ChaoZhang
概述
这个策略的核心思想是利用多个不同时间周期的MACD指标的组合信号,来判断行情趋势变化的时机,实现低风险的趋势跟踪交易。
策略原理
策略使用5个不同时间周期的MACD指标,包括60分钟、120分钟、240分钟、480分钟和日线,形成一个MACD指标的多时间框架组合。
当5个时间周期的MACD指标都为正(或负),并且上一根K线还不是全部MACD正(或负)时,判断为多头(或空头)信号,做多(或做空)。
止损方式为固定点数止损。
止盈方式为两个级别的移动止盈,分别关闭一部分和全部头寸。
当MACD指标出现一个多一个空的情况时,判断为信号反转,平掉当前头寸。
还使用TsL进行追踪止损。
使用止损移动到breakeven功能,当达到特定盈利后,将止损移动到开仓价附近,锁定盈利。
使用了Pineconector的语法,动态生成交易信号弹窗。
策略优势
多时间框架MACD组合,可以提高信号准确性, capture大趋势,过滤掉部分噪音。
两个级别的移动止盈设定,可以在大趋势中多次获得部分利润。
固定止损点数设定,可以控制单笔损失。
当MACD指标不一致时平仓,可以及时止损,避免打破止损。
TsL跟踪止损功能,让止损实时跟踪价格变化。
止损移动到BE功能,可以在亏损变盈利后锁定部分利润。
动态交易信号,可以连接到MT4/5实现自动交易。
风险及解决
MACD信号可能出现假突破,造成不必要的亏损。可以适当调整MACD参数,过滤掉过多假信号。
固定止损点数可能过大过小。可以测试不同止损点数大小,找到最佳参数。
两个止盈点过近或过远,无法实现最佳回撤和利润率。可以测试不同止盈点,找到最佳参数。
BE功能可能过早或过晚触发。可以测试不同的BE触发点,找到最佳参数。
追踪止损距离可能过大过小。可以测试不同追踪止损距离,找到最佳参数。
策略优化
可以测试更多种时间框架的MACD组合,找到captured市场趋势的最佳组合。
可以引入更多指标判断行情背景,避免不适合的行情打开仓位。
可以研究不同品种参数设置差异,设计自适应止损止盈系统。
可以结合机器学习技术,实现止损止盈参数的动态优化。
可以引入资金管理模块,使仓位大小动态调整,控制风险。
总结
整体来说,这个策略利用多时间框架MACD指标判断趋势,设置双止盈、追踪止损、BE功能来锁定利润,固定止损控制风险,是一个相对稳定的趋势跟踪策略。通过参数优化和功能扩展,可以进一步增强策略的稳定性和收益率。关键是找到参数的最佳组合,实现风险和收益的最优平衡。
策略源码
/*backtest
start: 2023-09-24 00:00:00
end: 2023-10-24 00:00:00
period: 6h
basePeriod: 15m
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/
//@version=5
//@strategy_alert_message {{strategy.order.alert_message}}
SCRIPT_NAME = "Heatmap MACD Strategy - Pineconnector"
strategy(SCRIPT_NAME,
overlay= true,
process_orders_on_close = true,
calc_on_every_tick = true,
pyramiding = 1,
initial_capital = 100000,
default_qty_type = strategy.fixed,
default_qty_value = 1,
commission_type = strategy.commission.percent,
commission_value = 0.075,
slippage = 1
)
pineconnector_licence_ID = input.string(title = "Licence ID", defval = "123456789", group = "Pineconnector", tooltip = "Insert your Pineconnector Licence ID here")
pos_size = input.float(3, minval = 0, maxval = 100, title = "Position Size", group = "Position Size", tooltip = "Required to specify the position size here for Pineconnector to work properly")
res1 = input.timeframe('60', title='First Timeframe', group = "Timeframes")
res2 = input.timeframe('120', title='Second Timeframe', group = "Timeframes")
res3 = input.timeframe('240', title='Third Timeframe', group = "Timeframes")
res4 = input.timeframe('240', title='Fourth Timeframe', group = "Timeframes")
res5 = input.timeframe('480', title='Fifth Timeframe', group = "Timeframes")
macd_src = input.source(close, title="Source", group = "MACD")
fast_len = input.int(9, minval=1, title="Fast Length", group = "MACD")
slow_len = input.int(26, minval=1, title="Slow Length", group = "MACD")
sig_len = input.int(9, minval=1, title="Signal Length", group = "MACD")
// # ========================================================================= #
// # | Close on Opposite |
// # ========================================================================= #
use_close_opposite = input.bool(false, title = "Close on Opposite Signal?", group = "Close on Opposite", tooltip = "Close the position if 1 or more MACDs become bearish (for longs) or bullish (for shorts)")
// # ========================================================================= #
// # | Stop Loss |
// # ========================================================================= #
use_sl = input.bool(true, title = "Use Stop Loss?", group = "Stop Loss")
