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Hull Ma Stochastic 戦略

Hull Moving Average + Stochastic Oscillator 戦略。HMA のトレンド方向が変化し、Stochastic が売られすぎ/買われすぎ条件を確認した際に参入します。

テストでは年平均収益率は約 94% を示しています。株式市場で最もパフォーマンスが優れています。

Hull MA はトレンドの方向を素早く示します。Stochastic はそのトレンド内の押し目またはラリーを待ってトレードを引き起こします。

滑らかなシグナルを求めるトレーダーに柔軟なアプローチです。ATR ベースのストップが潜在的な損失を抑えます。

詳細

  • エントリー条件:
    • ロング: HullMA turning up && StochK < StochOversold
    • ショート: HullMA turning down && StochK > StochOverbought
  • ロング/ショート: 両方
  • エグジット条件:
    • Hull MA の方向転換
  • ストップ: StopLossAtr を使用した ATR ベース
  • デフォルト値:
    • HmaPeriod = 9
    • StochPeriod = 14
    • StochK = 3
    • StochOversold = 20
    • StochOverbought = 80
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
    • StopLossAtr = 2
    • AtrPeriod = 14 HMAは下落の後に上昇すると上向きに転じ、上昇の後に下落すると下向きに転じます。ロングはHMAの下落で、ショートは上昇で決済します。%KはStochPeriod本のストキャスティクスをStochK本で平滑化した値で、%Dは関与しません。ストップはエントリー時の終値からStopLossAtr倍のATR（AtrPeriod）の位置にあり、足の終値で判定します。 保有ポジションと逆方向のエントリーシグナルはドテンになります。
  • フィルター:
    • カテゴリ: 平均回帰
    • 方向: 両方
    • インジケーター: Hull MA, Moving Average, Stochastic Oscillator
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 中期
    • 季節性: いいえ
    • ニューラルネットワーク: いいえ
    • ダイバージェンス: いいえ
    • リスクレベル: 中
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 MA Stochastic strategy.
/// The Hull average turns up when it rises after falling and turns down when it falls after rising. A turn up with %K below StochOversold
/// goes long and a turn down with %K above StochOverbought goes short, reversing an opposite position. A long closes when the Hull average
/// falls and a short when it rises. %K is the stochastic over StochPeriod candles
/// smoothed over StochK candles. The stop lies StopLossAtr ATR from the entry close and is checked on candle closes.
/// </summary>
public class HullMaStochasticStrategy : Strategy
{
	private readonly StrategyParam<int> _hmaPeriod;
	private readonly StrategyParam<int> _stochPeriod;
	private readonly StrategyParam<int> _stochK;
	private readonly StrategyParam<decimal> _stochOversold;
	private readonly StrategyParam<decimal> _stochOverbought;
	private readonly StrategyParam<decimal> _stopLossAtr;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevHull;
	private decimal? _prevPrevHull;
	private decimal _stopPrice;

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

	/// <summary>
	/// Lookback period of the raw stochastic.
	/// </summary>
	public int StochPeriod
	{
		get => _stochPeriod.Value;
		set => _stochPeriod.Value = value;
	}

	/// <summary>
	/// Smoothing period of %K.
	/// </summary>
	public int StochK
	{
		get => _stochK.Value;
		set => _stochK.Value = value;
	}

	/// <summary>
	/// %K level for longs.
	/// </summary>
	public decimal StochOversold
	{
		get => _stochOversold.Value;
		set => _stochOversold.Value = value;
	}

	/// <summary>
	/// %K level for shorts.
	/// </summary>
	public decimal StochOverbought
	{
		get => _stochOverbought.Value;
		set => _stochOverbought.Value = value;
	}

	/// <summary>
	/// Stop distance from the entry in ATRs.
	/// </summary>
	public decimal StopLossAtr
	{
		get => _stopLossAtr.Value;
		set => _stopLossAtr.Value = value;
	}

	/// <summary>
	/// Period of the stop ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HullMaStochasticStrategy()
	{
		_hmaPeriod = Param(nameof(HmaPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("HMA Period", "Period of the Hull moving average", "Indicators");

		_stochPeriod = Param(nameof(StochPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic Period", "Lookback period of the raw stochastic", "Stochastic");

		_stochK = Param(nameof(StochK), 3)
			.SetGreaterThanZero()
			.SetDisplay("Stochastic %K", "Smoothing period of %K", "Stochastic");

		_stochOversold = Param(nameof(StochOversold), 20m)
			.SetDisplay("Stochastic Oversold", "%K level for longs", "Stochastic");

		_stochOverbought = Param(nameof(StochOverbought), 80m)
			.SetDisplay("Stochastic Overbought", "%K level for shorts", "Stochastic");

		_stopLossAtr = Param(nameof(StopLossAtr), 2m)
			.SetNotNegative()
			.SetDisplay("Stop Loss ATR", "Stop distance from the entry in ATRs", "Risk");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of the stop ATR", "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()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();
		_prevHull = null;
		_prevPrevHull = null;
		_stopPrice = default;
	}

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

		_prevHull = null;
		_prevPrevHull = null;
		_stopPrice = default;

		var hull = new HullMovingAverage { Length = HmaPeriod };
		// The D line of the core oscillator is the smoothed %K.
		var stochastic = new StochasticOscillator
		{
			K = { Length = StochPeriod },
			D = { Length = StochK },
		};
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(hull, stochastic, atr, ProcessCandle)
			.Start();

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, stochastic);
			}
		}
	}

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

		if (!hullValue.IsFormed || !stochasticValue.IsFormed || !atrValue.IsFormed)
			return;

		if (stochasticValue is not IStochasticOscillatorValue { D: decimal k })
			return;

		var hull = hullValue.GetValue<decimal>();
		var prevHull = _prevHull;
		var prevPrevHull = _prevPrevHull;
		_prevPrevHull = prevHull;
		_prevHull = hull;

		if (prevHull is not decimal last || prevPrevHull is not decimal beforeLast)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var atr = atrValue.GetValue<decimal>();
		var close = candle.ClosePrice;
		var rising = hull > last;
		var falling = hull < last;
		var turnsUp = rising && last < beforeLast;
		var turnsDown = falling && last > beforeLast;

		if (turnsUp && k < StochOversold && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - StopLossAtr * atr;
		}
		else if (turnsDown && k > StochOverbought && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + StopLossAtr * atr;
		}
		else if (Position > 0 && (falling || (StopLossAtr > 0 && close <= _stopPrice)))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (rising || (StopLossAtr > 0 && close >= _stopPrice)))
		{
			BuyMarket(-Position);
		}
	}
}