麦克风散架与多时间框架均线策略
Author: ChaoZhang, Date: 2023-11-01 16:37:17Tags:
概述
本策略融合利用了麦克风散架(MACD)指标和多时间框架均线,形成一个综合利用趋势和趋势反转信号的长短双向交易策略。策略可以在趋势行情中获取额外利润,同时也能抓住反转机会。
策略原理
使用两组不同周期的EMA均线组合作为多时间框架过滤器,进行长空方向判断:15分钟快速EMA高于1小时慢速EMA为看涨过滤器,15分钟快速EMA低于1小时慢速EMA为看跌过滤器。
当观察到麦克风散架形成背离时(柱状线与价格背离),判断可能反转。
在看涨过滤器开启时,若发现有牛市背离(价格新高而MACD未创新高),等待MACD零轴上穿,做多;在看跌过滤器开启时,若发现有熊市背离(价格新低而MACD未创新低),等待MACD零轴下穿,做空。
止损方式为持续追踪型止损,根据最高价最低价波动范围计算。止盈为止损的一定倍数。
当MACD柱状线发生零轴方向穿越时平仓。
优势分析
多时间框架EMA组合能对大周期趋势进行判断,避免逆势交易。
MACD背离能捕捉到价格反转机会,适合反转策略。
动态追踪止损能锁定盈利,避免亏损扩大。
根据止损计算止盈距离能获得预期回报。
风险分析
EMA均线组合作为过滤器,在盘整时期可能出现方向判断错误。
MACD背离后反弹幅度不足,可能无法盈利。
止损距离设定不当,可能过于宽松或过于紧凑。
反转空间不足,获利受限。
需要恰当把握反转切入时机,过早过晚都可能导致损失。
优化方向
可以测试不同参数组合的EMA以获得更准确的趋势判断。
可以尝试把MACD参数调整为更敏感的参数组合。
可以测试不同的止损止盈比例设置。
可以加入附加过滤条件,避免陷入假反弹。例如加入更高时间框架EMA判断全局趋势。
可以优化反转切入确认条件,确保反转趋势足够成熟。
总结
本策略综合运用了趋势过滤、趋势反转信号、动态止损止盈管理等手段,能够顺势而为,亦能抓反转。通过参数调整和优化过滤条件,可以适应更广泛的市场环境,在控制风险前提下获取稳定收益。该策略具有一定的普适性和实用价值,是多时间框架与指标融合运用的典型代表。
/*backtest
start: 2023-01-01 00:00:00
end: 2023-06-16 00:00:00
period: 1h
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/
// © maxits
//@version=4
// MACD Divergence + Multi Time Frame EMA
// This Strategy uses 3 indicators: the Macd and two emas in different time frames
// The configuration of the strategy is:
// Macd standar configuration (12, 26, 9) in 1H resolution
// 10 periods ema, in 1H resolution
// 5 periods ema, in 15 minutes resolution
// We use the two emas to filter for long and short positions.
