ChaoZhang
개요
이 전략은 빠른 라인, 중간 라인, 느린 라인 및 MACD와 같은 여러 지표의 조합을 사용하여 거래 신호에 대한 종합적인 판단을 수행하며, ATR 기반의 동적 중단 메커니즘을 사용하여 위험 수준을 제어합니다. 이 전략은 중간 짧은 라인 자동 거래에 적합합니다.
전략 원칙
이 전략은 주로 EMA 평균선, MACD 지표 및 ATR 지표를 사용한다. EMA 평균선의 빠른 선, 중간 선 및 느린 선은 트렌드 판단 시스템을 구성한다. MACD 지표는 거래 신호를 생성하는데 도움을 주며, ATR 지표는 스톱 라인을 설정한다. 구체적으로, 빠른 선, 중간 선 및 느린 선의 다공간 배열 조합을 통해 트렌드 방향을 판단하고, MACD 지표의 0축 교차를 결합하여 입구 신호로, Enter 다공간 빠른 선은 중간선을 통과해야 하며, Exit 다공간 빠른 선은 중간선을 통과해야 한다.
우위 분석
- 다중 지표 포지션 판단, 거래 신호 정확성 및 신뢰성.
- 그 다음으로, 트렌드 방향에 대한 명확한 판단을 할 수 있습니다.
- MACD 지표 보조 출입, 가짜 돌파를 피하기
- 동적 손실은 위험을 더 잘 통제합니다.
- 전략은 기계화되어 자동화 거래에 적합하다.
위험과 최적화
- 매개 변수 설정은 복잡하고, 많은 테스트 최적화가 필요합니다.
- 다중 지표 조합은 논리적으로 복잡하고 수동으로 조작하기 어렵다.
- 거래량 에너지와 같은 다른 필터 조건이 추가되어야 함.
- 기계 학습 거래 전략으로 개선할 수 있으며, 알고리즘 최적화 파라미터를 활용할 수 있다.
요약하다
이 전략은 여러 지표의 장점을 하나로 묶어서 트렌드를 더 정확하게 판단할 수 있고, 회전을 제어할 수 있다. 파라미터를 최적화하고 다른 필터링 조건을 추가함으로써 전략의 안정성을 더욱 강화할 수 있다. 전반적으로 전략은 전형적이고 신뢰할 수 있으며, 중단계 자동화 거래에 적합하며, 큰 실용적 가치가 있다.
전략 소스 코드
/*backtest
start: 2023-09-18 00:00:00
end: 2023-09-18 21:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("STRAT_STEMWAP", overlay=true, pyramiding = 0, default_qty_value = 10, slippage = 3)
EMA_Smooth_Period = input(7, minval=1)
ST_EMA = ema(close, EMA_Smooth_Period)
ST_VWAP_Period = input(7, minval=1)
VWAP_TUNING_MULT = input(type=input.float, defval=0.000)
ST_VWAP = ema(vwap,ST_VWAP_Period)
ST_VWAP_TUNING = VWAP_TUNING_MULT * (ST_EMA - ST_VWAP)
length = input(title="ATR Period", type=input.integer, defval=13)
mult = input(title="ATR Multiplier", type=input.float, step=0.1, defval=2.0)
showLabels = input(title="Show Buy/Sell Labels ?", type=input.bool, defval=true)
highlightState = input(title="Highlight State ?", type=input.bool, defval=true)
atr = mult * atr(length)
StopLoss_Long_Adjust = input(22.00, type=input.float)
StopLoss_Short_Adjust = input(16.00, type=input.float)
longStop = (ST_EMA) - atr - (ST_VWAP_TUNING) - StopLoss_Long_Adjust
longStopPrev = nz(longStop[1], longStop)
longStop := (close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = (ST_EMA) + atr - (ST_VWAP_TUNING) + StopLoss_Short_Adjust
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (close[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (close) > shortStopPrev ? 1 : dir == 1 and (close) < longStopPrev ? -1 : dir
fastLength = input(1, minval=1), medLength=input(4, minval=1), slowLength=input(24, minval=1), signalLength=input(8,minval=1)
fastMA = ema(close, fastLength)
//,fastMA1 = ema(close[1], fastLength), fastMA2 = ema(close[2], fastLength),fastMA3 = ema(close[3], fastLength),fastMA4 = ema(close[4], fastLength),fastMA5 = ema(close[5], fastLength), fastMA6 = ema(close[6], fastLength), fastMA7 = ema(close[7], fastLength),fastMA8 = ema(close[8], fastLength),fastMA9 = ema(close[9], fastLength),fastMA10 = ema(close[10], fastLength),fastMA11 = ema(close[11], fastLength),fastMA12 = ema(close[12], fastLength),fastMA13 = ema(close[13], fastLength)
