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Bollinger Heikin Ashi Entry

Heikin Ashi 足のボリンジャー反転で建て、実保有の半分を利確後、残りをトレーリング管理します。

取引ルール

HA 終値は (Open+High+Low+Close)/4。初回 HA 始値は (Open+Close)/2、以降は (前 HA 始値+前 HA 終値)/2。HA 高安は HA 始終値と元の高安を含みます。最初のアーカイブ足から HA 終値でバンドを計算し、元の終値は使いません。同事線に色はありません。接触は HA low <= lower / HA high >= upper です。

直前に少なくとも2本連続する陰線 HA 足がそれぞれ自身の下側バンドへ接触し、次の陽線 HA 足が自身の下側バンドを厳密に上回って引ければ買いです。色と上側バンド接触、終値の方向を逆にすると売りです。

ノーポジション時のみ Volume で建てます。初期ストップは直前の確定した元の足の安値（買い）または高値（売り）で、発注前に固定します。R は加重平均実約定値からストップまでの正の距離です。1R で実保有の半分を VolumeStep で切り捨て成行決済します。どちらかが MinVolume 未満なら目標で全決済します。初期ストップを越えて新規約定した場合、次の執行可能な気配値で決済します。

実際の目標決済約定後にのみ、最新の確定した元の足の安値/高値で残りを追従し、ストップは緩めません。買い bid、売り ask が足の間に全決済を発動し、ストップが目標より優先です。未完了注文は重複を防止します。過去の足の高安を後発の水準へ遡及適用せず、固定百分率目標や隠れた待機期間もありません。

指標のウォームアップ完了後、確定足だけで新規シグナルを生成します。保有ポジションは決済まで管理し、未完了の成行注文がある間は重複発注しません。

ボリンジャーバンドは現在の確定足を含む終値の移動窓から母標準偏差を計算します。

パラメーター

Parameter Default
BollingerPeriod 20
BollingerDeviation 2
CandleType 5m 
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo;
using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

/// <summary>Heikin Ashi band reversal with a real half-position target and a causal trailing remainder.</summary>
public class BollingerHeikinAshiEntryStrategy : Strategy
{
	private readonly StrategyParam<int> _bollingerPeriod;
	private readonly StrategyParam<decimal> _bollingerDeviation;
	private readonly StrategyParam<DataType> _candleType;
	private BollingerBands _bands;
	private Order _pending;
	private bool _haInitialized, _targetTaken, _invalidFill;
	private decimal _haOpen, _haClose, _previousLow, _previousHigh;
	private decimal _stop, _target, _entryCost, _entryQuantity;
	private int _redTouches, _greenTouches;

	/// <summary>Initializes the published Heikin Ashi and Bollinger parameters.</summary>
	public BollingerHeikinAshiEntryStrategy()
	{
		_bollingerPeriod = Param(nameof(BollingerPeriod), 20).SetGreaterThanZero().SetOptimize(10, 50, 5)
			.SetDisplay("BollingerPeriod", "Heikin Ashi close window", "Parameters");
		_bollingerDeviation = Param(nameof(BollingerDeviation), 2m).SetGreaterThanZero().SetOptimize(1m, 3m, 0.5m)
			.SetDisplay("BollingerDeviation", "Bollinger standard deviation multiplier", "Parameters");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("CandleType", "Finished signal candle interval", "Parameters");
	}

	/// <summary>Heikin Ashi close window.</summary>
	public int BollingerPeriod { get => _bollingerPeriod.Value; set => _bollingerPeriod.Value = value; }

	/// <summary>Bollinger standard deviation multiplier.</summary>
	public decimal BollingerDeviation { get => _bollingerDeviation.Value; set => _bollingerDeviation.Value = value; }

	/// <summary>Finished signal candle interval.</summary>
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }

	private bool IsPending => _pending is not null && _pending.State is not (OrderStates.Done or OrderStates.Failed);

	/// <inheritdoc />
	public override IEnumerable<(Security sec, DataType dt)> GetWorkingSecurities()
		=> [(Security, CandleType), (Security, DataType.Level1)];

