분량-가격 동력 거래 전략과 함께 멀티 EMA 크로스
저자:차오장, 날짜: 2025-01-06 16:07:59태그:EMAVWAPSMASLORSIHLC3MOL
이 전략은 여러 기하급수적인 이동 평균 (EMA) 크로스오버 및 볼륨 가격 지표에 기반한 포괄적인 모멘텀 거래 전략입니다. 이 전략은 빠른 및 느린 EMA, 볼륨 가중 평균 가격 (VWAP) 및 슈퍼 트렌드 등 다양한 지표를 결합하여 거래 신호를 생성하며, 입점 및 출구 지점을 제어하기 위해 내일 거래 창과 가격 움직임 문턱을 통합합니다.
전략 원칙
이 전략은 5일 및 13일 EMA를 주요 트렌드 지표로 사용합니다. 빠른 EMA가 VWAP 이상의 폐쇄 가격과 느린 EMA를 넘을 때 긴 포지션은 시작되며 빠른 EMA가 VWAP보다 낮은 폐쇄 가격과 느린 EMA를 넘을 때 짧은 포지션은 시작됩니다. 이 전략은 또한 트렌드 확인 및 스톱 로스 결정에 대한 슈퍼 트렌드 지표를 포함합니다. 이전 하루의 종료와 하루의 높은 낮은 범위에 대한 가격 움직임과 같은 다른 거래 날에 대한 다른 입구 조건이 설정됩니다.
전략적 장점
- 여러 가지 기술 지표가 거래 신호의 신뢰성을 향상시킵니다.
- 다른 거래일에 대한 차별화된 입시 조건은 시장 특성에 더 잘 적응합니다
- 역동적 이윤 취득 및 스톱 로스 메커니즘은 위험을 효과적으로 제어합니다.
- 일내 거래창 제한은 높은 변동성 기간을 피합니다.
- 이전 높은 낮은 점과 가격 움직임의 제약은 높은 점과 낮은 점에 따라가는 위험을 줄입니다.
전략 위험
- 빠르게 변동하는 시장에서 잘못된 신호가 발생할 수 있습니다.
- 초기 트렌드 반전 중 잠재적인 지연
- 매개 변수 최적화는 과도한 부착 위험에 직면 할 수 있습니다.
- 거래 비용은 전략 수익에 영향을 줄 수 있습니다.
- 매우 변동적인 시장 기간 동안 가능한 상당한 마취
전략 최적화 방향
- 추세 강도를 더 확인하기 위해 부피 분석 지표를 통합하는 것을 고려하십시오.
- 전략 적응력을 향상시키기 위해 다른 거래일에 대한 매개 변수를 최적화하십시오.
- 예측 정확성을 향상시키기 위해 더 많은 시장 감정 지표를 추가하십시오.
- 자본 효율성 향상을 위해 수익 및 손실 중지 메커니즘을 개선
- 포지션 관리 최적화를 위해 변동성 지표를 추가하는 것을 고려하십시오.
요약
이 전략은 여러 가지 기술적 지표를 종합적으로 사용하여 트렌드 추적 및 모멘텀 트레이딩의 조합을 달성합니다. 전략 설계는 다른 거래 일에 대해 차별화된 거래 규칙을 채택함으로써 시장 다양성을 완전히 고려합니다. 엄격한 위험 통제 및 유연한 수익 취득 및 스톱 로스 메커니즘을 통해 전략은 좋은 실용적 응용 가치를 보여줍니다. 미래 개선은 추가 기술 지표를 도입하고 매개 변수 설정을 최적화함으로써 전략 안정성과 수익성을 향상시킬 수 있습니다.
