ChaoZhang
概述
该策略结合EMA和累积成交量指标,根据两者的交叉情况判断行情趋势,产生买入和卖出信号。属于典型的跟踪趋势策略,追踪较长线级别的市场方向。
策略原理
计算50日EMA均线,以及100日累积成交量指标。当EMA从下向上突破累积成交量时,产生买入信号做多;当EMA从上向下跌破累积成交量时,产生卖出信号做空。
在持仓过程中,设置固定止损和止盈 exiting 策略。止损设定为入场价格的 8% 下方;止盈设定为入场价格的8%上方,并在价格触及止盈点时平仓一部分仓位。
优势分析
该策略结合趋势指标EMA和资金流指标累积成交量,充分利用价格和成交量信息,可以有效识别中长线趋势。固定止盈止损策略直接高效,有利锁定部分利润并控制风险。
可自由调整EMA周期参数,适应不同品种。可做多做空,实现线性交易。回测数据显示,在趋势行情中,策略表现良好。
风险分析
该策略过于依赖均线指标,在区间震荡行情中容易产生误信号被套牢。固定止盈止损也可能造成过早离场或止损过大。仅考虑价格和成交量信息,而未考虑其他因素。
可以适当扩大均线参数,减少误信号。也可以引入波动率、RSI等指标辅助判断。优化止盈止损机制,例如引入追踪止损、动态止盈等方式。
优化方向
测试优化EMA参数组合,寻找最优参数。
引入其他技术指标,形成指标组合策略。
应用机器学习预测价格趋势,提高EMA效果。
优化止盈止损策略,结合追踪止损、动态止盈等机制。
引入资金管理模块,动态调整仓位。
针对品种特性调整参数,形成策略组合。
总结
该策略整合EMA和成交量指标,判断中长线趋势的思路清晰。但过度依赖均线和固定止盈止损也存在问题。加入更多指标判断并优化止盈止损策略,可以提高策略稳定性和盈利空间。总体来说,其提供了利用价格和成交量信息进行趋势跟踪的思路。
策略源码
/*backtest
start: 2023-08-20 00:00:00
end: 2023-09-19 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mohanee
//@version=4
strategy("EMA_cumulativeVolume_crossover[Strategy]", overlay=true, pyramiding=1, default_qty_type=strategy.percent_of_equity, default_qty_value=20, initial_capital=10000)
emaLength= input(50, title="EMA Length", minval=1, maxval=200)
cumulativePeriod = input(100, title="cumulative volume Period", minval=1, maxval=200)
riskCapital = input(title="Risk % of capital", defval=10, minval=1)
stopLoss=input(8,title="Stop Loss",minval=1)
takePartialProfits=input(false, title="take partial profits (percentage same as stop loss)")
tradeDirection=input(title="Trade Direction", defval="LONG", options=["LONG", "SHORT"])
avgPrice = (high + low + close) / 3
avgPriceVolume = avgPrice * volume
cumulPriceVolume = sum(avgPriceVolume, cumulativePeriod)
cumulVolume = sum(volume, cumulativePeriod)
vwapValue = cumulPriceVolume / cumulVolume
emaVal=ema(close, emaLength)
plot(emaVal, title="EMA", color=color.green, transp=25)
plot(vwapValue, title="Cumulate Volumne / VWAP", color=color.orange, linewidth=2, transp=25)
bgcolor(emaVal>vwapValue?color.blue:color.purple)
//Entry--
//Echeck how many units can be purchased based on risk manage ment and stop loss
qty1 = (strategy.equity * riskCapital / 100 ) / (close*stopLoss/100)
//check if cash is sufficient to buy qty1 , if capital not available use the available capital only
qty1:= (qty1 * close >= strategy.equity ) ? (strategy.equity / close) : qty1
strategy.entry(id="LE",comment="LE", long=true, qty=qty1, when=crossover(emaVal, vwapValue) and (tradeDirection=="LONG") ) //emaVal>vwapValue and crossover(close , emaVal)
//stoploss
stopLossVal= strategy.position_size>=1 ? (strategy.position_avg_price * (1-(stopLoss*0.01) )) : 0.00
//draw initil stop loss
plot(strategy.position_size>=1 ? stopLossVal : na, color = color.purple , style=plot.style_linebr, linewidth = 2, title = "stop loss")
//partial exits
takeProfit= strategy.position_size>=1 ? (strategy.position_avg_price * (1+(stopLoss*0.01) )) : ( close[1] * 2 )
if(takePartialProfits==true)
strategy.close(id="LE", comment="Partial"+tostring(close-strategy.position_avg_price, "###.##") , qty=strategy.position_size/3 , when = (tradeDirection=="LONG" ) and close>takeProfit and crossunder(close, emaVal) ) //close<close[1] and close[1]<close[2] and close[2]<close[3])
strategy.close(id="LE" , comment="LE Exit Points="+tostring(close-strategy.position_avg_price, "###.##"), when=crossunder(emaVal, vwapValue) and (tradeDirection=="LONG") )
strategy.close(id="LE" , comment="SL Exit Loss="+tostring(close-strategy.position_avg_price, "###.##"), when= close < stopLossVal and (tradeDirection=="LONG") )
//for short you dont have to wait crossodown of ema, falling is speed , so just check if close crossing down vwapVal
strategy.entry(id="SE",comment="SE", long=false, qty=qty1, when=(close<vwapValue and close<open and close[1] < vwapValue and close[1]<open[1] and close<close[1]) and emaVal>=vwapValue and (tradeDirection=="SHORT") ) //emaVal>vwapValue and crossover(close , emaVal)
//stoploss
stopLossValUpside= abs(strategy.position_size)>=1 and tradeDirection=="SHORT" ? (strategy.position_avg_price * (1+(stopLoss*0.01) )) : 0.00
//draw initil stop loss
plot(abs(strategy.position_size)>=1 and tradeDirection=="SHORT" ? stopLossValUpside : na, color = color.purple , style=plot.style_linebr, linewidth = 2, title = "stop loss")
//partial exits
shortTakeProfit= abs(strategy.position_size)>=1 and tradeDirection=="SHORT" ? (strategy.position_avg_price * (1-(stopLoss*0.01) )) : 0.00
if(takePartialProfits==true)
strategy.close(id="SE", comment="Partial" , qty=strategy.position_size/3 , when = (tradeDirection=="SHORT" ) and close<shortTakeProfit ) //close<takeProfit and (emaVal - close)>8 )
//strategy.close(id="SE" , comment="SE Exit Points="+tostring(close-strategy.position_avg_price, "###.##"), when=crossover(emaVal, vwapValue) and (tradeDirection=="SHORT") )
strategy.close(id="SE" , comment="SE Exit Points="+tostring(close-strategy.position_avg_price, "###.##"), when= abs(strategy.position_size)>=1 and ( (emaVal<vwapValue and close>vwapValue and open>vwapValue and close>open ) or (crossover(emaVal,vwapValue)) ) and (tradeDirection=="SHORT") )
strategy.close(id="SE" , comment="SL Exit Loss="+tostring(close-strategy.position_avg_price, "###.##"), when= abs(strategy.position_size)>=1 and close > stopLossValUpside and (tradeDirection=="SHORT" ) )
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