Bollinger Bands with Profit Target

This example is like the basic Bollinger Band example above, but it adds three refinements. First, it demands that prices really punch through the lower Bollinger limit before buying. If 0 is the low limit, and 100 the high limit, this strategy buys only if prices are 20% of the band width below the lower limit. Second, it exits when a profit target of 15% is reached. Third, it exits after 4 days if the profit target has not been reached.

using OpenQuant.API;
using OpenQuant.API.Indicators;

using System.Drawing;

public class MyStrategy : Strategy
{
	[Parameter("Order quantity (number of contracts to trade)")]
	double Qty = 100;

	[Parameter("Bollinger Band level to go long")]
	double BLevel = -20;

	[Parameter("Percent profit target")]
	double ProfitPercent = 15;

	[Parameter("Max number of bars, while position is active")]
	int MaxDuration = 4;

	[Parameter("Length of Bollinger Band")]
	int BLength = 10;

	[Parameter("Order of Bollinger Band")]
	double BOrder = 1.5;

	B b;
	int barsFromEntry = 0;
	double exitPrice;
	Order sellOrder;
	Order buyOrder;

	public override void OnStrategyStart()
	{
		// set up bollinger bands
		BBL bbl = new BBL(Bars, BLength, BOrder, Color.Pink);

		// set up a series for B (breakout force) value
		b = new B(Bars, BLength, BOrder, Color.Yellow);

		Draw(bbl, 0);
		Draw(b, 2);
	}

	public override void OnBar(Bar bar)
	{
		// good practice to check if a series has the date you are interested in before you try 
		// to use it
		if (b.Contains(bar))
		{
			// if we don't have a position and prices are below the lower band, open a long position
			if (!HasPosition)
			{
				if (b[bar.DateTime] * 100 <= BLevel)
				{
					buyOrder = BuyOrder(Qty, "Entry");
					buyOrder.Send();
				}
			}
			else
			{
				barsFromEntry++;

				// if we _have_ reached the exit day (4 days after entry), cancel the profit target 
				// sell order, and issue a new market order to close the position now.
				if (barsFromEntry == MaxDuration)
				{
					barsFromEntry = 0;

					// cancel existing sell order if there is one
					if (sellOrder != null)
						sellOrder.Cancel();

					Sell(Qty, "Exit (Max Duration)");
				}
			}
		}
	}

	public override void OnPositionOpened()
	{
		// when a position is opened, calculate profit target
		exitPrice = buyOrder.AvgPrice * (1 + ProfitPercent / 100);

		// cancel existing sell order if there is one
		if (sellOrder != null)
			sellOrder.Cancel();

		// issue a new sell limit order at the profit target price
		sellOrder = SellLimitOrder(Qty, exitPrice, "Exit (Profit Target)");
		sellOrder.Send();
	}

	public override void OnPositionClosed()
	{
		barsFromEntry = 0;
	}
}