ChaoZhang
本策略名称为移动平均线交叉趋势追踪策略。该策略利用多组移动平均线指标的金叉死叉形态,判断市场趋势转折点,进行趋势追踪操作。
策略原理
计算多组不同参数的移动平均线,例如MA(5)、MA(10)等。
当短周期移动平均线上穿长周期移动平均线时,产生买入信号。
当短周期移动平均线下穿长周期移动平均线时,产生卖出信号。
crossover是交叉函数,用来判断交叉关系,长短周期均可以灵活设置。
具体交易规则
设置多组移动平均线,如MA(8)、MA(13)、MA(21)等。
当MA(8)上穿MA(13)时,做多入场。
当MA(8)下穿MA(13)时,做空入场。
可设置移动平均线类型,如EMA、SMA等。
可添加其他过滤条件,避免假突破。
策略优势
使用趋势追踪,避免逆势交易。
可灵活组合MA周期,适应不同周期。
可添加辅助指标过滤信号。
回撤较小,可设置止损进一步控制风险。
策略风险
大周期下行时,持仓亏损扩大的风险。
MA周期设置不当,可能错过交易机会。
需要及时止损,防止回撤过大。
交易费用也会影响盈利水平。
总结
移动平均线交叉趋势追踪策略,以趋势为王,追求 Prints。通过参数优化,可得到长短周期结合效果。辅助技术分析能提高效果。需要严格止损来控制风险,实盘时还需考虑交易成本影响。
策略源码
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-08 09:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Converted to strategy by shawnteoh
strategy(title = "MA Emperor insiliconot Strategy" , overlay=true, pyramiding=1, precision=8)
strat_dir_input = input(title="Strategy Direction", defval="long", options=["long", "short", "all"])
strat_dir_value = strat_dir_input == "long" ? strategy.direction.long : strat_dir_input == "short" ? strategy.direction.short : strategy.direction.all
strategy.risk.allow_entry_in(strat_dir_value)
// Testing start dates
testStartYear = input(2020, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
//Stop date if you want to use a specific range of dates
testStopYear = input(2030, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// Order size
orderQty = input(1, "Order quantity", type = float)
// Plot indicator
plotInd = input(false, "Plot indicators?", type = bool)
testPeriod() => true
haClose = close
haOpen = open
haHigh = high
haLow = low
haClose := (open + high + low + close) / 4
haOpen := (nz(haOpen[1]) + nz(haClose[1])) / 2
haHigh := max(high, max(haOpen, haClose))
haLow := min(low , min(haOpen, haClose))
ssrc = close
ha = false
o = ha ? haOpen : open
c = ha ? haClose : close
h = ha ? haHigh : high
l = ha ? haLow : low
ssrc := ssrc == close ? ha ? haClose : c : ssrc
ssrc := ssrc == open ? ha ? haOpen : o : ssrc
ssrc := ssrc == high ? ha ? haHigh : h : ssrc
ssrc := ssrc == low ? ha ? haLow : l : ssrc
ssrc := ssrc == hl2 ? ha ? (haHigh + haLow) / 2 : hl2 : ssrc
ssrc := ssrc == hlc3 ? ha ? (haHigh + haLow + haClose) / 3 : hlc3 : ssrc
ssrc := ssrc == ohlc4 ? ha ? (haHigh + haLow + haClose+ haOpen) / 4 : ohlc4 : ssrc
type = input(defval = "EMA", title = "Type", options = ["Butterworth_2Pole", "DEMA", "EMA", "Gaussian", "Geometric_Mean", "LowPass", "McGuinley", "SMA", "Sine_WMA", "Smoothed_MA", "Super_Smoother", "Triangular_MA", "Wilders", "Zero_Lag"])
len1=input(8, title ="MA 1")
len2=input(13, title = "MA 2")
len3=input(21, title = "MA 3")
len4=input(55, title = "MA 4")
len5=input(89, title = "MA 5")
lenrib=input(120, title = "IB")
lenrib2=input(121, title = "2B")
lenrib3=input(200, title = "21b")
lenrib4=input(221, title = "22b")
onOff1 = input(defval=true, title="Enable 1")
