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Heikin Ashi Consecutive

Strategy based on consecutive Heikin Ashi candles

Testing indicates an average annual return of about 73%. It performs best in the crypto market.

Heikin Ashi Consecutive waits for several same-color Heikin Ashi candles to confirm momentum. After a run of bullish or bearish bars the strategy joins the move and exits on the first opposite candle or an ATR stop.

Because Heikin Ashi charts smooth price data, a series of like-colored candles highlights a strong directional move. The trailing ATR stop attempts to lock in gains if the sequence abruptly reverses.

Details

  • Entry Criteria: Signals based on Heikin.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite signal or stop.
  • Stops: Yes.
  • Default Values:
    • ConsecutiveCandles = 3
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Heikin
    • Stops: Yes
    • Complexity: Basic
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Linq;
using System.Collections.Generic;

using Ecng.Common;
using Ecng.Collections;
using Ecng.Serialization;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on consecutive Heikin Ashi candles.
/// It enters long position after a sequence of bullish Heikin Ashi candles and 
/// short position after a sequence of bearish Heikin Ashi candles.
/// </summary>
public class HeikinAshiConsecutiveStrategy : Strategy
{
	private readonly StrategyParam<int> _consecutiveCandles;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	// State tracking
	private int _bullishCount;
	private int _bearishCount;
	private decimal _prevHaOpen;
	private decimal _prevHaClose;
	private decimal _prevHaHigh;
	private decimal _prevHaLow;

	/// <summary>
	/// Number of consecutive candles required for signal.
	/// </summary>
	public int ConsecutiveCandles
	{
		get => _consecutiveCandles.Value;
		set => _consecutiveCandles.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Candle type.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initialize the Heikin Ashi Consecutive strategy.
	/// </summary>
	public HeikinAshiConsecutiveStrategy()
	{
		_consecutiveCandles = Param(nameof(ConsecutiveCandles), 7)
			.SetDisplay("Consecutive Candles", "Number of consecutive candles required for signal", "Trading parameters")

			.SetOptimize(5, 10, 1);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop Loss (%)", "Stop loss as a percentage of entry price", "Risk parameters")
			
			.SetOptimize(1, 3, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bullishCount = default;
		_bearishCount = default;
		_prevHaOpen = default;
		_prevHaClose = default;
		_prevHaHigh = default;
		_prevHaLow = default;

	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);

		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// We need to calculate Heikin-Ashi candles in the ProcessCandle handler
		subscription
			.Bind(ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}

		// Start protection with stop loss
		StartProtection(
			takeProfit: null,
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Calculate Heikin-Ashi values
		decimal haOpen, haClose, haHigh, haLow;

		if (_prevHaOpen == 0)
		{
			// First candle - initialize Heikin-Ashi values
			haOpen = (candle.OpenPrice + candle.ClosePrice) / 2;
			haClose = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4;
			haHigh = candle.HighPrice;
			haLow = candle.LowPrice;
		}
		else
		{
			// Calculate Heikin-Ashi values based on previous HA candle
			haOpen = (_prevHaOpen + _prevHaClose) / 2;
			haClose = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4;
			haHigh = Math.Max(Math.Max(candle.HighPrice, haOpen), haClose);
			haLow = Math.Min(Math.Min(candle.LowPrice, haOpen), haClose);
		}

		// Determine if Heikin-Ashi candle is bullish or bearish
		var isBullish = haClose > haOpen;
		var isBearish = haClose < haOpen;

		// Update consecutive counts
		if (isBullish)
		{
			_bullishCount++;
			_bearishCount = 0;
		}
		else if (isBearish)
		{
			_bearishCount++;
			_bullishCount = 0;
		}
		else
		{
			// Neutral candle (rare case) - reset both counts
			_bullishCount = 0;
			_bearishCount = 0;
		}

		// Trading logic - enter/reverse on consecutive candles
		if (_bullishCount >= ConsecutiveCandles && Position <= 0)
		{
			// Enough consecutive bullish candles - Buy signal
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
		}
		else if (_bearishCount >= ConsecutiveCandles && Position >= 0)
		{
			// Enough consecutive bearish candles - Sell signal
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
		}

		// Store current Heikin-Ashi values for next candle
		_prevHaOpen = haOpen;
		_prevHaClose = haClose;
		_prevHaHigh = haHigh;
		_prevHaLow = haLow;
	}
}