多因子动态资金管理策略
Author: ChaoZhang, Date: 2023-10-17 15:09:59Tags:
概述
本策略综合运用MACD,RSI,PSAR等多种技术指标以及动态资金管理原理,实现多时间框架下的趋势跟踪和反转交易。策略可适用于短线、中线以及长线交易。
原理
策略使用PSAR指标判断趋势方向。EMA快慢线与BB中线交叉作为第一确认点。MACD柱形图方向作为第二确认点。RSI过买过卖区域作为第三确认点。满足以上条件时产生交易信号。
入场后设置止损止盈点。止损点按ATR值的一定倍数设置。止盈点同理。同时设置浮亏百分比止损。当亏损达到账户总权益的一定比例时止损出场。
浮盈也有百分比设置。当盈利达到账户总权益一定比例时止盈出场。
动态资金管理根据账户总权益、ATR、设置的止损倍数计算仓位大小。同时设置最小交易量。
优势
多因子确认,避免假突破,提高入场准确率。
动态资金管理控制单笔风险,有效保护账户。
止损止盈点按ATR设置,可根据市场波动程度调整。
百分比浮亏浮盈设置锁定盈利,避免回吐。
风险
多因子组合可能错过部分交易机会。
百分比设置过高可能导致亏损扩大。
ATR数值设置不当可能导致止损止盈过于宽松或过于激进。
资金管理设置不当可能导致单笔仓位过大。
优化方向
调整入场因子权重,优化信号准确率。
测试不同百分比参数设置,找到最佳组合。
根据不同品种特点选择合理ATR倍数。
根据回测结果动态调整资金管理参数。
优化时间段设置,测试交易时段。
总结
本策略综合运用多种技术指标进行趋势判断,加入动态资金管理控制风险,实现多时间框架下稳定盈利。可根据回测结果继续优化因子权重、风控参数以及资金管理设定,从而获取更好效果。
/*backtest
start: 2023-09-16 00:00:00
end: 2023-10-16 00:00:00
period: 10m
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/
// © SoftKill21
//@version=4
strategy("EURUSD 1min strat RISK %% ", overlay=false, initial_capital = 1000)
// BACKTESTING RANGE
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 6, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", minval = 1970)
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2020, title = "To Year", minval = 1970)
// Calculate start/end date and time condition
DST = 1 //day light saving for usa
//--- Europe
London = iff(DST==0,"0000-0900","0100-1000")
//--- America
NewYork = iff(DST==0,"0400-1500","0500-1600")
//--- Pacific
Sydney = iff(DST==0,"1300-2200","1400-2300")
//--- Asia
Tokyo = iff(DST==0,"1500-2400","1600-0100")
//-- Time In Range
timeinrange(res, sess) => time(res, sess) != 0
london = timeinrange(timeframe.period, London)
newyork = timeinrange(timeframe.period, NewYork)
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
//
//
// rsi
length = input( 5 )
overSold = input( 23 )
overBought = input( 72 )
price = close
vrsi = rsi(price, length)
co = crossover(vrsi, overSold)
cu = crossunder(vrsi, overBought)
// macd
fast_length_macd = input(title="Fast Length", type=input.integer, defval=12)
slow_length_macd = input(title="Slow Length", type=input.integer, defval=26)
src_macd = input(title="Source", type=input.source, defval=close)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=true)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=true)
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
// Calculating
fast_ma = sma_source ? sma(src_macd, fast_length_macd) : ema(src_macd, fast_length_macd)
slow_ma = sma_source ? sma(src_macd, slow_length_macd) : ema(src_macd, slow_length_macd)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below) ), transp=0 )
// sar
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)
var bool uptrend = na
var float EP = na
var float SAR = na
var float AF = start
var float nextBarSAR = na
if bar_index > 0
firstTrendBar = false
SAR := nextBarSAR
if bar_index == 1
float prevSAR = na
float prevEP = na
lowPrev = low[1]
highPrev = high[1]
closeCur = close
closePrev = close[1]
if closeCur > closePrev
uptrend := true
EP := high
prevSAR := lowPrev
prevEP := high
else
uptrend := false
EP := low
prevSAR := highPrev
prevEP := low
firstTrendBar := true
SAR := prevSAR + start * (prevEP - prevSAR)
if uptrend
if SAR > low
firstTrendBar := true
uptrend := false
SAR := max(EP, high)
EP := low
AF := start
else
if SAR < high
firstTrendBar := true
uptrend := true
SAR := min(EP, low)
EP := high
AF := start
if not firstTrendBar
if uptrend
if high > EP
EP := high
AF := min(AF + increment, maximum)
else
if low < EP
EP := low
AF := min(AF + increment, maximum)
if uptrend
SAR := min(SAR, low[1])
if bar_index > 1
SAR := min(SAR, low[2])
else
SAR := max(SAR, high[1])
if bar_index > 1
SAR := max(SAR, high[2])
nextBarSAR := SAR + AF * (EP - SAR)
//plot(SAR, style=plot.style_cross, linewidth=3, color=color.orange)
//plot(nextBarSAR, style=plot.style_cross, linewidth=3, color=color.aqua)
//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)
//bb
length_bb = input(17, minval=1)
src_bb = input(close, title="Source")
mult_bb = input(2.0, minval=0.001, maxval=50, title="StdDev")
basis_bb = sma(src_bb, length_bb)
dev_bb = mult_bb * stdev(src_bb, length_bb)
upper_bb = basis_bb + dev_bb
lower_bb = basis_bb - dev_bb
offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
//plot(basis_bb, "Basis", color=#872323, offset = offset)
//p1_bb = plot(upper_bb, "Upper", color=color.teal, offset = offset)
