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Cristian Păuna
Economical Informatics Doctoral School
Economic Studies Academy
Bucharest, Romania
cristian.pauna@ie.ase.ro
Second International Scientific Conference on
IT, Tourism, Economics, Management
and Agriculture - ITEMA 2018
8 November 2018, Graz, Austria
This paper present:
•Heikin-Ashi trading algorithm (HA)
•Smoothed Heikin-Ashi technique (SHA)
•Trading signals assembled with SHA
•How to automate the SHA signals
•Limit conditions imposed for SHA
•Trading results obtained with SHA
Paper findings
•How to adapt SHA for algorithmic trading
•Mathematical formulas to build trading signals with SHA
•Functional parameters to optimize the SHA for any market
•Simple programming code to automate HA for trading software
•Mathematical model to automate the limit conditions for SHA
Heikin Ashi
(1)
where
is the "Open" price level
is the "Close" price level
is the "High" price level
is the "Low" price level
in a price time series of iintervals.
Smoothed Heikin-Ashi
(2)
where
is the average for "Open" price
is the average "Close" price level
is the average "High" price level
is the average "Low" price level
and the average model can be a simple,
exponential or weighted moving average
of M time price series intervals; 2 < M.
The Heikin-Ashi Algorithms:
- are simple to be impelemted in any trading system
- the code is easy to be inserted in any Multi Query Language
- can be used for manual trading and for automated trading also
Time price series for DAX30
Fig. 1
Heikin-Ashi price series for DAX30
Fig. 2.
Smoothed Heikin-Ashi Price Series
For DAX30 (M=6)
Fig. 3.
Smoothed Heikin-Ashi price series
for DAX30 (M=40)
Fig. 4.
Simple entry singals
(3
)
Exit signals
(4)
Filtered trading signals
(5)
(6)
Limit Conditions for
General Markets
(7)
Limit Conditions for
Powerful Trends
(8)
where:
is the Price Cyclicality Function (C. Păuna, I.Lungu, 2018)
is the maximal value for PCY function to filter the overboght price levels
is the minimal value for PCY function to filter the oversold price levels
Is the minimal PCY gradient to consider only the powerful trends
Fig. 5.
•SHA technique is a simple mathematical model
•SHA uses only the time price series of any financial market
•SHA indicates the price tendency and the power of the trend
•SHA can be easily implemented in any trading system
•SHA can be used for manual and automated trading systems
•The trading signals presented can be easily automated
•Limit conditions with the PCY function can be applied
•SHA technique has a small functional parameters
•Easy optimizations can be performed for any financial market
•The trading results are significative, good RRR values and efficiency