Add BollingerBandsPercentBMomentumBreakout indicator support across application

- Introduced BollingerBandsPercentBMomentumBreakout indicator in GeneticService with configuration settings for period and multiplier. - Updated ScenarioHelpers to handle creation and validation of the new indicator type. - Enhanced CustomScenario, backtest, and scenario pages to include BollingerBandsPercentBMomentumBreakout in indicator lists and parameter mappings. - Modified API and types to reflect the addition of the new indicator in relevant enums and mappings.
2025-11-24 17:31:17 +07:00
parent 9f7e345457
commit 478dca51e7
11 changed files with 286 additions and 3 deletions
--- a/src/Managing.Application/GeneticService.cs
+++ b/src/Managing.Application/GeneticService.cs
@@ -103,6 +103,11 @@ public class GeneticService : IGeneticService
            ["cyclePeriods"] = 10.0,
            ["fastPeriods"] = 12.0,
            ["slowPeriods"] = 26.0
+        },
+        [IndicatorType.BollingerBandsPercentBMomentumBreakout] = new()
+        {
+            ["period"] = 20.0,
+            ["multiplier"] = 2.0
        }
    };

@@ -186,6 +191,11 @@ public class GeneticService : IGeneticService
                ["cyclePeriods"] = (5.0, 30.0),
                ["fastPeriods"] = (5.0, 50.0),
                ["slowPeriods"] = (10.0, 100.0)
+            },
+            [IndicatorType.BollingerBandsPercentBMomentumBreakout] = new()
+            {
+                ["period"] = (5.0, 50.0),
+                ["multiplier"] = (1.0, 5.0)
            }
        };

@@ -206,7 +216,8 @@ public class GeneticService : IGeneticService
        [IndicatorType.StochRsiTrend] = ["period", "stochPeriods", "signalPeriods", "smoothPeriods"],
        [IndicatorType.StochasticCross] = ["stochPeriods", "signalPeriods", "smoothPeriods", "kFactor", "dFactor"],
        [IndicatorType.Stc] = ["cyclePeriods", "fastPeriods", "slowPeriods"],
-        [IndicatorType.LaggingStc] = ["cyclePeriods", "fastPeriods", "slowPeriods"]
+        [IndicatorType.LaggingStc] = ["cyclePeriods", "fastPeriods", "slowPeriods"],
+        [IndicatorType.BollingerBandsPercentBMomentumBreakout] = ["period", "multiplier"]
    };

    public GeneticService(
--- a/src/Managing.Common/Enums.cs
+++ b/src/Managing.Common/Enums.cs
@@ -65,7 +65,8 @@ public static class Enums
        StDev,
        LaggingStc,
        SuperTrendCrossEma,
-        DualEmaCross
+        DualEmaCross,
+        BollingerBandsPercentBMomentumBreakout
    }

