EMA100 and NUPL Relative Unrealized Profit Quantitative Trading Strategy

Overview

This trading strategy is based on three indicators: the 100-period Exponential Moving Average (EMA100), Net Unrealized Profit/Loss (NUPL), and Relative Unrealized Profit. It generates trading signals by determining the crossover of price with EMA100 and the positivity or negativity of NUPL and Relative Unrealized Profit. A long signal is triggered when the price crosses above EMA100 and both NUPL and Relative Unrealized Profit are positive. A short signal is triggered when the price crosses below EMA100 and both NUPL and Relative Unrealized Profit are negative. The strategy uses a fixed position size of 10% and sets a stop loss of 10%.

Strategy Principles

1. Calculate the 100-period EMA as the main trend indicator
2. Use NUPL and Relative Unrealized Profit as auxiliary indicators to confirm trend strength and sustainability
3. Generate long/short signals when the price crosses above/below EMA100 while NUPL and Relative Unrealized Profit are simultaneously positive/negative
4. Adopt a fixed position size of 10% and set a stop loss of 10% to control risk
5. When holding a long position, if the price falls below the stop loss price, close the long position; when holding a short position, if the price rises above the stop loss price, close the short position

Advantage Analysis

1. Simple and easy to understand: The strategy logic is clear and uses common technical indicators, making it easy to understand and implement
2. Trend following: By capturing the main trend using EMA100, it is suitable for use in trending markets
3. Risk control: Setting fixed position sizes and stop losses can effectively control risk
4. Adaptability: The strategy can be applied to various markets and trading instruments

Risk Analysis

1. False signals: In choppy markets, frequent crossovers between price and EMA100 may generate more false signals, leading to losses
2. Lag: As a lagging indicator, EMA may react slowly at trend reversals, missing the best entry opportunities
3. Parameter optimization: Strategy parameters (such as EMA period, position size, stop loss ratio) need to be optimized for different markets, and inappropriate parameters may result in poor strategy performance

Optimization Directions

1. Parameter optimization: Optimize parameters such as EMA period, position size, and stop loss ratio to improve strategy performance
2. Signal filtering: Add other technical indicators or market sentiment indicators to filter false signals
3. Dynamic position management: Dynamically adjust positions based on market volatility, account profit/loss, and other factors to increase returns and control risk
4. Long-short combination: Hold both long and short positions simultaneously to hedge market risk and improve strategy stability

Summary

This trading strategy generates trading signals through three indicators: EMA100, NUPL, and Relative Unrealized Profit. It has advantages such as clear logic, controllable risk, and strong adaptability. At the same time, it also has risks such as false signals, lag, and parameter optimization. In the future, the strategy can be optimized and improved through parameter optimization, signal filtering, dynamic position management, and long-short combinations.