sl_mode = "pips"//input.string("%", title = "Mode", options = ["%", "pips"], group = "Stop Loss")
sl_value = input.float(40, minval = 0, title = "Value", group = "Stop Loss", inline = "stoploss")// * 0.01
// # ========================================================================= #
// # | Trailing Stop Loss |
// # ========================================================================= #
use_tsl = input.bool(false, title = "Use Trailing Stop Loss?", group = "Trailing Stop Loss")
tsl_input_pips = input.float(10, minval = 0, title = "Trailing Stop Loss (pips)", group = "Trailing Stop Loss")
// # ========================================================================= #
// # | Take Profit |
// # ========================================================================= #
use_tp1 = input.bool(true, title = "Use Take Profit 1?", group = "Take Profit 1")
tp1_value = input.float(30, minval = 0, title = "Value (pips)", group = "Take Profit 1")// * 0.01
tp1_qty = input.float(50, minval = 0, title = "Quantity (%)", group = "Take Profit 1")// * 0.01
use_tp2 = input.bool(true, title = "Use Take Profit 2?", group = "Take Profit 2")
tp2_value = input.float(50, minval = 0, title = "Value (pips)", group = "Take Profit 2")// * 0.01
// # ========================================================================= #
// # | Stop Loss to Breakeven |
// # ========================================================================= #
use_sl_be = input.bool(false, title = "Use Stop Loss to Breakeven Mode?", group = "Break Even")
sl_be_value = input.float(30, step = 0.1, minval = 0, title = "Value (pips)", group = "Break Even", inline = "breakeven")
sl_be_offset = input.int(1, step = 1, minval = 0, title = "Offset (pips)", group = "Break Even", tooltip = "Set the SL at BE price +/- offset value")
[_, _, MTF1_hist] = request.security(syminfo.tickerid, res1, ta.macd(macd_src, fast_len, slow_len, sig_len))
[_, _, MTF2_hist] = request.security(syminfo.tickerid, res2, ta.macd(macd_src, fast_len, slow_len, sig_len))
[_, _, MTF3_hist] = request.security(syminfo.tickerid, res3, ta.macd(macd_src, fast_len, slow_len, sig_len))
[_, _, MTF4_hist] = request.security(syminfo.tickerid, res4, ta.macd(macd_src, fast_len, slow_len, sig_len))
[_, _, MTF5_hist] = request.security(syminfo.tickerid, res5, ta.macd(macd_src, fast_len, slow_len, sig_len))
bull_hist1 = MTF1_hist > 0 and MTF1_hist[1] < 0
bull_hist2 = MTF2_hist > 0 and MTF2_hist[1] < 0
bull_hist3 = MTF3_hist > 0 and MTF3_hist[1] < 0
bull_hist4 = MTF4_hist > 0 and MTF4_hist[1] < 0
bull_hist5 = MTF5_hist > 0 and MTF5_hist[1] < 0
bear_hist1 = MTF1_hist < 0 and MTF1_hist[1] > 0
bear_hist2 = MTF2_hist < 0 and MTF2_hist[1] > 0
bear_hist3 = MTF3_hist < 0 and MTF3_hist[1] > 0
bear_hist4 = MTF4_hist < 0 and MTF4_hist[1] > 0
bear_hist5 = MTF5_hist < 0 and MTF5_hist[1] > 0
plotshape(bull_hist1, title = "Bullish MACD 1", location = location.bottom, style = shape.diamond, size = size.normal, color = #33e823)
plotshape(bull_hist2, title = "Bullish MACD 2", location = location.bottom, style = shape.diamond, size = size.normal, color = #1a7512)
plotshape(bull_hist3, title = "Bullish MACD 3", location = location.bottom, style = shape.diamond, size = size.normal, color = #479c40)
