ChaoZhang
概述
该策略基于交易量指标(VFI)实现趋势跟踪交易。策略通过计算股价波动和交易量变化,判断市场趋势方向,实现低买高卖。
策略原理
计算VFI指标:根据股价的对数变化和交易量计算VFI值,通过平滑处理消除震荡。
判断趋势方向:VFI指标上穿0轴为看涨信号,下穿0轴为看跌信号。
交易信号:快速EMA上穿慢速EMA,且VFI上穿买入线时做多;VFI下穿卖出线时平仓。
止损方式:设定固定止损比例。
该策略主要依靠VFI指标判断趋势方向,与均线系统配合发出交易信号。VFI指标通过股价波动和交易量变化反映市场情绪,是一种趋势跟踪指标。与单一价格指标相比,VFI指标 judgments更全面,能更好地识别趋势转折点,过滤震荡。
策略优势
VFI指标判断趋势优于单一价格指标,能有效过滤震荡市和假突破。
均线系统辅助判断,避免VFI指标在震荡市中发出错误信号。
设定固定止损点控制风险,有利于风险管理。
采用趋势跟踪模式,无需猜测市场转折点,跟踪趋势即可获得超额收益。
参数设置灵活,可根据市场调整参数,适应不同周期和品种。
策略风险
大幅震荡市场中,VFI指标可能发出错误信号。
固定止损点可能过大或过小,导致止损过早或止损过晚。
若买入卖出参数设定不当,可能导致交易频繁或漏单。
趋势跟踪策略无法抓住反转,需要及时止损。
参数不当可能导致进场过早或过晚。
策略优化
调整VFI参数,优化指标计算。
调整均线周期,优化发信号时机。
动态调整止损点,优化止损方式。
结合其他指标滤波,提高信号质量。
针对大周期和小周期分别优化参数组合。
测试不同品种参数健壮性,提高参数适应性。
总结
该策略基于VFI指标判断趋势方向,与均线系统配合过滤误差信号。通过趋势跟踪实现低买高卖,无需预测具体反转点。策略优势是判断趋势优于单一价格指标,能有效过滤震荡。主要风险在于震荡市中可能发出错误信号。通过调整参数和加入其他指标辅助,可以提高策略稳定性。总体来说,该策略以VFI指标为基础,进行参数和止损优化后,可以成为一个可靠的趋势跟踪策略。
策略源码
/*backtest
start: 2023-10-02 00:00:00
end: 2023-10-06 21:00:00
period: 3m
basePeriod: 1m
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
//This strategy is based on VFI indicator published by UTS.
//more details of VFI indicator can be found at [url=http://mkatsanos.com/VFI.html]http://mkatsanos.com/VFI.html[/url]
// I have added buy line and sell line to the indicator and tested SPY stock/index on one hour chart
//@version=4
strategy(title="VFI strategy [based on VFI indicator published by UTS]", overlay=false,pyramiding=2, default_qty_type=strategy.fixed, initial_capital=10000, currency=currency.USD)
// Const
kMaColor = color.aqua
kNeutralColor = color.gray
kBearColor = color.red
kBullColor = color.green
kAlma = "ALMA"
kEma = "EMA"
kSma = "SMA"
kWma = "WMA"
// Input
vfi_length = input(8, title="Length", minval=1) //default 130
vfi_coef = input(0.2, title="Coef", minval=0.1)
vfi_volCutoff = input(2.5, title="Volume Cutoff", minval=0.1)
vfi_smoothLen = input(3, title="Smoothing Period", minval=1)
vfi_smoothType = input(kEma, title="Smoothing Type", options=[kAlma, kEma, kSma, kWma])
//These are adde by me for the strategy purpose BEGIN
vfi_buyLine = input(-4, title="Buy Line", minval=-10)
vfi_sellLine = input(5, title="Sell Line", minval=-10)
stopLoss = input(title="Stop Loss%", defval=5, minval=1)
//These are adde by me for the strategy purpose END
vfi_longEMA = input(200, title="Long EMA", minval=1)
vfi_shortEMA1 = input(50, title="short EMA1", minval=1)
vfi_shortEMA2 = input(9, title="short EM2A", minval=1)
vfi_showTrend = input(false, title="Visualize Trend")
vfi_showFill = input(true, title="Apply Filling")
vfi_showMa = input(true, title="Show Moving Average")
vfi_maType = input(kSma, title="Moving Average Type", options=[kAlma, kEma, kSma, kWma])
vfi_maLength = input(30, title="Moving Average Length", minval=1)
vfi_almaOffset = input(0.85, title="• ALMA - Offset (global setting)", minval=0.0, maxval=1.0, step=0.05) // more smoothness (closer to 1) vs. more responsiveness (closer to 0)
