ID-103-赫斯特指数分形市场策略

{==============================================}
{赫斯特指数分形市场策略}
{ID: 103}
{作者: QClaw}
{日期: 2026-06-09}
{==============================================}

{=== 参数设置 ===}
N := 20; {赫斯特指数计算周期}
M := 60; {价格记忆长度}
Threshold := 0.55; {赫斯特指数阈值，>0.55为趋势市，<0.45为均值回归市}

{=== 赫斯特指数计算 ===}
{使用重标极差法(R/S)计算赫斯特指数}
{步骤1: 计算累积离差}
PriceChange := CLOSE - REF(CLOSE, 1);
MeanChange := MA(PriceChange, N);
Deviation := PriceChange - MeanChange;
CumulativeDev := SUM(Deviation, N);

{步骤2: 计算极差R}
R := HHV(CumulativeDev, N) - LLV(CumulativeDev, N);

{步骤3: 计算标准差S}
S := STD(PriceChange, N);

{步骤4: 计算R/S比值}
RS := R / S;

{步骤5: 计算赫斯特指数H (使用对数回归)}
LogN := LOG(N);
LogRS := LOG(RS);
Hurst := (LogRS - LOG(0.5)) / LogN;

{=== 市场状态判断 ===}
IsTrendMarket := Hurst > Threshold; {趋势市}
IsMeanReversion := Hurst < (1 - Threshold); {均值回归市}

{=== 趋势市策略: 趋势跟踪 ===}
TrendSignal := 0;
IF IsTrendMarket THEN BEGIN
    MA20 := MA(CLOSE, 20);
    MA60 := MA(CLOSE, 60);
    TrendUp := MA20 > MA60 AND CLOSE > MA20;
    TrendDown := MA20 < MA60 AND CLOSE < MA20;
    TrendSignal := IF(TrendUp, 1, IF(TrendDown, -1, 0));
END;

{=== 均值回归市策略: 反转交易 ===}
MeanReversionSignal := 0;
IF IsMeanReversion THEN BEGIN
    BBUpper := BOLL(CLOSE, 20, 2);
    BBLower := BOLL(CLOSE, 20, -2);
    OverBought := CLOSE > BBUpper;
    OverSold := CLOSE < BBLower;
    MeanReversionSignal := IF(OverSold, 1, IF(OverBought, -1, 0));
END;

{=== 综合信号 ===}
FinalSignal := IF(IsTrendMarket, TrendSignal, 
               IF(IsMeanReversion, MeanReversionSignal, 0));

{=== 买卖信号输出 ===}
BuySignal := FinalSignal = 1 AND REF(FinalSignal, 1) <> 1;
SellSignal := FinalSignal = -1 AND REF(FinalSignal, 1) <> -1;

DRAWTEXT(BuySignal, LOW, '买'), COLORRED;
DRAWTEXT(SellSignal, HIGH, '卖'), COLORGREEN;

{=== 可视化 ===}
Hurst, COLORWHITE, LINETHICK2;
Threshold, COLORYELLOW, DOTLINE;
1 - Threshold, COLORYELLOW, DOTLINE;
MA20, COLORRED;
MA60, COLORBLUE;

{=== 策略说明 ===}
{趋势市(H>0.55): 使用均线趋势跟踪}
{均值回归市(H<0.45): 使用布林带反转交易}
{随机游走市(0.45<H<0.55): 不交易}
{================== 风险提示（修复R04） ==================}
{1. 本公式仅供参考，不构成投资建议}
{2. 任何策略在极端行情下都可能失效}
{3. 建议组合使用，单一策略风险较高}
{4. 历史回测不代表未来收益}
{5. 实际使用需结合市场环境和其他指标}
{6. 投资有风险，入市需谨慎}
{================== 回测数据（修复R07） ==================}
{待真实回测验证 — 回测参数：沪深300成分股，2023-01-01至今，持有周期10日}
{预计胜率：待验证}
{预计总收益率：待验证}
{预计最大回撤：待验证}
{夏普比率：待验证}
{交易次数：待验证}