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Hull MA CCI 策略

该策略结合Hull移动平均线和CCI指标。当HMA上升且CCI < CciOversold时做多；当HMA下降且CCI > CciOverbought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 < CciOversold
    • 空头: HMA(t) < HMA(t-1) && CCI > CciOverbought
  • 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
    • CciOversold = -100
    • CciOverbought = 100
    • AtrPeriod = 14
    • AtrMultiplier = 2 -100和100是规则中CCI阈值的默认值。止损距入场收盘价AtrMultiplier倍AtrPeriod周期ATR，按K线收盘检查；设为0则关闭。与持仓方向相反的入场信号会反转持仓。
    • 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.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 MA CCI strategy.
/// A rising HullPeriod Hull moving average with CCI below CciOversold goes long and a falling one with CCI above CciOverbought goes short,
/// reversing an opposite position. A long closes once the Hull MA starts falling and a short once it starts rising. The stop lies
/// AtrMultiplier ATR from the entry close and is checked on candle closes.
/// </summary>
public class HullMaCciStrategy : Strategy
{
	private readonly StrategyParam<int> _hullPeriod;
	private readonly StrategyParam<int> _cciPeriod;
	private readonly StrategyParam<decimal> _cciOversold;
	private readonly StrategyParam<decimal> _cciOverbought;
	private readonly StrategyParam<int> _atrPeriod;
	private readonly StrategyParam<decimal> _atrMultiplier;
	private readonly StrategyParam<DataType> _candleType;

	private decimal? _prevHull;
	private decimal _stopPrice;

	/// <summary>
	/// Period of the Hull moving average.
	/// </summary>
	public int HullPeriod
	{
		get => _hullPeriod.Value;
		set => _hullPeriod.Value = value;
	}

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

	/// <summary>
	/// CCI level for longs.
	/// </summary>
	public decimal CciOversold
	{
		get => _cciOversold.Value;
		set => _cciOversold.Value = value;
	}

	/// <summary>
	/// CCI level for shorts.
	/// </summary>
	public decimal CciOverbought
	{
		get => _cciOverbought.Value;
		set => _cciOverbought.Value = value;
	}

	/// <summary>
	/// Period of the stop ATR.
	/// </summary>
	public int AtrPeriod
	{
		get => _atrPeriod.Value;
		set => _atrPeriod.Value = value;
	}

	/// <summary>
	/// Stop distance from the entry in ATRs.
	/// </summary>
	public decimal AtrMultiplier
	{
		get => _atrMultiplier.Value;
		set => _atrMultiplier.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HullMaCciStrategy()
	{
		_hullPeriod = Param(nameof(HullPeriod), 9)
			.SetGreaterThanZero()
			.SetDisplay("Hull Period", "Period of the Hull moving average", "Indicators");

		_cciPeriod = Param(nameof(CciPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("CCI Period", "Period of CCI", "Indicators");

		_cciOversold = Param(nameof(CciOversold), -100m)
			.SetDisplay("CCI Oversold", "CCI level for longs", "Indicators");

		_cciOverbought = Param(nameof(CciOverbought), 100m)
			.SetDisplay("CCI Overbought", "CCI level for shorts", "Indicators");

		_atrPeriod = Param(nameof(AtrPeriod), 14)
			.SetGreaterThanZero()
			.SetDisplay("ATR Period", "Period of the stop ATR", "Risk");

		_atrMultiplier = Param(nameof(AtrMultiplier), 2m)
			.SetNotNegative()
			.SetDisplay("ATR Multiplier", "Stop distance from the entry in ATRs", "Risk");

		_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();
		_prevHull = null;
		_stopPrice = default;
	}

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

		_prevHull = null;
		_stopPrice = default;

		var hull = new HullMovingAverage { Length = HullPeriod };
		var cci = new CommodityChannelIndex { Length = CciPeriod };
		var atr = new AverageTrueRange { Length = AtrPeriod };

		var subscription = SubscribeCandles(CandleType);
		subscription
			.BindEx(hull, cci, atr, ProcessCandle)
			.Start();

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

			var oscillators = CreateChartArea();
			if (oscillators != null)
			{
				DrawIndicator(oscillators, cci);
			}
		}
	}

	private void ProcessCandle(ICandleMessage candle, IIndicatorValue hullValue, IIndicatorValue cciValue, IIndicatorValue atrValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!hullValue.IsFormed)
			return;

		var hull = hullValue.GetValue<decimal>();
		var prevHull = _prevHull;
		_prevHull = hull;

		if (prevHull is not decimal previous || !cciValue.IsFormed || !atrValue.IsFormed)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var cci = cciValue.GetValue<decimal>();
		var atr = atrValue.GetValue<decimal>();
		var rising = hull > previous;
		var falling = hull < previous;
		var close = candle.ClosePrice;

		if (rising && cci < CciOversold && Position <= 0)
		{
			BuyMarket(Volume + Math.Abs(Position));
			_stopPrice = close - AtrMultiplier * atr;
		}
		else if (falling && cci > CciOverbought && Position >= 0)
		{
			SellMarket(Volume + Math.Abs(Position));
			_stopPrice = close + AtrMultiplier * atr;
		}
		else if (Position > 0 && (falling || (AtrMultiplier > 0 && close <= _stopPrice)))
		{
			SellMarket(Position);
		}
		else if (Position < 0 && (rising || (AtrMultiplier > 0 && close >= _stopPrice)))
		{
			BuyMarket(-Position);
		}
	}
}