    public enum SignalType
--- a/src/Managing.Domain/Indicators/Signals/BollingerBandsPercentBMomentumBreakout.cs
+++ b/src/Managing.Domain/Indicators/Signals/BollingerBandsPercentBMomentumBreakout.cs
@@ -0,0 +1,189 @@
+using Managing.Core;
+using Managing.Domain.Candles;
+using Managing.Domain.Indicators;
+using Managing.Domain.Shared.Rules;
+using Managing.Domain.Strategies.Base;
+using Skender.Stock.Indicators;
+using static Managing.Common.Enums;
+
+namespace Managing.Domain.Strategies.Signals;
+
+public class BollingerBandsPercentBMomentumBreakout : IndicatorBase
+{
+    public List<LightSignal> Signals { get; set; }
+
+    public BollingerBandsPercentBMomentumBreakout(
+        string name,
+        int period,
+        double stdDev) : base(name, IndicatorType.BollingerBandsPercentBMomentumBreakout)
+    {
+        Signals = new List<LightSignal>();
+        Period = period;
+        Multiplier = stdDev; // Using Multiplier property for stdDev since it's a double
+    }
+
+    public override List<LightSignal> Run(HashSet<Candle> candles)
+    {
+        if (candles.Count <= 10 * Period.Value + 50)
+        {
+            return null;
+        }
+
+        try
+        {
+            var bbResults = candles
+                .GetBollingerBands(Period.Value, (double)Multiplier.Value)
+                .RemoveWarmupPeriods()
+                .ToList();
+
+            if (bbResults.Count == 0)
+                return null;
+
+            ProcessBollingerBandsSignals(bbResults, candles);
+
+            return Signals.ToList();
+        }
+        catch (RuleException)
+        {
+            return null;
+        }
+    }
+
+    public override List<LightSignal> Run(HashSet<Candle> candles, IndicatorsResultBase preCalculatedValues)
+    {
+        if (candles.Count <= 10 * Period.Value + 50)
+        {
+            return null;
+        }
+
+        try
+        {
+            // Use pre-calculated Bollinger Bands values if available
+            List<BollingerBandsResult> bbResults = null;
+            if (preCalculatedValues?.BollingerBands != null && preCalculatedValues.BollingerBands.Any())
+            {
+                // Filter pre-calculated values to match the candles we're processing
+                bbResults = preCalculatedValues.BollingerBands
+                    .Where(bb => bb.UpperBand.HasValue && bb.LowerBand.HasValue && bb.Sma.HasValue &&
+                                 candles.Any(c => c.Date == bb.Date))
+                    .ToList();
+            }
+
+            // If no pre-calculated values or they don't match, fall back to regular calculation
+            if (bbResults == null || !bbResults.Any())
+            {
+                return Run(candles);
+            }
+
+            ProcessBollingerBandsSignals(bbResults, candles);
+
+            return Signals.ToList();
+        }
+        catch (RuleException)
+        {
+            return null;
+        }
+    }
+
+    /// <summary>
+    /// Processes Bollinger Bands %B signals based on momentum breakouts.
+    /// Long signals: %B crosses above 0.8 after being below (strong upward momentum)
+    /// Short signals: %B crosses below 0.2 after being above (strong downward momentum)
+    /// </summary>
+    private void ProcessBollingerBandsSignals(List<BollingerBandsResult> bbResults, HashSet<Candle> candles)
+    {
+        var bbCandles = MapBollingerBandsToCandle(bbResults, candles.TakeLast(Period.Value));
+
+        if (bbCandles.Count < 2)
+            return;
+
+        var previousCandle = bbCandles[0];
+        foreach (var currentCandle in bbCandles.Skip(1))
+        {
+            // Long signal: %B crosses above 0.8 after being below
+            if (previousCandle.PercentB < 0.8 && currentCandle.PercentB >= 0.8)
+            {
+                AddSignal(currentCandle, TradeDirection.Long, Confidence.Medium);
+            }
+
+            // Short signal: %B crosses below 0.2 after being above
+            if (previousCandle.PercentB > 0.2 && currentCandle.PercentB <= 0.2)
+            {
+                AddSignal(currentCandle, TradeDirection.Short, Confidence.Medium);
+            }
+
+            previousCandle = currentCandle;
+        }
+    }
+
+    public override IndicatorsResultBase GetIndicatorValues(HashSet<Candle> candles)
+    {
+        return new IndicatorsResultBase()
+        {
+            BollingerBands = candles.GetBollingerBands(Period.Value, (double)Multiplier.Value)
+                .ToList()
+        };
+    }
+
+    private List<CandleBollingerBands> MapBollingerBandsToCandle(IEnumerable<BollingerBandsResult> bbResults, IEnumerable<Candle> candles)
+    {
+        var bbCandles = new List<CandleBollingerBands>();
+        foreach (var candle in candles)
+        {
+            var currentBB = bbResults.Find(candle.Date);
+            if (currentBB != null && currentBB.UpperBand.HasValue && currentBB.LowerBand.HasValue && currentBB.Sma.HasValue)
+            {
+                // Calculate %B = (Price - LowerBand) / (UpperBand - LowerBand)
+                var price = (double)candle.Close;
+                var upperBand = (double)currentBB.UpperBand.Value;
+                var lowerBand = (double)currentBB.LowerBand.Value;
+                var percentB = (double)currentBB.PercentB.Value;
+
+                // Avoid division by zero
+                if (upperBand != lowerBand)
+                {
+                    bbCandles.Add(new CandleBollingerBands()
+                    {
+                        Close = candle.Close,
+                        Open = candle.Open,
+                        Date = candle.Date,
+                        Ticker = candle.Ticker,
+                        Exchange = candle.Exchange,
+                        PercentB = percentB,
+                        UpperBand = upperBand,
+                        LowerBand = lowerBand,
+                        Sma = currentBB.Sma.Value
+                    });
+                }
+            }
+        }
+
+        return bbCandles;
+    }
+
+    private void AddSignal(CandleBollingerBands candleSignal, TradeDirection direction, Confidence confidence)
+    {
+        var signal = new LightSignal(
+            candleSignal.Ticker,
+            direction,
+            confidence,
+            candleSignal,
+            candleSignal.Date,
+            candleSignal.Exchange,
+            Type,
+            SignalType,
+            Name);
+        if (!Signals.Any(s => s.Identifier == signal.Identifier))
+        {
+            Signals.AddItem(signal);
+        }
+    }
+
+    private class CandleBollingerBands : Candle
+    {
+        public double PercentB { get; internal set; }
+        public double UpperBand { get; internal set; }
+        public double LowerBand { get; internal set; }
+        public double Sma { get; internal set; }
+    }
+}
--- a/src/Managing.Domain/Scenarios/ScenarioHelpers.cs
+++ b/src/Managing.Domain/Scenarios/ScenarioHelpers.cs
@@ -100,6 +100,8 @@ public static class ScenarioHelpers
                indicator.FastPeriods.Value, indicator.SlowPeriods.Value),
            IndicatorType.SuperTrendCrossEma => new SuperTrendCrossEma(indicator.Name,
                indicator.Period.Value, indicator.Multiplier.Value),
+            IndicatorType.BollingerBandsPercentBMomentumBreakout => new BollingerBandsPercentBMomentumBreakout(indicator.Name,
+                indicator.Period.Value, indicator.Multiplier.Value),
            _ => throw new NotImplementedException(),
        };

