ChaoZhang
概述
本策略结合MACD和RSI两个指标,实现在趋势方向不明确的情况下,同时进行做多做空交易,以获取超额收益。
策略原理
- 计算快速EMA(12日线)和慢速EMA(26日线)
- 计算MACD收敛离差(快速EMA减去慢速EMA)
- 计算MACD的9日移动平均作为信号线signal
- 计算14日RSI
- 当MACD<-0.1,RSI<27且快速EMA低于慢速EMA时,做多
- 当MACD>0.125,RSI>81且快速EMA高于慢速EMA时,做空
- 设置止盈、止损、移动止损来管理仓位
优势分析
- 同时进行多空交易,可以在非趋势行情中获取超额收益
- 结合趋势方向指标EMA和反转指标RSI,可以提高信号质量
- 采用移动止损来锁定盈利,可以有效控制亏损风险
风险分析
- 双向交易需要更多资金来支撑保证金要求
- 行情剧烈反转时,可能同时止损多空头寸
- 参数设置不当可能导致过于频繁交易
风险解决方法:
- 充足的资金支持,控制仓位规模
- 合理设置止损距离,避免过密集止损
- 优化参数,降低交易频率
优化方向
- 可以考虑结合波动率指标,优化入场时机
- 可以测试不同参数组合,寻找最佳参数
- 可以根据市场条件优化止损策略,如尾随止损等
- 可以结合机器学习算法自动优化参数
总结
本策略通过MACD和RSI的组合,实现双向交易。使用移动止损来锁定盈利,可以在非趋势行情中获取超额收益。该策略可以进一步优化参数设置、止损策略等,以获得更稳定的超额收益。
策略源码
/*backtest
start: 2023-09-08 00:00:00
end: 2023-10-08 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// Revision: 290
// Author: @Hugo_Moriceau
//study("Moriceau_Crypto_strategies_Long_short_indicator_thesis",overlay=true)
// Pyramide 10 order size 100, every tick
strategy("Moriceau_Crypto_strategies_Long_short_indicator",overlay=true)
// === GENERAL INPUTS ===
fast = 12, slow = 26
fastMA = ema(close, fast)
slowMA = ema(close, slow)
macd = fastMA - slowMA
signal = sma(macd, 9)
rsi = rsi(close,14)
dataB = macd < -0.1 and rsi<27 and fastMA < slowMA
// data1 = macd > 0.125 and rsi>81 and fastMA> slowMA
dataS = macd > 0.125 and rsi > 81 and fastMA > slowMA
tradeInvert = input(defval = false, title = "Invert Trade Direction?")
// === LOGIC ===
// is fast ma above slow ma?
Achat = macd < -0.1 and rsi < 27 and fastMA < slowMA ? true : false
vente = macd > 0.125 and rsi > 81 and fastMA > slowMA ? true : false
// are we inverting our trade direction?
tradeDirection = vente ? Achat ? false : true : Achat ? true : false
// === Plot Setting ===
plot(fastMA,color=red)
plot(slowMA,color=blue)
barcolor(color=iff(fastMA > slowMA, yellow, na))
barcolor(color=iff(fastMA < slowMA, black, na))
//barcolor(color=iff(macd > 0.12*close , fuchsia, na))
//barcolor(color=iff(macd < -0.1*close , lime, na))
plotchar(dataB, char='B',color=black,size = size.auto,location = location.belowbar,transp= 0)
plotchar(dataS, char='S',color=black,size = size.auto,location = location.abovebar,transp= 0)
//fast = plot(maFast, title = "FastMA", color = yellow, linewidth = 2, style = line, transp = 50)
//slow = plot(maSlow, title = "SlowMA", color = black, linewidth = 2, style = line, transp = 50)
// === BACKTEST RANGE ===
FromMonth = input(defval = 05, title = "From Month", minval = 1)
FromDay = input(defval = 23, title = "From Day", minval = 1)
FromYear = input(defval = 2021, title = "From Year", minval = 2017)
ToMonth = input(defval = 5, title = "To Month", minval = 1)
ToDay = input(defval = 25, title = "To Day", minval = 1)
ToYear = input(defval = 2021, title = "To Year", minval = 2017)
// === STRATEGY RELATED INPUTS ===+
// the risk management inputs
inpTakeProfit = input(defval = 2500, title = "Take Profit", minval = 28)
inpStopLoss = input(defval = 600, title = "Stop Loss", minval = 15)
inpTrailStop = input(defval = 300, title = "Trailing Stop Loss", minval = 5)
inpTrailOffset = input(defval = 50, title = "Trailing Stop Loss Offset", minval = 1)
// === RISK MANAGEMENT VALUE PREP ===
// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na
useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() => not tradeDirection[1] and tradeDirection
exitLong() => tradeDirection[1] and not tradeDirection
strategy.entry(id = "Achat", long = true, when = enterLong()) // use function or simple condition to decide when to get in
strategy.close(id = "TP 50% Sell", when = exitLong()) // ...and when to get out
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() => tradeDirection[1] and not tradeDirection
exitShort() => not tradeDirection[1] and tradeDirection
strategy.entry(id = "Vente", long = false, when = enterShort())
strategy.close(id = "Vente", when = exitShort())
// === STRATEGY RISK MANAGEMENT EXECUTION ===
// finally, make use of all the earlier values we got prepped
strategy.exit("Vente", from_entry = "Vente", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Short", from_entry = "Achat", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
更多内容