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Donchian Hurst Exponent

Donchian Hurst Exponent 策略基于 that trades based on Donchian Channel breakouts with Hurst Exponent filter。

测试表明年均收益约为 91%，该策略在股票市场表现最佳。

当 Donchian confirms trend changes 在日内（5m）数据上得到确认时触发信号，适合积极交易者。

止损依赖于 ATR 倍数以及 DonchianPeriod, HurstPeriod 等参数，可根据需要调整以平衡风险与收益。

详情

  • 入场条件：参见指标条件实现.
  • 多空方向：双向.
  • 退出条件：反向信号或止损逻辑.
  • 止损：是，基于指标计算.
  • 默认值:
    • DonchianPeriod = 20
    • HurstPeriod = 100
    • HurstThreshold = 0.5m
    • StopLossPercent = 2m
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 双向
    • 指标: Donchian, Hurst, Exponent
    • 止损: 是
    • 复杂度: 中等
    • 时间框架: 日内 (5m)
    • 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 Donchian Channel breakouts with Hurst Exponent filter.
/// Enters position when price breaks Donchian Channel with Hurst Exponent indicating trend persistence.
/// </summary>
public class DonchianHurstStrategy : Strategy
{
	private readonly StrategyParam<int> _donchianPeriod;
	private readonly StrategyParam<int> _hurstPeriod;
	private readonly StrategyParam<decimal> _hurstThreshold;
	private readonly StrategyParam<decimal> _stopLossPercent;
	private readonly StrategyParam<DataType> _candleType;

	private decimal _hurstValue;
	private decimal? _previousUpper;
	private decimal? _previousLower;
	private decimal? _previousMiddle;

	/// <summary>
	/// Strategy parameter: Donchian Channel period.
	/// </summary>
	public int DonchianPeriod
	{
		get => _donchianPeriod.Value;
		set => _donchianPeriod.Value = value;
	}

	/// <summary>
	/// Strategy parameter: Hurst Exponent calculation period.
	/// </summary>
	public int HurstPeriod
	{
		get => _hurstPeriod.Value;
		set => _hurstPeriod.Value = value;
	}

	/// <summary>
	/// Strategy parameter: Hurst Exponent threshold for trend persistence.
	/// </summary>
	public decimal HurstThreshold
	{
		get => _hurstThreshold.Value;
		set => _hurstThreshold.Value = value;
	}

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

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public DonchianHurstStrategy()
	{
		_donchianPeriod = Param(nameof(DonchianPeriod), 20)
			.SetGreaterThanZero()
			.SetDisplay("Donchian Period", "Period for Donchian Channel indicator", "Indicator Settings");

		_hurstPeriod = Param(nameof(HurstPeriod), 100)
			.SetGreaterThanZero()
			.SetDisplay("Hurst Period", "Period for Hurst Exponent calculation", "Indicator Settings");

		_hurstThreshold = Param(nameof(HurstThreshold), 0.45m)
			.SetRange(0, 1)
			.SetDisplay("Hurst Threshold", "Minimum Hurst Exponent value for trend persistence (>0.5 is trending)", "Indicator Settings");

		_stopLossPercent = Param(nameof(StopLossPercent), 2m)
			.SetGreaterThanZero()
			.SetDisplay("Stop Loss %", "Stop Loss percentage from entry price", "Risk Management");

		_candleType = Param(nameof(CandleType), TimeSpan.FromHours(2).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();

		_hurstValue = 0;
		_previousUpper = null;
		_previousLower = null;
		_previousMiddle = null;
	}

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

		// Create Donchian Channel indicator
		var donchian = new DonchianChannels
		{
			Length = DonchianPeriod
		};

		// Create FractalDimension indicator for Hurst calculation
		// We use 1 - FractalDimension to get Hurst Exponent (H = 2 - D)
		var fractalDimension = new FractalDimension
		{
			Length = HurstPeriod
		};

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

		// Bind indicators to subscription and start
		subscription
			.BindEx(donchian, fractalDimension, ProcessIndicators)
			.Start();

		// Add chart visualization
		var area = CreateChartArea();
		if (area != null)
		{
			DrawCandles(area, subscription);
			DrawIndicator(area, donchian);
			DrawOwnTrades(area);
		}

		// Start position protection with percentage-based stop-loss
		StartProtection(
			takeProfit: new Unit(0), // No take profit, using Donchian Channel for exit
			stopLoss: new Unit(StopLossPercent, UnitTypes.Percent)
		);
	}

	private void ProcessIndicators(ICandleMessage candle, IIndicatorValue donchianValue, IIndicatorValue fractalDimensionValue)
	{
		// Skip unfinished candles
		if (candle.State != CandleStates.Finished)
			return;

		// --- FractalDimension logic (was ProcessFractalDimension) ---
		decimal fractalDimension = fractalDimensionValue.ToDecimal();
		_hurstValue = 2m - fractalDimension;

		// Log Hurst Exponent value periodically
		if (candle.OpenTime.Second == 0 && candle.OpenTime.Minute % 15 == 0)
		{
			LogInfo($"Current Hurst Exponent: {_hurstValue} (>{HurstThreshold} indicates trend persistence)");
		}

		// --- Donchian logic (was ProcessDonchianChannel) ---
		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		var donchianTyped = (DonchianChannelsValue)donchianValue;

		// Convert indicator values to decimal
		if (donchianTyped.UpperBand is not decimal upper ||
			donchianTyped.LowerBand is not decimal lower ||
			donchianTyped.Middle is not decimal middle)
		{
			return;
		}

		if (!_previousUpper.HasValue || !_previousLower.HasValue || !_previousMiddle.HasValue)
		{
			_previousUpper = upper;
			_previousLower = lower;
			_previousMiddle = middle;
			return;
		}

		if (_hurstValue > HurstThreshold)
		{
			if (candle.ClosePrice > _previousUpper.Value && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (candle.ClosePrice < _previousLower.Value && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));
		}

		if (Position > 0 && candle.ClosePrice < _previousMiddle.Value)
			SellMarket(Position);
		else if (Position < 0 && candle.ClosePrice > _previousMiddle.Value)
			BuyMarket(-Position);

		_previousUpper = upper;
		_previousLower = lower;
		_previousMiddle = middle;
	}
}