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MH Hull Moving Average Based Trading

Hull Moving Average based breakout strategy.

The strategy compares the open price with dynamic levels derived from the Hull Moving Average. It enters long when price breaks above the upper level and short when it falls below the lower level. Existing positions are closed on opposite breakouts.

Details

  • Entry Criteria: Price relation to Hull Moving Average levels.
  • Long/Short: Both directions.
  • Exit Criteria: Opposite breakout.
  • Stops: No.
  • Default Values:
    • HullPeriod = 210
    • CandleType = TimeSpan.FromMinutes(5)
  • Filters:
    • Category: Trend
    • Direction: Both
    • Indicators: MA
    • Stops: No
    • Complexity: Basic
    • 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.Indicators;
using StockSharp.Algo.Strategies;
using StockSharp.BusinessEntities;
using StockSharp.Messages;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// HMA cross strategy with threshold and cooldown to reduce signal noise.
/// </summary>
public class MhHullMovingAverageBasedTradingStrategy : Strategy
{
	private readonly StrategyParam<int> _hullPeriod;
	private readonly StrategyParam<decimal> _signalThresholdPercent;
	private readonly StrategyParam<int> _signalCooldownBars;
	private readonly StrategyParam<DataType> _candleType;

	private HullMovingAverage _hma;
	private decimal _prevDiffPercent;
	private bool _hasPrevDiff;
	private int _barsFromSignal;

	/// <summary>
	/// Period for Hull Moving Average.
	/// </summary>
	public int HullPeriod
	{
		get => _hullPeriod.Value;
		set => _hullPeriod.Value = value;
	}

	/// <summary>
	/// Minimum price to HMA distance in percent required for a signal.
	/// </summary>
	public decimal SignalThresholdPercent
	{
		get => _signalThresholdPercent.Value;
		set => _signalThresholdPercent.Value = value;
	}

	/// <summary>
	/// Minimum bars between entries.
	/// </summary>
	public int SignalCooldownBars
	{
		get => _signalCooldownBars.Value;
		set => _signalCooldownBars.Value = value;
	}

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

	/// <summary>
	/// Initialize the strategy.
	/// </summary>
	public MhHullMovingAverageBasedTradingStrategy()
	{
		_hullPeriod = Param(nameof(HullPeriod), 120)
			.SetGreaterThanZero()
			.SetDisplay("Hull Period", "Period for Hull Moving Average", "Indicators");

		_signalThresholdPercent = Param(nameof(SignalThresholdPercent), 0.15m)
			.SetGreaterThanZero()
			.SetDisplay("Signal Threshold %", "Minimum distance from HMA", "Indicators");

		_signalCooldownBars = Param(nameof(SignalCooldownBars), 10)
			.SetGreaterThanZero()
			.SetDisplay("Signal Cooldown Bars", "Minimum bars between entries", "Indicators");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(15).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();
		_hma = null;
		_prevDiffPercent = 0m;
		_hasPrevDiff = false;
		_barsFromSignal = 0;
	}

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

		_hma = new HullMovingAverage { Length = HullPeriod };
		_prevDiffPercent = 0m;
		_hasPrevDiff = false;
		_barsFromSignal = SignalCooldownBars;

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

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

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (!_hma.IsFormed)
			return;

		var price = candle.ClosePrice;
		if (price <= 0m)
			return;

		var diffPercent = (price - hmaValue) / price * 100m;
		var threshold = SignalThresholdPercent;
		var crossedUp = _hasPrevDiff && _prevDiffPercent <= threshold && diffPercent > threshold;
		var crossedDown = _hasPrevDiff && _prevDiffPercent >= -threshold && diffPercent < -threshold;

		_prevDiffPercent = diffPercent;
		_hasPrevDiff = true;

		_barsFromSignal++;
		if (_barsFromSignal < SignalCooldownBars)
			return;

		if (crossedUp && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_barsFromSignal = 0;
		}
		else if (crossedDown && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_barsFromSignal = 0;
		}
	}
}