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Ha MaZi 戦略

Heikin Ashiローソク足、EMAフィルター、ZigZagピボット確認を組み合わせます。EMAの上でZigZagの新たな安値に強気のHeikin Ashiローソク足が形成されたときにロング取引を開きます。EMAの下でZigZagの新たな高値に弱気のローソク足が現れたときにショートポジションを開きます。ポジションは固定ストップロスまたはテイクプロフィットによってクローズされます。

詳細

  • エントリー条件: Heikin Ashiの方向とEMAフィルターによるZigZagピボット。
  • ロング/ショート: 両方向。
  • エグジット条件: ストップロスまたはテイクプロフィット。
  • ストップ: 固定ストップと目標。
  • デフォルト値:
    • MaPeriod = 40
    • ZigzagLength = 13
    • StopLoss = 70
    • TakeProfit = 200
    • CandleType = TimeSpan.FromMinutes(1)
  • フィルター:
    • カテゴリ: トレンド
    • 方向: 両方
    • インジケーター: Heikin Ashi, EMA, ZigZag
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: イントラデイ
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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>
/// Heikin Ashi with moving average and ZigZag-style pivot confirmation.
/// </summary>
public class HaMaZiStrategy : Strategy
{
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _zigzagLength;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPct;
	private readonly StrategyParam<decimal> _takeProfitPct;

	private Highest _highest;
	private Lowest _lowest;
	private decimal _haOpenPrev;
	private decimal _haClosePrev;
	private decimal _lastZigzag;
	private decimal _lastZigzagHigh;
	private decimal _lastZigzagLow;

	public int MaPeriod { get => _maPeriod.Value; set => _maPeriod.Value = value; }
	public int ZigzagLength { get => _zigzagLength.Value; set => _zigzagLength.Value = value; }
	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public decimal StopLossPct { get => _stopLossPct.Value; set => _stopLossPct.Value = value; }
	public decimal TakeProfitPct { get => _takeProfitPct.Value; set => _takeProfitPct.Value = value; }

	public HaMaZiStrategy()
	{
		_maPeriod = Param(nameof(MaPeriod), 40)
			.SetDisplay("MA Period", "EMA period", "General");
		_zigzagLength = Param(nameof(ZigzagLength), 13)
			.SetDisplay("ZigZag Length", "Lookback for pivot search", "ZigZag");
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
		_stopLossPct = Param(nameof(StopLossPct), 2m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");
		_takeProfitPct = Param(nameof(TakeProfitPct), 3m)
			.SetDisplay("Take Profit %", "Take profit percentage", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highest = default;
		_lowest = default;
		_haOpenPrev = 0; _haClosePrev = 0;
		_lastZigzag = 0; _lastZigzagHigh = 0; _lastZigzagLow = 0;
	}

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

		var ema = new ExponentialMovingAverage { Length = MaPeriod };
		_highest = new Highest { Length = ZigzagLength };
		_lowest = new Lowest { Length = ZigzagLength };

		Indicators.Add(_highest);
		Indicators.Add(_lowest);

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(ema, (candle, emaVal) =>
			{
				if (candle.State != CandleStates.Finished)
					return;

				var highResult = _highest.Process(candle);
				var lowResult = _lowest.Process(candle);
				if (!highResult.IsFormed || !lowResult.IsFormed)
					return;

				var highest = highResult.ToDecimal();
				var lowest = lowResult.ToDecimal();

				var haClose = (candle.OpenPrice + candle.HighPrice + candle.LowPrice + candle.ClosePrice) / 4m;
				var haOpen = (_haOpenPrev == 0 && _haClosePrev == 0)
					? (candle.OpenPrice + candle.ClosePrice) / 2m
					: (_haOpenPrev + _haClosePrev) / 2m;
				var haBull = haClose > haOpen;
				var haBear = haClose < haOpen;

				if (candle.HighPrice >= highest && _lastZigzag != candle.HighPrice)
				{
					_lastZigzag = candle.HighPrice;
					_lastZigzagHigh = candle.HighPrice;
					_lastZigzagLow = 0;
				}
				else if (candle.LowPrice <= lowest && _lastZigzag != candle.LowPrice)
				{
					_lastZigzag = candle.LowPrice;
					_lastZigzagLow = candle.LowPrice;
					_lastZigzagHigh = 0;
				}

				if (_lastZigzag == _lastZigzagLow && _lastZigzagLow > 0 && haBull && candle.ClosePrice > emaVal && Position <= 0)
				{
					if (Position < 0) BuyMarket();
					BuyMarket();
				}
				else if (_lastZigzag == _lastZigzagHigh && _lastZigzagHigh > 0 && haBear && candle.ClosePrice < emaVal && Position >= 0)
				{
					if (Position > 0) SellMarket();
					SellMarket();
				}

				_haOpenPrev = haOpen;
				_haClosePrev = haClose;
			})
			.Start();

		StartProtection(
			takeProfit: new Unit(TakeProfitPct, UnitTypes.Percent),
			stopLoss: new Unit(StopLossPct, UnitTypes.Percent),
			useMarketOrders: true);

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