Die Ressourcen sind geladen. Beförderung...

Schriftsteller:ChaoZhang
Tags:

Übersicht

Strategie Logik

Nehmen wir die m-Tage-WMA der standardisierten Nettopreisänderung, um die CMO (xWMACMO) zu erhalten.

Analyse der Vorteile

Risikoanalyse

Unzulässige Einstellungen der KMO- und WMA-Parameter führen zu übermäßigen falschen Signalen
Nichtermittlung wahrer langfristiger Trends, die zu Verlusten bei langfristigen Positionen führen

Einbeziehung längerfristiger Indikatoren wie 90-Tage-MA, um verpasste Chancen bei langfristigen Trends zu vermeiden

Optimierungsrichtlinien

Schlussfolgerung

/*backtest
start: 2023-12-25 00:00:00
end: 2024-01-24 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 18/10/2018
//    This indicator plots Chandre Momentum Oscillator and its WMA on the 
//    same chart. This indicator plots the absolute value of CMO.
//    The CMO is closely related to, yet unique from, other momentum oriented 
//    indicators such as Relative Strength Index, Stochastic, Rate-of-Change, 
//    etc. It is most closely related to Welles Wilder?s RSI, yet it differs 
//    in several ways:
//    - It uses data for both up days and down days in the numerator, thereby 
//        directly measuring momentum;
//    - The calculations are applied on unsmoothed data. Therefore, short-term 
//        extreme movements in price are not hidden. Once calculated, smoothing 
//        can be applied to the CMO, if desired;
//    - The scale is bounded between +100 and -100, thereby allowing you to clearly 
//        see changes in net momentum using the 0 level. The bounded scale also allows 
//        you to conveniently compare values across different securities.
////////////////////////////////////////////////////////////
strategy(title="CMO & WMA Backtest ver 2.0", shorttitle="CMO & WMA")
Length = input(9, minval=1)
LengthWMA = input(9, minval=1)
BuyZone = input(60, step = 0.01)
SellZone = input(-60, step = 0.01)
reverse = input(false, title="Trade reverse")
hline(BuyZone, color=green, linestyle=line)
hline(SellZone, color=red, linestyle=line)
hline(0, color=gray, linestyle=line)
xMom = abs(close - close[1])
xSMA_mom = sma(xMom, Length)
xMomLength = close - close[Length]
nRes = 100 * (xMomLength / (xSMA_mom * Length))
xWMACMO = wma(nRes, LengthWMA)
pos = 0.0
pos := iff(xWMACMO > BuyZone, 1,
	   iff(xWMACMO < SellZone, -1, nz(pos[1], 0))) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1, 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	   	    
barcolor(possig == -1 ? red: possig == 1 ? green : blue ) 
plot(nRes, color=blue, title="CMO")
plot(xWMACMO, color=red, title="WMA")

Mehr