Bollinger Volume Strategy (Python). StockSharp

Strategy that uses Bollinger Bands breakouts with volume confirmation.
Enters positions when price breaks above/below Bollinger Bands with increased volume.
Bollinger bands show volatility expansion and volume confirms the breakout. Positions are taken when price closes outside a band with strong activity.
Suited for breakout players expecting continuation. A stop based on ATR keeps losses manageable.

• Entry Criteria:
  
  
  
  • Long: Close > UpperBand && Volume > AvgVolume * VolumeMultiplier
    
  • Short: Close < LowerBand && Volume > AvgVolume * VolumeMultiplier
    
  
  
• Long/Short: Both
  
• Exit Criteria:
  
  
  
  • Price returns to middle band
    
  
  
• Stops: ATR-based using StopLossAtr
  
• Default Values:
  
  
  
  • BollingerPeriod = 20
    
  • BollingerDeviation = 2.0m
    
  • VolumePeriod = 20
    
  • VolumeMultiplier = 1.5m
    
  • StopLossAtr = 2.0m
    
  • AtrPeriod = 14
    
  • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
    
  
  
• Filters:
  
  
  
  • Category: Mean reversion
    
  • Direction: Both
    
  • Indicators: Bollinger Bands, Volume
    
  • Stops: Yes
    
  • Complexity: Intermediate
    
  • Timeframe: Mid-term
    
  • Seasonality: No
    
  • Neural Networks: No
    
  • Divergence: No
    
  • Risk Level: Medium