零拉格MACD DEMA突破策略
该策略基于Toff的MACD DEMA指标构建交易信号。MACD DEMA指标通过计算DEMA快线和DEMA慢线的差值,再经过去相移处理,可以有效消除MACD指标的滞后问题。
该策略的交易规则是:当零拉格MACD上穿0轴做多;当零拉格MACD下穿0轴做空。通过MACD对0轴的突破来判断市场的多空态势。
这种基于零拉格MACD的策略的优势在于可以更敏感地捕捉趋势的变化,采用DEMA而非EMA可以过滤假突破。但是MACD指标本身对复杂行情的判断力有限,存在一定的错误信号风险,需要配合趋势过滤指标来提高稳定性。
总的来说,零拉格MACD DEMA突破策略对强势趋势行情效果很好,可以快速抓住机会。但在盘整行情中表现较差,需要谨慎使用。只有不断优化参数并严格控制风险,才能长期应用该策略。
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// strategy(title="Patron04 MACD DEMA Strategy",default_qty_type = strategy.percent_of_equity,default_qty_value = 3500, overlay=true)
testStartYear = input(2000, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2100, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
sma = input(12,title='DEMA Courte')
lma = input(26,title='DEMA Longue')
tsp = input(9,title='Signal')
dolignes = input(true,title="Lignes")
MMEslowa = ema(close,lma)
MMEslowb = ema(MMEslowa,lma)
DEMAslow = ((2 * MMEslowa) - MMEslowb )
MMEfasta = ema(close,sma)
MMEfastb = ema(MMEfasta,sma)
DEMAfast = ((2 * MMEfasta) - MMEfastb)
LigneMACDZeroLag = (DEMAfast - DEMAslow)
MMEsignala = ema(LigneMACDZeroLag, tsp)
MMEsignalb = ema(MMEsignala, tsp)
Lignesignal = ((2 * MMEsignala) - MMEsignalb )
MACDZeroLag = (LigneMACDZeroLag - Lignesignal)
long = LigneMACDZeroLag > 0
short = LigneMACDZeroLag < 0
if testPeriod()
strategy.entry("Long", strategy.long,when=long)
strategy.entry("Short", strategy.short,when=short)