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Estrategia de Reversión a la Media por Pendiente de Hull MA

La estrategia de Reversión a la Media por Pendiente de Hull MA se centra en lecturas extremas del indicador Hull MA para explotar la reversión. Las grandes desviaciones del nivel normal rara vez perduran.

Las operaciones se activan cuando el indicador se aleja mucho de su media y luego comienza a revertirse. Tanto las configuraciones largas como cortas incluyen un stop protector.

Adecuada para operadores de swing que esperan oscilaciones, la estrategia cierra las posiciones una vez que el Hull MA regresa al equilibrio. Parámetro inicial HullPeriod = 9.

Detalles

  • Criterios de entrada: El indicador cruza de regreso hacia la media.
  • Largo/Corto: Ambas direcciones.
  • Criterios de salida: El indicador revierte al promedio.
  • Stops: Sí.
  • Valores predeterminados:
    • HullPeriod = 9
    • LookbackPeriod = 20
    • DeviationMultiplier = 2.0m
    • AtrPeriod = 14
    • AtrMultiplier = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filtros:
    • Categoría: Mean Reversion
    • Dirección: Ambos
    • Indicadores: Hull MA
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Corto plazo
    • Estacionalidad: No
    • Redes neuronales: No
    • Divergencia: No
    • Nivel de riesgo: Medio
using System;
using System.Collections.Generic;

using Ecng.Common;

using StockSharp.Algo.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Hull moving average slope mean reversion strategy.
/// Trades reversions from extreme Hull MA slopes and exits when the slope returns to its recent average.
/// </summary>
public class HullMaSlopeMeanReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _hullPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private HullMovingAverage _hullMa;
	private decimal _prevHullValue;
	private decimal[] _slopeHistory;
	private int _currentIndex;
	private int _filledCount;
	private int _cooldown;
	private bool _isInitialized;

	/// <summary>
	/// Hull Moving Average period.
	/// </summary>
	public int HullPeriod
	{
		get => _hullPeriod.Value;
		set => _hullPeriod.Value = value;
	}

	/// <summary>
	/// Lookback period for slope statistics.
	/// </summary>
	public int LookbackPeriod
	{
		get => _lookbackPeriod.Value;
		set => _lookbackPeriod.Value = value;
	}

	/// <summary>
	/// Deviation multiplier for mean reversion detection.
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

	/// <summary>
	/// Cooldown bars between orders.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initializes a new instance of <see cref="HullMaSlopeMeanReversionStrategy"/>.
	/// </summary>
	public HullMaSlopeMeanReversionStrategy()
	{
		_hullPeriod = Param(nameof(HullPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Hull MA Period", "Hull Moving Average period", "Hull MA")
			.SetOptimize(5, 20, 1);

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Lookback period for slope statistics", "Strategy Parameters")
			.SetOptimize(10, 50, 5);

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 1.5m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Deviation multiplier for mean reversion detection", "Strategy Parameters")
			.SetOptimize(1m, 3m, 0.5m);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk Management");

		_cooldownBars = Param(nameof(CooldownBars), 1200)
			.SetRange(1, 5000)
			.SetDisplay("Cooldown Bars", "Bars to wait between orders", "Risk Management");

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

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_hullMa = null;
		_prevHullValue = default;
		_slopeHistory = new decimal[LookbackPeriod];
		_currentIndex = default;
		_filledCount = default;
		_cooldown = default;
		_isInitialized = default;
	}

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

		_hullMa = new HullMovingAverage { Length = HullPeriod };
		_slopeHistory = new decimal[LookbackPeriod];
		_currentIndex = 0;
		_filledCount = 0;
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(_hullMa, ProcessCandle)
			.Start();

		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _hullMa);
			DrawOwnTrades(area);
		}

		StartProtection(new(), new Unit(StopLossPercent, UnitTypes.Percent));
	}

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

		if (!_hullMa.IsFormed)
			return;

		if (!_isInitialized)
		{
			_prevHullValue = hullValue;
			_isInitialized = true;
			return;
		}

		if (_prevHullValue == 0)
			return;

		var slope = (hullValue - _prevHullValue) / _prevHullValue * 100m;
		_prevHullValue = hullValue;

		_slopeHistory[_currentIndex] = slope;
		_currentIndex = (_currentIndex + 1) % LookbackPeriod;

		if (_filledCount < LookbackPeriod)
			_filledCount++;

		if (_filledCount < LookbackPeriod)
			return;

		var avgSlope = 0m;
		var sumSq = 0m;

		for (var i = 0; i < LookbackPeriod; i++)
			avgSlope += _slopeHistory[i];

		avgSlope /= LookbackPeriod;

		for (var i = 0; i < LookbackPeriod; i++)
		{
			var diff = _slopeHistory[i] - avgSlope;
			sumSq += diff * diff;
		}

		var stdSlope = (decimal)Math.Sqrt((double)(sumSq / LookbackPeriod));

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (_cooldown > 0)
		{
			_cooldown--;
			return;
		}

		var highThreshold = avgSlope + stdSlope * DeviationMultiplier;
		var lowThreshold = avgSlope - stdSlope * DeviationMultiplier;

		if (Position == 0)
		{
			if (slope < lowThreshold)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (slope > highThreshold)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0 && slope >= avgSlope)
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && slope <= avgSlope)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}