vfi_almaSigma = input(6.0, title="• ALMA - Sigma (global setting)", minval=0.0, step=0.05) // the larger sigma the smoother ALMA
// Functionality
isRising(sig) =>
sig > sig[1]
isFlat(sig) =>
sig == sig[1]
vfi_trendColor(sig) =>
isFlat(sig) ? kNeutralColor : isRising(sig) ? kBullColor : kBearColor
vfi_color(sig) =>
isFlat(sig) ? kNeutralColor : sig > 0 ? kBullColor : kBearColor
osc_color(sig) =>
sig == 0 ? kNeutralColor : sig > 0 ? kBullColor : kBearColor
smooth(t, sig, len) =>
ma = float(sig) // None
if t == kSma // Simple
ma := sma(sig, len)
if t == kEma // Exponential
ma := ema(sig, len)
if t == kWma // Weighted
ma := wma(sig, len)
if t == kAlma // Arnaud Legoux
ma := alma(sig, len, vfi_almaOffset, vfi_almaSigma)
ma
calc_vfi(fviPeriod, smoothType, smoothLen, coef, vCoef) =>
avg = nz(hlc3)
inter = log(avg) - log(avg[1])
vInter = stdev(inter, 30)
cutOff = coef * vInter * close
vAve = smooth(kSma, volume[1], fviPeriod)
vMax = vAve * vCoef
vC = min(volume, vMax)
mf = avg - avg[1]
vCp = iff(mf > cutOff, vC, iff(mf < -cutOff, -vC, 0))
sVfi = sum(vCp, fviPeriod) / vAve
vfi = smooth(smoothType, sVfi, smoothLen)
value_vfi = calc_vfi(vfi_length, vfi_smoothType, vfi_smoothLen, vfi_coef, vfi_volCutoff)
value_ma = smooth(vfi_maType, value_vfi, vfi_maLength)
longEMAval= ema(close, vfi_longEMA)
shortEMAval1= ema(close, vfi_shortEMA1)
shortEMAval2= ema(close, vfi_shortEMA2)
color_vfi = vfi_showTrend ? vfi_trendColor(value_vfi) : vfi_color(value_vfi)
color_osc = vfi_showFill ? osc_color(value_vfi) : na
color_ma = vfi_showMa ? kMaColor : na
// Drawings
plot_vfi = plot(value_vfi, title="VFI", color=color_vfi, linewidth=1)
plot_fill = plot(0, color=color_vfi, editable=false)
fill(plot_vfi, plot_fill, title="Oscillator Fill", color=color_osc, transp=75)
hline(vfi_buyLine, color=color.green, title="Buy Line", linewidth=2, linestyle=hline.style_dashed)
hline(vfi_sellLine, color=color.purple, title="Sell Line", linewidth=2, linestyle=hline.style_dashed)
plot(value_ma, title="MA", color=color_ma, linewidth=2)
strategy.entry(id="VFI LE", long=true, when=crossover(value_vfi,vfi_buyLine) and ( shortEMAval1 >= longEMAval ))
//strategy.close(id="VFI LE", comment="Exit", when=crossunder(value_vfi,vfi_sellLine))
strategy.close(id="VFI LE", comment="TP Exit", when=crossunder(value_vfi,vfi_sellLine) and close>strategy.position_avg_price)
//strategy.close(id="VFI LE", comment="Exit", when= (shortEMAval1 > shortEMAval2 ) and crossunder(close, shortEMAval2))
//stoploss
stopLossVal = strategy.position_avg_price - (strategy.position_avg_price*stopLoss*0.01)
strategy.close(id="VFI LE", comment="SL Exit", when=crossunder(value_vfi,vfi_sellLine) and close < stopLossVal)
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