plotshape(bull_hist4, title = "Bullish MACD 4", location = location.bottom, style = shape.diamond, size = size.normal, color = #81cc7a)
plotshape(bull_hist5, title = "Bullish MACD 5", location = location.bottom, style = shape.diamond, size = size.normal, color = #76d66d)
plotshape(bear_hist1, title = "Bearish MACD 1", location = location.top, style = shape.diamond, size = size.normal, color = #d66d6d)
plotshape(bear_hist2, title = "Bearish MACD 2", location = location.top, style = shape.diamond, size = size.normal, color = #de4949)
plotshape(bear_hist3, title = "Bearish MACD 3", location = location.top, style = shape.diamond, size = size.normal, color = #cc2525)
plotshape(bear_hist4, title = "Bearish MACD 4", location = location.top, style = shape.diamond, size = size.normal, color = #a11d1d)
plotshape(bear_hist5, title = "Bearish MACD 5", location = location.top, style = shape.diamond, size = size.normal, color = #ed2424)
bull_count = (MTF1_hist > 0 ? 1 : 0) + (MTF2_hist > 0 ? 1 : 0) + (MTF3_hist > 0 ? 1 : 0) + (MTF4_hist > 0 ? 1 : 0) + (MTF5_hist > 0 ? 1 : 0)
bear_count = (MTF1_hist < 0 ? 1 : 0) + (MTF2_hist < 0 ? 1 : 0) + (MTF3_hist < 0 ? 1 : 0) + (MTF4_hist < 0 ? 1 : 0) + (MTF5_hist < 0 ? 1 : 0)
bull = bull_count == 5 and bull_count[1] < 5 and barstate.isconfirmed
bear = bear_count == 5 and bear_count[1] < 5 and barstate.isconfirmed
signal_candle = bull or bear
entryLongPrice = ta.valuewhen(bull and strategy.position_size[1] <= 0, close, 0)
entryShortPrice = ta.valuewhen(bear and strategy.position_size[1] >= 0, close, 0)
plot(strategy.position_size, title = "avg_pos_size")
get_pip_size() =>
float _pipsize = 1.
if syminfo.type == "forex"
_pipsize := (syminfo.mintick * (str.contains(syminfo.ticker, "JPY") ? 100 : 10))
else if str.contains(syminfo.ticker, "XAU") or str.contains(syminfo.ticker, "XAG")
_pipsize := 0.1
_pipsize
// # ========================================================================= #
// # | Stop Loss |
// # ========================================================================= #
var float final_SL_Long = 0.
var float final_SL_Short = 0.
if signal_candle and use_sl
final_SL_Long := entryLongPrice - (sl_value * get_pip_size())
final_SL_Short := entryShortPrice + (sl_value * get_pip_size())
// # ========================================================================= #
// # | Trailing Stop Loss |
// # ========================================================================= #
var MaxReached = 0.0
if signal_candle[1]
MaxReached := strategy.position_size > 0 ? high : low
MaxReached := strategy.position_size > 0
? math.max(nz(MaxReached, high), high)
: strategy.position_size < 0 ? math.min(nz(MaxReached, low), low) : na
if use_tsl and use_sl
if strategy.position_size > 0
stopValue = MaxReached - (tsl_input_pips * get_pip_size())
final_SL_Long := math.max(stopValue, final_SL_Long[1])
else if strategy.position_size < 0
stopValue = MaxReached + (tsl_input_pips * get_pip_size())
final_SL_Short := math.min(stopValue, final_SL_Short[1])
// # ========================================================================= #
// # | Take Profit 1 |
// # ========================================================================= #
var float final_TP1_Long = 0.
var float final_TP1_Short = 0.
