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Fib Hurst Ruptura

Fib Hurst Ruptura combina niveles de retroceso de Fibonacci del marco temporal diario con un filtro de exponente de Hurst. El cruce del precio por los niveles clave de Fibonacci en la dirección de la tendencia predominante activa las entradas, mientras que un stop del 2% y una relación riesgo-recompensa de 1:2 gestionan el riesgo.

Detalles

  • Criterios de entrada:
    • Largo: El cierre cruza por encima del nivel 61.8% y Hurst diario > 0.5
    • Corto: El cierre cruza por debajo del nivel 38.2% y Hurst diario < 0.5
  • Largo/Corto: Ambos
  • Criterios de salida: Stop-loss o take-profit
  • Stops: Sí
  • Valores predeterminados:
    • CandleType = TimeSpan.FromMinutes(15)
    • HurstPeriod = 50
    • MaxTradesPerDay = 5
    • MaxTotalTrades = 510
    • RiskPercent = 2m
    • RiskReward = 2m
  • Filtros:
    • Categoría: Ruptura
    • Dirección: Ambos
    • Indicadores: Hurst, Fibonacci
    • Stops: Sí
    • Complejidad: Intermedio
    • Marco temporal: Intradía
    • 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>
/// Fibonacci levels with Hurst exponent filter.
/// Uses rolling high/low for Fib levels and Hurst to detect trending.
/// Enters long when price crosses above 61.8% level and Hurst > 0.5.
/// Enters short when price crosses below 38.2% level and Hurst less than 0.5.
/// </summary>
public class FibHurstBreakoutStrategy : Strategy
{
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<int> _hurstPeriod;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<int> _cooldownBars;

	private readonly List<decimal> _highs = [];
	private readonly List<decimal> _lows = [];
	private decimal _prevClose;
	private int _cooldownRemaining;

	public DataType CandleType { get => _candleType.Value; set => _candleType.Value = value; }
	public int HurstPeriod { get => _hurstPeriod.Value; set => _hurstPeriod.Value = value; }
	public int LookbackPeriod { get => _lookbackPeriod.Value; set => _lookbackPeriod.Value = value; }
	public int CooldownBars { get => _cooldownBars.Value; set => _cooldownBars.Value = value; }

	public FibHurstBreakoutStrategy()
	{
		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).TimeFrame())
			.SetDisplay("Candle Type", "Type of candles for strategy", "Parameters");

		_hurstPeriod = Param(nameof(HurstPeriod), 50)
			.SetGreaterThanZero()
			.SetDisplay("Hurst Period", "Period for Hurst exponent", "Parameters");

		_lookbackPeriod = Param(nameof(LookbackPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Lookback Period", "Period for Fib level calculation", "Parameters");

		_cooldownBars = Param(nameof(CooldownBars), 10)
			.SetDisplay("Cooldown Bars", "Bars between trades", "Risk");
	}

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

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_highs.Clear();
		_lows.Clear();
		_prevClose = 0;
		_cooldownRemaining = 0;
	}

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

		var hurst = new HurstExponent { Length = HurstPeriod };

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

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Track rolling highs/lows for Fib levels
		_highs.Add(candle.HighPrice);
		_lows.Add(candle.LowPrice);

		if (_highs.Count > LookbackPeriod)
		{
			_highs.RemoveAt(0);
			_lows.RemoveAt(0);
		}

		if (_highs.Count < LookbackPeriod || _prevClose == 0)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		// Calculate Fibonacci levels from recent range
		decimal high = decimal.MinValue, low = decimal.MaxValue;
		for (var i = 0; i < _highs.Count; i++)
		{
			if (_highs[i] > high) high = _highs[i];
			if (_lows[i] < low) low = _lows[i];
		}

		var range = high - low;
		if (range <= 0)
		{
			_prevClose = candle.ClosePrice;
			return;
		}

		var fib382 = low + 0.382m * range;
		var fib618 = low + 0.618m * range;

		if (_cooldownRemaining > 0)
		{
			_cooldownRemaining--;
			_prevClose = candle.ClosePrice;
			return;
		}

		var crossUp = _prevClose <= fib618 && candle.ClosePrice > fib618;
		var crossDown = _prevClose >= fib382 && candle.ClosePrice < fib382;

		if (hurstValue > 0.5m && crossUp && Position <= 0)
		{
			if (Position < 0)
				BuyMarket(Math.Abs(Position));
			BuyMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}
		else if (hurstValue < 0.5m && crossDown && Position >= 0)
		{
			if (Position > 0)
				SellMarket(Math.Abs(Position));
			SellMarket(Volume);
			_cooldownRemaining = CooldownBars;
		}

		_prevClose = candle.ClosePrice;
	}
}