双重均衡牛熊策略
Author: ChaoZhang, Date: 2023-10-30 10:31:17Tags:
概述
双重均衡牛熊策略是一个结合123反转策略和多空均衡指标的组合策略。该策略旨在利用123反转策略产生的信号和多空均衡指标的信号进行验证,实现更可靠的入市。
原理
该策略由两个子策略组成:
123反转策略。该策略在后两个收盘价出现反转时产生信号,即如果前两天收盘价下跌而第三天收盘价上涨时做多,如果前两天收盘价上涨而第三天收盘价下跌时做空。同时,该策略还会结合STOCH指标,只在STOCH指标显示超卖或超买时才产生信号。
多空均衡指标策略。该策略通过计算多头力量和空头力量的均衡情况,判断市场趋势。具体来说,它计算当天收盘价与开盘价的差异以及前一天与当天的差异,来判断多头力量和空头力量。多空力量差值越大,表示趋势越明确。
组合策略的交易信号来源于上述两个子策略的交易信号。只有当两个子策略的信号一致时,比如都显示做多时,组合策略才会采取该信号入场。如果两个子策略发出的信号不一致,组合策略会跳过该信号,采取观望态度。
优势
双重均衡牛熊策略最大的优势在于可靠性高。因为它要求两个子策略发出一致信号才入场,可以起到验证的作用,避免假信号。此外,两个子策略分别从反转和趋势两个方面挖掘机会,可以实现策略分散,避免单一策略的风险。
123反转策略可以捕捉短期市场的反转机会。多空均衡策略可以判断长期趋势方向。两者配合使用,可以在反转的同时把握主要趋势,过滤掉较弱的反转信号,从而提高获利概率。
风险
该策略最大的风险在于子策略发出错误信号的概率加倍。尽管组合策略要求双方信号一致,但当两个子策略同时发错信号时,组合策略也会跟着入场,从而承担双倍的损失。
此外,子策略之间可能出现分歧,一个发出做多信号,另一个做空。这时组合策略就会漏掉机会。如果分歧持续存在,组合策略可能长时间无法入场,导致资金效率下降。
优化方向
可以考虑引入 추세-역전 전략(trend-reversal strategy)作为第三个子策略。该策略可以判断长期趋势,并在趋势反转时产生信号。增加判断市场趋势的策略有助于滤除错误信号,提高稳定性。
另一个优化方向是调整子策略的参数,使它们能够产生更匹配的交易信号。比如调整多空均衡策略的阈值参数,使其能捕捉较弱的趋势,从而与反转策略形成互补。
此外,可以研究在子策略持续分歧时的处理方法。比如设定分歧的最大容忍次数,超过后采取单独子策略的信号入场。这可以在一定程度上缓解机会的损失。
总结
双重均衡牛熊策略通过组合使用123反转策略和多空均衡策略,实现交易信号的双重验证,可以有效过滤假信号,提高稳定性。同时结合反转策略和趋势策略,实现策略的分散,降低风险。该策略可进一步优化参数设定,引入第三策略等,以提高匹配度和资金效率。总体来说,该策略思路新颖,具有很强的实用价值。
/*backtest
start: 2023-09-29 00:00:00
end: 2023-10-29 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 03/07/2019
// 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
// This new indicator analyzes the balance between bullish and
// bearish sentiment.
// One can cay that it is an improved analogue of Elder Ray indicator.
// To get more information please see "Bull And Bear Balance Indicator"
// by Vadim Gimelfarb.
//
// 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
BullAndBearBalance(SellLevel, BuyLevel) =>
pos = 0
value = iff (close < open ,
iff (close[1] > open , max(close - open, high - low), high - low),
iff (close > open,
iff(close[1] > open, max(close[1] - low, high - close), max(open - low, high - close)),
iff(high - close > close - low,
iff (close[1] > open, max(close[1] - open, high - low), high - low),
iff (high - close < close - low,
iff(close > open, max(close - low, high - close),open - low),
iff (close > open, max(close[1] - open, high - close),
iff(close[1] < open, max(open - low, high - close), high - low))))))
value2 = iff (close < open ,
iff (close[1] < open , max(high - close[1], close - low), max(high - open, close - low)),
iff (close > open,
iff(close[1] > open, high - low, max(open - close[1], high - low)),
iff(high - close > close - low,
iff (close[1] < open, max(high - close[1], close - low), high - open),
iff (high - close < close - low,
iff(close[1] > open, high - low, max(open - close, high - low)),
iff (close[1] > open, max(high - open, close - low),
iff(close[1] < open, max(open - close, high - low), high - low))))))
nBBB = value2 - value
pos := iff(nBBB < SellLevel, -1,
iff(nBBB >= BuyLevel, 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Bull And Bear Balance", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
SellLevel = input(-15, step=0.01)
BuyLevel = input(15, step=0.01)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posBullAndBearBalance = BullAndBearBalance(SellLevel, BuyLevel)
pos = iff(posReversal123 == 1 and posBullAndBearBalance == 1 , 1,
iff(posReversal123 == -1 and posBullAndBearBalance == -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 )