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Entrada BB HeikinAshi

Estrategia de Bollinger Bands que utiliza velas Heikin Ashi.

El sistema espera dos o tres barras Heikin Ashi bajistas consecutivas que toquen la banda inferior de Bollinger. Una vela alcista que cierre de vuelta por encima de la banda activa una entrada larga. Los cortos funcionan en la dirección opuesta. La mitad de la posición se cierra en el primer objetivo y el resto se protege con un stop trailing.

Detalles

  • Criterios de entrada: Reversión de velas Heikin Ashi consecutivas alrededor de Bollinger Bands.
  • Largo/Corto: Ambos.
  • Criterios de salida: Toma parcial de beneficios y stop trailing.
  • Stops: Sí.
  • Valores predeterminados:
    • BollingerLength = 20
    • BollingerWidth = 2
    • CandleType = TimeSpan.FromMinutes(15)
  • Filtros:
    • Categoría: Reversión
    • Dirección: Ambos
    • Indicadores: Heikin Ashi, Bollinger Bands
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía (15m)
    • Estacionalidad: No
    • Redes neuronales: 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>
/// Bollinger Bands + Heikin Ashi entry strategy with partial profit and trailing stop.
/// </summary>
public class BbHeikinAshiEntryStrategy : Strategy
{
private readonly StrategyParam<DataType> _candleType;
private readonly StrategyParam<int> _bollingerLength;
private readonly StrategyParam<decimal> _bollingerWidth;

private BollingerBands _bollinger;

private decimal _haOpenPrev1, _haOpenPrev2, _haOpenPrev3;
private decimal _haClosePrev1, _haClosePrev2, _haClosePrev3;
private decimal _haHighPrev1, _haHighPrev2, _haHighPrev3;
private decimal _haLowPrev1, _haLowPrev2, _haLowPrev3;
private decimal _upperBbPrev1, _upperBbPrev2, _upperBbPrev3;
private decimal _lowerBbPrev1, _lowerBbPrev2, _lowerBbPrev3;
private decimal _prevRawLow;
private decimal _prevRawHigh;


/// <summary>
/// Initialize BB Heikin Ashi Entry strategy.
/// </summary>
public BbHeikinAshiEntryStrategy()
{
_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
.SetDisplay("Candle Type", "Type of candles to use", "General");

_bollingerLength = Param(nameof(BollingerLength), 20)
.SetDisplay("Bollinger Length", "Period of Bollinger Bands", "Bollinger")

.SetOptimize(10, 40, 5);

_bollingerWidth = Param(nameof(BollingerWidth), 2m)
.SetDisplay("Bollinger Width", "Standard deviation multiplier", "Bollinger")

.SetOptimize(1m, 3m, 0.5m);
}

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

/// <summary>
/// Bollinger period.
/// </summary>
public int BollingerLength
{
get => _bollingerLength.Value;
set => _bollingerLength.Value = value;
}

/// <summary>
/// Bollinger width (standard deviation).
/// </summary>
public decimal BollingerWidth
{
get => _bollingerWidth.Value;
set => _bollingerWidth.Value = value;
}

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

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

_haOpenPrev1 = _haOpenPrev2 = _haOpenPrev3 = default;
_haClosePrev1 = _haClosePrev2 = _haClosePrev3 = default;
_haHighPrev1 = _haHighPrev2 = _haHighPrev3 = default;
_haLowPrev1 = _haLowPrev2 = _haLowPrev3 = default;
_upperBbPrev1 = _upperBbPrev2 = _upperBbPrev3 = default;
_lowerBbPrev1 = _lowerBbPrev2 = _lowerBbPrev3 = default;
_prevRawLow = _prevRawHigh = default;
}

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

_bollinger = new BollingerBands
{
Length = BollingerLength,
Width = BollingerWidth
};

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

StartProtection(
	takeProfit: new Unit(2, UnitTypes.Percent),
	stopLoss: new Unit(1, UnitTypes.Percent)
);

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

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

var haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 4m;
var haOpen = _haOpenPrev1 == 0
? (candle.OpenPrice + candle.ClosePrice) / 2m
: (_haOpenPrev1 + _haClosePrev1) / 2m;
var haHigh = Math.Max(Math.Max(candle.HighPrice, haOpen), haClose);
var haLow = Math.Min(Math.Min(candle.LowPrice, haOpen), haClose);

if (bbResult is not BollingerBandsValue bbRaw ||
	bbRaw.UpBand is not decimal upper ||
	bbRaw.LowBand is not decimal lower)
{
	Shift(haOpen, haClose, haHigh, haLow, 0m, 0m, candle);
	return;
}

if (_haOpenPrev1 != 0)
{
var redCandle1 = _haClosePrev1 < _haOpenPrev1 && _haLowPrev1 <= _lowerBbPrev1;
var redCandle2 = _haClosePrev2 < _haOpenPrev2 && _haLowPrev2 <= _lowerBbPrev2;
var greenConfirmation = haClose > haOpen;
var buySignal = (redCandle1 || redCandle2) && greenConfirmation;

var greenCandle1 = _haClosePrev1 > _haOpenPrev1 && _haHighPrev1 >= _upperBbPrev1;
var greenCandle2 = _haClosePrev2 > _haOpenPrev2 && _haHighPrev2 >= _upperBbPrev2;
var redConfirmation = haClose < haOpen;
var sellSignal = (greenCandle1 || greenCandle2) && redConfirmation;

if (buySignal && Position == 0)
{
BuyMarket();
}
else if (sellSignal && Position == 0)
{
SellMarket();
}
}

Shift(haOpen, haClose, haHigh, haLow, upper, lower, candle);
}

private void Shift(decimal haOpen, decimal haClose, decimal haHigh, decimal haLow, decimal upper, decimal lower, ICandleMessage candle)
{
_haOpenPrev3 = _haOpenPrev2;
_haOpenPrev2 = _haOpenPrev1;
_haOpenPrev1 = haOpen;

_haClosePrev3 = _haClosePrev2;
_haClosePrev2 = _haClosePrev1;
_haClosePrev1 = haClose;

_haHighPrev3 = _haHighPrev2;
_haHighPrev2 = _haHighPrev1;
_haHighPrev1 = haHigh;

_haLowPrev3 = _haLowPrev2;
_haLowPrev2 = _haLowPrev1;
_haLowPrev1 = haLow;

_upperBbPrev3 = _upperBbPrev2;
_upperBbPrev2 = _upperBbPrev1;
_upperBbPrev1 = upper;

_lowerBbPrev3 = _lowerBbPrev2;
_lowerBbPrev2 = _lowerBbPrev1;
_lowerBbPrev1 = lower;

_prevRawLow = candle.LowPrice;
_prevRawHigh = candle.HighPrice;
}
}