// If 15 minutes ema is above 1H ema, we look for long positions
// If 15 minutes ema is below 1H ema, we look for short positions
// We can use an aditional filter using a 100 days ema, so when the 15' and 1H emas are above the daily ema we take long positions
// Using this filter improves the strategy
// We wait for Macd indicator to form a divergence between histogram and price
// If we have a bullish divergence, and 15 minutes ema is above 1H ema, we wait for macd line to cross above signal line and we open a long position
// If we have a bearish divergence, and 15 minutes ema is below 1H ema, we wait for macd line to cross below signal line and we open a short position
// We close both position after a cross in the oposite direction of macd line and signal line
// Also we can configure a Take profit parameter and a trailing stop loss
// strategy("Macd + MTF EMA",
// overlay=true,
// initial_capital=1000,
// default_qty_value=20,
// default_qty_type=strategy.percent_of_equity,
// commission_value=0.1,
// pyramiding=0)
// User Inputs
i_time = input(defval = timestamp("01 Apr 2018 13:30 +0000"), title = "Start Time", type = input.time) // Starting time for backtest
f_time = input(defval = timestamp("30 Sep 2021 13:30 +0000"), title = "Finish Time", type = input.time) // Finishing time for backtest
long_pos = input(title="Show Long Positions", defval=true, type=input.bool) // Enable Long Positions
short_pos = input(title="Show Short Positions", defval=true, type=input.bool) // Enable Short Positions
src = input(close, title="Source") // Price value to calculate indicators
emas_properties = input(title="============ EMAS Properties ============", defval=false, type=input.bool) // Properties
mtf_15 = input(title="Fast EMA", type=input.resolution, defval="15") // Resolucion para MTF EMA 15 minutes
ma_15_length = input(5, title = "Fast EMA Period") // MTF EMA 15 minutes Length
mtf_60 = input(title="Slow EMA", type=input.resolution, defval="60") // Resolucion para MTF EMA 60 minutes
ma_60_length = input(10, title = "Slow EMA Period") // MTF EMA 60 minutes Length
e_new_filter = input(title="Enable a Third Ema filter?", defval=true, type=input.bool)
slowest_ema_len = input(100, title = "Fast EMA Period")
slowest_ema_res = input(title="Slowest EMA", type=input.resolution, defval="D")
macd_res = input(title="MACD TimeFrame", type=input.resolution, defval="") // MACD Time Frame
macd_properties = input(title="============ MACD Properties ============", defval="") // Properties
fast_len = input(title="Fast Length", type=input.integer, defval=12) // Fast MA Length
slow_len = input(title="Sign Length", type=input.integer, defval=26) // Sign MA Length
sign_len = input(title="Sign Length", type=input.integer, defval=9)
syst_properties = input(title="============ System Properties ============", defval="") // Properties
lookback = input(title="Lookback period", type=input.integer, defval=14, minval=1) // Candles to lookback for swing high or low
multiplier = input(title="Profit Multiplier based on Stop Loss", type=input.float, defval=6.0, minval=0.1) // Profit multiplier based on stop loss
shortStopPer = input(title="Short Stop Loss Percentage", type=input.float, defval=1.0, minval=0.0)/100
longStopPer = input(title="Long Stop Loss Percentage", type=input.float, defval=2.0, minval=0.0)/100
// Indicators
[macd, signal, hist] = security(syminfo.tickerid, macd_res, macd(src, fast_len, slow_len, sign_len))
ma_15 = security(syminfo.tickerid, mtf_15, ema(src, ma_15_length))
ma_60 = security(syminfo.tickerid, mtf_60, ema(src, ma_60_length))
ma_slo = security(syminfo.tickerid, slowest_ema_res, ema(src, slowest_ema_len))
// Macd Plot
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
plot(macd, color=color.new(color.blue, 0)) // Solo para visualizar que se plotea correctamente
plot(signal, color=color.new(color.orange, 0))
plot(hist, 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)))
// MTF EMA Plot
bullish_filter = e_new_filter ? ma_15 > ma_60 and ma_60 > ma_slo : ma_15 > ma_60
bearish_filter = e_new_filter ? ma_15 < ma_60 and ma_60 < ma_slo : ma_15 < ma_60
plot(ma_15, color=color.new(color.blue, 0))
plot(ma_60, color=color.new(color.yellow, 0))
plot(e_new_filter ? ma_slo : na, color = ma_60 > ma_slo ? color.new(color.green, 0) : color.new(color.red, 0))
