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Hull Ma Adx Strategy

策略结合Hull移动平均线与ADX。当HMA向上且ADX>25时做多；当HMA向下且ADX>25时做空。ADX降到20以下表明趋势减弱，此时离场。

测试表明年均收益约为 178%，该策略在股票市场表现最佳。

Hull MA展示趋势方向，ADX确认强度。只有当Hull斜率与ADX一致时才入场。适合关注平滑趋势并需要确认的交易者，止损基于ATR倍数。

细节

  • 入场条件:
    • 多头: HullMA turning up && ADX > 25
    • 空头: HullMA turning down && ADX > 25
  • 多/空: 双向
  • 离场条件: Hull MA反转
  • 止损: ATR倍数，使用 AtrMultiplier
  • 默认值:
    • HmaPeriod = 9
    • AdxPeriod = 14
    • AtrMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(15).TimeFrame()
  • 过滤器:
    • 类别: Trend
    • 方向: 双向
    • 指标: Hull MA, Moving Average, ADX
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 中期
    • 季节性: 否
    • 神经网络: 否
    • 背离: 否
    • 风险等级: 中等
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;

using StockSharp.Algo;
using StockSharp.Algo.Candles;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Hull Moving Average and ADX.
/// Enters long when HMA increases and ADX > 25 (strong trend).
/// Enters short when HMA decreases and ADX > 25 (strong trend).
/// Exits when ADX < 20 (weakening trend).
/// </summary>
public class HullMaAdxStrategy : Strategy
{
	private readonly StrategyParam<int> _hmaPeriod;
	private readonly StrategyParam<int> _adxPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;
	private readonly StrategyParam<decimal> _stopLossPercent;

	private HullMovingAverage _hma;
	private AverageDirectionalIndex _adx;
	private AverageTrueRange _atr;

	private decimal _prevHmaValue;
	private decimal _prevAdxValue;
	private int _cooldown;
	private bool _hasPrevSlope;
	private bool _prevSlopeUp;

	/// <summary>
	/// Hull Moving Average period.
	/// </summary>
	public int HmaPeriod
	{
		get => _hmaPeriod.Value;
		set => _hmaPeriod.Value = value;
	}

	/// <summary>
	/// ADX indicator period.
	/// </summary>
	public int AdxPeriod
	{
		get => _adxPeriod.Value;
		set => _adxPeriod.Value = value;
	}

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

	/// <summary>
	/// ATR multiplier for stop loss calculation.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

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

	/// <summary>
	/// Initializes a new instance of the <see cref="HullMaAdxStrategy"/>.
	/// </summary>
	public HullMaAdxStrategy()
	{
		_hmaPeriod = Param(nameof(HmaPeriod), 9)
			.SetDisplay("HMA Period", "Period for Hull Moving Average calculation", "Indicators")
			
			.SetOptimize(5, 15, 2);

		_adxPeriod = Param(nameof(AdxPeriod), 14)
			.SetDisplay("ADX Period", "Period for Average Directional Movement Index", "Indicators")
			
			.SetOptimize(10, 20, 2);

		_cooldownBars = Param(nameof(CooldownBars), 80)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetDisplay("ATR Multiplier", "ATR multiplier for stop loss calculation", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(5).TimeFrame())
			.SetDisplay("Candle Type", "Timeframe of data for strategy", "General");

		_stopLossPercent = Param(nameof(StopLossPercent), 1.0m)
			.SetNotNegative()
			.SetDisplay("Stop Loss %", "Stop loss percentage from entry price", "Risk Management")
			
			.SetOptimize(0.5m, 2.0m, 0.5m);
	}

	/// <inheritdoc />
	public override IEnumerable<(Security, DataType)> GetWorkingSecurities()
	{
		return [(Security, CandleType)];
	}

	/// <inheritdoc />
	protected override void OnReseted()
	{
		base.OnReseted();

		_hma?.Reset();
		_adx?.Reset();
		_atr?.Reset();

		_prevHmaValue = 0;
		_prevAdxValue = 0;
		_cooldown = 0;
		_hasPrevSlope = false;
		_prevSlopeUp = false;
	}

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

		// Create indicators
		_hma = new() { Length = HmaPeriod };
		_adx = new() { Length = AdxPeriod };
		_atr = new() { Length = 14 };

		// Create subscription
		var subscription = SubscribeCandles(CandleType);

		// Process candles with indicators
		subscription
				.BindEx(_hma, _adx, _atr, ProcessCandle)
				.Start();

		// Setup chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, _hma);
			DrawOwnTrades(area);

			// ADX in separate area
			var adxArea = CreateChartArea();
			if (adxArea != null)
			{
				DrawIndicator(adxArea, _adx);
			}
		}

	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue hmaValue, IIndicatorValue adxValue, IIndicatorValue atrValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		var typedAdx = (AverageDirectionalIndexValue)adxValue;

		if (typedAdx.MovingAverage is not decimal adx)
			return;

		var hma = hmaValue.ToDecimal();

		// Detect HMA direction
		bool hmaIncreasing = hma > _prevHmaValue;
		bool hmaDecreasing = hma < _prevHmaValue;
		if (!_hasPrevSlope)
		{
			_hasPrevSlope = true;
			_prevSlopeUp = hmaIncreasing;
		}

		if (_cooldown > 0)
			_cooldown--;

		var slopeTurnedUp = !_prevSlopeUp && hmaIncreasing;
		var slopeTurnedDown = _prevSlopeUp && hmaDecreasing;

		// Trading logic
		if (_cooldown == 0 && slopeTurnedUp && Position <= 0)
		{
			BuyMarket();
			_cooldown = CooldownBars;
		}
		else if (_cooldown == 0 && slopeTurnedDown && Position >= 0)
		{
			SellMarket();
			_cooldown = CooldownBars;
		}
		else if (Position != 0 && (slopeTurnedUp || slopeTurnedDown))
		{
			if (Position > 0)
				SellMarket();
			else
				BuyMarket();
			_cooldown = CooldownBars;
		}

		// Store current values for next candle
		_prevHmaValue = hma;
		_prevAdxValue = adx;
		_prevSlopeUp = hmaIncreasing;
	}
}