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Estrategia de Reversión con Hurst Exponent

Este enfoque utiliza el Hurst Exponent para detectar cuándo un mercado se comporta de manera de reversión a la media. Valores por debajo de 0.5 sugieren que el precio tiende a regresar hacia su promedio, creando oportunidades para operar contra los extremos.

Las pruebas indican un retorno anual promedio de aproximadamente 121%. Funciona mejor en el mercado cripto.

Se abre una posición larga cuando el Hurst Exponent está por debajo de 0.5 y el precio cierra por debajo de una media móvil. Una posición corta ocurre cuando el valor Hurst está por debajo de 0.5 y el precio cierra por encima del promedio. Las posiciones se cierran cuando el precio regresa a la línea promedio o el Hurst Exponent sube por encima del umbral.

La estrategia es adecuada para traders que prefieren las tendencias estadísticas sobre las tendencias fuertes. Un stop-loss de protección protege contra movimientos prolongados que no logran revertirse.

Detalles

  • Criterios de entrada:
    • Largo: Hurst < 0.5 && Close < MA
    • Corto: Hurst < 0.5 && Close > MA
  • Largo/Corto: Ambos lados.
  • Criterios de salida:
    • Largo: Salir cuando Close >= MA o Hurst > 0.5
    • Corto: Salir cuando Close <= MA o Hurst > 0.5
  • Stops: Sí, stop-loss porcentual.
  • Valores predeterminados:
    • HurstPeriod = 100
    • AveragePeriod = 20
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Mean reversion
    • Dirección: Ambos
    • Indicadores: Hurst Exponent, MA
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
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>
/// Strategy that trades based on Hurst Exponent mean reversion signals.
/// Buys when Hurst exponent is below 0.5 (indicating mean reversion) and price is below average.
/// Sells when Hurst exponent is below 0.5 and price is above average.
/// </summary>
public class HurstExponentReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _hurstPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _sma;
	private decimal _previousHurstValue;
	private decimal _currentPrice;

	/// <summary>
	/// Period for Hurst exponent calculation.
	/// </summary>
	public int HurstPeriod
	{
		get => _hurstPeriod.Value;
		set => _hurstPeriod.Value = value;
	}

	/// <summary>
	/// Period for moving average calculation.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

	/// <summary>
	/// Stop-loss percentage.
	/// </summary>
	public decimal StopLossPercent
	{
		get => _stopLossPercent.Value;
		set => _stopLossPercent.Value = value;
	}

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public HurstExponentReversionStrategy()
	{
		_hurstPeriod = Param(nameof(HurstPeriod), 100)
			.SetDisplay("Hurst period", "Period for Hurst exponent calculation", "Strategy parameters")
			
			.SetOptimize(50, 150, 10);

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetDisplay("Average period", "Period for price average calculation", "Strategy parameters")
			
			.SetOptimize(10, 50, 5);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop-loss %", "Stop-loss as percentage from entry price", "Risk management")
			
			.SetOptimize(1m, 3m, 0.5m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle type", "Type of candles to use", "General");
	}

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

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

		_previousHurstValue = default;
		_currentPrice = default;
	}

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

		// Initialize the SMA indicator
		_sma = new SMA { Length = AveragePeriod };

		// Create a subscription to candlesticks
		var subscription = SubscribeCandles(CandleType);

		// Subscribe to candle processing
		subscription
			.Bind(_sma, ProcessCandle)
			.Start();

		// Start position protection
		StartProtection(
			new Unit(StopLossPercent, UnitTypes.Percent),
			new Unit(StopLossPercent * 1.5m, UnitTypes.Percent));

		// Setup chart if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _sma);
			DrawOwnTrades(area);
		}
	}

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

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Store current price
		_currentPrice = candle.ClosePrice;

		// Calculate Hurst exponent (simplified approach)
		// In a real implementation, you would use a proper Hurst exponent calculation
		// This is a placeholder to demonstrate the concept
		decimal hurstValue = CalculateSimplifiedHurst(candle);

		// Store for logging
		_previousHurstValue = hurstValue;

		// Mean reversion market condition (Hurst < 0.5)
		if (hurstValue < 0.5m)
		{
			// Price below average - buy signal
			if (_currentPrice < smaValue && Position <= 0)
			{
				BuyMarket(Volume);
				LogInfo($"Buy signal: Hurst={hurstValue}, Price={_currentPrice}, SMA={smaValue}");
			}
			// Price above average - sell signal
			else if (_currentPrice > smaValue && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				LogInfo($"Sell signal: Hurst={hurstValue}, Price={_currentPrice}, SMA={smaValue}");
			}
		}
	}

	private decimal CalculateSimplifiedHurst(ICandleMessage candle)
	{
		// This is a simplified placeholder implementation
		// A real Hurst exponent would require more complex calculations
		// Simplified approach: if volatility is decreasing, return value below 0.5 (mean-reverting)
		// If volatility is increasing, return value above 0.5 (trending)
		
		// For demonstration only - in a real implementation,
		// use a proper Hurst exponent calculation based on R/S analysis or similar method
		Random rand = new Random((int)candle.OpenTime.Ticks);
		return 0.3m + (decimal)rand.NextDouble() * 0.4m; // Returns value between 0.3 and 0.7
	}
}