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Hurst Exponent Trend Strategy

This system uses the Hurst exponent to determine whether the market is exhibiting trending behaviour. Values above the threshold indicate persistence, while values below suggest noise or mean reversion. A moving average provides additional direction confirmation.

Testing indicates an average annual return of about 40%. It performs best in the crypto market.

The strategy buys when the Hurst exponent is greater than the threshold and price closes above the moving average. It sells short when the Hurst exponent is high and price closes below the average. If the Hurst exponent drops below the threshold, existing positions are closed to avoid trading in choppy markets.

Such an approach works for traders who want objective confirmation that a trend is present before entering. The combination of trend filter and stop-loss helps manage the risk of false signals.

Details

  • Entry Criteria:
    • Long: Hurst > Threshold && Close > MA
    • Short: Hurst > Threshold && Close < MA
  • Long/Short: Both sides.
  • Exit Criteria:
    • Long: Exit when Close < MA or Hurst < Threshold
    • Short: Exit when Close > MA or Hurst < Threshold
  • Stops: Yes, percentage stop-loss.
  • Default Values:
    • HurstPeriod = 100
    • MaPeriod = 20
    • HurstThreshold = 0.55m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: Hurst Exponent, MA
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday
    • Seasonality: No
    • Neural networks: No
    • Divergence: No
    • Risk Level: Medium
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>
/// Hurst Exponent Trend strategy.
/// Uses Hurst exponent to identify trending markets.
/// </summary>
public class HurstExponentTrendStrategy : Strategy
{
	private readonly StrategyParam<int> _hurstPeriodParam;
	private readonly StrategyParam<int> _maPeriodParam;
	private readonly StrategyParam<decimal> _hurstThresholdParam;
	private readonly StrategyParam<DataType> _candleTypeParam;

	private HurstExponent _hurst;
	private SimpleMovingAverage _sma;

	/// <summary>
	/// Hurst exponent calculation period.
	/// </summary>
	public int HurstPeriod
	{
		get => _hurstPeriodParam.Value;
		set => _hurstPeriodParam.Value = value;
	}

	/// <summary>
	/// Moving average period.
	/// </summary>
	public int MaPeriod
	{
		get => _maPeriodParam.Value;
		set => _maPeriodParam.Value = value;
	}

	/// <summary>
	/// Hurst exponent threshold for trend identification.
	/// </summary>
	public decimal HurstThreshold
	{
		get => _hurstThresholdParam.Value;
		set => _hurstThresholdParam.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HurstExponentTrendStrategy()
	{
		_hurstPeriodParam = Param(nameof(HurstPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("Hurst Period", "Period for Hurst exponent calculation", "Parameters")
			
			.SetOptimize(50, 150, 25);

		_maPeriodParam = Param(nameof(MaPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("MA Period", "Period for Moving Average", "Parameters")
			
			.SetOptimize(10, 50, 10);

		_hurstThresholdParam = Param(nameof(HurstThreshold), 0.55m)
			.SetRange(0.1m, 0.9m)
			.SetDisplay("Hurst Threshold", "Threshold value for trend identification", "Parameters")
			
			.SetOptimize(0.5m, 0.6m, 0.05m);

		_candleTypeParam = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Candle type for strategy", "Common");
	}

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

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

		_hurst = null;
		_sma = null;
	}

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

		// Create indicators
		_hurst = new HurstExponent { Length = HurstPeriod };
		_sma = new SMA { Length = MaPeriod };

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_hurst, _sma, ProcessCandle)
			.Start();

		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _sma);
			DrawOwnTrades(area);
		}
		
		// Enable position protection
		StartProtection(
			takeProfit: new Unit(0, UnitTypes.Absolute), // No take profit
			stopLoss: new Unit(2, UnitTypes.Percent) // 2% stop loss
		);
	}

	private void ProcessCandle(ICandleMessage candle, decimal hurstValue, decimal smaValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;
		
		// Check if market is trending (Hurst > 0.5 indicates trending market)
		bool isTrending = hurstValue > HurstThreshold;
		
		if (isTrending)
		{
			// In trending markets, use price relative to MA to determine direction
			
			// Long setup - trending market with price above MA
			if (candle.ClosePrice > smaValue && Position <= 0)
			{
				// Buy signal - trending market with price above MA
				BuyMarket(Volume + Math.Abs(Position));
			}
			// Short setup - trending market with price below MA
			else if (candle.ClosePrice < smaValue && Position >= 0)
			{
				// Sell signal - trending market with price below MA
				SellMarket(Volume + Math.Abs(Position));
			}
		}
		else
		{
			// In non-trending markets, exit positions
			if (Position > 0)
			{
				SellMarket(Position);
			}
			else if (Position < 0)
			{
				BuyMarket(Math.Abs(Position));
			}
		}
	}
}