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Hull MA 傾斜ブレイクアウト戦略

Hull MA 傾斜ブレイクアウト戦略は、Hull の変化率を追跡します。異常に急な傾斜は、新しいトレンドが形成されつつあることを示唆します。

テストでは年平均リターン約121%を示しています。暗号通貨市場で最もよく機能します。

傾斜が標準偏差の倍数によって典型的なレベルを超えると、加速の方向にトレードが行われ、保護ストップが付きます。

早期のトレンド参入を望む積極的なトレーダーに向いています。傾斜が正常な値に戻るとポジションは終了します。デフォルト HullLength = 9。

詳細

  • エントリー条件: インジケーターが偏差乗数分だけ平均を上回る。
  • ロング/ショート: 両方向。
  • エグジット条件: インジケーターが平均に戻る。
  • ストップ: はい。
  • デフォルト値:
    • HullLength = 9
    • LookbackPeriod = 20
    • DeviationMultiplier = 2m
    • StopLoss = new Unit(2
    • CandleType = TimeSpan.FromMinutes(5)
  • フィルター:
    • カテゴリ: ブレイクアウト
    • 方向: 両方
    • インジケーター: Hull
    • ストップ: はい
    • 複雑さ: 中級
    • 時間軸: 短期
    • 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.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 based on Hull Moving Average Slope breakout
/// Enters positions when the slope of Hull MA exceeds average slope plus a multiple of standard deviation
/// </summary>
public class HullMaSlopeBreakoutStrategy : Strategy
{
	private readonly StrategyParam<int> _hullLength;
	private readonly StrategyParam<int> _lookbackPeriod;
	private readonly StrategyParam<decimal> _deviationMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<Unit> _stopLoss;

	private HullMovingAverage _hullMa;
	private AverageTrueRange _atr;
	
	private decimal _prevHullValue;
	private decimal _currentSlope;
	private decimal _avgSlope;
	private decimal _stdDevSlope;
	private decimal[] _slopes;
	private int _currentIndex;
	private bool _isInitialized;

	/// <summary>
	/// Hull Moving Average length
	/// </summary>
	public int HullLength
	{
		get => _hullLength.Value;
		set => _hullLength.Value = value;
	}

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

	/// <summary>
	/// Standard deviation multiplier for breakout detection
	/// </summary>
	public decimal DeviationMultiplier
	{
		get => _deviationMultiplier.Value;
		set => _deviationMultiplier.Value = value;
	}

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

	/// <summary>
	/// Stop loss value
	/// </summary>
	public Unit StopLoss
	{
		get => _stopLoss.Value;
		set => _stopLoss.Value = value;
	}

	/// <summary>
	/// Constructor
	/// </summary>
	public HullMaSlopeBreakoutStrategy()
	{
		_hullLength = Param(nameof(HullLength), 9)
			.SetGreaterThanZero()
			.SetDisplay("Hull MA Length", "Period for Hull Moving Average", "Indicator Parameters")
			
			.SetOptimize(5, 20, 1);

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

		_deviationMultiplier = Param(nameof(DeviationMultiplier), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Deviation Multiplier", "Standard deviation multiplier for breakout detection", "Strategy Parameters")
			
			.SetOptimize(1m, 3m, 0.5m);
			
		_stopLoss = Param(nameof(StopLoss), new Unit(2, UnitTypes.Absolute))
			.SetDisplay("Stop Loss", "Stop loss value in ATRs", "Risk Management");

		_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();
		_prevHullValue = 0;
		_currentSlope = 0;
		_avgSlope = 0;
		_stdDevSlope = 0;
		_currentIndex = 0;
		_isInitialized = false;
		_slopes = new decimal[LookbackPeriod];
	}

	/// <inheritdoc />
	protected override void OnStarted2(DateTime time)
	{
		_slopes = new decimal[LookbackPeriod];

		_hullMa = new HullMovingAverage { Length = HullLength };
		_atr = new AverageTrueRange { Length = 14 }; // ATR for stop-loss

