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Heikin Ashi V2 Strategy

This second version of the Heikin Ashi system adds an EMA filter. Trades occur only when the direction of the Heikin Ashi candle agrees with the trend defined by the EMA. The filter helps avoid counter-trend signals that the pure HA approach might generate.

Details

  • Entry Criteria:
    • Long: HA_Close > HA_Open and Close > EMA
    • Short: HA_Close < HA_Open and Close < EMA
  • Long/Short: Both sides
  • Exit Criteria:
    • Opposite signal
  • Stops: None
  • Default Values:
    • EmaLength = 20
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Heikin Ashi, EMA
    • Stops: No
    • Complexity: Low
    • Timeframe: Short-term
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk level: Medium
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>
/// Heikin Ashi V2 strategy.
/// Goes long when the Heikin Ashi candle is bullish and the close is above the EMA, and short when the Heikin Ashi
/// candle is bearish and the close is below the EMA. The opposite signal reverses the position.
/// </summary>
public class HeikinAshiV2Strategy : Strategy
{
	private readonly StrategyParam<int> _emaLength;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevHaOpen;
	private decimal? _prevHaClose;

	/// <summary>
	/// EMA period.
	/// </summary>
	public int EmaLength
	{
		get => _emaLength.Value;
		set => _emaLength.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HeikinAshiV2Strategy()
	{
		_emaLength = Param(nameof(EmaLength), 20)
			.SetGreaterThanZero()
			.SetDisplay("EMA Length", "EMA trend filter period", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_prevHaOpen = null;
		_prevHaClose = null;
	}

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

		_prevHaOpen = null;
		_prevHaClose = null;

		var ema = new ExponentialMovingAverage { Length = EmaLength };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(ema, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, ema);
			DrawOwnTrades(area);
		}
	}

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

		var haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 4m;
		var haOpen = _prevHaOpen is decimal prevOpen && _prevHaClose is decimal prevClose
			? (prevOpen + prevClose) / 2m
			: (candle.OpenPrice + candle.ClosePrice) / 2m;

		_prevHaOpen = haOpen;
		_prevHaClose = haClose;

		if (!emaValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var ema = emaValue.ToDecimal();
		var close = candle.ClosePrice;

		if (haClose > haOpen && close > ema && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (haClose < haOpen && close < ema && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}