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Estratégia Heikin Ashi V2

Esta segunda versão do sistema Heikin Ashi adiciona um filtro EMA. As operações ocorrem apenas quando a direção da vela Heikin Ashi concorda com a tendência definida pela EMA. O filtro ajuda a evitar sinais contra a tendência que a abordagem HA pura pode gerar.

Detalhes

  • Critérios de entrada:
    • Comprado: HA_Close > HA_Open e Close > EMA
    • Vendido: HA_Close < HA_Open e Close < EMA
  • Comprado/Vendido: Ambos
  • Critérios de saída:
    • Sinal oposto
  • Stops: Nenhum
  • Valores padrão:
    • EmaLength = 20
  • Filtros:
    • Categoria: Seguidor de tendência
    • Direção: Ambos
    • Indicadores: Heikin Ashi, EMA
    • Stops: Não
    • Complexidade: Baixo
    • Período: Curto prazo
    • Sazonalidade: Não
    • Redes neurais: Não
    • Divergência: Não
    • Nível de risco: Médio
namespace StockSharp.Samples.Strategies;

using System;
using System.Collections.Generic;

using Ecng.Common;

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

/// <summary>
/// Heikin Ashi Strategy V2.
/// Uses fast and slow EMA crossover with Heikin-Ashi color confirmation.
/// Buys on bullish EMA cross when HA candle is green.
/// Sells on bearish EMA cross when HA candle is red.
/// </summary>
public class HeikinAshiV2Strategy : Strategy
{
	private readonly StrategyParam<DataType> _candleTypeParam;
	private readonly StrategyParam<int> _fastPeriod;
	private readonly StrategyParam<int> _slowPeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private ExponentialMovingAverage _fastEma;
	private ExponentialMovingAverage _slowEma;

	private decimal _prevFast;
	private decimal _prevSlow;
	private decimal _prevHaOpen;
	private decimal _prevHaClose;
	private int _cooldownRemaining;

	public HeikinAshiV2Strategy()
	{
		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle type", "Candle type for strategy calculation.", "General");

		_fastPeriod = Param(nameof(FastPeriod), 5)
			.SetGreaterThanZero()
			.SetDisplay("Fast EMA", "Fast EMA period", "Moving Averages");

		_slowPeriod = Param(nameof(SlowPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Slow EMA", "Slow EMA period", "Moving Averages");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars to wait between trades", "Risk");
	}

	public DataType CandleType
	{
		get => _candleTypeParam.Value;
		set => _candleTypeParam.Value = value;
	}

	public int FastPeriod
	{
		get => _fastPeriod.Value;
		set => _fastPeriod.Value = value;
	}

	public int SlowPeriod
	{
		get => _slowPeriod.Value;
		set => _slowPeriod.Value = value;
	}

	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_fastEma = null;
		_slowEma = null;
		_prevFast = 0;
		_prevSlow = 0;
		_prevHaOpen = 0;
		_prevHaClose = 0;
		_cooldownRemaining = 0;
	}

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

		_fastEma = new ExponentialMovingAverage { Length = FastPeriod };
		_slowEma = new ExponentialMovingAverage { Length = SlowPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_fastEma, _slowEma, OnProcess)
			.Start();

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

	private void OnProcess(ICandleMessage candle, decimal fast, decimal slow)
	{
		if (candle.State != CandleStates.Finished)
			return;

		// Calculate Heikin-Ashi
		decimal haOpen, haClose;
		if (_prevHaOpen == 0)
		{
			haOpen = (candle.OpenPrice + candle.ClosePrice) / 2;
			haClose = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4;
		}
		else
		{
			haOpen = (_prevHaOpen + _prevHaClose) / 2;
			haClose = (candle.OpenPrice + candle.ClosePrice + candle.HighPrice + candle.LowPrice) / 4;
		}

		_prevHaOpen = haOpen;
		_prevHaClose = haClose;

		if (!_fastEma.IsFormed || !_slowEma.IsFormed)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (!IsFormedAndOnlineAndAllowTrading())
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		if (_prevFast == 0)
		{
			_prevFast = fast;
			_prevSlow = slow;
			return;
		}

		var haGreen = haClose > haOpen;
		var haRed = haClose < haOpen;

		// Bullish: fast crosses above slow + HA is green
		var bullishCross = fast > slow && _prevFast <= _prevSlow && haGreen;
		// Bearish: fast crosses below slow + HA is red
		var bearishCross = fast < slow && _prevFast >= _prevSlow && haRed;

		if (bullishCross && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (bearishCross && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_prevFast = fast;
		_prevSlow = slow;
	}
}