onOff2 = input(defval=true, title="Enable 2")
onOff3 = input(defval=true, title="Enable 3")
onOff4 = input(defval=false, title="Enable 4")
onOff5 = input(defval=false, title="Enable 5")
onOff6 = input(defval=false, title="Enable 6")
onOff7 = input(defval=false, title="Enable 7")
onOff8 = input(defval=false, title="Enable x")
onOff9 = input(defval=false, title="Enable x")
gauss_poles = input(3, "*** Gaussian poles ***", minval = 1, maxval = 14)
linew = 2
shapes = false
variant_supersmoother(src,len) =>
Pi = 2 * asin(1)
a1 = exp(-1.414* Pi / len)
b1 = 2*a1*cos(1.414* Pi / len)
c2 = b1
c3 = (-a1)*a1
c1 = 1 - c2 - c3
v9 = 0.0
v9 := c1*(src + nz(src[1])) / 2 + c2*nz(v9[1]) + c3*nz(v9[2])
v9
variant_smoothed(src,len) =>
v5 = 0.0
v5 := na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len
v5
variant_zerolagema(src, len) =>
price = src
l = (len - 1) / 2
d = (price + (price - price[l]))
z = ema(d, len)
z
variant_doubleema(src,len) =>
v2 = ema(src, len)
v6 = 2 * v2 - ema(v2, len)
v6
variant_WiMA(src, length) =>
MA_s= nz(src)
MA_s:=(src + nz(MA_s[1] * (length-1)))/length
MA_s
fact(num)=>
a = 1
nn = num <= 1 ? 1 : num
for i = 1 to nn
a := a * i
a
getPoles(f, Poles, alfa)=>
filt = f
sign = 1
results = 0 + n//tv series spoofing
for r = 1 to max(min(Poles, n),1)
mult = fact(Poles) / (fact(Poles - r) * fact(r))
matPo = pow(1 - alfa, r)
prev = nz(filt[r-1],0)
sum = sign * mult * matPo * prev
results := results + sum
sign := sign * -1
results := results - n
results
variant_gauss(Price, Lag, Poles)=>
Pi = 2 * asin(1)
beta = (1 - cos(2 * Pi / Lag)) / ( pow (sqrt(2), 2.0 / Poles) - 1)
alfa = -beta + sqrt(beta * beta + 2 * beta)
pre = nz(Price, 0) * pow(alfa, Poles)
filter = pre
result = n > 0 ? getPoles(nz(filter[1]), Poles, alfa) : 0
filter := pre + result
variant_mg(src, len)=>
mg = 0.0
mg := na(mg[1]) ? ema(src, len) : mg[1] + (src - mg[1]) / (len * pow(src/mg[1], 4))
mg
variant_sinewma(src, length) =>
PI = 2 * asin(1)
sum = 0.0
weightSum = 0.0
for i = 0 to length - 1
weight = sin(i * PI / (length + 1))
sum := sum + nz(src[i]) * weight
weightSum := weightSum + weight
sinewma = sum / weightSum
sinewma
variant_geoMean(price, per)=>
gmean = pow(price, 1.0/per)
gx = for i = 1 to per-1
gmean := gmean * pow(price[i], 1.0/per)
gmean
ggx = n > per? gx : price
ggx
variant_butt2pole(pr, p1)=>
Pi = 2 * asin(1)
DTR = Pi / 180
a1 = exp(-sqrt(2) * Pi / p1)
b1 = 2 * a1 * cos(DTR * (sqrt(2) * 180 / p1))
cf1 = (1 - b1 + a1 * a1) / 4
cf2 = b1
cf3 = -a1 * a1
butt_filt = pr
butt_filt := cf1 * (pr + 2 * nz(pr[1]) + nz(pr[2])) + cf2 * nz(butt_filt[1]) + cf3 * nz(butt_filt[2])
variant_lowPass(src, len)=>
LP = src
sr = src
a = 2.0 / (1.0 + len)
LP := (a - 0.25 * a * a) * sr + 0.5 * a * a * nz(sr[1]) - (a - 0.75 * a * a) * nz(sr[2]) + 2.0 * (1.0 - a) * nz(LP[1]) - (1.0 - a) * (1.0 - a) * nz(LP[2])
