Multi-Timeframe Bollinger Bands Strategy (C#). StockSharp

Author: StockSharp
N: 2140
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Applies Bollinger Bands on both a primary and a higher timeframe. Trades when price pierces the higher timeframe bands and optionally filters entries with a long-term moving average. The goal is to fade extremes against the broader trend.
The strategy supports both long and short positions. A stop-loss percentage can be enabled for risk management. Using multiple timeframes helps to avoid trades against dominant market structure.

  • Entry Criteria:

    • Long: Close below the higher timeframe lower band and above the MA filter (if enabled).
    • Short: Close above the higher timeframe upper band and below the MA filter (if enabled).

  • Exit Criteria:

    • Long: Price closes above the current timeframe upper band.
    • Short: Price closes below the current timeframe lower band.

  • Indicators:

    • Bollinger Bands on two timeframes (length 20, multiplier 2)
    • Optional EMA filter (period 200)

  • Stops: Optional stop-loss via StartProtection (% based).
  • Default Values:

    • BBLength = 20
    • BBMultiplier = 2.0
    • UseMaFilter = False
    • MaLength = 200
    • SLPercent = 2

  • Filters:

    • Counter-trend with MTF context
    • Timeframe: main 5m, MTF 60m by default
    • Indicators: Bollinger Bands, EMA
    • Stops: optional
    • Complexity: Moderate