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

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

		// Set up position protection
		StartProtection(
			takeProfit: null, // We'll handle exits via strategy logic
			stopLoss: StopLoss,
			isStopTrailing: false
		);

		base.OnStarted2(time);
	}

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

		// Check if indicator is formed
		if (!_hullMa.IsFormed)
			return;

		// Extract Hull MA value
		decimal currentHullValue = hullValue;
		
		// Calculate the slope
		if (!_isInitialized)
		{
			_prevHullValue = currentHullValue;
			_isInitialized = true;
			return;
		}
		
		// Calculate current slope (simple difference for now)
		_currentSlope = currentHullValue - _prevHullValue;

		if (_slopes is null || _slopes.Length != LookbackPeriod)
		{
			_slopes = new decimal[LookbackPeriod];
			_currentIndex = 0;
			_prevHullValue = currentHullValue;
			return;
		}
		
		// Store slope in array and update index
		_slopes[_currentIndex] = _currentSlope;
		_currentIndex = (_currentIndex + 1) % _slopes.Length;
		
		// Calculate statistics once we have enough data
		if (!IsFormedAndOnlineAndAllowTrading())
			return;
			
		CalculateStatistics();
		
		// Trading logic
		if (Math.Abs(_avgSlope) > 0)  // Avoid division by zero
		{
			// Long signal: slope exceeds average + k*stddev (slope is positive and we don't have a long position)
			if (_currentSlope > 0 && 
				_currentSlope > _avgSlope + DeviationMultiplier * _stdDevSlope && 
				Position <= 0)
			{
				// Cancel existing orders
				CancelActiveOrders();
				
				// Enter long position
				var volume = Volume + Math.Abs(Position);
				BuyMarket(volume);
				
				LogInfo($"Long signal: Slope {_currentSlope} > Avg {_avgSlope} + {DeviationMultiplier}*StdDev {_stdDevSlope}");
			}
			// Short signal: slope exceeds average + k*stddev in negative direction (slope is negative and we don't have a short position)
			else if (_currentSlope < 0 && 
					 _currentSlope < _avgSlope - DeviationMultiplier * _stdDevSlope && 
					 Position >= 0)
			{
				// Cancel existing orders
				CancelActiveOrders();
				
				// Enter short position
				var volume = Volume + Math.Abs(Position);
				SellMarket(volume);
				
				LogInfo($"Short signal: Slope {_currentSlope} < Avg {_avgSlope} - {DeviationMultiplier}*StdDev {_stdDevSlope}");
			}
			
			// Exit conditions - when slope returns to average
			if (Position > 0 && _currentSlope < _avgSlope)
			{
				// Exit long position
				SellMarket(Math.Abs(Position));
				LogInfo($"Exit long: Slope {_currentSlope} < Avg {_avgSlope}");
			}
			else if (Position < 0 && _currentSlope > _avgSlope)
			{
				// Exit short position
				BuyMarket(Math.Abs(Position));
				LogInfo($"Exit short: Slope {_currentSlope} > Avg {_avgSlope}");
			}
		}
		
		// Store current Hull MA value for next slope calculation
		_prevHullValue = currentHullValue;
	}
	
	private void CalculateStatistics()
	{
		var period = _slopes?.Length ?? 0;
		if (period <= 0)
			return;

		// Reset statistics
		_avgSlope = 0;
		decimal sumSquaredDiffs = 0;
		
		// Calculate average
		for (int i = 0; i < period; i++)
		{
			_avgSlope += _slopes[i];
		}
		_avgSlope /= period;
		
		// Calculate standard deviation
		for (int i = 0; i < period; i++)
		{
			decimal diff = _slopes[i] - _avgSlope;
			sumSquaredDiffs += diff * diff;
		}
		
		_stdDevSlope = (decimal)Math.Sqrt((double)(sumSquaredDiffs / period));
	}
}