////////////////////////////////////////////// Logic For Divergence
zero_cross = false
zero_cross := crossover(hist,0) or crossunder(hist,0) //Cruce del Histograma a la linea 0
// plot(zero_cross ? 1 : na)
// MACD DIVERGENCE TOPS (Bearish Divergence)
highest_top = 0.0
highest_top := (zero_cross == true ? 0.0 : (hist > 0 and hist > highest_top[1] ? hist : highest_top[1]))
prior_top = 0.0
prior_top := (crossunder(hist,0) ? highest_top[1] : prior_top[1]) // Búsqueda del Maximo en MACD
// plot(highest_top)
// plot(prior_top)
highest_top_close = 0.0
highest_top_close := (zero_cross == true ? 0.0 : (hist > 0 and hist > highest_top[1] ? close : highest_top_close[1]))
prior_top_close = 0.0
prior_top_close := (crossunder(hist,0) ? highest_top_close[1] : prior_top_close[1]) // Búsqueda del Maximo en pRECIO
// plot(highest_top_close)
// plot(prior_top_close)
top = false
top := highest_top[1] < prior_top[1]
and highest_top_close[1] > prior_top_close[1]
and hist < hist[1]
and crossunder(hist,0) // Bearish Divergence: top == true
// MACD DIVERGENCE BOTTOMS (Bullish Divergence)
lowest_bottom = 0.0
lowest_bottom := (zero_cross == true ? 0.0 : (hist < 0 and hist < lowest_bottom[1] ? hist : lowest_bottom[1]))
prior_bottom = 0.0
prior_bottom := (crossover(hist,0) ? lowest_bottom[1] : prior_bottom[1])
lowest_bottom_close = 0.0
lowest_bottom_close := (zero_cross == true ? 0.0 : (hist < 0 and hist < lowest_bottom[1] ? close : lowest_bottom_close[1]))
prior_bottom_close = 0.0
prior_bottom_close := (crossover(hist,0) ? lowest_bottom_close[1] : prior_bottom_close[1])
bottom = false
bottom := lowest_bottom[1] > prior_bottom[1]
and lowest_bottom_close[1] < prior_bottom_close[1]
and hist > hist[1]
and crossover(hist,0) // Bullish Divergence: bottom == true
////////////////////////////////////////////// System Conditions //////////////////////////////////////////////
inTrade = strategy.position_size != 0 // In Trade
longTrade = strategy.position_size > 0 // Long position
shortTrade = strategy.position_size < 0 // Short position
notInTrade = strategy.position_size == 0 // No trade
entryPrice = strategy.position_avg_price // Position Entry Price
////////////////////////////////////////////// Long Conditions //////////////////////////////////////////////
sl = lowest(low, lookback) // Swing Low for Long Entry
longStopLoss = 0.0 // Trailing Stop Loss calculation
longStopLoss := if (longTrade)
astopValue = sl * (1 - longStopPer)
max(longStopLoss[1], astopValue)
else
0
longTakeProf = 0.0 // Profit calculation based on stop loss
longTakeProf := if (longTrade)
profitValue = entryPrice + (entryPrice - longStopLoss) * multiplier
max(longTakeProf[1], profitValue)
else
0
// Long Entry Conditions
if bottom and notInTrade and bullish_filter and long_pos
strategy.entry(id="Go Long", long=strategy.long, comment="Long Position")
// strategy.close(id="Go Long", when=zero_cross)
if longTrade
strategy.exit("Exit Long", "Go Long", limit = longTakeProf, stop = longStopLoss)
plot(longTrade and longStopLoss ? longStopLoss : na, title="Long Stop Loss", color=color.new(color.red, 0), style=plot.style_linebr)
plot(longTrade and longTakeProf ? longTakeProf : na, title="Long Take Prof", color=color.new(color.green, 0), style=plot.style_linebr)
////////////////////////////////////////////// Short Conditions //////////////////////////////////////////////
sh = highest(high, lookback) // Swing High for Short Entry
shortStopLoss = 0.0
shortStopLoss := if (shortTrade)
bstopValue = sh * (1 + shortStopPer)
min(shortStopLoss[1], bstopValue)
else
999999
shortTakeProf = 0.0
shortTakeProf := if (shortTrade)
SprofitValue = entryPrice - (shortStopLoss - entryPrice) * multiplier
min(SprofitValue, shortTakeProf[1])
else
999999
// Short Entry
if top and notInTrade and bearish_filter and short_pos
strategy.entry(id="Go Short", long=strategy.short, comment="Short Position")
// strategy.close(id="Go Short", when=zero_cross)
if shortTrade
strategy.exit("Exit Short", "Go Short", limit = shortTakeProf, stop = shortStopLoss)
plot(shortTrade and shortStopLoss ? shortStopLoss : na, title="Short Stop Loss", color=color.new(color.red, 0), style=plot.style_linebr)
plot(shortTrade and shortTakeProf ? shortTakeProf : na, title="Short Take Prof", color=color.new(color.green, 0), style=plot.style_linebr)
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