ChaoZhang
概述:双K弹弓策略是一个融合123反转策略和Martin Pring特K策略优势的组合策略。该策略旨在利用反转策略和循环指标策略的优势,实现更准确的买入卖出信号。
策略原理:
双K弹弓策略由两部分组成:
123反转策略:该策略基于股票连续2天收盘价反转的特征,结合随机指标判断买入卖出时机。当收盘价比前一日高且随机指标低于50时,认为处于盘整阶段,产生买入信号;当收盘价比前一日低且随机指标高于50时,认为处于分配阶段,产生卖出信号。
Martin Pring特K策略:该策略利用不同周期量价曲线的叠加,形成一个综合循环指标。当该指标上穿其移动平均线时,产生买入信号;当下穿其移动平均线时,产生卖出信号。
双K弹弓策略对两个策略信号进行合并处理,即要两个策略同时发出买入/卖出信号,才会实际交易。这样可以发挥两个策略各自判断时点的优势,避免单一策略产生错误信号。
优势分析:
融合两种策略判断,使买卖信号更可靠,避免错误交易。
123反转策略可以抓住短期反转机会,Martin Pring特K策略可以判断长期趋势,二者结合既考虑短期又兼顾长期。
运用多周期量价曲线,对大周期市场节奏有敏锐判断。
随机指标参数可优化,可以自适应不同行情的股票特征。
风险分析:
合并信号时可能错过部分买卖点,无法完全紧贴短期行情。
样本外情况下,两个策略信号可能不一致,需要准确认定优选方向。
需要同时监控和优化两个策略的参数,优化难度较大。
长短周期指标参数优化不当可能错过周期转换点位。
优化方向:
测试不同参数对策略效果影响,找到最优参数组合。
增加止损模块,避免亏损扩大。
增加开仓量优化模块,根据市场情况调整仓位。
结合机器学习方法,训练出更鲁棒的买卖信号模型。
增加自适应参数优化模块,让策略参数动态跟踪市场节奏。
总结:
双K弹弓策略成功结合反转策略和循环指标策略的优点,在保证信号质量的同时,兼顾短期和长期利润機会。该策略思路新颖,值得进一步测试和优化,具有成为稳定策略的潜力。但仍需注意风险控制和参数优化,才能在复杂多变的市场中稳定获利。
/*backtest
start: 2023-09-17 00:00:00
end: 2023-10-17 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 17/02/2021
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Pring's Special K is a cyclical indicator created by Martin Pring.
// His method combines short-term, intermediate and long-term velocity
// into one complete series. Useful tool for Long Term Investors
// Modified for any source.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
MPSK(a, sources) =>
pos = 0.0
roc1 = (sma(roc(sources,10),10)*1)
roc2 = (sma(roc(sources,15),10)*2)
roc3 = (sma(roc(sources,20),10)*3)
roc4 = (sma(roc(sources,30),15)*4)
roc5 = (sma(roc(sources,40),50)*1)
roc6 = (sma(roc(sources,65),65)*2)
roc7 = (sma(roc(sources,75),75)*3)
roc8 = (sma(roc(sources,100),100)*4)
roc9 = (sma(roc(sources,195),130)*1)
roc10 = (sma(roc(sources,265),130)*2)
roc11 = (sma(roc(sources,390),130)*3)
roc12 = (sma(roc(sources,530),195)*4)
osc = roc1+roc2+roc3+roc4+roc5+roc6+roc7+roc8+roc9+roc10+roc11+roc12
oscsmt = sma(osc,a)
pos := iff(osc > oscsmt, 1,
iff(osc < oscsmt, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Martin Pring's Special K", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Martin Pring`s ----")
a = input(10, title = "Smooth" )
sources = input(title="Source", type=input.source, defval=close)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posMPSK = MPSK(a,sources)
pos = iff(posReversal123 == 1 and posMPSK == 1 , 1,
iff(posReversal123 == -1 and posMPSK == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1 )
strategy.entry("Long", strategy.long)
if (possig == -1 )
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )