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Innocent Heikin Ashi Ethereum-Strategie

Diese Strategie kauft Ethereum, wenn auf eine Sequenz bärischer Kerzen unterhalb der EMA50 eine bullische Kerze oberhalb der EMA50 folgt. Der Stop Loss wird am niedrigsten Tief der letzten 28 Bars gesetzt, das Take Profit mit dem RiskReward-Multiplikator berechnet. Der optionale Moon Mode erlaubt Einstiege oberhalb der EMA200. Die Position kann bei Verkaufs- oder Fallensignalen vorzeitig geschlossen werden.

Details

  • Einstiegskriterien:
    • Long: Mindestens ConfirmationLevel rote Kerzen unterhalb der EMA50, gefolgt von einer grünen Kerze oberhalb der EMA50.
    • Aggressiv: Wenn EnableMoonMode wahr ist und der Preis über der EMA200 liegt.
  • Long/Short: Nur Long.
  • Ausstiegskriterien:
    • Stop Loss am niedrigsten Tief der letzten 28 Bars.
    • Take Profit mit dem RiskReward-Multiplikator.
    • Optionale Verkaufs- oder Fallensignale für frühzeitigen Ausstieg.
  • Stops: Ja.
  • Standardwerte:
    • RiskReward = 1.
    • ConfirmationLevel = 1.
    • EnableMoonMode = true.
  • Filter:
    • Kategorie: Trendfolge
    • Richtung: Nur Long
    • Indikatoren: EMA
    • Stops: Ja
    • Komplexität: Mittel
    • Zeitrahmen: Intraday
    • Saisonalität: Nein
    • Neuronale Netze: Nein
    • Divergenz: Nein
    • Risikolevel: Mittel
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Goes long on Ethereum after bearish activity below EMA50 followed by a
/// bullish candle above EMA50.
/// </summary>
public class InnocentHeikinAshiEthereumStrategy : Strategy {
    private readonly StrategyParam<decimal> _riskReward;
    private readonly StrategyParam<int> _confirmationLevel;
    private readonly StrategyParam<bool> _enableMoonMode;
    private readonly StrategyParam<bool> _showSellSignals;
    private readonly StrategyParam<bool> _showBullTraps;
    private readonly StrategyParam<bool> _showBearTraps;
    private readonly StrategyParam<DataType> _candleType;

    private ExponentialMovingAverage _ema50;
    private ExponentialMovingAverage _ema200;
    private Lowest _lowest;

    private int? _lastRedVectorBelowEma50;
    private int? _lastBuySignalIndex;
    private int? _lastSellSignalIndex;
    private int _redCountUnderEma50;
    private int _greenCountAboveEma200;
    private int _barIndex;
    private decimal _prevHaOpen;
    private decimal _prevHaClose;
    private decimal _stopPrice;
    private decimal _takePrice;

    /// <summary>
    /// Initializes a new instance of the <see
    /// cref="InnocentHeikinAshiEthereumStrategy"/> class.
    /// </summary>
    public InnocentHeikinAshiEthereumStrategy() {
	_riskReward =
	    Param(nameof(RiskReward), 1m)
		.SetGreaterThanZero()
		.SetDisplay("Risk/Reward", "Take profit to stop ratio", "Risk")
		
		.SetOptimize(0.5m, 3m, 0.5m);

	_confirmationLevel =
	    Param(nameof(ConfirmationLevel), 1)
		.SetNotNegative()
		.SetDisplay(
		    "Confirmation Level",
		    "Number of red candles below EMA50 required before entry",
		    "General");

	_enableMoonMode =
	    Param(nameof(EnableMoonMode), true)
		.SetDisplay("Enable Moon Mode", "Allow entries above EMA200",
			    "General");

	_showSellSignals = Param(nameof(ShowSellSignals), true)
			       .SetDisplay("Show Sell Signals",
					   "Close on sell signals", "General");

	_showBullTraps =
	    Param(nameof(ShowBullTraps), true)
		.SetDisplay("Show Bull Traps",
			    "Close if next candle after buy is red", "General");

	_showBearTraps =
	    Param(nameof(ShowBearTraps), true)
		.SetDisplay("Show Bear Traps", "Close if sell signal fails",
			    "General");

	_candleType =
	    Param(nameof(CandleType), TimeSpan.FromHours(1).TimeFrame())
		.SetDisplay("Candle Type", "Type of candles to use", "General");
    }

    /// <summary>
    /// Risk/reward multiplier.
    /// </summary>
    public decimal RiskReward {
	get => _riskReward.Value;
	set => _riskReward.Value = value;
    }

    /// <summary>
    /// Required number of red candles below EMA50.
    /// </summary>
    public int ConfirmationLevel {
	get => _confirmationLevel.Value;
	set => _confirmationLevel.Value = value;
    }

    /// <summary>
    /// Allow aggressive entries above EMA200.
    /// </summary>
    public bool EnableMoonMode {
	get => _enableMoonMode.Value;
	set => _enableMoonMode.Value = value;
    }