/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-04 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
//@version=6
strategy("S1", overlay=true)
fastEMA = ta.ema(close, 5)
slowEMA = ta.ema(close,13)
ema9 = ta.ema(close, 9)
ema100 = ta.ema(close, 100)
ema5 = ta.ema(close, 5)
ema200 = ta.ema(close, 200)
ma = ta.sma(close, 50)
mult = input.float(defval=3)
len = input.int(defval=11)
[superTrend, dir] = ta.supertrend(mult, len)
vwap1= ta.vwap(hlc3)
plot(slowEMA,color = color.green)
plot(fastEMA,color = color.black)
plot(vwap1, color = color.blue)
var dailyTaskDone = false
var gapdown = false
var gapup = false
var runup = 0.0
var biggapdown = false
var biggapup = false
var prevDayClose = 0.0
var todayLow = 0.0
var todayHigh = 0.0
var noBuyNow = false
var noSellNow = false
var buyPrice = 0.0
var sellPrice = 0.0
var todayBuyDone = false
var todaySellDone = false
var dragonflyDoji = false
var candleCount = 0
var candleCount1 = 0
var lastTrade = 9
var lastFiveCandles = false
var lastSevenCandlesS = false
var fiveEMACC = 0
candleCount := candleCount + 1
candleCount1 := candleCount1 + 1
if fiveEMACC > 0
fiveEMACC := fiveEMACC + 1
if fiveEMACC == 6
fiveEMACC := 0
if strategy.openprofit == 0
candleCount := 0
if hour == 9 and minute ==15
prevDayClose := close[1]
todayLow := low
todayHigh := high
lastTrade := 9
if hour == 9 and minute ==15 and (open - close[1]) > close*0.01
gapup := true
if hour == 9 and minute ==15 and (open - close[1]) < close*0.005*-1
gapdown := true
if hour == 9 and minute ==15 and (close - close[1]) > 200
biggapup := true
if hour == 9 and minute ==15 and (close - close[1]) < 200
biggapdown := true
if low < todayLow
todayLow := low
candleCount1 := 0
if high > todayHigh
todayHigh := high
if close > todayLow + 200
noBuyNow := true
if close < todayHigh - 200//0.01*close
noSellNow := false
lastFiveCandles := (close[4]<open[4] or close[3]<open[3] or close[2] < open[2] or close[1]<open[1])
lastSevenCandlesS := (close[6]>open[6] or close[5]>open[5] or close[4]>open[4] or close[3]>open[3] or close[2] > open[2] or close[1]>open[1])
if hour == 15
dailyTaskDone := false
gapdown := false
gapup := false
biggapup := false
biggapdown := false
noBuyNow := false
noSellNow := false
todayLow := 0.0
todayHigh := 0.0
buyPrice := 0.0
sellPrice := 0.0
todayBuyDone := false
todaySellDone := false
dragonflyDoji := false
lastTrade := 9
// if fastEMA < slowEMA and lastTrade == 1 and strategy.openprofit==0
// lastTrade := 9
if fastEMA > slowEMA and lastTrade == 0 and strategy.openprofit==0
lastTrade := 9
buy = (dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or
(dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
(dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
(dayofweek==dayofweek.friday and ((fastEMA - slowEMA > close*0.001))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
sell= (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and lastSevenCandlesS and close[1] < vwap1[1]) or
(dayofweek==dayofweek.monday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or
(dayofweek==dayofweek.tuesday and (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10) and not dragonflyDoji and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
(dayofweek==dayofweek.wednesday and (hour!=9 or minute>=40) and close<open and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or
(dayofweek==dayofweek.friday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) )
// buy = (dayofweek==dayofweek.thursday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1]) or
// (dayofweek==dayofweek.monday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or
// (dayofweek==dayofweek.tuesday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
// (dayofweek==dayofweek.wednesday and (fastEMA > slowEMA) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
// (dayofweek==dayofweek.friday and ((fastEMA > slowEMA))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
// sell= (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA > fastEMA)) and close < vwap1 and lastSevenCandlesS and close[1] < vwap1[1]) or
// (dayofweek==dayofweek.monday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or
// (dayofweek==dayofweek.tuesday and (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10) and not dragonflyDoji and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
// (dayofweek==dayofweek.wednesday and (hour!=9 or minute>=40) and close<open and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or
// (dayofweek==dayofweek.friday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) )
dragonflyDoji:= false
// (slowEMA - fastEMA > close*0.00089 or (slowEMA-fastEMA>close*0.00049 and (high[2]>vwap or high[1]>vwap)))
if sellPrice != 0 and runup < sellPrice - low
runup := sellPrice - low
if buyPrice != 0 and runup < high - buyPrice
//ourlabel = label.new(x=bar_index, y=na, text=tostring(runup), yloc=yloc.belowbar)
runup := high - buyPrice
NoBuySellTime = (hour == 15) or ((hour==14 and minute>=25)) or (hour==9 and minute<=35) or hour >= 14
//(fiveEMACC > 0 and low < fastEMA and close < vwap1)
buyexit = fastEMA<slowEMA or (close<superTrend and close < vwap1 and close[1] < vwap1[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
sellexit = slowEMA<fastEMA or (close > vwap1 and close[1] > vwap1[1] and close>superTrend) //or strategy.openprofit > 400 or strategy.openprofit < -5000
exitPosition = (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > 50) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > 80) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek==dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and buyPrice!=0.0 and (high - buyPrice) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30)
