ChaoZhang
概述
Hull移动平均趋势跟踪策略是一种利用Hull移动平均线判断市场趋势方向,并发出买入和卖出信号的量化交易策略。该策略能够捕捉中长线趋势,在趋势开始阶段建立仓位,在趋势反转前平仓止盈。
原理
该策略同时使用Hull移动平均线和普通移动平均线判断趋势方向。当短周期Hull MA上穿长周期Hull MA时为买入信号。当短周期Hull MA下穿长周期Hull MA时为卖出信号。
普通移动平均线用来判断即时趋势方向。当短周期EMA上穿长周期EMA时为看涨,当短周期EMA下穿长周期EMA时为看跌。只有Hull MA信号和EMA同向看涨或看跌时,才会发出交易信号。
此外,该策略还利用K线实体通道判断市场波动幅度,避免在震荡市中错交易。只有价格突破通道才考虑建仓。
优势
Hull移动平均线对价格变动更敏感,可以提早捕捉趋势转折。
组合使用Hull MA和EMA,可以过滤假信号。
利用K线通道判断震荡,避免在盘整中频繁交易。
采用趋势跟踪方式,能够持续捕捉中长线趋势的利润。
风险
移动平均线存在滞后性,可能错过趋势反转的最佳入场点位。
震荡势头的判断不准确,可能在盘整中错交易。
交易次数较少,容易受单笔损失的影响。
无法有效利用短线震荡获利。
应对方法
优化移动平均线的周期参数,追求及时反应趋势。
辅助采用其他指标判断震荡,如RSI、BBANDS等。
采用积极的资金管理,控制单笔损失比例。
可辅助采用其他策略来捕捉短线利润。
总结
Hull移动平均趋势跟踪策略通过Hull MA和EMA的组合运用,能够有效跟踪中长线趋势。在获利趋势中持续累积利润,并尽早在趋势反转前止盈。这是一个简单实用的量化交易策略,值得推荐。
策略源码
/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// strategy(title='HULLMiguel 2019/ Strategy v3', shorttitle='HULLMiguel_2019_Strategy', overlay=true, pyramiding=0, default_qty_value=1000, initial_capital=1000, currency=currency.USD)
//Candle body resistance Channel-----------------------------//
len = 34
src = input(close, title="Candle body resistance Channel")
out = sma(src, len)
last8h = highest(close, 13)
lastl8 = lowest(close, 13)
bearish = cross(close,out) == 1 and falling(close, 1)
bullish = cross(close,out) == 1 and rising(close, 1)
channel2=input(false, title="Bar Channel On/Off")
ul2=plot(channel2?last8h:last8h==nz(last8h[1])?last8h:na, color=black, linewidth=1, style=linebr, title="Candle body resistance level top", offset=0)
ll2=plot(channel2?lastl8:lastl8==nz(lastl8[1])?lastl8:na, color=blue, linewidth=1, style=linebr, title="Candle body resistance level bottom", offset=0)
//fill(ul2, ll2, color=black, transp=95, title="Candle body resistance Channel")
//-----------------Support and Resistance
RST = input(title='Support / Resistance length:', defval=15)
RSTT = valuewhen(high >= highest(high, RST), high, 0)
RSTB = valuewhen(low <= lowest(low, RST), low, 0)
RT2 = plot(RSTT, color=RSTT != RSTT[1] ? na : red, linewidth=1, offset=+0)
RB2 = plot(RSTB, color=RSTB != RSTB[1] ? na : green, linewidth=1, offset=0)
//--------------------Trend colour ema------------------------------------------------//
src0 = close, len0 = input(13, minval=1, title="EMA 1")
ema0 = ema(src0, len0)
direction = rising(ema0, 2) ? +1 : falling(ema0, 2) ? -1 : 0
plot_color = direction > 0 ? lime: direction < 0 ? red : na
plot(ema0, title="EMA", style=line, linewidth=3, color = plot_color)
//-------------------- ema 2------------------------------------------------//
src02 = close, len02 = input(21, minval=1, title="EMA 2")
ema02 = ema(src02, len02)
direction2 = rising(ema02, 2) ? +1 : falling(ema02, 2) ? -1 : 0
plot_color2 = direction2 > 0 ? green: direction2 < 0 ? red : na
plot(ema02, title="EMA Signal 2", style=line, linewidth=2, color = plot_color2)
//=============Hull MA//
show_hma = input(false, title="Display Hull MA Set:")
hma_src = input(close, title="Hull MA's Source:")
hma_base_length = input(16, minval=1, title="Hull MA's Base Length:")
hma_length_scalar = input(10, minval=0, title="Hull MA's Length Scalar:")
hullma(src, length)=>wma(2*wma(src, length/2)-wma(src, length), round(sqrt(length)))
plot(not show_hma ? na : hullma(hma_src, hma_base_length+hma_length_scalar*6), color=black, linewidth=5, title="Hull MA")
dif_close_hull= (close-hullma(hma_src, hma_base_length+hma_length_scalar*6))/close
Percent_dif = (dif_close_hull/(hullma(hma_src, hma_base_length+hma_length_scalar*6)))
//direction3 = Percent_dif>0 ? +1 : Percent_dif<0 ? -1 : 0
//plot_color3 = direction3 > 0 ? lime: direction3 < 0 ? red : na
//plot(dif_close_hull, title="dif close hull", style=line, linewidth=6, color = plot_color3)
//============ signal Generator ==================================//
Piriod=input('720')
ch1 = security(syminfo.tickerid, Piriod, open)
ch2 = security(syminfo.tickerid, Piriod, close)
plot(ch1, title="EMA Signal 2", style=line, linewidth=1, color = blue)
//longCondition = crossover(security(tickerid, Piriod, close),security(tickerid, Piriod, open))
//plot((close-ema02)/ema02+close)
longCondition = direction > 0 and direction2> 0
if (longCondition)
strategy.entry("BUY", strategy.long)
//shortCondition = crossunder(security(tickerid, Piriod, close),security(tickerid, Piriod, open))
shortCondition = direction < 0 and direction2 < 0
if (shortCondition)
strategy.entry("SELL", strategy.short)
///////////////////////////////////////////////////////////////////////////////////////////