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MH Hull Moving Average Based Trading

Стратегия прорыва на основе Hull Moving Average.

Стратегия сравнивает цену открытия со значениями уровней, рассчитанных по Hull Moving Average. Открывает длинные позиции при пробое верхнего уровня и короткие при пробое нижнего. Текущие позиции закрываются при противоположном пробое.

Детали

  • Условия входа: Положение цены относительно уровней Hull MA.
  • Длинные/Короткие: Оба направления.
  • Условия выхода: Противоположный пробой.
  • Стопы: Нет.
  • Значения по умолчанию:
    • HullPeriod = 210
    • CandleType = TimeSpan.FromMinutes(5)
  • Фильтры:
    • Категория: Тренд
    • Направление: Оба
    • Индикаторы: MA
    • Стопы: Нет
    • Сложность: Базовая
    • Таймфрейм: Внутридневной (5m)
    • Сезонность: Нет
    • Нейросети: Нет
    • Дивергенция: Нет
    • Уровень риска: Средний
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;
		}
	}
}