//p2_bb = plot(lower_bb, "Lower", color=color.teal, offset = offset)
//fill(p1_bb, p2_bb, title = "Background", color=#198787, transp=95)
//ema
len_ema = input(10, minval=1, title="Length")
src_ema = input(close, title="Source")
offset_ema = input(title="Offset", type=input.integer, defval=0, minval=-500, maxval=500)
out_ema = ema(src_ema, len_ema)
//plot(out_ema, title="EMA", color=color.blue, offset=offset_ema)
//out_ema e emaul
//basis_bb e middle de la bb
//hist e histograma
// rsi cu band0 cross pt rsi
// confirmarea
shortCondition = (uptrend==false and crossunder(ema(src_ema, len_ema),sma(src_bb, length_bb)) and hist < 0 and vrsi < overSold) //and time_cond
longCondition = (uptrend==true and crossover(ema(src_ema, len_ema),sma(src_bb, length_bb)) and hist > 0 and vrsi > overBought ) //and time_cond
//tp=input(0.0025,type=input.float, title="tp")
//sl=input(0.001,type=input.float, title="sl")
//INDICATOR---------------------------------------------------------------------
//Average True Range (1. RISK)
atr_period = input(14, "Average True Range Period")
atr = atr(atr_period)
strategy.initial_capital = 50000
//MONEY MANAGEMENT--------------------------------------------------------------
balance = strategy.netprofit + strategy.initial_capital //current balance
floating = strategy.openprofit //floating profit/loss
risk = input(2,type=input.float,title="Risk %")/100 //risk % per trade
isTwoDigit = input(false,"Is this a 2 digit pair? (JPY, XAU, XPD...")
equity_protector = input(1 ,type=input.float, title="Equity Protection %")/100 //equity protection %
equity_protectorTP = input(2 ,type=input.float, title="Equity TP %")/100 //equity protection %
multtp = input(5,type=input.float, title="multi atr tp")
multsl = input(5,type=input.float, title="multi atr sl")
stop = atr*100000*input(1,"SL X")* multsl //Stop level
if(isTwoDigit)
stop := stop/100
target = atr*100000*input(1,"TP X")*multtp //Stop level
//Calculate current DD and determine if stopout is necessary
equity_stopout = false
if(floating<0 and abs(floating/balance)>equity_protector)
equity_stopout := true
equity_stopout2 = false
if(floating>0 and abs(floating/balance)>equity_protectorTP)
equity_stopout2 := true
//Calculate the size of the next trade
temp01 = balance * risk //Risk in USD
temp02 = temp01/stop //Risk in lots
temp03 = temp02*100000 //Convert to contracts
size = temp03 - temp03%1000 //Normalize to 1000s (Trade size)
if(size < 10000)
size := 10000 //Set min. lot size
//TRADE EXECUTION---------------------------------------------------------------
strategy.close_all(equity_stopout, comment="equity sl", alert_message = "equity_sl") //Close all trades w/equity protector
//strategy.close_all(equity_stopout2, comment="equity tp", alert_message = "equity_tp") //Close all trades w/equity protector
is_open = strategy.opentrades > 0
strategy.entry("long",true,oca_name="a",when=longCondition and not is_open) //Long entry
strategy.entry("short",false,oca_name="a",when=shortCondition and not is_open) //Short entry
strategy.exit("exit_long","long",loss=stop, profit=target) //Long exit (stop loss)
strategy.close("long",when=shortCondition) //Long exit (exit condition)
strategy.exit("exit_short","short",loss=stop, profit=target) //Short exit (stop loss)
strategy.close("short",when=longCondition) //Short exit (exit condition)
//strategy.entry("long", strategy.long,size,when=longCondition , comment="long" , alert_message = "long")
//strategy.entry("short", strategy.short, size,when=shortCondition , comment="short" , alert_message = "short")
//strategy.exit("closelong", "long" , profit = close * tp / syminfo.mintick, alert_message = "closelong")
//strategy.exit("closeshort", "short" , profit = close * tp / syminfo.mintick, alert_message = "closeshort")
//strategy.exit("closelong", "long" ,size, profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closelong")
//strategy.exit("closeshort", "short" , size, profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closeshort")
//strategy.close("long" , when=not (time_cond), comment="time", alert_message = "closelong" )
//strategy.close("short" , when=not (time_cond), comment="time", alert_message = "closeshort")
//strategy.close_all(when=not (time_cond), comment ='time')
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