medMA = ema(close, medLength)
//, medMA1 = ema(close[1], medLength), medMA2 = ema(close[2], medLength), medMA3 = ema(close[3], medLength), medMA4 = ema(close[4], medLength), medMA5 = ema(close[5], medLength), medMA6 = ema(close[6], medLength), medMA7 = ema(close[7], medLength), medMA8 = ema(close[8], medLength), medMA9 = ema(close[9], medLength), medMA10 = ema(close[10], medLength), medMA11 = ema(close[11], medLength), medMA12 = ema(close[12], medLength), medMA13 = ema(close[13], medLength)
slowMA = ema(close, slowLength)
//, slowMA1 = ema(close[1], slowLength), slowMA2 = ema(close[2], slowLength), slowMA3 = ema(close[3], slowLength), slowMA4 = ema(close[4], slowLength), slowMA5 = ema(close[5], slowLength), slowMA6 = ema(close[6], slowLength), slowMA7 = ema(close[7], slowLength), slowMA8 = ema(close[8], slowLength), slowMA9 = ema(close[9], slowLength), slowMA10 = ema(close[10], slowLength), slowMA11 = ema(close[11], slowLength), slowMA12 = ema(close[12], slowLength), slowMA13 = ema(close[13], slowLength)
macd = fastMA - slowMA
//, macd1 = fastMA1 - slowMA1, macd2 = fastMA2 - slowMA2, macd3 = fastMA3 - slowMA3, macd4 = fastMA4 - slowMA4, macd5 = fastMA5 - slowMA5, macd6 = fastMA6 - slowMA6, macd7 = fastMA7 - slowMA7, macd8 = fastMA8 - slowMA8, macd9 = fastMA9 - slowMA9, macd10 = fastMA10 - slowMA10, macd11 = fastMA11 - slowMA11, macd12 = fastMA12 - slowMA12, macd13 = fastMA13 - slowMA13
fmacd = fastMA - medMA
//, fmacd1 = fastMA1 - medMA1,fmacd2 = fastMA2 - medMA2,fmacd3 = fastMA3 - medMA3,fmacd4 = fastMA4 - medMA4,fmacd5 = fastMA5 - medMA5, fmacd6 = fastMA6 - medMA6, fmacd7 = fastMA7 - medMA7, fmacd8 = fastMA8 - medMA8, fmacd9 = fastMA9 - medMA9, fmacd10 = fastMA10 - medMA10, fmacd11 = fastMA11 - medMA11, fmacd12 = fastMA12 - medMA12, fmacd13 = fastMA13 - medMA13
smacd = slowMA - medMA
//, smacd1 = slowMA1 - medMA1, smacd2 = slowMA2 - medMA2, smacd3 = slowMA3 - medMA3, smacd4 = slowMA4 - medMA4, smacd5 = slowMA5 - medMA5, smacd6 = slowMA6 - medMA6, smacd7 = slowMA7 - medMA7, smacd8 = slowMA8 - medMA8, smacd9 = slowMA9 - medMA9, smacd10 = slowMA10 - medMA10, smacd11 = slowMA11 - medMA11, smacd12 = slowMA12 - medMA12, smacd13 = slowMA13 - medMA13,
signal = ema(macd, signalLength)
//,signal1 = sma(macd1, signalLength),signal2 = sma(macd2, signalLength),signal3 = sma(macd3, signalLength),signal4 = sma(macd4, signalLength),signal5 = sma(macd5, signalLength),signal6 = sma(macd6, signalLength),signal7 = sma(macd7, signalLength),signal8 = sma(macd8, signalLength),signal9 = sma(macd9, signalLength),signal10 = sma(macd10, signalLength),signal11 = sma(macd11, signalLength),signal12 = sma(macd12, signalLength),signal13 = sma(macd13, signalLength),
