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Стратегия Hull Suite – риск 1%, без SL/TP

Стратегия Hull Suite открывает длинные позиции, когда выбранная скользящая средняя Халла растёт по сравнению со значением два бара назад, и открывает короткие позиции, когда она падает. Стоп‑лоссы и тейк‑профиты не используются.

Детали

  • Условия входа:
    • Лонг: значение Hull больше, чем два бара назад.
    • Шорт: значение Hull меньше, чем два бара назад.
  • Лонг/Шорт: обе стороны.
  • Условия выхода: разворот позиции при противоположном сигнале.
  • Стопы: нет.
  • Значения по умолчанию:
    • HullLength = 55
    • Mode = Hma
  • Фильтры:
    • Категория: следование тренду
    • Направление: оба
    • Индикаторы: HMA, EHMA, THMA
    • Стопы: нет
    • Сложность: низкая
    • Таймфрейм: 5m
    • Сезонность: нет
    • Нейросети: нет
    • Дивергенции: нет
    • Уровень риска: низкий
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 Suite 1% risk, no SL/TP strategy. No stop loss or take profit is placed.
/// Computes the Hull-type average selected by Mode on the close: HMA = WMA(2*WMA(n/2) - WMA(n), sqrt(n)), EHMA is the same with
/// EMAs, and THMA = WMA(3*WMA(m/3) - WMA(m/2) - WMA(m), m) with m = HullLength / 2. The strategy goes long when the average is above
/// its value two bars ago and short when it is below, reversing an opposite position.
/// </summary>
public class HullSuite1RiskNoSlTpStrategy : Strategy
{
	/// <summary>
	/// Hull average variants.
	/// </summary>
	public enum HullModes
	{
		/// <summary>
		/// Hull moving average.
		/// </summary>
		Hma,

		/// <summary>
		/// Exponential Hull moving average.
		/// </summary>
		Ehma,

		/// <summary>
		/// Triple Hull moving average.
		/// </summary>
		Thma,
	}

	private readonly StrategyParam<int> _hullLength;
	private readonly StrategyParam<HullModes> _mode;
	private readonly StrategyParam<DataType> _candleType;

	private IIndicator _first;
	private IIndicator _second;
	private IIndicator _third;
	private IIndicator _smooth;
	private decimal? _prev1;
	private decimal? _prev2;

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

	/// <summary>
	/// Hull average variant.
	/// </summary>
	public HullModes Mode
	{
		get => _mode.Value;
		set => _mode.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HullSuite1RiskNoSlTpStrategy()
	{
		_hullLength = Param(nameof(HullLength), 55)
			.SetGreaterThanZero()
			.SetDisplay("Hull Length", "Hull average length", "Indicators");

		_mode = Param(nameof(Mode), HullModes.Hma)
			.SetDisplay("Mode", "Hull average variant", "Indicators");

		_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();
		_prev1 = null;
		_prev2 = null;
	}

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

		_prev1 = null;
		_prev2 = null;

		var length = HullLength;

		switch (Mode)
		{
			case HullModes.Ehma:
				_first = new ExponentialMovingAverage { Length = Math.Max(1, length / 2) };
				_second = new ExponentialMovingAverage { Length = length };
				_third = null;
				_smooth = new ExponentialMovingAverage { Length = Math.Max(1, (int)Math.Round(Math.Sqrt(length))) };
				break;

			case HullModes.Thma:
			{
				var half = Math.Max(1, length / 2);
				_first = new WeightedMovingAverage { Length = Math.Max(1, half / 3) };
				_second = new WeightedMovingAverage { Length = Math.Max(1, half / 2) };
				_third = new WeightedMovingAverage { Length = half };
				_smooth = new WeightedMovingAverage { Length = half };
				break;
			}

			default:
				_first = new WeightedMovingAverage { Length = Math.Max(1, length / 2) };
				_second = new WeightedMovingAverage { Length = length };
				_third = null;
				_smooth = new WeightedMovingAverage { Length = Math.Max(1, (int)Math.Round(Math.Sqrt(length))) };
				break;
		}

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

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

	private static decimal ProcessValue(IIndicator indicator, decimal input, DateTime time)
	{
		return indicator.Process(new DecimalIndicatorValue(indicator, input, time) { IsFinal = true }).GetValue<decimal>();
	}

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

		var close = candle.ClosePrice;
		var time = candle.OpenTime;

		var first = ProcessValue(_first, close, time);
		var second = ProcessValue(_second, close, time);
		var third = _third != null ? ProcessValue(_third, close, time) : 0m;

		if (!_first.IsFormed || !_second.IsFormed || (_third != null && !_third.IsFormed))
			return;

		var raw = _third != null
			? 3m * first - second - third
			: 2m * first - second;

		var ma = ProcessValue(_smooth, raw, time);
		if (!_smooth.IsFormed)
			return;

		var maTwoBarsAgo = _prev2;
		_prev2 = _prev1;
		_prev1 = ma;

		if (maTwoBarsAgo is not decimal older)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		if (ma > older && Position <= 0)
			BuyMarket(Volume + Math.Abs(Position));
		else if (ma < older && Position >= 0)
			SellMarket(Volume + Math.Abs(Position));
	}
}