//code such that 2 fastema is > than 2 slowema
//exitPosition = (sellPrice!=0 and runup >21 and strategy.openprofit < -2000) or (candleCount > 18 and strategy.openprofit > 50 and strategy.openprofit < 1000) or (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.007) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.007) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.002) or (dayofweek!=dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.002)
//(runup >21 and strategy.openprofit < -2000) or
if buy and fastEMA>vwap1 and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
strategy.entry("buy", strategy.long)
//dailyTaskDone := true
if buyPrice == 0.0
fiveEMACC := 1
buyPrice := close
//ourlabel = label.new(x=bar_index, y=na, text=tostring(todayLow + 500), yloc=yloc.belowbar9
todayBuyDone := true
lastTrade := 1
runup := 0.0
if sell and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone // and dayofweek!=dayofweek.friday //and (dayofweek==dayofweek.friday or (prevDayClose-close)<150)//and not biggapdown
strategy.entry("sell", strategy.short)
//dailyTaskDone := true
if sellPrice == 0.0
fiveEMACC := 1
sellPrice := close
todaySellDone := true
lastTrade := 0
runup := 0.0
// if ((fastEMA-slowEMA>18 and close>vwap and close[1]>vwap[1] and (not todayBuyDone or candleCount>12)) or (slowEMA-fastEMA>10 and close < vwap and close[1]<vwap[1] and (not todaySellDone or candleCount > 12))) and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(abs(prevDayClose-close)), yloc=yloc.belowbar)
IntraDay_SquareOff = minute >=15 and hour >= 15
if true and (IntraDay_SquareOff or exitPosition)
strategy.close("buy")
strategy.close("sell")
buyPrice := 0
sellPrice := 0
runup := 0.0
if buyexit
strategy.close("buy")
buyPrice := 0
if sellexit
strategy.close("sell")
sellPrice := 0
buy1 = ((dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and not gapup) or
(dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.0085) or
(dayofweek==dayofweek.friday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close - todayLow < close*0.012))
and dayofweek!=dayofweek.friday and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
sell1= ((dayofweek==dayofweek.thursday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1]) or
(dayofweek==dayofweek.monday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.01 and todayHigh-close[1] < close * 0.01) or
(dayofweek==dayofweek.tuesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not gapdown and not dragonflyDoji and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
(dayofweek==dayofweek.wednesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close) or
(dayofweek==dayofweek.friday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close)) and
dayofweek!=dayofweek.friday and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone
// if buy1 and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(fastEMA - slowEMA), yloc=yloc.belowbar)
// if sell1 and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(slowEMA - fastEMA), yloc=yloc.belowbar)
// buy = ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 20)
// sell= ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 10) or ((fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]) and (slowEMA - fastEMA) > 20)
// buy = (fastEMA > slowEMA and fastEMA[1] < slowEMA[1])
// sell= (fastEMA < slowEMA and fastEMA[1] > slowEMA[1] )
// buy = ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 1)
// sell= ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 5)
// buy = fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]
// sell= fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]
//Daily chart
// buyexit = (close + 40 < slowEMA)//rsi > 65 and fastEMA > ema9 // fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200) //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close - 40 > slowEMA)//rsi < 35 // and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2
// buyexit = (close < superTrend)// and (close < vwap1 and close[1] < vwap1[1] and close < close[1])//and close[2] < vwap1[2]//rsi > 65 and close < fastEMA// fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200) //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close > superTrend)// and (close > vwap1 and close[1] > vwap1[1] and close > close[1]) //and close[2] > vwap1[2]//rsi < 35// and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2
// buyexit = (close < superTrend and close < vwap1 and close[1] < vwap1[1] and close[1] < superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
// sellexit = (close > superTrend and close > vwap1 and close[1] > vwap1[1] and close[1] > superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
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- 촛불 빗 길이를 분석한 양적 트렌드 포착 전략
- 통계적 이중 표준 오차 VWAP 브레이크업 거래 전략
- 유출 및 목표 수익에 기반한 긴 네트워크 전략
- 동적 이동 평균 크로스오버 트렌드 ATR 리스크 관리 시스템과 전략에 따라
- 다중 지표 최적화된 KDJ 트렌드 크로스오버 전략
- 다중 시간 프레임 하이킨-아시 이동 평균 트렌드 다음 거래 시스템
- 동적 변동성 조정 트렌드 다음 전략 ATR 정지 관리와 함께 DI 지표에 기반
- 볼 베어 파워 트레이딩 전략, 부피 퍼센틸 기반의 동적 영리 시스템
- Z-Score 표준화된 선형 신호 양적 거래 전략
- 여러 매개 변수 스토카스틱 지능 트렌드 거래 전략
- 주요 가격 수준에 기초한 다기기 가격 레벨 브레이크 트렌드 거래 시스템
- 고급 피보나치 리트레이싱 트렌드 추적 및 역전 거래 전략
- ATR 기반의 동적 정지 관리 시스템으로 고급 EMA 크로스오버 트렌드를 따르는 전략
- 평균 반전 볼링거 밴드 거래 전략 합리적인 수익 신호
- VWAP 크로스 전략에 따라 다기간에 이동 평균 트렌드
- 이중 이동 평균-RSI 시너지 옵션 양적 거래 전략
- 고급 웨이브 트렌드와 EMA 리본 퓨전 거래 전략
- 볼링거 밴드 브레이크업 모멘텀 거래 전략
- 다중 지표 확률 기준 모멘텀 트렌드 거래 전략
- 여러 기간 EMA 트렌드 RSI 과잉 구매/ 과잉 판매 동적 최적화 전략과 함께