日本語 JA
GitHub で見る

BB HeikinAshi Entry

Bollinger Bands strategy using Heikin Ashi candles.

The system waits for two or three consecutive bearish Heikin Ashi bars that touch the lower Bollinger Band. A bullish candle closing back above the band triggers a long entry. Shorts work in the opposite direction. Half of the position is closed at the first target and the remainder is protected with a trailing stop.

Details

  • Entry Criteria: Reversal of consecutive Heikin Ashi candles around Bollinger Bands.
  • Long/Short: Both.
  • Exit Criteria: Partial take profit and trailing stop.
  • Stops: Yes.
  • Default Values:
    • BollingerLength = 20
    • BollingerWidth = 2
    • CandleType = TimeSpan.FromMinutes(15)
  • Filters:
    • Category: Reversal
    • Direction: Both
    • Indicators: Heikin Ashi, Bollinger Bands
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (15m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
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;
}
}