RSI-and-MA-Cross-on-15-Min-Heikin-Ashi-Chart

2022-10-03T12:57:36Z - 2022-10-03T12:57:36Z ago

#1

Hi Wes,

Trades are created on the real bars, not virtual ones like Heikin Ashi. But I think it's also possible to backtest the idea:

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript2 
{
    public class MyStrategy : UserStrategyBase
    {
        public override void Initialize(BarHistory bars)
        {
         price = bars.Close;
         sma = new SMA(bars.Close,20);
         ha = new BarHistory(bars);
         StartIndex = 20;
         
         // Create Heikin-Ashi series
         TimeSeries HO = bars.Open *0;
         TimeSeries HH = bars.High *0;
         TimeSeries HL = bars.Low *0;
         TimeSeries HC = bars.AveragePriceOHLC;

         // Build the Bars object
         ha.Add(bars.DateTimes[0], HO[0], HH[0], HL[0], HC[0], bars.Volume[0]);
         for (int bar = 1; bar < bars.Count; bar++)
         {
            double o1 = HO[bar - 1];
            double c1 = HC[bar - 1];
            HO[bar] = (o1 + c1) / 2;
            HH[bar] = Math.Max(HO[bar], bars.High[bar]);
            HL[bar] = Math.Min(HO[bar], bars.Low[bar]);

            ha.Add(bars.DateTimes[bar], HO[bar], HH[bar], HL[bar], HC[bar], bars.Volume[bar]);
         }

         PlotBarHistoryStyle(ha, "HAPane", "Candlestick", WLColor.Navy);
         PlotIndicator(sma, new WLColor(0, 0,0));
      }

        public override void Execute(BarHistory bars, int idx)
        {
         if (!HasOpenPosition(ha, PositionType.Long))
         {
            if (price.CrossesOver(sma, idx))
               _transaction = PlaceTrade(ha, TransactionType.Buy, OrderType.Market, 0, 0, "Buy At Market (1)");
         }
         else
         {
            if (price.CrossesUnder(sma, idx))
               ClosePosition(LastPosition, OrderType.Market, 0, "Sell At Market (1)");
         }
        }

      private TimeSeries price;
      private IndicatorBase sma;
      private Transaction _transaction;
      BarHistory ha;
    }
}

0

wesdutoit8

2022-10-03T13:30:30Z - 2022-10-03T13:30:30Z ago

#2

Thank You

1

Glitch8

( 11.08% )

2022-10-03T14:45:37Z - 2022-10-03T14:45:37Z ago

#3

This can be simplified using our framework's HeikinAshi helper class,

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript2
{
   public class MyStrategy : UserStrategyBase
   {
      public override void Initialize(BarHistory bars)
      {
         price = bars.Close;
         sma = new SMA(bars.Close, 20);
         ha = new BarHistory(bars);
         StartIndex = 20;

         // Create Heikin-Ashi series
         ha = HeikinAshi.Convert(bars);

         PlotBarHistoryStyle(ha, "HAPane", "Candlestick", WLColor.Navy);
         PlotIndicator(sma, new WLColor(0, 0, 0));
      }

      public override void Execute(BarHistory bars, int idx)
      {
         if (!HasOpenPosition(ha, PositionType.Long))
         {
            if (price.CrossesOver(sma, idx))
               _transaction = PlaceTrade(ha, TransactionType.Buy, OrderType.Market, 0, 0, "Buy At Market (1)");
         }
         else
         {
            if (price.CrossesUnder(sma, idx))
               ClosePosition(LastPosition, OrderType.Market, 0, "Sell At Market (1)");
         }
      }

      private TimeSeries price;
      private IndicatorBase sma;
      private Transaction _transaction;
      private BarHistory ha;
   }
}

2

Cone8

( 4.83% )

2022-10-03T16:33:39Z - 2022-10-03T16:33:39Z ago

#4

It's not really valid, is it? You can create trades on the HA series, but these may be trades at prices that don't actually exist on the trade bar -

2

wesdutoit8

2022-10-03T16:48:14Z - 2022-10-03T16:48:14Z ago

#5

Thank You.

0

kls065418

2022-10-03T16:53:12Z - 2022-10-03T16:53:12Z ago

#6

On the chart & on the Backtesting it gives you the right numbers on the Order Manager it gives you funny numbers

0

Glitch8

( 11.08% )

2022-10-03T17:16:09Z - 2022-10-03T17:16:09Z ago

#7

Re: Cone, yes I just converted Eugene's code but didn't examine it closely. Of course, you cannot PlaceTrade on the Heikin-Ashi BarHistory, here is a corrected version. It applies the SMA to the Heikin-Ashi and signals based off it, but places the trades on the underlying BarHistory.

CODE:

using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using System.Collections.Generic;

namespace WealthScript2
{
   public class MyStrategy : UserStrategyBase
   {
      public override void Initialize(BarHistory bars)
      {
         StartIndex = 20;

         // Create Heikin-Ashi series
         ha = HeikinAshi.Convert(bars);
         sma = new SMA(ha.Close, 20);
         PlotBarHistoryStyle(ha, "HA", "Candlestick", WLColor.Aqua);
         PlotIndicator(sma, WLColor.Fuchsia, PlotStyle.Line, false, "HA");
      }

      public override void Execute(BarHistory bars, int idx)
      {
         if (!HasOpenPosition(ha, PositionType.Long))
         {
            if (ha.Close.CrossesOver(sma, idx))
               PlaceTrade(bars, TransactionType.Buy, OrderType.Market, 0, 0, "Buy At Market (1)");
         }
         else
         {
            if (ha.Close.CrossesUnder(sma, idx))
               ClosePosition(LastPosition, OrderType.Market, 0, "Sell At Market (1)");
         }
      }

      private IndicatorBase sma;
      private BarHistory ha;
   }
}

2

Best Answer