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Hurst Exponent Volatility Filter

The Hurst Exponent Volatility Filter strategy uses the Hurst alongside volatility filters. It enters trades only when specified conditions align.

Testing indicates an average annual return of about 163%. It performs best in the stocks market.

Signals require the indicator to surpass a threshold while volatility meets predefined criteria. Positions can be long or short with built-in stops.

Designed for traders who value risk control, the strategy exits as soon as the indicator mean reverts or volatility shifts. Initial setting HurstPeriod = 100.

Details

  • Entry Criteria: Indicator crosses back toward mean.
  • Long/Short: Both directions.
  • Exit Criteria: Indicator reverts to average.
  • Stops: Yes.
  • Default Values:
    • HurstPeriod = 100
    • MAPeriod = 20
    • ATRPeriod = 14
    • StopLoss = 2.0m
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Mean Reversion
    • Direction: Both
    • Indicators: Hurst
    • Stops: Yes
    • Complexity: Intermediate
    • Timeframe: Short-term
    • 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>
/// Mean-reversion strategy that enters only when Hurst indicates anti-persistent behavior and ATR confirms a quiet regime.
/// </summary>
public class HurstVolatilityFilterStrategy : Strategy
{
	private readonly StrategyParam<int> _hurstPeriod;
	private readonly StrategyParam<int> _maPeriod;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _hurstThreshold;
	private readonly StrategyParam<decimal> _deviationAtrMultiplier;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _sma;
	private AverageTrueRange _atr;
	private HurstExponent _hurstExponent;
	private SimpleMovingAverage _atrAverage;
	private int _cooldown;

	/// <summary>
	/// Period for Hurst exponent calculation.
	/// </summary>
	public int HurstPeriod
	{
		get => _hurstPeriod.Value;
		set => _hurstPeriod.Value = value;
	}

	/// <summary>
	/// Period for moving average calculation.
	/// </summary>
	public int MAPeriod
	{
		get => _maPeriod.Value;
		set => _maPeriod.Value = value;
	}

	/// <summary>
	/// Period for ATR calculation.
	/// </summary>
	public int ATRPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Maximum Hurst value allowed for entries.
	/// </summary>
	public decimal HurstThreshold
	{
		get => _hurstThreshold.Value;
		set => _hurstThreshold.Value = value;
	}

	/// <summary>
	/// ATR multiple required for deviation from the moving average.
	/// </summary>
	public decimal DeviationAtrMultiplier
	{
		get => _deviationAtrMultiplier.Value;
		set => _deviationAtrMultiplier.Value = value;
	}

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

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

	/// <summary>
	/// Candle series used for calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Initializes strategy parameters.
	/// </summary>
	public HurstVolatilityFilterStrategy()
	{
		_hurstPeriod = Param(nameof(HurstPeriod), 80)
			.SetRange(20, 200)
			.SetDisplay("Hurst Period", "Period for the Hurst exponent", "Indicators");

		_maPeriod = Param(nameof(MAPeriod), 20)
			.SetRange(5, 100)
			.SetDisplay("MA Period", "Period for the moving average", "Indicators");

		_atrPeriod = Param(nameof(ATRPeriod), 14)
			.SetRange(5, 50)
			.SetDisplay("ATR Period", "Period for the ATR", "Indicators");

		_hurstThreshold = Param(nameof(HurstThreshold), 0.7m)
			.SetRange(-1m, 1m)
			.SetDisplay("Hurst Threshold", "Maximum Hurst value allowed for entries", "Signals");

		_deviationAtrMultiplier = Param(nameof(DeviationAtrMultiplier), 0.5m)
			.SetRange(0.1m, 5m)
			.SetDisplay("Deviation ATR", "Minimum ATR multiple required for entry", "Signals");

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

		_cooldownBars = Param(nameof(CooldownBars), 90)
			.SetRange(1, 500)
			.SetDisplay("Cooldown Bars", "Bars to wait after each order", "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();

		_sma = null;
		_atr = null;
		_hurstExponent = null;
		_atrAverage = null;
		_cooldown = 0;
	}

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

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

		_sma = new SimpleMovingAverage { Length = MAPeriod };
		_atr = new AverageTrueRange { Length = ATRPeriod };
		_hurstExponent = new HurstExponent { Length = HurstPeriod };
		_atrAverage = new SimpleMovingAverage { Length = Math.Max(ATRPeriod * 2, 10) };
		_cooldown = 0;

		var subscription = SubscribeCandles(CandleType);

		subscription
			.Bind(_sma, _atr, _hurstExponent, ProcessCandle)
			.Start();

		var area = CreateChartArea();

		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _sma);
			DrawIndicator(area, _atr);
			DrawIndicator(area, _hurstExponent);
			DrawOwnTrades(area);
		}

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

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

		var atrAverageValue = _atrAverage.Process(atrValue, candle.OpenTime, true).ToDecimal();

		if (!_sma.IsFormed || !_atr.IsFormed || !_hurstExponent.IsFormed || !_atrAverage.IsFormed)
			return;

		if (ProcessState != ProcessStates.Started)
			return;

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

		var price = candle.ClosePrice;
		var deviation = price - smaValue;
		var requiredDeviation = atrValue * DeviationAtrMultiplier;
		var isMeanReversionRegime = hurstValue <= HurstThreshold;
		var isQuietVolatility = atrValue <= atrAverageValue * 1.5m;

		if (Position == 0)
		{
			if (!isMeanReversionRegime || !isQuietVolatility)
				return;

			if (deviation <= -requiredDeviation)
			{
				BuyMarket();
				_cooldown = CooldownBars;
			}
			else if (deviation >= requiredDeviation)
			{
				SellMarket();
				_cooldown = CooldownBars;
			}

			return;
		}

		if (Position > 0 && (price >= smaValue || deviation >= -atrValue * 0.2m || !isMeanReversionRegime))
		{
			SellMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && (price <= smaValue || deviation <= atrValue * 0.2m || !isMeanReversionRegime))
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}