fsignal = ema(fmacd, signalLength)
//, fsignal1 = sma(fmacd1, signalLength), fsignal2 = sma(fmacd2, signalLength), fsignal3 = sma(fmacd3, signalLength), fsignal4 = sma(fmacd4, signalLength), fsignal5 = sma(fmacd5, signalLength), fsignal6 = sma(fmacd6, signalLength), fsignal7 = sma(fmacd7, signalLength), fsignal8 = sma(fmacd8, signalLength), fsignal9 = sma(fmacd9, signalLength), fsignal10 = sma(fmacd10, signalLength), fsignal11 = sma(fmacd11, signalLength), fsignal12 = sma(fmacd12, signalLength), fsignal13 = sma(fmacd13, signalLength),
ssignal = ema(smacd, signalLength)
//, ssignal1 = sma(smacd1, signalLength), ssignal2 = sma(smacd2, signalLength), ssignal3 = sma(smacd3, signalLength), ssignal4 = sma(smacd4, signalLength), ssignal5 = sma(smacd5, signalLength), ssignal6 = sma(smacd6, signalLength), ssignal7 = sma(smacd7, signalLength), ssignal8 = sma(smacd8, signalLength), ssignal9 = sma(smacd9, signalLength), ssignal10 = sma(smacd10, signalLength), ssignal11 = sma(smacd11, signalLength), ssignal12 = sma(smacd12, signalLength), ssignal13 = sma(smacd13, signalLength),
ATR_Signal_Period = input(2, type=input.integer, minval=1, maxval=2000)
SetStopLossShort = 0.0
SetStopLossShort := if(strategy.position_size < 0)
StopLossShort = shortStop
min(StopLossShort,SetStopLossShort[1])
plot(SetStopLossShort, style = plot.style_cross, color = color.yellow)
SetStopLossLong = 0.0
SetStopLossLong := if(strategy.position_size > 0)
StopLossLong = longStop
max(StopLossLong,SetStopLossLong[1])
plot(SetStopLossLong, style = plot.style_cross, color = color.purple)
ATR_SIGNAL_FINE_TUNE = input(0.986, type=input.float)
tol_atr = atr(ATR_Signal_Period)*ATR_SIGNAL_FINE_TUNE
StopLoss_Initial_Short = input(1.00, type=input.float)
StopLoss_Initial_Long = input(5.00, type=input.float)
VOLUME_CHECK_SHORT = input(42)
VOLUME_CHECK_LONG = input(16)
MAX_LOSS = input(0.00, type=input.float)
//Custom Time Interval
fromMinute = input(defval = 0, title = "From Minute", minval = 0, maxval = 60)
fromHour = input(defval = 0, title = "From Hour", minval = 0, maxval = 24)
fromDay = input(defval = 1, title = "From Day", minval = 1)
fromMonth = input(defval = 1, title = "From Month", minval = 1)
fromYear = input(defval = 2019, title = "From Year", minval = 1900)
tillMinute = input(defval = 0, title = "Till Minute", minval = 0, maxval = 60)
tillHour = input(defval = 0, title = "Till Hour", minval = 0, maxval = 24)
tillDay = input(defval = 1, title = "Till Day", minval = 1)
tillMonth = input(defval = 1, title = "Till Month", minval = 1)
tillYear = input(defval = 2021, title = "Till Year", minval = 1900)
