ChaoZhang
概述
该策略使用双随机动能指标(SMI和RSI)进行多空判断,辅以马丁格尔和身体过滤进行交易信号筛选,旨在捕捉中短线趋势,追踪价格波动。
策略原理
该策略使用双随机动能指标SMI和RSI进行多空判断。SMI通过K线实体价差和收盘价的移动平均计算得到,可以有效识别反转点。RSI通过多空动量比较确定超买超卖。策略在SMI低于-50和RSI低于20时做多;SMI高于50和RSI高于80时做空。
为过滤假突破,策略还使用10周期身体均线的1/3作为突破过滤条件。当实体突破均线1/3时,认为突破有效。
此外,策略采用可选的马丁格尔策略,即亏损交易时按比例加仓,以期望追回前期亏损。
Backtest功能通过输入起止时间来回测策略效果。
优势分析
该策略综合运用双随机指标和过滤器,可以有效识别反转点,捕捉中短线趋势,追踪价格波动。
- SMI对反转点识别能力强,可有效判定超买超卖
- RSI叠加使用,可避免漏单
- 身体过滤去除假突破,提高信号准确率
- 可选马丁格尔追击策略,可追回部分亏损
风险分析
- SMI和RSI作为滞后指标,信号延迟存在追高杀跌风险
- 马丁格尔存在加速亏损的风险
- 大幅震荡市场中,过滤器会过滤掉部分 valid 信号
可通过优化SMI和RSI参数,降低追高杀跌概率。合理使用马丁格尔策略,控制加仓比例和次数。根据市场情况选择是否开启过滤器,降低过滤valid信号概率。
优化方向
- 优化SMI和RSI参数组合,找到最佳判定效果
- 调整过滤器参数,降低过滤valid信号概率
- 优化马丁格尔的加仓次数和比例
- 结合趋势指标,避免反向操作
- 增加止损策略,控制单笔亏损
总结
该策略综合运用双随机指标捕捉反转点,辅助以过滤器和马丁格尔进行交易信号筛选和追击,能有效识别中短线趋势,追踪价格波动,适合追求高胜率的投资者。使用时需注意指标滞后及震荡市的风险,可通过参数优化和止损来控制风险。
策略源码
/*backtest
start: 2022-09-30 00:00:00
end: 2023-10-06 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// strategy(title = "CS Basic Scripts - Stochastic Special (Strategy)", shorttitle = "Stochastic Special", overlay = false, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usemar = input(false, defval = false, title = "Use Martingale")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
usesmi = input(true, defval = true, title = "Use SMI Strategy")
usersi = input(true, defval = true, title = "Use RSI Strategy")
usebod = input(true, defval = true, title = "Use Body-Filter")
a = input(5, "SMI Percent K Length")
b = input(3, "SMI Percent D Length")
limit = input(50, defval = 50, minval = 1, maxval = 100, title = "SMI Limit")
//Backtesting Input Range
fromyear = input(2017, defval = 2017, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Fast RSI
fastup = rma(max(change(close), 0), 7)
fastdown = rma(-min(change(close), 0), 7)
fastrsi = fastdown == 0 ? 100 : fastup == 0 ? 0 : 100 - (100 / (1 + fastup / fastdown))
//Stochastic Momentum Index
ll = lowest (low, a)
hh = highest (high, a)
diff = hh - ll
rdiff = close - (hh+ll)/2
avgrel = ema(ema(rdiff,b),b)
avgdiff = ema(ema(diff,b),b)
SMI = avgdiff != 0 ? (avgrel/(avgdiff/2)*100) : 0
SMIsignal = ema(SMI,b)
//Lines
plot(SMI, color = blue, linewidth = 3, title = "Stochastic Momentum Index")
plot(SMIsignal, color = red, linewidth = 3, title = "SMI Signal Line")
plot(limit, color = black, title = "Over Bought")
plot(-1 * limit, color = black, title = "Over Sold")
plot(0, color = blue, title = "Zero Line")
//Body Filter
nbody = abs(close - open)
abody = sma(nbody, 10)
body = nbody > abody / 3 or usebod == false
//Signals
up1 = SMI < -1 * limit and close < open and body and usesmi
dn1 = SMI > limit and close > open and body and usesmi
up2 = fastrsi < 20 and close < open and body and usersi
dn2 = fastrsi > 80 and close > open and body and usersi
exit = ((strategy.position_size > 0 and close > open) or (strategy.position_size < 0 and close < open)) and body
//Trading
profit = exit ? ((strategy.position_size > 0 and close > strategy.position_avg_price) or (strategy.position_size < 0 and close < strategy.position_avg_price)) ? 1 : -1 : profit[1]
mult = usemar ? exit ? profit == -1 ? mult[1] * 2 : 1 : mult[1] : 1
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 * mult : lot[1]
if up1 or up2
if strategy.position_size < 0
strategy.close_all()
strategy.entry("long", strategy.long, needlong == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if dn1 or dn2
if strategy.position_size > 0
strategy.close_all()
strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if time > timestamp(toyear, tomonth, today, 23, 59) or exit
strategy.close_all()