ChaoZhang
本策略名称为“基于多指标集成的趋势追踪策略”。该策略整合运用RSI、ADX和MACD三个指标,在确认上涨趋势后进行做多,在确认下跌趋势后进行平仓。
RSI指标判断超买超卖状态。RSI上穿30代表超卖结束,考虑做多;RSI下穿70代表超买结束,考虑平仓。
ADX指标判断趋势力度。ADX值上穿25意味着进入趋势状态,下穿25代表趋势结束。
MACD指标判定短期趋势。DIFF上穿DEA代表短线上涨,考虑做多。DIFF下穿DEA代表短线下跌,考虑平仓。
当RSI、ADX和MACD三指标同时显示多头信号时,进行做多。当三指标显示多头趋势结束时,进行平仓。
该策略的优势在于多指标确认,可以有效防止出现假信号。但指标参数需要单独优化,且止损策略不可或缺。
总体来说,指标集成应用提高了判断效果,但交易者仍需保持辨别力,根据实际情况调整并验证策略参数。
策略源码
/*backtest
start: 2023-09-05 00:00:00
end: 2023-09-08 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// RSI
//@version=3
// strategy("Femi Strategy", overlay=true)
strategy("Femi Strategy", overlay=false)
RSIlength = input( 14 )
overSold = input( 30 )
overBought = input( 70 )
price = close
vrsi = rsi(price, RSIlength)
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)
// ADX
//@version=3
adxlen = input(14)
dilen = input(14)
adxThreshold = input( 25 )
dirmov(len) =>
up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
truerange = rma(tr, len)
plus = fixnan(100 * rma(plusDM, len) / truerange)
minus = fixnan(100 * rma(minusDM, len) / truerange)
[plus, minus]
adx(dilen, adxlen) =>
[plus, minus] = dirmov(dilen)
sum = plus + minus
adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
sig = adx(dilen, adxlen)
// MACD
//@version=3
MACDZero = input(0)
fastLength = input(12)
slowlength = input(26)
MACDLength = input(9)
MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD
source = close
length = input(20, minval=1)
mult = input(2.0, minval=0.001, maxval=50)
basis = sma(source, length)
dev = mult * stdev(source, length)
upper = basis + dev
lower = basis - dev
if (not na(vrsi))
if (crossover(delta, MACDZero))
strategy.entry("FEMIMACDLE", strategy.long, comment="FEMIMACDLE")
else
strategy.cancel(id="FEMIMACDLE")
if (crossunder(vrsi, overSold))
strategy.entry("FEMIRSILE", strategy.long, comment="FEMIRSILE")
else
strategy.cancel(id="FEMIRSILE")
// if(crossover(sig, adxThreshold)) // crossover(sig, adxThreshold) crossover(delta, MACDZero) crossunder(vrsi, overSold)
// strategy.entry("FEMIADXLE", strategy.long, comment="FEMIADXLE")
// else
// strategy.cancel(id="FEMIADXLE")
// if (crossover(source, lower))
// strategy.entry("FEMIBBLE", strategy.long, comment="FEMIBBLE")
// else
// strategy.cancel(id="FEMIBBLE")
// if(crossunder(sig, adxThreshold))
// strategy.cancel(id="FEMILE")
// strategy.exit(id="FEMILE")
// if (crossunder(delta, MACDZero))
// strategy.entry("FEMIMACDSE", strategy.short, comment="FEMIMACDSE")
if (crossover(vrsi, overBought))
// strategy.entry("FEMIRSISE", strategy.short, comment="FEMIRSISE")
strategy.close("FEMIRSILE")
strategy.close("FEMIMACDLE")
strategy.close("FEMIADXLE")
strategy.close("FEMIBBLE")
if (crossunder(sig, adxThreshold) and crossunder(delta, MACDZero) and crossunder(source, upper)) // crossover(delta, MACDZero) crossover(vrsi, overSold) crossover(sig, adxThreshold)
strategy.close("FEMIRSILE")
strategy.close("FEMIMACDLE")
strategy.close("FEMIADXLE")
strategy.close("FEMIBBLE")
// if(crossunder(source, upper))
// strategy.close("FEMIRSILE")
// strategy.close("FEMIMACDLE")
// strategy.close("FEMIADXLE")
// strategy.close("FEMIBBLE")
// strategy.entry("FEMIADXSE", strategy.short, comment="FEMIADXSE")
// else
// strategy.cancel(id="FEMISE")
// plot(sig, color=red, title="ADX", linewidth=2, style=areabr)
// plot(adxThreshold, color=blue, title="ADX")
// plot(vrsi, color=green, title="RSI", linewidth=2, style=areabr)
// plot(overSold, color=blue, title="RSI")
// plot(overBought, color=red, title="RSI")
// plot(delta, color=green, title="MACD", linewidth=2, style=areabr)
// plot(MACDZero, color=blue, title="MACD")
// plot(overBought, color=red, title="MACD")
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)