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Hull MA K-Means Cluster

Hull MA K-Means Cluster 策略基于 that trades based on Hull Moving Average direction with K-Means clustering for market state detection。

测试表明年均收益约为 97%，该策略在加密市场表现最佳。

当 its indicators 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 HullPeriod, ClusterDataLength 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:
    • HullPeriod = 9
    • ClusterDataLength = 50
    • RsiPeriod = 14
    • CandleType = TimeSpan.FromMinutes(5).TimeFrame()
  • 过滤器:
    • 分类: 趋势跟随
    • 方向: 双向
    • 指标: multiple indicators
    • 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 Hull Moving Average direction with K-Means clustering for market state detection.
/// </summary>
public class HullKMeansClusterStrategy : Strategy
{
	private readonly StrategyParam<int> _hullPeriod;
	private readonly StrategyParam<int> _clusterDataLength;
	private readonly StrategyParam<int> _rsiPeriod;
	private readonly StrategyParam<DataType> _candleType;
	private static readonly object _sync = new();

	private enum MarketStates
	{
		Neutral,
		Bullish,
		Bearish
	}

	private decimal _prevHullValue;
	private MarketStates _currentMarketState = MarketStates.Neutral;

	// Feature data for clustering
	private readonly Queue<decimal> _priceChangeData = [];
	private readonly Queue<decimal> _rsiData = [];
	private readonly Queue<decimal> _volumeRatioData = [];

	private decimal _lastPrice;
	private decimal _avgVolume;

	/// <summary>
	/// Strategy parameter: Hull Moving Average period.
	/// </summary>
	public int HullPeriod
	{
		get => _hullPeriod.Value;
		set => _hullPeriod.Value = value;
	}

	/// <summary>
	/// Strategy parameter: Length of data to use for clustering.
	/// </summary>
	public int ClusterDataLength
	{
		get => _clusterDataLength.Value;
		set => _clusterDataLength.Value = value;
	}

	/// <summary>
	/// Strategy parameter: RSI period for feature calculation.
	/// </summary>
	public int RsiPeriod
	{
		get => _rsiPeriod.Value;
		set => _rsiPeriod.Value = value;
	}

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

	/// <summary>
	/// Constructor.
	/// </summary>
	public HullKMeansClusterStrategy()
	{
		_hullPeriod = Param(nameof(HullPeriod), 9)
		.SetGreaterThanZero()
		.SetDisplay("Hull MA Period", "Period for Hull Moving Average", "Indicator Settings");

		_clusterDataLength = Param(nameof(ClusterDataLength), 50)
		.SetGreaterThanZero()
		.SetDisplay("Cluster Data Length", "Number of periods to use for clustering", "Clustering Settings");

		_rsiPeriod = Param(nameof(RsiPeriod), 14)
		.SetGreaterThanZero()
		.SetDisplay("RSI Period", "Period for RSI calculation as a clustering feature", "Indicator Settings");

		_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();

		_prevHullValue = default;
_currentMarketState = MarketStates.Neutral;
		_lastPrice = default;
		_avgVolume = default;

		_priceChangeData.Clear();
		_rsiData.Clear();
		_volumeRatioData.Clear();
	}

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



		// Create Hull Moving Average indicator
		var hullMa = new HullMovingAverage
		{
			Length = HullPeriod
		};

		// Create RSI indicator for feature calculation
		var rsi = new RelativeStrengthIndex
		{
			Length = RsiPeriod
		};

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

		// Bind indicators to subscription and start
		subscription
		.Bind(hullMa, rsi, ProcessCandle)
		.Start();

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

		// Start position protection with ATR-based stop-loss
		StartProtection(
		takeProfit: new Unit(0), // No fixed take profit
		stopLoss: new Unit(2, UnitTypes.Absolute) // 2 ATR stop-loss
		);
	}

	private void ProcessCandle(ICandleMessage candle, decimal hullValue, decimal rsiValue)
	{
		if (candle.State != CandleStates.Finished)
			return;

		if (!IsFormedAndOnlineAndAllowTrading())
			return;

		lock (_sync)
		{
			UpdateFeatureData(candle, rsiValue);

			if (_priceChangeData.Count >= ClusterDataLength &&
				_rsiData.Count >= ClusterDataLength &&
				_volumeRatioData.Count >= ClusterDataLength)
			{
				_currentMarketState = DetectMarketState();
			}

			var isHullRising = hullValue > _prevHullValue;

			if (isHullRising && _currentMarketState == MarketStates.Bullish && Position <= 0)
				BuyMarket(Volume + Math.Abs(Position));
			else if (!isHullRising && _currentMarketState == MarketStates.Bearish && Position >= 0)
				SellMarket(Volume + Math.Abs(Position));

			_prevHullValue = hullValue;
			_lastPrice = candle.ClosePrice;
		}
	}

	private void UpdateFeatureData(ICandleMessage candle, decimal rsiValue)
	{
		// Calculate price change percentage
		if (_lastPrice != 0)
		{
			decimal priceChange = (candle.ClosePrice - _lastPrice) / _lastPrice * 100;

			// Maintain price change data queue
			_priceChangeData.Enqueue(priceChange);
			if (_priceChangeData.Count > ClusterDataLength)
			_priceChangeData.Dequeue();
		}

		// Maintain RSI data queue
		_rsiData.Enqueue(rsiValue);
		if (_rsiData.Count > ClusterDataLength)
		_rsiData.Dequeue();

		// Calculate volume ratio and maintain queue
		if (_avgVolume == 0)
		{
			_avgVolume = candle.TotalVolume;
		}
		else
		{
			// Exponential smoothing for average volume
			_avgVolume = 0.9m * _avgVolume + 0.1m * candle.TotalVolume;
		}

		decimal volumeRatio = candle.TotalVolume / (_avgVolume == 0 ? 1 : _avgVolume);
		_volumeRatioData.Enqueue(volumeRatio);
		if (_volumeRatioData.Count > ClusterDataLength)
		_volumeRatioData.Dequeue();
	}

private MarketStates DetectMarketState()
	{
		var priceChanges = _priceChangeData.ToArray();
		var rsiValues = _rsiData.ToArray();
		var volumeRatios = _volumeRatioData.ToArray();
		if (priceChanges.Length == 0 || rsiValues.Length == 0 || volumeRatios.Length == 0)
			return MarketStates.Neutral;

		decimal avgPriceChange = priceChanges.Average();
		decimal avgRsi = rsiValues.Average();
		decimal avgVolumeRatio = volumeRatios.Average();

		// Detect market state based on features
		// Higher RSI, positive price change and higher volume -> Bullish
		// Lower RSI, negative price change and higher volume -> Bearish
		// Otherwise -> Neutral

		if (avgRsi > 60 && avgPriceChange > 0.1m && avgVolumeRatio > 1.1m)
		{
return MarketStates.Bullish;
		}
		else if (avgRsi < 40 && avgPriceChange < -0.1m && avgVolumeRatio > 1.1m)
		{
return MarketStates.Bearish;
		}
		else
		{
return MarketStates.Neutral;
		}
	}
}