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bands = null;
		_pending = null;
		_haInitialized = _targetTaken = _invalidFill = false;
		_haOpen = _haClose = _previousLow = _previousHigh = 0m;
		_stop = _target = _entryCost = _entryQuantity = 0m;
		_redTouches = _greenTouches = 0;
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		base.OnStarted2(time);
		_bands = new BollingerBands { Length = BollingerPeriod, Width = BollingerDeviation };
		Indicators.Add(_bands);
		var candles = SubscribeCandles(CandleType);
		candles.Bind(ProcessCandle).Start();
		var area = CreateChartArea();
		if (area is not null)
		{
			DrawCandles(area, candles);
			DrawIndicator(area, _bands);
			DrawOwnTrades(area);
		}
		foreach (var field in new[] { Level1Fields.BestBidPrice, Level1Fields.BestAskPrice })
		{
			var quote = new Subscription(DataType.Level1, Security);
			quote.MarketData.BuildField = field;
			SubscribeLevel1(quote).Bind(ProcessQuote).Start();
		}
	}

	private void Submit(Sides side, decimal quantity, string reason)
	{
		_pending = CreateOrder(side, 0m, quantity);
		_pending.Type = OrderTypes.Market;
		_pending.Comment = "0554" + reason;
		RegisterOrder(_pending);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		if (candle.State != CandleStates.Finished)
			return;
		var open = _haInitialized ? (_haOpen + _haClose) / 2m : (candle.OpenPrice + candle.ClosePrice) / 2m;
		var close = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 4m;
		_haOpen = open;
		_haClose = close;
		_haInitialized = true;
		var input = new DecimalIndicatorValue(_bands, close, candle.OpenTime) { IsFinal = true };
		var bands = (BollingerBandsValue)_bands.Process(input);
		Sides? signal = null;
		if (_bands.IsFormed && bands.LowBand is decimal lower && bands.UpBand is decimal upper)
		{
			var redValid = _redTouches >= 2;
			var greenValid = _greenTouches >= 2;
			if (close > open && close > lower && redValid)
				signal = Sides.Buy;
			else if (close < open && close < upper && greenValid)
				signal = Sides.Sell;
			_redTouches = close < open && Math.Min(candle.LowPrice, Math.Min(open, close)) <= lower ? _redTouches + 1 : 0;
			_greenTouches = close > open && Math.Max(candle.HighPrice, Math.Max(open, close)) >= upper ? _greenTouches + 1 : 0;
		}
		if (Position != 0m && _targetTaken)
			_stop = Position > 0m ? Math.Max(_stop, candle.LowPrice) : Math.Min(_stop, candle.HighPrice);
		var setupStop = signal == Sides.Buy ? _previousLow : _previousHigh;
		_previousLow = candle.LowPrice;
		_previousHigh = candle.HighPrice;
		if (signal is null || Position != 0m || IsPending || !IsFormedAndOnlineAndAllowTrading())
			return;
		_stop = setupStop;
		_entryCost = _entryQuantity = 0m;
		_targetTaken = _invalidFill = false;
		Submit(signal.Value, Volume, "Entry");
	}

	/// <inheritdoc />
	protected override void OnOwnTradeReceived(MyTrade trade)
	{
		base.OnOwnTradeReceived(trade);
		if (trade.Order.Comment == "0554Entry")
		{
			_entryCost += trade.Trade.Price * trade.Trade.Volume;
			_entryQuantity += trade.Trade.Volume;
			var entry = _entryCost / _entryQuantity;
			var risk = trade.Order.Side == Sides.Buy ? entry - _stop : _stop - entry;
			_invalidFill = risk <= 0m;
			_target = trade.Order.Side == Sides.Buy ? entry + risk : entry - risk;
		}
		else if (trade.Order.Comment == "0554Target")
		{
			_targetTaken = true;
			if (Position != 0m)
				_stop = Position > 0m ? Math.Max(_stop, _previousLow) : Math.Min(_stop, _previousHigh);
		}
	}

	private void ProcessQuote(Level1ChangeMessage quote)
	{
		if (Position == 0m || _entryQuantity == 0m || IsPending || !IsFormedAndOnlineAndAllowTrading())
			return;
		var field = Position > 0m ? Level1Fields.BestBidPrice : Level1Fields.BestAskPrice;
		if (!quote.Changes.TryGetValue(field, out var raw) || raw is not decimal price || price <= 0m)
			return;
		var side = Position > 0m ? Sides.Sell : Sides.Buy;
		if (_invalidFill || (Position > 0m ? price <= _stop : price >= _stop))
			Submit(side, Math.Abs(Position), "Stop");
		else if (!_targetTaken && (Position > 0m ? price >= _target : price <= _target))
		{
			var quantity = Math.Abs(Position);
			var step = Security.VolumeStep ?? 1m;
			var minimum = Security.MinVolume ?? step;
			var half = Math.Floor(quantity / 2m / step) * step;
			// A sub-lot remainder cannot be managed: take the whole position at 1R instead.
			Submit(side, half >= minimum && quantity - half >= minimum ? half : quantity, "Target");
		}
	}
}