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HMA季节性背离策略

该策略将Hull移动平均线与季节性持仓聚合结合，用来发现价格与市场定位的背离。当价格短暂背离持仓上升的方向时，通常意味着趋势将继续。本系统可双向交易，通过HMA斜率评估动量，季节性持仓数据衡量参与度。

测试表明年均收益约为 40%，该策略在加密市场表现最佳。

当HMA发生变化并得到季节性持仓确认，但价格向相反方向运行时形成入场信号。这种多空背离常暗示短期回调结束。策略等待这些条件出现并根据波动率设置止损。

当HMA斜率反转时平仓。止损水平按平均真实波幅(ATR)的倍数计算，可随波动调整风险。

详情

  • 入场条件:
    • 多头: HMA(t) > HMA(t-1) 且 OI_Cluster_Seasonal(t) > OI_Cluster_Seasonal(t-1) 且 Price(t) < Price(t-1)（多头背离）
    • 空头: HMA(t) < HMA(t-1) 且 OI_Cluster_Seasonal(t) < OI_Cluster_Seasonal(t-1) 且 Price(t) > Price(t-1)（空头背离）
  • 多空方向: 双向
  • 退出条件:
    • 多头: HMA(t) < HMA(t-1)（HMA开始下降）
    • 空头: HMA(t) > HMA(t-1)（HMA开始上升）
  • 止损: 是，止损设置为 N * ATR
  • 默认值:
    • HMA period = 9
    • OI_Cluster_Seasonal = 五年聚合的季节性持仓
    • N = 2（止损 = 2 * ATR）
  • 过滤器:
    • 类型: 趋势跟随
    • 方向: 双向
    • 指标: 多个
    • 止损: 是
    • 复杂度: 复杂
    • 时间框架: 中期
    • 季节性: 是
    • 神经网络: 是
    • 背离: 是
    • 风险等级: 高
namespace StockSharp.Samples.Strategies;

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;

/// <summary>
/// Moving average crossover strategy.
/// Enters long when fast MA crosses above slow MA.
/// Enters short when fast MA crosses below slow MA.
/// Implements stop-loss as a percentage of entry price.
/// </summary>
public class MaCrossoverStrategy : Strategy
{
	private readonly StrategyParam<int> _fastLength;
	private readonly StrategyParam<int> _slowLength;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _entryPrice;
	private bool _isLongPosition;

	/// <summary>
	/// Fast MA period length.
	/// </summary>
	public int FastLength
	{
		get => _fastLength.Value;
		set => _fastLength.Value = value;
	}

	/// <summary>
	/// Slow MA period length.
	/// </summary>
	public int SlowLength
	{
		get => _slowLength.Value;
		set => _slowLength.Value = value;
	}

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

	/// <summary>
	/// The type of candles to use for strategy calculation.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public MaCrossoverStrategy()
	{
		_fastLength = Param(nameof(FastLength), 100)
			.SetGreaterThanZero()
			.SetDisplay("Fast MA Length", "Period of the fast moving average", "MA Settings")

			.SetOptimize(5, 20, 5);

		_slowLength = Param(nameof(SlowLength), 400)
			.SetGreaterThanZero()
			.SetDisplay("Slow MA Length", "Period of the slow moving average", "MA Settings")

			.SetOptimize(20, 100, 10);

		_stopLossPercent = Param(nameof(StopLossPercent), 2.0m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management")

			.SetOptimize(1.0m, 5.0m, 1.0m);

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(1).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();
		// Initialize variables
		_entryPrice = 0;
		_isLongPosition = false;

	}

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

		// Create indicators
		var fastMa = new ExponentialMovingAverage { Length = FastLength };
		var slowMa = new ExponentialMovingAverage { Length = SlowLength };

		// Create and setup subscription for candles
		var subscription = SubscribeCandles(CandleType);
		
		// Previous values for crossover detection
		var previousFastValue = 0m;
		var previousSlowValue = 0m;
		var wasFastLessThanSlow = false;
		var isInitialized = false;
		
		subscription
			.Bind(fastMa, slowMa, (candle, fastValue, slowValue) =>
			{
				// Skip unfinished candles
				if (candle.State != CandleStates.Finished)
					return;

				// Check if strategy is ready to trade
				if (!IsFormedAndOnlineAndAllowTrading())
					return;
					
				// Initialize on first complete values
				if (!isInitialized && fastMa.IsFormed && slowMa.IsFormed)
				{
					previousFastValue = fastValue;
					previousSlowValue = slowValue;
					wasFastLessThanSlow = fastValue < slowValue;
					isInitialized = true;
					LogInfo($"Strategy initialized. Fast MA: {fastValue}, Slow MA: {slowValue}");
					return;
				}
				
				if (!isInitialized)
					return;

				// Current crossover state
				var isFastLessThanSlow = fastValue < slowValue;
				
				LogInfo($"Candle: {candle.OpenTime}, Close: {candle.ClosePrice}, Fast MA: {fastValue}, Slow MA: {slowValue}");
				
				// Check for crossovers
				if (wasFastLessThanSlow != isFastLessThanSlow)
				{
					// Crossover happened
					if (!isFastLessThanSlow) // Fast MA crossed above Slow MA
					{
						// Buy signal
						if (Position <= 0)
						{
							_entryPrice = candle.ClosePrice;
							_isLongPosition = true;
							BuyMarket(Volume + Math.Abs(Position));
						}
					}
					else // Fast MA crossed below Slow MA
					{
						// Sell signal
						if (Position >= 0)
						{
							_entryPrice = candle.ClosePrice;
							_isLongPosition = false;
							SellMarket(Volume + Math.Abs(Position));
						}
					}

					// Update the crossover state
					wasFastLessThanSlow = isFastLessThanSlow;
				}
				
				// Update previous values
				previousFastValue = fastValue;
				previousSlowValue = slowValue;
			})
			.Start();

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

	private void CheckStopLoss(decimal currentPrice)
	{
		if (_entryPrice == 0)
			return;

		var stopLossThreshold = _stopLossPercent.Value / 100.0m;
		
		if (_isLongPosition && Position > 0)
		{
			// For long positions, exit if price falls below entry price - stop percentage
			var stopPrice = _entryPrice * (1.0m - stopLossThreshold);
			if (currentPrice <= stopPrice)
			{
				SellMarket(Math.Abs(Position));
				LogInfo($"Long stop-loss triggered at {currentPrice}. Entry was {_entryPrice}, Stop level: {stopPrice}");
			}
		}
		else if (!_isLongPosition && Position < 0)
		{
			// For short positions, exit if price rises above entry price + stop percentage
			var stopPrice = _entryPrice * (1.0m + stopLossThreshold);
			if (currentPrice >= stopPrice)
			{
				BuyMarket(Math.Abs(Position));
				LogInfo($"Short stop-loss triggered at {currentPrice}. Entry was {_entryPrice}, Stop level: {stopPrice}");
			}
		}
	}
}