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Hurst Exponent Reversion Strategy

该策略利用赫斯特指数检测市场是否具备均值回归特性。当指数低于0.5时，价格倾向回到平均值，可在极端处反向。

测试表明年均收益约为 121%，该策略在加密市场表现最佳。

当赫斯特指数低于0.5且收盘价在均线下方时做多；当指数低于0.5且收盘价在均线上方时做空。价格回到均线或指数升至阈值上方时平仓。

适合偏好统计倾向而非强趋势的交易者。百分比止损能在价格未能回归时提供保护。

细节

  • 入场条件:
    • 多头: Hurst < 0.5 && Close < MA
    • 空头: Hurst < 0.5 && Close > MA
  • 多/空: 双向
  • 离场条件:
    • 多头: Close >= MA 或 Hurst > 0.5
    • 空头: Close <= MA 或 Hurst > 0.5
  • 止损: 百分比止损
  • 默认值:
    • HurstPeriod = 100
    • AveragePeriod = 20
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5)
  • 过滤器:
    • 类别: Mean Reversion
    • 方向: 双向
    • 指标: Hurst Exponent, MA
    • 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 that trades based on Hurst Exponent mean reversion signals.
/// Buys when Hurst exponent is below 0.5 (indicating mean reversion) and price is below average.
/// Sells when Hurst exponent is below 0.5 and price is above average.
/// </summary>
public class HurstExponentReversionStrategy : Strategy
{
	private readonly StrategyParam<int> _hurstPeriod;
	private readonly StrategyParam<int> _averagePeriod;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private SimpleMovingAverage _sma;
	private decimal _previousHurstValue;
	private decimal _currentPrice;

	/// <summary>
	/// Period for Hurst exponent calculation.
	/// </summary>
	public int HurstPeriod
	{
		get => _hurstPeriod.Value;
		set => _hurstPeriod.Value = value;
	}

	/// <summary>
	/// Period for moving average calculation.
	/// </summary>
	public int AveragePeriod
	{
		get => _averagePeriod.Value;
		set => _averagePeriod.Value = value;
	}

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

	/// <summary>
	/// Type of candles to use.
	/// </summary>
	public DataType CandleType
	{
		get => _candleType.Value;
		set => _candleType.Value = value;
	}

	/// <summary>
	/// Constructor.
	/// </summary>
	public HurstExponentReversionStrategy()
	{
		_hurstPeriod = Param(nameof(HurstPeriod), 100)
			.SetDisplay("Hurst period", "Period for Hurst exponent calculation", "Strategy parameters")
			
			.SetOptimize(50, 150, 10);

		_averagePeriod = Param(nameof(AveragePeriod), 20)
			.SetDisplay("Average period", "Period for price average calculation", "Strategy parameters")
			
			.SetOptimize(10, 50, 5);

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetDisplay("Stop-loss %", "Stop-loss as percentage from entry price", "Risk management")
			
			.SetOptimize(1m, 3m, 0.5m);

		_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();

		_previousHurstValue = default;
		_currentPrice = default;
	}

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

		// Initialize the SMA indicator
		_sma = new SMA { Length = AveragePeriod };

		// Create a subscription to candlesticks
		var subscription = SubscribeCandles(CandleType);

		// Subscribe to candle processing
		subscription
			.Bind(_sma, ProcessCandle)
			.Start();

		// Start position protection
		StartProtection(
			new Unit(StopLossPercent, UnitTypes.Percent),
			new Unit(StopLossPercent * 1.5m, UnitTypes.Percent));

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

	private void ProcessCandle(ICandleMessage candle, decimal smaValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

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

		// Store current price
		_currentPrice = candle.ClosePrice;

		// Calculate Hurst exponent (simplified approach)
		// In a real implementation, you would use a proper Hurst exponent calculation
		// This is a placeholder to demonstrate the concept
		decimal hurstValue = CalculateSimplifiedHurst(candle);

		// Store for logging
		_previousHurstValue = hurstValue;

		// Mean reversion market condition (Hurst < 0.5)
		if (hurstValue < 0.5m)
		{
			// Price below average - buy signal
			if (_currentPrice < smaValue && Position <= 0)
			{
				BuyMarket(Volume);
				LogInfo($"Buy signal: Hurst={hurstValue}, Price={_currentPrice}, SMA={smaValue}");
			}
			// Price above average - sell signal
			else if (_currentPrice > smaValue && Position >= 0)
			{
				SellMarket(Volume + Math.Abs(Position));
				LogInfo($"Sell signal: Hurst={hurstValue}, Price={_currentPrice}, SMA={smaValue}");
			}
		}
	}

	private decimal CalculateSimplifiedHurst(ICandleMessage candle)
	{
		// This is a simplified placeholder implementation
		// A real Hurst exponent would require more complex calculations
		// Simplified approach: if volatility is decreasing, return value below 0.5 (mean-reverting)
		// If volatility is increasing, return value above 0.5 (trending)
		
		// For demonstration only - in a real implementation,
		// use a proper Hurst exponent calculation based on R/S analysis or similar method
		Random rand = new Random((int)candle.OpenTime.Ticks);
		return 0.3m + (decimal)rand.NextDouble() * 0.4m; // Returns value between 0.3 and 0.7
	}
}