    /// <summary>
    /// Close position on sell signals.
    /// </summary>
    public bool ShowSellSignals {
	get => _showSellSignals.Value;
	set => _showSellSignals.Value = value;
    }

    /// <summary>
    /// Close if the candle after a buy is bearish.
    /// </summary>
    public bool ShowBullTraps {
	get => _showBullTraps.Value;
	set => _showBullTraps.Value = value;
    }

    /// <summary>
    /// Close if sell signal fails.
    /// </summary>
    public bool ShowBearTraps {
	get => _showBearTraps.Value;
	set => _showBearTraps.Value = value;
    }

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

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

    /// <inheritdoc />
    protected override void OnReseted() {
	base.OnReseted();
	_lastRedVectorBelowEma50 = null;
	_lastBuySignalIndex = null;
	_lastSellSignalIndex = null;
	_redCountUnderEma50 = 0;
	_greenCountAboveEma200 = 0;
	_barIndex = 0;
	_prevHaOpen = 0m;
	_prevHaClose = 0m;
	_stopPrice = 0m;
	_takePrice = 0m;
    }

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

	_ema50 = new ExponentialMovingAverage { Length = 50 };
	_ema200 = new ExponentialMovingAverage { Length = 200 };
	_lowest = new Lowest { Length = 28 };

	var subscription = SubscribeCandles(CandleType);
	subscription.Bind(_ema50, _ema200, _lowest, ProcessCandle).Start();
    }

    private void ProcessCandle(ICandleMessage candle, decimal ema50,
			       decimal ema200, decimal lowest) {
	if (candle.State != CandleStates.Finished)
	    return;

	decimal haOpen;
	decimal haClose;

	if (_barIndex == 0) {
	    haOpen = (candle.OpenPrice + candle.ClosePrice) / 2;
	    haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice +
		       candle.ClosePrice) /
		      4;
	} else {
	    haOpen = (_prevHaOpen + _prevHaClose) / 2;
	    haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice +
		       candle.ClosePrice) /
		      4;
	}

	var isGreen = haClose > haOpen;
	var isRed = !isGreen;

	if (isRed && candle.ClosePrice < ema50)
	    _redCountUnderEma50++;

	if (isRed && candle.OpenPrice < ema50 && candle.ClosePrice < ema50)
	    _lastRedVectorBelowEma50 = _barIndex;

	if (isGreen && candle.OpenPrice > ema200 && candle.OpenPrice > ema50)
	    _lastSellSignalIndex = _barIndex;

	if (isGreen && candle.ClosePrice > ema200)
	    _greenCountAboveEma200++;

	if (_lastRedVectorBelowEma50.HasValue && isGreen) {
	    _stopPrice = lowest;
	    _takePrice = candle.ClosePrice +
			 (candle.ClosePrice - _stopPrice) * RiskReward;
	}

	var canBuy =
	    _lastRedVectorBelowEma50.HasValue && isGreen &&
	    candle.OpenPrice > ema50 &&
	    (_lastBuySignalIndex == null || _barIndex > _lastBuySignalIndex);

	if (canBuy) {
	    if (candle.ClosePrice < ema200 &&
		_redCountUnderEma50 >= ConfirmationLevel) {
		BuyMarket();
		_lastBuySignalIndex = _barIndex;
		_lastRedVectorBelowEma50 = null;
		_redCountUnderEma50 = 0;
	    } else if (EnableMoonMode && candle.ClosePrice > ema200 &&
		       _redCountUnderEma50 >= ConfirmationLevel) {
		BuyMarket();
		_lastBuySignalIndex = _barIndex;
		_lastRedVectorBelowEma50 = null;
		_redCountUnderEma50 = 0;
	    }
	}

	if (Position > 0) {
	    if (candle.LowPrice <= _stopPrice || candle.HighPrice >= _takePrice)
		SellMarket();
	}

	if (ShowSellSignals && _lastSellSignalIndex.HasValue && isRed &&
	    candle.OpenPrice > ema200 && candle.ClosePrice > ema200 &&
	    _barIndex == _lastSellSignalIndex + 1) {
	    if (_greenCountAboveEma200 >= ConfirmationLevel) {
		SellMarket();
		_lastSellSignalIndex = null;
		_greenCountAboveEma200 = 0;
	    }
	}

	if (ShowBullTraps && _lastBuySignalIndex.HasValue &&
	    _barIndex == _lastBuySignalIndex + 1 && isRed)
	    SellMarket();

	if (ShowBearTraps && _lastSellSignalIndex.HasValue &&
	    _barIndex == _lastSellSignalIndex + 1 && isGreen) {
	    SellMarket();
	    _lastSellSignalIndex = null;
	    _greenCountAboveEma200 = 0;
	}

	_prevHaOpen = haOpen;
	_prevHaClose = haClose;
	_barIndex++;
    }
}