Deutsch DE
Auf GitHub ansehen

AH HM MFI Strategy

Summary

The AH HM MFI strategy trades hammer and hanging man candlestick patterns that are confirmed by the Money Flow Index (MFI). When a bullish hammer appears in a short-term downtrend and the MFI stays below an oversold threshold, the strategy opens a long position. When a bearish hanging man forms in an uptrend while the MFI is above an overbought threshold, it opens a short position. Protective exits are triggered when the MFI crosses predefined upper or lower boundaries.

Core Logic

  1. Subscribe to the configured time-frame candles and calculate two indicators:
    • Money Flow Index with a configurable period (default: 47).
    • Simple Moving Average of closing prices to approximate the trend filter from the original MQL strategy (default length: 5).
  2. Detect hammer and hanging man patterns:
    • Candle body located in the upper third of the range.
    • Long lower shadow relative to the real body.
    • Gap in the direction of the trend compared with the previous candle.
    • Trend confirmation using the midpoint of the previous candle versus the moving average.
  3. Confirm entries with MFI thresholds:
    • Enter long if a hammer is detected and the MFI is at or below the configured oversold level (default: 40).
    • Enter short if a hanging man is detected and the MFI is at or above the configured overbought level (default: 60).
  4. Manage exits using MFI crossings:
    • Close short positions when the MFI crosses upward above the lower or upper exit levels (defaults: 30 and 70).
    • Close long positions when the MFI crosses upward above the upper exit level or downward below the lower exit level.
  5. Start the built-in risk protection module to handle emergency stops.

Parameters

Name Description Default
CandleType Candle data type and timeframe used for pattern detection. 30-minute time frame
MfiPeriod Lookback period for the MFI calculation. 47
MaPeriod Length of the SMA applied to closing prices for trend confirmation. 5
HammerEntryThreshold Maximum MFI value allowed before entering on a hammer signal. 40
HangingEntryThreshold Minimum MFI value required before entering on a hanging man signal. 60
MfiUpperExitLevel Upper MFI boundary; crossing above it closes any open position. 70
MfiLowerExitLevel Lower MFI boundary; crossing below it closes long positions, while crossing above it closes shorts. 30

Notes

  • The strategy evaluates only finished candles to avoid acting on incomplete information.
  • Hammer and hanging man detection is conservative: both a long lower shadow and a body located near the candle high are required.
  • The moving average replaces the MetaTrader 5 CloseAvg filter from the original expert advisor, ensuring that entries align with the broader trend.
namespace StockSharp.Samples.Strategies;

using System;
using Ecng.Common;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.Messages;

/// <summary>
/// Hammer/Hanging Man + MFI strategy.
/// Buys on hammer with low MFI (oversold), sells on hanging man with high MFI (overbought).
/// </summary>
public class AhHmMfiStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _mfiPeriod;
	private readonly StrategyParam<decimal> _mfiLow;
	private readonly StrategyParam<decimal> _mfiHigh;
	private readonly StrategyParam<int> _signalCooldownCandles;
	private int _candlesSinceTrade;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int MfiPeriod { get => _mfiPeriod.Value; set => _mfiPeriod.Value = value; }
	public decimal MfiLow { get => _mfiLow.Value; set => _mfiLow.Value = value; }
	public decimal MfiHigh { get => _mfiHigh.Value; set => _mfiHigh.Value = value; }
	public int SignalCooldownCandles { get => _signalCooldownCandles.Value; set => _signalCooldownCandles.Value = value; }

	public AhHmMfiStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(60).TimeFrame())
			.SetDisplay("Candle Type", "Candle timeframe", "General");
		_mfiPeriod = Param(nameof(MfiPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("MFI Period", "MFI period", "Indicators");
		_mfiLow = Param(nameof(MfiLow), 35m)
			.SetDisplay("MFI Low", "MFI oversold threshold for buy", "Signals");
		_mfiHigh = Param(nameof(MfiHigh), 65m)
			.SetDisplay("MFI High", "MFI overbought threshold for sell", "Signals");
		_signalCooldownCandles = Param(nameof(SignalCooldownCandles), 8)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown", "Bars to wait between trades", "Trading");
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_candlesSinceTrade = SignalCooldownCandles;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_candlesSinceTrade = SignalCooldownCandles;
		var rsi = new RelativeStrengthIndex { Length = MfiPeriod };
		var subscription = SubscribeCandles(CandleType);
		subscription.Bind(rsi, ProcessCandle).Start();
	}

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

		if (_candlesSinceTrade < SignalCooldownCandles)
			_candlesSinceTrade++;

		var body = Math.Abs(candle.ClosePrice - candle.OpenPrice);
		var range = candle.HighPrice - candle.LowPrice;
		if (range <= 0 || body <= 0) return;

		var upperShadow = candle.HighPrice - Math.Max(candle.OpenPrice, candle.ClosePrice);
		var lowerShadow = Math.Min(candle.OpenPrice, candle.ClosePrice) - candle.LowPrice;

		var isHammer = lowerShadow > body * 2.5m && upperShadow < body * 0.5m;
		var isHangingMan = upperShadow > body * 2.5m && lowerShadow < body * 0.5m;

		if (isHammer && mfiValue < MfiLow && Position <= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			BuyMarket();
			_candlesSinceTrade = 0;
		}
		else if (isHangingMan && mfiValue > MfiHigh && Position >= 0 && _candlesSinceTrade >= SignalCooldownCandles)
		{
			SellMarket();
			_candlesSinceTrade = 0;
		}
	}
}