LP
variant_sma(src, len) =>
sum = 0.0
for i = 0 to len - 1
sum := sum + src[i] / len
sum
variant_trima(src, length) =>
len = ceil((length + 1) * 0.5)
trima = sum(sma(src, len), len)/len
trima
variant(type, src, len) =>
type=="EMA" ? ema(src, len) :
type=="LowPass" ? variant_lowPass(src, len) :
type=="Linreg" ? linreg(src, len, 0) :
type=="Gaussian" ? variant_gauss(src, len, gauss_poles) :
type=="Sine_WMA" ? variant_sinewma(src, len) :
type=="Geometric_Mean" ? variant_geoMean(src, len) :
type=="Butterworth_2Pole" ? variant_butt2pole(src, len) :
type=="Smoothed_MA" ? variant_smoothed(src, len) :
type=="Triangular_MA" ? variant_trima(src, len) :
type=="McGuinley" ? variant_mg(src, len) :
type=="DEMA" ? variant_doubleema(src, len):
type=="Super_Smoother" ? variant_supersmoother(src, len) :
type=="Zero_Lag" ? variant_zerolagema(src, len) :
type=="Wilders"? variant_WiMA(src, len) : variant_sma(src, len)
c1=#44E2D6
c2=#DDD10D
c3=#0AA368
c4=#E0670E
c5=#AB40B2
cRed = #F93A00
ma1 = variant(type, ssrc, len1)
ma2 = variant(type, ssrc, len2)
ma3 = variant(type, ssrc, len3)
ma4 = variant(type, ssrc, len4)
ma5 = variant(type, ssrc, len5)
ma6 = variant(type, ssrc, lenrib)
ma7 = variant(type, ssrc, lenrib2)
ma8 = variant(type, ssrc, lenrib3)
ma9 = variant(type, ssrc, lenrib4)
col1 = c1
col2 = c2
col3 = c3
col4 = c4
col5 = c5
p1 = plot(onOff1 ? ma1 : na, title = "MA 1", color = col1, linewidth = linew, style = linebr)
p2 = plot(onOff2 ? ma2 : na, title = "MA 2", color = col2, linewidth = linew, style = linebr)
p3 = plot(onOff3 ? ma3 : na, title = "MA 3", color = col3, linewidth = linew, style = linebr)
p4 = plot(onOff4 ? ma4 : na, title = "MA 4", color = col4, linewidth = linew, style = linebr)
p5 = plot(onOff5 ? ma5 : na, title = "MA 5", color = col5, linewidth = linew, style = linebr)
p6 = plot(onOff6 ? ma6 : na, title = "MA 6", color = col5, linewidth = linew, style = linebr)
p7 = plot(onOff7 ? ma7 : na, title = "MA 7", color = col5, linewidth = linew, style = linebr)
p8 = plot(onOff8 ? ma8 : na, title = "MA 8", color = col5, linewidth = linew, style = linebr)
p9 = plot(onOff9 ? ma9 : na, title = "MA 9", color = col5, linewidth = linew, style = linebr)
longCond = crossover(ma2, ma3)
if longCond and testPeriod()
strategy.entry("buy", strategy.long, qty = orderQty, when = open > ma2[1])
shortCond = crossunder(ma2, ma3)
if shortCond and testPeriod()
strategy.entry("sell", strategy.short, qty = orderQty, when = open < ma2[1])
plotshape(series=plotInd? longCond : na, title="P", style=shape.triangleup, location=location.belowbar, color=green, text="P", size=size.small)
plotshape(series=plotInd? shortCond : na, title="N", style=shape.triangledown, location=location.abovebar, color=red, text="N", size=size.small)
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