@@ -289,6 +291,7 @@ public static class ScenarioHelpers
            IndicatorType.StDev => SignalType.Context,
            IndicatorType.LaggingStc => SignalType.Signal,
            IndicatorType.SuperTrendCrossEma => SignalType.Signal,
+            IndicatorType.BollingerBandsPercentBMomentumBreakout => SignalType.Signal,
            _ => throw new NotImplementedException(),
        };
    }
--- a/src/Managing.WebApp/src/components/organism/CustomScenario/CustomScenario.tsx
+++ b/src/Managing.WebApp/src/components/organism/CustomScenario/CustomScenario.tsx
@@ -47,6 +47,7 @@ const CustomScenario: React.FC<ICustomScenario> = ({
      case IndicatorType.SuperTrend:
      case IndicatorType.SuperTrendCrossEma:
      case IndicatorType.ChandelierExit:
+      case IndicatorType.BollingerBandsPercentBMomentumBreakout:
        params = ['period', 'multiplier'];
        break;
        
--- a/src/Managing.WebApp/src/components/organism/Trading/TradeChart/TradeChart.tsx
+++ b/src/Managing.WebApp/src/components/organism/Trading/TradeChart/TradeChart.tsx
@@ -485,6 +485,47 @@ const TradeChart = ({
            chandelierExitsShortsSeries.setData(chandelierExitsShorts)
        }

+        // Display Bollinger Bands on price chart
+        if (indicatorsValues?.BollingerBandsPercentBMomentumBreakout != null) {
+            const upperBandSeries = chart.current.addLineSeries({
+                color: theme.error,
+                lineWidth: 1,
+                priceLineVisible: false,
+                priceLineWidth: 1,
+                title: 'Upper Band',
+                pane: 0,
+                lineStyle: LineStyle.Dashed,
+            })
+
+            const upperBandData = indicatorsValues.BollingerBandsPercentBMomentumBreakout.bollingerBands?.map((w) => {
+                return {
+                    time: moment(w.date).unix(),
+                    value: w.upperBand,
+                }
+            })
+            // @ts-ignore
+            upperBandSeries.setData(upperBandData)
+
+            const lowerBandSeries = chart.current.addLineSeries({
+                color: theme.success,
+                lineWidth: 1,
+                priceLineVisible: false,
+                priceLineWidth: 1,
+                title: 'Lower Band',
+                pane: 0,
+                lineStyle: LineStyle.Dashed,
+            })
+
+            const lowerBandData = indicatorsValues.BollingerBandsPercentBMomentumBreakout.bollingerBands?.map((w) => {
+                return {
+                    time: moment(w.date).unix(),
+                    value: w.lowerBand,
+                }
+            })
+            // @ts-ignore
+            lowerBandSeries.setData(lowerBandData)
+        }
+
        if (markers.length > 0) {
            series1.current.setMarkers(markers)
        }
@@ -843,6 +884,37 @@ const TradeChart = ({
            })
            paneCount++
        }
+
+        // Display Bollinger Bands %B
+        if (indicatorsValues?.BollingerBandsPercentBMomentumBreakout != null) {
+            const percentBSeries = chart.current.addLineSeries({
+                color: theme.primary,
+                lineWidth: 1,
+                priceLineVisible: false,
+                priceLineWidth: 1,
+                title: '%B',
+                pane: paneCount,
+                priceFormat: {
+                    precision: 2,
+                    type: 'price',
+                },
+            })
+
+            const percentBData = indicatorsValues.BollingerBandsPercentBMomentumBreakout.bollingerBands?.map((w) => {
+                return {
+                    time: moment(w.date).unix(),
+                    value: w.percentB,
+                }
+            })
+            // @ts-ignore
+            percentBSeries.setData(percentBData)
+
+            // Add reference lines for momentum thresholds
+            percentBSeries.createPriceLine(buildLine(theme.error, 0.8, 'Upper Threshold'))
+            percentBSeries.createPriceLine(buildLine(theme.success, 0.2, 'Lower Threshold'))
+
+            paneCount++
+        }
    }

