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Hull MA Volume Spike

The Hull MA Volume Spike strategy is built around Hull Moving Average with Volume Spike detection.

Testing indicates an average annual return of about 43%. It performs best in the stocks market.

Signals trigger when Spike confirms trend changes on intraday (5m) data. This makes the method suitable for active traders.

Stops rely on ATR multiples and factors like HmaPeriod, VolumeAvgPeriod. Adjust these defaults to balance risk and reward.

Details

  • Entry Criteria: see implementation for indicator conditions.
  • Long/Short: Both directions.
  • Exit Criteria: opposite signal or stop logic.
  • Stops: Yes, using indicator-based calculations.
  • Default Values:
    • HmaPeriod = 9
    • VolumeAvgPeriod = 20
    • VolumeThresholdFactor = 2.0m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • Filters:
    • Category: Trend following
    • Direction: Both
    • Indicators: Spike
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Intraday (5m)
    • Seasonality: No
    • Neural Networks: No
    • Divergence: No
    • Risk Level: Medium
using System;
using System.Collections.Generic;

using Ecng.Common;

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

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Trend-following strategy that requires a Hull moving average slope change to be confirmed by a volume spike.
/// </summary>
public class HullMaWithVolumeSpikeStrategy : Strategy
{
	private readonly StrategyParam<int> _hmaPeriod;
	private readonly StrategyParam<int> _volumeAvgPeriod;
	private readonly StrategyParam<decimal> _volumeThresholdFactor;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private HullMovingAverage _hma;
	private SimpleMovingAverage _volumeSma;
	private StandardDeviation _volumeStdDev;
	private decimal _prevHmaValue;
	private bool _isInitialized;
	private int _cooldown;

	/// <summary>
	/// Hull moving average period.
	/// </summary>
	public int HmaPeriod
	{
		get => _hmaPeriod.Value;
		set => _hmaPeriod.Value = value;
	}

	/// <summary>
	/// Period for volume statistics.
	/// </summary>
	public int VolumeAvgPeriod
	{
		get => _volumeAvgPeriod.Value;
		set => _volumeAvgPeriod.Value = value;
	}

	/// <summary>
	/// Multiplier applied to volume standard deviation.
	/// </summary>
	public decimal VolumeThresholdFactor
	{
		get => _volumeThresholdFactor.Value;
		set => _volumeThresholdFactor.Value = value;
	}

	/// <summary>
	/// Bars to wait after each order.
	/// </summary>
	public int CooldownBars
	{
		get => _cooldownBars.Value;
		set => _cooldownBars.Value = value;
	}

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

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

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public HullMaWithVolumeSpikeStrategy()
	{
		_hmaPeriod = Param(nameof(HmaPeriod), 9)
			.SetRange(2, 100)
			.SetDisplay("HMA Period", "Period for the Hull moving average", "Indicators");

		_volumeAvgPeriod = Param(nameof(VolumeAvgPeriod), 20)
			.SetRange(2, 100)
			.SetDisplay("Volume Avg Period", "Period for volume statistics", "Indicators");

		_volumeThresholdFactor = Param(nameof(VolumeThresholdFactor), 1.8m)
			.SetRange(0.1m, 10m)
			.SetDisplay("Volume Threshold Factor", "Multiplier for volume spike detection", "Signals");

		_cooldownBars = Param(nameof(CooldownBars), 72)
			.SetRange(1, 500)
			.SetDisplay("Cooldown Bars", "Bars to wait after each order", "Risk");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetRange(0.5m, 10m)
			.SetDisplay("Stop Loss %", "Stop loss percentage", "Risk");

		_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()
	{
		if (Security != null)
			yield return (Security, CandleType);
	}

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

		_hma = null;
		_volumeSma = null;
		_volumeStdDev = null;
		_prevHmaValue = 0m;
		_isInitialized = false;
		_cooldown = 0;
	}

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

		if (Security == null)
			throw new InvalidOperationException("Security is not specified.");

		_hma = new HullMovingAverage { Length = HmaPeriod };
		_volumeSma = new SimpleMovingAverage { Length = VolumeAvgPeriod };
		_volumeStdDev = new StandardDeviation { Length = VolumeAvgPeriod };
		_isInitialized = false;
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_hma, ProcessCandle)
			.Start();

		var area = CreateChartArea();

		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _hma);
			DrawOwnTrades(area);
		}

		StartProtection(new Unit(0, UnitTypes.Absolute), new Unit(StopLossPercent, UnitTypes.Percent), false);
	}

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

		var volumeAvgValue = _volumeSma.Process(candle.TotalVolume, candle.OpenTime, true).ToDecimal();
		var volumeStdDevValue = _volumeStdDev.Process(candle.TotalVolume, candle.OpenTime, true).ToDecimal();

		if (!_hma.IsFormed || !_volumeSma.IsFormed || !_volumeStdDev.IsFormed)
			return;

		if (ProcessState != ProcessStates.Started)
			return;

		if (!_isInitialized)
		{
			_prevHmaValue = hmaValue;
			_isInitialized = true;
			return;
		}

		if (_cooldown > 0)
		{
			_cooldown--;
			_prevHmaValue = hmaValue;
			return;
		}

		var isHmaRising = hmaValue > _prevHmaValue;
		var isHmaFalling = hmaValue < _prevHmaValue;
		var volumeThreshold = volumeAvgValue + VolumeThresholdFactor * volumeStdDevValue;
		var isVolumeSpiking = candle.TotalVolume >= volumeThreshold;

		if (Position == 0)
		{
			if (isHmaRising && isVolumeSpiking)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (isHmaFalling && isVolumeSpiking)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}
		}
		else if (Position > 0)
		{
			if (isHmaFalling)
			{
				SellMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}
		else if (Position < 0)
		{
			if (isHmaRising)
			{
				BuyMarket(Math.Abs(Position));
				_cooldown = CooldownBars;
			}
		}

		_prevHmaValue = hmaValue;
	}
}