timestampStart = timestamp(fromYear,fromMonth,fromDay,fromHour,fromMinute)
timestampEnd = timestamp(tillYear,tillMonth,tillDay,tillHour,tillMinute)
if ( strategy.position_size <= 0 and ((fsignal[1] -fsignal) <= 0) and volume > VOLUME_CHECK_LONG and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or cross(signal[8], macd[8]) or cross(signal[9], macd[9]) or cross(signal[10], macd[10]) or cross(signal[11], macd[11]) or cross(signal[12], macd[12]) or cross(signal[13], macd[13]) or cross(fmacd, macd) or cross(fmacd[1],macd[1]) or cross(fmacd[2],macd[2]) or cross(fmacd[3],macd[3]) or cross(fmacd[4],macd[4])or cross(fsignal, fmacd) or cross(fmacd, smacd) ) and ( (crossover(close,open+tol_atr) or crossover(close[1],open[1]+tol_atr[1]) or crossover(close[2],open[2]+tol_atr[2]) or crossover(close[3],open[3]+tol_atr[3]) or crossover(close[4],open[4]+tol_atr[4]) or crossover(close[5],open[5]+tol_atr[5]) or crossover(close[6],open[6]+tol_atr[6]) or crossover(close[7],open[7]+tol_atr[7]) or crossover(close[8],open[8]+tol_atr[8]) or crossover(close[9],open[9]+tol_atr[9]) or crossover(close[10],open[10]+tol_atr[10]) ) or ( (cross(ssignal, smacd) or cross(ssignal[1],smacd[1]) or cross(ssignal[2],smacd[2])) and ( (ssignal - ssignal[1]) > 0 ) ) ) )
strategy.exit("SELL")
strategy.entry("BUY", strategy.long)
strategy.exit("BUY_STOP","BUY", stop = close - StopLoss_Initial_Long)
if ( (dir == -1 and dir[1] == 1 and dir[2] == 1 and dir[3] == 1 and dir[4] == 1 ) and strategy.position_size >= 0 and volume > VOLUME_CHECK_SHORT and ((fsignal[1] -fsignal) >= 0) and ( crossunder(close, open - tol_atr) or crossunder(close[1], open[1] - tol_atr[1]) or crossunder(close[2], open[2] - tol_atr[2]) or crossunder(close[3], open[3] - tol_atr[3]) ) and ( cross(signal, macd) or cross(signal[1], macd[1]) or cross(signal[2], macd[2]) or cross(signal[3], macd[3]) or cross(signal[4], macd[4]) or cross(signal[5], macd[5]) or cross(signal[6], macd[6]) or cross(signal[7], macd[7]) or cross(signal[8], macd[8]) or cross(signal[9], macd[9]) or cross(signal[10], macd[10]) or cross(signal[11], macd[11]) or cross(signal[12], macd[12]) or cross(signal[13], macd[13]) ) )
strategy.exit( "BUY")
strategy.entry("SELL", strategy.short)
strategy.exit("SELL_STOP","SELL", stop = close + StopLoss_Initial_Short)
strategy.close_all(when = strategy.openprofit < (-1 * MAX_LOSS) )
// if (strategy.max_contracts_held_long > 0 )
// strategy.exit("BUY_TRAIL_STOP","BUY", stop = longStop - StopLoss_Long_Adjust)
// if (strategy.max_contracts_held_short > 0 )
// strategy.exit("SELL_TRAIL_STOP","SELL", stop = shortStop + StopLoss_Short_Adjust)
//strategy.exit("BUY_TRAIL_STOP","BUY", stop = SetStopLossLong)
//strategy.exit("SELL_TRAIL_STOP","SELL", stop = SetStopLossShort)