双重趋势跟随交易策略 双重趋势跟随交易策略通过在多个时间周期判断趋势方向,实现在趋势开始时及早进入市场。该策略同时使用MACD和随机指数平滑移动平均线(SRSI)作为判断指标,在日线和4小时线形成一致信号时发出交易指令。
策略原理:
在日线上计算MACD和SRSI指标,当MACD上穿信号线且SRSI%K上穿信号线时,判断为看涨信号。
在4小时线上计算MACD和SRSI指标,当MACD上穿信号线且SRSI%K上穿信号线时,判断为看涨信号。
仅在日线和4小时线上的看涨信号同时出现时,做多入场。
若日线和4小时线上的看涨信号同时消失,平多仓位。
若日线和4小时线上的看跌信号(MACD和SRSI指标下穿)同时出现,做空入场。
若日线和4小时线上的看跌信号同时消失,平空仓位。
持续监控双重信号,实现趋势跟随。
该策略的优势是能在趋势开始早期就进入市场,通过双重过滤提高信号的可靠性,避免在震荡期错
/*backtest
start: 2023-08-12 00:00:00
end: 2023-09-11 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// strategy(title='[RS]Khizon (DWTI) Strategy V0', shorttitle='K', overlay=false, pyramiding=0, initial_capital=100000, currency=currency.USD)
trade_size = 10000
// || Inputs:
macd_src = input(title='MACD Source:', defval=close)
macd_fast = input(title='MACD Fast Length:', defval=12)
macd_slow = input(title='MACD Slow Length:', defval=26)
macd_signal_smooth = input(title='MACD Signal Smoothing:', defval=9)
srsi_src = input(title='SRSI Source:', defval=close)
srsi_rsi_length = input(title='SRSI RSI Length:', defval=14)
srsi_stoch_length = input(title='SRSI Stoch Length:', defval=14)
srsi_smooth = input(title='SRSI Smoothing:', defval=14)
srsi_signal_smooth = input(title='SRSI Signal Smoothing:', defval=14)
// || MACD(close, 12, 26, 9): ||---------------------------------------------||
f_macd_trigger(_src, _fast, _slow, _signal_smooth)=>
_macd = ema(_src, _fast) - ema(_src, _slow)
_signal = sma(_macd, _signal_smooth)
_return_trigger = _macd >= _signal ? true : false
// || Stoch RSI(close, 14, 14, 3, 3) ||-----------------------------------------||
f_srsi_trigger(_src, _rsi_length, _stoch_length, _smooth, _signal_smooth)=>
_rsi = rsi(_src, _rsi_length)
_stoch = sma(stoch(_rsi, _rsi, _rsi, _stoch_length), _smooth)
_signal = sma(_stoch, _signal_smooth)
_return_trigger = _stoch >= _signal ? true : false
// ||-----------------------------------------------------------------------------||
// ||-----------------------------------------------------------------------------||
// || Check Directional Bias from daily timeframe:
daily_trigger = security('USOIL', 'D', f_macd_trigger(macd_src, macd_fast, macd_slow, macd_signal_smooth) and f_srsi_trigger(srsi_src, srsi_rsi_length, srsi_stoch_length, srsi_smooth, srsi_signal_smooth))
h4_trigger = security('USOIL', '240', f_macd_trigger(macd_src, macd_fast, macd_slow, macd_signal_smooth) and f_srsi_trigger(srsi_src, srsi_rsi_length, srsi_stoch_length, srsi_smooth, srsi_signal_smooth))
plot(0, style=circles, color=daily_trigger?blue:na, linewidth=4, transp=65)
plot(0, style=circles, color=h4_trigger?navy:na, linewidth=2, transp=0)
sel_open = daily_trigger and h4_trigger
buy_open = not daily_trigger and not h4_trigger
strategy.entry('sel', long=false, comment='sel', when=sel_open)
strategy.entry('buy', long=true, comment='buy', when=buy_open)