final_TP1_Long := entryLongPrice + (tp1_value * get_pip_size())
final_TP1_Short := entryShortPrice - (tp1_value * get_pip_size())
plot(use_tp1 and strategy.position_size > 0 ? final_TP1_Long : na, title = "TP1 Long", color = color.aqua, linewidth=2, style=plot.style_linebr)
plot(use_tp1 and strategy.position_size < 0 ? final_TP1_Short : na, title = "TP1 Short", color = color.blue, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | Take Profit 2 |
// # ========================================================================= #
var float final_TP2_Long = 0.
var float final_TP2_Short = 0.
final_TP2_Long := entryLongPrice + (tp2_value * get_pip_size())
final_TP2_Short := entryShortPrice - (tp2_value * get_pip_size())
plot(use_tp2 and strategy.position_size > 0 and tp1_qty != 100 ? final_TP2_Long : na, title = "TP2 Long", color = color.orange, linewidth=2, style=plot.style_linebr)
plot(use_tp2 and strategy.position_size < 0 and tp1_qty != 100 ? final_TP2_Short : na, title = "TP2 Short", color = color.white, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | Stop Loss to Breakeven |
// # ========================================================================= #
var bool SL_BE_REACHED = false
// Calculate open profit or loss for the open positions.
tradeOpenPL() =>
sumProfit = 0.0
for tradeNo = 0 to strategy.opentrades - 1
sumProfit += strategy.opentrades.profit(tradeNo)
result = sumProfit
//get_pip_size() =>
// syminfo.type == "forex" ? syminfo.pointvalue * 100 : 1
current_profit = tradeOpenPL()// * get_pip_size()
current_long_profit = (close - entryLongPrice) / (syminfo.mintick * 10)
current_short_profit = (entryShortPrice - close) / (syminfo.mintick * 10)
plot(current_short_profit, title = "Current Short Profit")
plot(current_long_profit, title = "Current Long Profit")
if use_sl_be
if strategy.position_size[1] > 0
if not SL_BE_REACHED
if current_long_profit >= sl_be_value
final_SL_Long := entryLongPrice + (sl_be_offset * get_pip_size())
SL_BE_REACHED := true
else if strategy.position_size[1] < 0
if not SL_BE_REACHED
if current_short_profit >= sl_be_value
final_SL_Short := entryShortPrice - (sl_be_offset * get_pip_size())
SL_BE_REACHED := true
plot(use_sl and strategy.position_size > 0 ? final_SL_Long : na, title = "SL Long", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
plot(use_sl and strategy.position_size < 0 ? final_SL_Short : na, title = "SL Short", color = color.fuchsia, linewidth=2, style=plot.style_linebr)
// # ========================================================================= #
// # | Strategy Calls |
// # ========================================================================= #
string entry_long_limit_alert_message = ""
string entry_long_TP1_alert_message = ""
string entry_long_TP2_alert_message = ""
tp1_qty_perc = tp1_qty / 100
if use_tp1 and use_tp2
entry_long_TP1_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Long)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
entry_long_TP2_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size - (pos_size * tp1_qty_perc)) + ",tp=" + str.tostring(final_TP2_Long)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
else if use_tp1 and not use_tp2
entry_long_TP1_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Long)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
else if not use_tp1 and use_tp2
entry_long_TP2_alert_message := pineconnector_licence_ID + ",buy," + syminfo.ticker + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP2_Long)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Long) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
entry_long_limit_alert_message := entry_long_TP1_alert_message + "\n" + entry_long_TP2_alert_message
//entry_long_limit_alert_message = pineconnector_licence_ID + ",buystop," + syminfo.ticker + ",price=" + str.tostring(buy_price) + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP_Long) + ",sl=" + str.tostring(final_SL_Long)
//entry_short_market_alert_message = pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size) + (use_tp1 ? ",tp=" + str.tostring(final_TP1_Short) : "")
// + (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "")
//entry_short_limit_alert_message = pineconnector_licence_ID + ",sellstop," + syminfo.ticker + ",price=" + str.tostring(sell_price) + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP_Short) + ",sl=" + str.tostring(final_SL_Short)