    return (
--- a/src/Managing.WebApp/src/generated/ManagingApi.ts
+++ b/src/Managing.WebApp/src/generated/ManagingApi.ts
@@ -4984,6 +4984,7 @@ export enum IndicatorType {
    LaggingStc = "LaggingStc",
    SuperTrendCrossEma = "SuperTrendCrossEma",
    DualEmaCross = "DualEmaCross",
+    BollingerBandsPercentBMomentumBreakout = "BollingerBandsPercentBMomentumBreakout",
 }

 export enum SignalType {
--- a/src/Managing.WebApp/src/generated/ManagingApiTypes.ts
+++ b/src/Managing.WebApp/src/generated/ManagingApiTypes.ts
@@ -450,6 +450,7 @@ export enum IndicatorType {
    LaggingStc = "LaggingStc",
    SuperTrendCrossEma = "SuperTrendCrossEma",
    DualEmaCross = "DualEmaCross",
+    BollingerBandsPercentBMomentumBreakout = "BollingerBandsPercentBMomentumBreakout",
 }

 export enum SignalType {
--- a/src/Managing.WebApp/src/pages/backtestPage/backtestGenetic.tsx
+++ b/src/Managing.WebApp/src/pages/backtestPage/backtestGenetic.tsx
@@ -104,6 +104,7 @@ const ALL_INDICATORS = [
  IndicatorType.SuperTrendCrossEma,
  IndicatorType.DualEmaCross,
  IndicatorType.StochasticCross,
+  IndicatorType.BollingerBandsPercentBMomentumBreakout,
 ]

 // Indicator type to parameter mapping
@@ -119,6 +120,7 @@ const INDICATOR_PARAM_MAPPING = {
  [IndicatorType.SuperTrend]: ['period', 'multiplier'],
  [IndicatorType.SuperTrendCrossEma]: ['period', 'multiplier'],
  [IndicatorType.ChandelierExit]: ['period', 'multiplier'],
+  [IndicatorType.BollingerBandsPercentBMomentumBreakout]: ['period', 'multiplier'],
  [IndicatorType.StochRsiTrend]: ['period', 'stochPeriods', 'signalPeriods', 'smoothPeriods'],
  [IndicatorType.StochasticCross]: ['stochPeriods', 'signalPeriods', 'smoothPeriods', 'kFactor', 'dFactor'],
  [IndicatorType.Stc]: ['cyclePeriods', 'fastPeriods', 'slowPeriods'],
--- a/src/Managing.WebApp/src/pages/backtestPage/backtestGeneticBundle.tsx
+++ b/src/Managing.WebApp/src/pages/backtestPage/backtestGeneticBundle.tsx
@@ -43,6 +43,7 @@ const ALL_INDICATORS = [
    IndicatorType.SuperTrendCrossEma,
    IndicatorType.DualEmaCross,
    IndicatorType.StochasticCross,
+    IndicatorType.BollingerBandsPercentBMomentumBreakout,
 ]

 // Form Interface
--- a/src/Managing.WebApp/src/pages/scenarioPage/indicatorList.tsx
+++ b/src/Managing.WebApp/src/pages/scenarioPage/indicatorList.tsx
@@ -314,7 +314,8 @@ const IndicatorList: React.FC = () => {

                    {indicatorType == IndicatorType.SuperTrend ||
                    indicatorType == IndicatorType.SuperTrendCrossEma ||
-                    indicatorType == IndicatorType.ChandelierExit ? (
+                    indicatorType == IndicatorType.ChandelierExit ||
+                    indicatorType == IndicatorType.BollingerBandsPercentBMomentumBreakout ? (
                      <>
                        <div className="form-control">
                          <div className="input-group">