The next challenge of game AI lies in Real Time Strategy (RTS) games. RTS games provide partially observable gaming environments, where agents interact with one another in an action space much larger than that of GO. Mastering RTS games requires both strong macro strategies and delicate micro level execution. Recently, great progress has been made in micro level execution, while complete solutions for macro strategies are still lacking. In this paper, we propose a novel learning-based Hierarchical Macro Strategy model for mastering MOBA games, a sub-genre of RTS games. Trained by the Hierarchical Macro Strategy model, agents explicitly make macro strategy decisions and further guide their micro level execution. Moreover, each of the agents makes independent strategy decisions, while simultaneously communicating with the allies through leveraging a novel imitated crossagent communication mechanism. We perform comprehensive evaluations on a popular 5v5 Multiplayer Online Battle Arena (MOBA) game. Our 5-AI team achieves a 48% winning rate against human player teams which are ranked top 1% in the player ranking system.