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Hull MA CCI Strategy

该策略结合Hull移动平均线和CCI指标。当HMA上升且CCI < -100时做多；当HMA下降且CCI > 100时做空，分别表示超卖与超买的趋势。

测试表明年均收益约为 52%，该策略在加密市场表现最佳。

适合在混合市场中寻找机会的交易者。

细节

  • 入场条件:
    • 多头: HMA(t) > HMA(t-1) && CCI < -100
    • 空头: HMA(t) < HMA(t-1) && CCI > 100
  • 多/空: 双向
  • 离场条件:
    • 多头: 当HMA开始下跌时平仓
    • 空头: 当HMA开始上升时平仓
  • 止损: 是
  • 默认值:
    • HullPeriod = 9
    • CciPeriod = 20
    • AtrPeriod = 14
    • AtrMultiplier = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Mixed
    • 方向: 双向
    • 指标: Hull MA CCI
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内
    • 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;

namespace StockSharp.Samples.Strategies;

/// <summary>
/// Strategy based on Hull Moving Average and CCI indicators
/// </summary>
public class HullMaCciStrategy : Strategy
{
	private readonly StrategyParam<int> _hullPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<int> _cooldownBars;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _previousHullValue;
	private decimal _previousCciValue;
	private int _cooldown;

	/// <summary>
	/// Hull MA period
	/// </summary>
	public int HullPeriod
	{
		get => _hullPeriod.Value;
		set => _hullPeriod.Value = value;
	}

	/// <summary>
	/// CCI period
	/// </summary>
	public int CciPeriod
	{
		get => _cciPeriod.Value;
		set => _cciPeriod.Value = value;
	}

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

	/// <summary>
	/// ATR period for stop-loss
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// ATR multiplier for stop-loss
	/// </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>
	/// Constructor
	/// </summary>
	public HullMaCciStrategy()
	{
		_hullPeriod = Param(nameof(HullPeriod), 9)
			.SetRange(5, 20)
			.SetDisplay("Hull MA Period", "Period for Hull Moving Average", "Indicators")
			;

		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetRange(10, 50)
			.SetDisplay("CCI Period", "Period for CCI indicator", "Indicators")
			;

		_cooldownBars = Param(nameof(CooldownBars), 100)
			.SetRange(1, 200)
			.SetDisplay("Cooldown Bars", "Bars between trades", "General");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetRange(7, 28)
			.SetDisplay("ATR Period", "ATR period for stop-loss calculation", "Risk Management")
			;

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetRange(1m, 4m)
			.SetDisplay("ATR Multiplier", "Multiplier for ATR-based stop-loss", "Risk Management")
			;

		_candleType = Param(nameof(CandleType), TimeSpan.FromMinutes(30).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();

		_previousHullValue = default;
		_previousCciValue = 0m;
		_cooldown = 0;
	}

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

		// Initialize indicators
		var hullMA = new ExponentialMovingAverage { Length = HullPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		// Create subscription and bind indicators
		var subscription = SubscribeCandles(CandleType);
		subscription
			.Bind(hullMA, cci, atr, ProcessIndicators)
			.Start();
		
		// Setup chart visualization if available
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, hullMA);
			DrawIndicator(area, cci);
			DrawOwnTrades(area);
		}
	}

	private void ProcessIndicators(ICandleMessage candle, decimal hullValue, decimal cciValue, decimal atrValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// Check if strategy is ready to trade
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		// Store previous Hull value for slope detection
		var previousHullValue = _previousHullValue;
		_previousHullValue = hullValue;
		var previousCciValue = _previousCciValue;
		_previousCciValue = cciValue;

		// Skip first candle until we have previous value
		if (previousHullValue == 0)
			return;

		// Trading logic:
		// Long: HMA(t) > HMA(t-1) && CCI < -100 (HMA rising with oversold conditions)
		// Short: HMA(t) < HMA(t-1) && CCI > 100 (HMA falling with overbought conditions)
		
		var hullSlope = hullValue > previousHullValue;
		var crossedUp = previousCciValue <= 100m && cciValue > 100m;
		var crossedDown = previousCciValue >= -100m && cciValue < -100m;

		if (_cooldown > 0)
			_cooldown--;

		if (_cooldown == 0 && hullSlope && crossedUp && Position <= 0)
		{
			var volume = Volume + Math.Abs(Position);
			BuyMarket(volume);
			_cooldown = CooldownBars;
		}
		else if (_cooldown == 0 && !hullSlope && crossedDown && Position >= 0)
		{
			var volume = Volume + Math.Abs(Position);
			SellMarket(volume);
			_cooldown = CooldownBars;
		}
		// Exit conditions based on HMA slope change
		else if (Position > 0 && !hullSlope && cciValue < 0m)
		{
			SellMarket(Position);
			_cooldown = CooldownBars;
		}
		else if (Position < 0 && hullSlope && cciValue > 0m)
		{
			BuyMarket(Math.Abs(Position));
			_cooldown = CooldownBars;
		}
	}
}