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Bollinger band help

Hello, I would like to make the algorithm eventually liquidate the trades that go through rather than hold on to them indefinately.

Would anyone know how to add to the code so that if the command to buy (if the previous price is below the lower band and the current price >= lower band) goes through, it would then liquidate if the price = middle band?

from clr import AddReference
AddReference("System")
AddReference("QuantConnect.Algorithm")
AddReference("QuantConnect.Common")

from System import *
from QuantConnect import *
from QuantConnect.Algorithm import *
from QuantConnect.Indicators import *
from QuantConnect.Data.Market import TradeBar


class RollingWindowAlgorithm(QCAlgorithm):

def Initialize(self):

self.SetStartDate(2013, 6, 1) #Set Start Date
self.SetEndDate(2017, 7, 1) #Set End Date
self.SetCash(10000) #Set Strategy Cash
self.SetBrokerageModel(BrokerageName.FxcmBrokerage)
self.AddForex("EURUSD", Resolution.Daily)

self.window = RollingWindow[QuoteBar](2)

# create a bollinger band
self.Bolband = self.BB("EURUSD", 20, 0.75, MovingAverageType.Simple, Resolution.Daily)
self.Bolband.Updated += self.BolbandUpdated
self.BolbandWin = RollingWindow[IndicatorDataPoint](5)

# set warmup period
self.SetWarmUp(20)


def BolbandUpdated(self, sender, updated):
'''Adds updated values to rolling window'''
self.BolbandWin.Add(updated)


def OnData(self, data):

self.window.Add(data["EURUSD"])
if not (self.window.IsReady and self.BolbandWin.IsReady): return

holdings = self.Portfolio["EURUSD"].Quantity
price = self.window[0].Close
previousPrice = self.window[1].Close
Buy_below_lowerband = (if previousPrice <= self.Bolband.LowerBand.Current.Value and price > self.Bolband.LowerBand.Current.Value:
self.SetHoldings("EURUSD", 1.0))

if holdings <= 0:

if previousPrice <= self.Bolband.LowerBand.Current.Value and price > self.Bolband.LowerBand.Current.Value:
self.SetHoldings("EURUSD", 1.0)


if holdings > 0:

if previousPrice >= self.Bolband.UpperBand.Current.Value and price < self.Bolband.UpperBand.Current.Value:
self.Liquidate()

if previousPrice <= self.Bolband.LowerBand.Current.Value and price > self.Bolband.LowerBand.Current.Value:
self.SetHoldings("EURUSD", 1.0)

if Buy_below_lowerband = True:
if price = self.Bolband.MiddleBand.Current.Value:

I made an attempt but it is wrong

Update Backtest







Hi Alex, the way you define "Buy_below_lowerband" is incorrect. 

Buy_below_lowerband = self.Bolband.LowerBand.Current.Value and price > self.Bolband.LowerBand.Current.Value

Please see the attached algorithm

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks very muchg for your help

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Update Backtest





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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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