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Estrategia Heikin Ashi Consecutive

Estrategia basada en velas Heikin Ashi consecutivas

Las pruebas indican un retorno anual promedio de aproximadamente 73%. Funciona mejor en el mercado de criptomonedas.

Heikin Ashi Consecutive espera varias velas Heikin Ashi del mismo color para confirmar el momentum. Tras una racha de barras alcistas o bajistas, la estrategia se une al movimiento y sale en la primera vela opuesta o con un stop porcentual.

Dado que los gráficos Heikin Ashi suavizan los datos de precios, una serie de velas del mismo color destaca un movimiento direccional fuerte. El stop porcentual limita la pérdida si la secuencia se revierte abruptamente.

Detalles

  • Criterios de entrada: Señales basadas en Heikin.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: Señal opuesta o stop.
  • Stops: Sí.
  • Valores predeterminados:
    • ConsecutiveCandles = 3
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Tendencia
    • Dirección: Ambos
    • Indicadores: Heikin
    • Stops: Sí
    • Complejidad: Básico
    • Marco temporal: Intradía (5m)
    • Estacionalidad: No
    • Neural Networks: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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,
/// and exits on the first opposite candle or at the percent stop.
/// </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;

	/// <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), 3)
			.SetGreaterThanZero()
			.SetDisplay("Consecutive Candles", "Number of consecutive candles required for signal", "Trading parameters")

			.SetOptimize(5, 10, 1);

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

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).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 = null;
		_prevHaClose = 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(new Unit(), new Unit(StopLossPercent, UnitTypes.Percent), useMarketOrders: true, isLocalStop: true);

		// The stop has to see prices between candles, not only at their close.
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quotes = new Subscription(DataType.Level1, Security);
			quotes.MarketData.BuildField = field;
			SubscribeLevel1(quotes).Bind(ObserveProtectionQuote).Start();
		}
	}

	private void ObserveProtectionQuote(Level1ChangeMessage quote)
	{
		// The high-level handler activates native protection before this callback, also between signal bars.
	}

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

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

		_prevHaOpen = haOpen;
		_prevHaClose = haClose;

		var isBullish = haClose > haOpen;
		var isBearish = haClose < haOpen;

		_bullishCount = isBullish ? _bullishCount + 1 : 0;
		_bearishCount = isBearish ? _bearishCount + 1 : 0;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (Position > 0)
		{
			// The first bearish candle ends a long position.
			if (isBearish)
				SellMarket(_bearishCount >= ConsecutiveCandles ? Volume + Position : Position);
		}
		else if (Position < 0)
		{
			if (isBullish)
				BuyMarket(_bullishCount >= ConsecutiveCandles ? Volume - Position : -Position);
		}
		else if (_bullishCount >= ConsecutiveCandles)
		{
			BuyMarket(Volume);
		}
		else if (_bearishCount >= ConsecutiveCandles)
		{
			SellMarket(Volume);
		}
	}
}