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Estrategia Innocent Heikin Ashi Ethereum

Esta estrategia compra Ethereum cuando una secuencia de velas bajistas por debajo de la EMA50 es seguida por una vela alcista por encima de la EMA50. El stop loss se coloca en el mínimo más bajo de las últimas 28 barras y el take profit se calcula con el multiplicador RiskReward. El Moon Mode opcional permite entradas por encima de la EMA200. La posición puede cerrar anticipadamente ante señales de venta o de trampa.

Detalles

  • Criterios de entrada:
    • Largo: al menos ConfirmationLevel velas rojas por debajo de la EMA50, seguidas de una vela verde por encima de la EMA50.
    • Agresivo: si EnableMoonMode es verdadero y el precio está por encima de la EMA200.
  • Largo/Corto: Solo largo.
  • Criterios de salida:
    • Stop loss en el mínimo más bajo de las últimas 28 barras.
    • Take profit usando el multiplicador RiskReward.
    • Señales opcionales de venta o trampa para salida anticipada.
  • Stops: Sí.
  • Valores predeterminados:
    • RiskReward = 1.
    • ConfirmationLevel = 1.
    • EnableMoonMode = true.
  • Filtros:
    • Categoría: Seguimiento de tendencia
    • Dirección: Solo largos
    • Indicadores: EMA
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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++;
    }
}