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Estratégia Heikin Ashi Consecutive

Estratégia baseada em velas Heikin Ashi consecutivas

Os testes indicam um retorno anual médio de aproximadamente 73%. Funciona melhor no mercado de criptomoedas.

Heikin Ashi Consecutive aguarda várias velas Heikin Ashi da mesma cor para confirmar o momentum. Após uma sequência de barras de alta ou de baixa, a estratégia adere ao movimento e sai na primeira vela oposta ou por um stop ATR.

Como os gráficos Heikin Ashi suavizam os dados de preço, uma série de velas da mesma cor destaca um movimento direcional forte. O stop ATR Trailing tenta preservar os ganhos se a sequência se reverter abruptamente.

Detalhes

  • Critérios de entrada: Sinais baseados em Heikin.
  • Comprado/Vendido: Ambas as direções.
  • Critérios de saída: Sinal oposto ou stop.
  • Stops: Sim.
  • Valores padrão:
    • ConsecutiveCandles = 3
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoria: Tendência
    • Direção: Ambos
    • Indicadores: Heikin
    • Stops: Sim
    • Complexidade: Básico
    • Período: Intradiário (5m)
    • Sazonalidade: Não
    • Neural Networks: Não
    • Divergência: Não
    • Nível de risco: Médio
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>
/// Strategy based on consecutive Heikin Ashi candles.
/// It enters long position after a sequence of bullish Heikin Ashi candles and 
/// short position after a sequence of bearish Heikin Ashi candles.
/// </summary>
public class HeikinAshiConsecutiveStrategy : Strategy
{
	private readonly StrategyParam<int> _consecutiveCandles;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	// State tracking
	private int _bullishCount;
	private int _bearishCount;
	private decimal _prevHaOpen;
	private decimal _prevHaClose;
	private decimal _prevHaHigh;
	private decimal _prevHaLow;

	/// <summary>
	/// Number of consecutive candles required for signal.
	/// </summary>
	public int ConsecutiveCandles
	{
		get => _consecutiveCandles.Value;
		set => _consecutiveCandles.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

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

	/// <summary>
	/// Initialize the Heikin Ashi Consecutive strategy.
	/// </summary>
	public HeikinAshiConsecutiveStrategy()
	{
		_consecutiveCandles = Param(nameof(ConsecutiveCandles), 7)
			.SetDisplay("Consecutive Candles", "Number of consecutive candles required for signal", "Trading parameters")

			.SetOptimize(5, 10, 1);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop Loss (%)", "Stop loss as a percentage of entry price", "Risk parameters")
			
			.SetOptimize(1, 3, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles to use", "General");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_bullishCount = default;
		_bearishCount = default;
		_prevHaOpen = default;
		_prevHaClose = default;
		_prevHaHigh = default;
		_prevHaLow = default;

	}

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

		// Create subscription
		var subscription = SubscribeCandles(CandleType);
		
		// We need to calculate Heikin-Ashi candles in the ProcessCandle handler
		subscription
			.Bind(ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawOwnTrades(area);
		}

		// Start protection with stop loss
		StartProtection(
			takeProfit: null,
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);
	}

	private void ProcessCandle(ICandleMessage candle)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Calculate Heikin-Ashi values
		decimal haOpen, haClose, haHigh, haLow;

		if (_prevHaOpen == 0)
		{
			// First candle - initialize Heikin-Ashi values
			haOpen = (candle.OpenPrice + candle.ClosePrice) / 2;
			haClose = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4;
			haHigh = candle.HighPrice;
			haLow = candle.LowPrice;
		}
		else
		{
			// Calculate Heikin-Ashi values based on previous HA candle
			haOpen = (_prevHaOpen + _prevHaClose) / 2;
			haClose = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4;
			haHigh = Math.Max(Math.Max(candle.HighPrice, haOpen), haClose);
			haLow = Math.Min(Math.Min(candle.LowPrice, haOpen), haClose);
		}

		// Determine if Heikin-Ashi candle is bullish or bearish
		var isBullish = haClose > haOpen;
		var isBearish = haClose < haOpen;

		// Update consecutive counts
		if (isBullish)
		{
			_bullishCount++;
			_bearishCount = 0;
		}
		else if (isBearish)
		{
			_bearishCount++;
			_bullishCount = 0;
		}
		else
		{
			// Neutral candle (rare case) - reset both counts
			_bullishCount = 0;
			_bearishCount = 0;
		}

		// Trading logic - enter/reverse on consecutive candles
		if (_bullishCount >= ConsecutiveCandles && Position <= 0)
		{
			// Enough consecutive bullish candles - Buy signal
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
		}
		else if (_bearishCount >= ConsecutiveCandles && Position >= 0)
		{
			// Enough consecutive bearish candles - Sell signal
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
		}

		// Store current Heikin-Ashi values for next candle
		_prevHaOpen = haOpen;
		_prevHaClose = haClose;
		_prevHaHigh = haHigh;
		_prevHaLow = haLow;
	}
}