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Strategi Crossover Purata Bergerak

Penulis:ChaoZhang, Tarikh: 2024-01-26 16:29:23
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Ringkasan

Prinsip Strategi

Analisis Kelebihan

Strategi ini mempunyai kelebihan berikut:

  1. Konsepnya mudah dan mudah difahami dan dilaksanakan
  2. Sangat boleh disesuaikan dengan menyesuaikan tempoh purata bergerak dan lain-lain.
  4. Boleh menggabungkan mengambil keuntungan dan menghentikan kerugian untuk mengawal risiko

Analisis Risiko

Strategi ini juga mempunyai risiko berikut:

  2. Penyesuaian parameter diperlukan kerana set parameter yang berbeza membawa kepada hasil backtest yang berbeza
  3. Tidak mengambil kira kos transaksi dan slippage, hasil sebenar mungkin lebih lemah daripada backtest

Risiko ini boleh dikurangkan melalui pengoptimuman yang sesuai.

Arahan pengoptimuman

Strategi ini boleh dioptimumkan dalam aspek berikut:

  1. Tambah penapis seperti penunjuk jumlah dan turun naik untuk mengelakkan perdagangan yang salah semasa penyatuan

Pengoptimuman di atas dapat meningkatkan prestasi sebenar strategi.

Ringkasan

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
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/
// © HPotter
//  Simple SMA strategy
//
// WARNING:
//      - For purpose educate only
//      - This script to change bars colors
//@version=4
strategy(title="Simple SMA Strategy Backtest", shorttitle="SMA Backtest", precision=6, overlay=true)
Resolution = input(title="Resolution", type=input.resolution, defval="D")
Source = input(title="Source", type=input.source, defval=close)
xSeries = security(syminfo.tickerid, Resolution, Source)
Length = input(title="Length", type=input.integer, defval=14, minval=2)
TriggerPrice = input(title="Trigger Price", type=input.source, defval=close)
TakeProfit = input(50, title="Take Profit", step=0.01)
StopLoss = input(20, title="Stop Loss", step=0.01)
UseTPSL = input(title="Use Take\Stop", type=input.bool, defval=false)
BarColors = input(title="Painting bars", type=input.bool, defval=true)
ShowLine = input(title="Show Line", type=input.bool, defval=true)
UseAlerts = input(title="Use Alerts", type=input.bool, defval=false)
reverse = input(title="Trade Reverse", type=input.bool, defval=false)
pos = 0
xSMA = sma(xSeries, Length)
pos := iff(TriggerPrice > xSMA, 1,
         iff(TriggerPrice < xSMA, -1, nz(pos[1], 0)))
nRes = ShowLine ? xSMA : na
alertcondition(UseAlerts == true and pos != pos[1] and pos == 1, title='Signal Buy', message='Strategy to change to BUY')
alertcondition(UseAlerts == true and pos != pos[1] and pos == -1, title='Signal Sell', message='Strategy to change to SELL')
alertcondition(UseAlerts == true and pos != pos[1] and pos == 0, title='FLAT', message='Strategy get out from position')
possig =iff(pos[1] != pos,
         iff(reverse and pos == 1, -1,
           iff(reverse and pos == -1, 1, pos)), 0)
if (possig == 1)
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)
    
if (UseTPSL)    
    strategy.close("Long", when = high > strategy.position_avg_price + TakeProfit, comment = "close buy take profit")
    strategy.close("Long", when = low < strategy.position_avg_price - StopLoss, comment = "close buy stop loss")
    strategy.close("Short", when = low < strategy.position_avg_price - TakeProfit, comment = "close buy take profit")
    strategy.close("Short", when = high > strategy.position_avg_price + StopLoss, comment = "close buy stop loss")
nColor = BarColors ? strategy.position_avg_price != 0  and pos == 1 ? color.green :strategy.position_avg_price != 0 and pos == -1 ? color.red : color.blue : na
barcolor(nColor)
plot(nRes, title='SMA', color=#00ffaa, linewidth=2, style=plot.style_line)
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