = bar.high_price
self.intra_trade_low = min(self.intra_trade_low, bar.low_price)
self.short_stop = self.intra_trade_low + self.atr_value * self.sl_multiplier
self.cover(self.short_stop, abs(self.pos), True)
self.put_event()
def on_order(self, order: OrderData) -> None:
"""
新委托数据更新时的回调。
"""
pass
def on_trade(self, trade: TradeData) -> None:
"""
新成交数据更新时的回调。
"""
self.put_event()
def on_stop_order(self, stop_order: StopOrder) -> None:
"""
停止单更新时的回调。
"""
pass
```Shown in full with attribution under the source's licence. Licence: MIT
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.