Heikin-Ashi Strategy (Regular vs Smoothed)

[re12]

The Heikin-Ashi strategy can be based on these rules:

Long Signal: HaClose > HaOpen.

Short signal: HaClose < HaOpen.

i ~ Current Bar.

Entry at open after the signal.

Heikin-Ashi:

HaClose = (AvgOpen + AvgHigh + AvgLow + AvgClose)/4

HaOpen = (HaOpen + HaClose)/2

HaHigh = max(AvgHigh, HaOpen, HaClose)

HaLow = min(AvgLow, HaOpen, HaClose)

where AvgOpen (AvgHigh/AvgLow/AvgClose) is an average open (high/low/close) price over the Look_Back period.

Test on 42 US futures supports the fact that HA bars should not be used without smoothing. The Look_Back specifies the time window for the bar averages where Look_Back = 1 implies regular HA bars. The Time_Index defines the number of bars we stay in a trade before the time exit.

[techmac]

Nice work