string entry_short_limit_alert_message = ""
string entry_short_TP1_alert_message = ""
string entry_short_TP2_alert_message = ""
if use_tp1 and use_tp2
entry_short_TP1_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Short)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
entry_short_TP2_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size - (pos_size * tp1_qty_perc)) + ",tp=" + str.tostring(final_TP2_Short)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
else if use_tp1 and not use_tp2
entry_short_TP1_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size * tp1_qty_perc) + ",tp=" + str.tostring(final_TP1_Short)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
else if not use_tp1 and use_tp2
entry_short_TP2_alert_message := pineconnector_licence_ID + ",sell," + syminfo.ticker + ",risk=" + str.tostring(pos_size) + ",tp=" + str.tostring(final_TP2_Short)
+ (use_sl ? ",sl=" + str.tostring(final_SL_Short) : "") + (use_sl_be ? ",beoffset=" + str.tostring(sl_be_offset) + ",betrigger=" + str.tostring(sl_be_value) : "")
+ (use_tsl ? ",trailtrig=" + str.tostring(tsl_input_pips) + ",traildist=" + str.tostring(tsl_input_pips) + ",trailstep=1" : "")
entry_short_limit_alert_message := entry_short_TP1_alert_message + "\n" + entry_short_TP2_alert_message
long_update_sl_alert_message = pineconnector_licence_ID + ",newsltplong," + syminfo.ticker + ",sl=" + str.tostring(final_SL_Long)
short_update_sl_alert_message = pineconnector_licence_ID + ",newsltpshort," + syminfo.ticker + ",sl=" + str.tostring(final_SL_Short)
cancel_long = pineconnector_licence_ID + ",cancellong," + syminfo.ticker// + "x"
cancel_short = pineconnector_licence_ID + ",cancellong," + syminfo.ticker// + "x"
close_long = pineconnector_licence_ID + ",closelong," + syminfo.ticker
close_short = pineconnector_licence_ID + ",closeshort," + syminfo.ticker
if bull and strategy.position_size <= 0
alert(close_short, alert.freq_once_per_bar_close)
strategy.entry("Long", strategy.long)
alert(entry_long_TP1_alert_message, alert.freq_once_per_bar_close)
alert(entry_long_TP2_alert_message, alert.freq_once_per_bar_close)
else if bear and strategy.position_size >= 0
alert(close_long, alert.freq_once_per_bar_close)
strategy.entry("Short", strategy.short)
alert(entry_short_TP1_alert_message, alert.freq_once_per_bar_close)
alert(entry_short_TP2_alert_message, alert.freq_once_per_bar_close)
if strategy.position_size[1] > 0
if low <= final_SL_Long and use_sl
strategy.close("Long", alert_message = close_long)
else
strategy.exit("Exit TP1 Long", "Long", limit = final_TP1_Long, comment_profit = "Exit TP1 Long", qty_percent = tp1_qty)
strategy.exit("Exit TP2 Long", "Long", limit = final_TP2_Long, comment_profit = "Exit TP2 Long", alert_message = close_long)
if bull_count[1] == 5 and bull_count < 5 and barstate.isconfirmed and use_close_opposite
strategy.close("Long", comment = "1 or more MACDs became bearish", alert_message = close_long)
else if strategy.position_size[1] < 0
if high >= final_SL_Short and use_sl
//strategy.exit("Exit SL Short", "Short", stop = final_SL_Short, comment_loss = "Exit SL Short")
strategy.close("Short", alert_message = close_short)
else
strategy.exit("Exit TP1 Short", "Short", limit = final_TP1_Short, comment_profit = "Exit TP1 Short", qty_percent = tp1_qty)
strategy.exit("Exit TP2 Short", "Short", limit = final_TP2_Short, comment_profit = "Exit TP2 Short")
if bear_count[1] == 5 and bear_count < 5 and barstate.isconfirmed and use_close_opposite
strategy.close("Short", comment = "1 or more MACDs became bullish", alert_message = close_short)
// # ========================================================================= #
// # | Logs |
// # ========================================================================= #
// if bull and strategy.position_size <= 0
// log.info(entry_long_limit_alert_message)
// else if bear and strategy.position_size >= 0
// log.info(entry_short_limit_alert_message)
// # ========================================================================= #
// # | Reset Variables |
// # ========================================================================= #
if (strategy.position_size > 0 and strategy.position_size[1] <= 0)
or (strategy.position_size < 0 and strategy.position_size[1] >= 0)
//is_TP1_REACHED := false
SL_BE_REACHED := false