ChaoZhang
概述
本策略综合运用多种指标识别趋势方向,采用趋势追踪方式,在中短线上捕捉趋势机会。策略专门为追踪趋势而设计,旨在增加胜率,降低回撤。
策略原理
使用WVAP指标判断价格比例;
RSI指标判断多空动量;
QQE指标识别价格突破;
ADX指标判断趋势力度;
Coral Trend Indicator判断基本面走势;
LSMA指标辅助判断趋势;
结合多种指标信号发出交易信号。
该策略主要依靠RSI,QQE,ADX等多个指标判断趋势方向和力度,并以Coral Trend Indicator的曲线作为基本面趋势判断标准。当RSI等指标发出买入信号时,若Coral Trend Indicator也显示上升曲线,则高概率符合趋势向上,则策略会选择买入。WVAP等指标主要用来判断价位是否合理,避免买入高点。
策略优势
多指标组合,提高判断准确性;
强调趋势追踪,增加盈利概率;
采用突破思路,筛选 Trading Range 市场;
结合基本面指标,避免逆势交易;
交易时间和手数设置合理,降低风险;
策略思路清晰,容易理解与优化。
该策略最大优势是多指标组合判断,能在一定程度上减少单一指标误判的概率,提高判断准确性。同时强调趋势追踪与突破思路,对于筛选靠谱中短线机会具有帮助。此外,策略加入基本面指标,能避免逆势操作。这些设计都提高了策略的稳定性和盈利概率。
策略风险
多空判断存在时滞,可能错过最佳入场时机;
回撤控制并不完善,存在较大回撤风险;
当基本面发生转折时,策略可能错过信号;
未考虑交易成本,实际应用时收益存在下滑风险。
该策略最大的风险在于多指标组合判断可能存在时滞,导致错过最佳入场时机,从而影响获利空间。此外,策略的回撤控制并不理想,存在较大回撤风险。当市场基本面发生转折而指标还未反映时,也容易形成损失。实际应用时,交易成本也会对收益造成一定影响。
策略优化方向
加入止损策略,优化回撤控制;
优化参数设置,缩短指标延迟;
增加基本面指标应用,提高准确性;
结合机器学习算法,实现动态参数优化。
该策略的优化重点应考虑回撤控制,可以加入移动止损策略来锁定利润,降低回撤。同时可以优化参数设定,缩短指标延迟,增强策略对市场变化的敏感性。此外,可以进一步增加基本面判断指标,提高准确性。如果能运用机器学习方法实现参数动态优化,也将大幅提升策略稳定性。
总结
本策略综合多种指标判断趋势方向,采用趋势追踪思路设计,旨在提高判断准确性,增加盈利概率。策略具有指标组合判断、强调趋势追踪、结合基本面等优势,但也存在误判时滞、回撤控制不足等问题。未来可通过优化参数设定、完善止损策略、增加基本面指标等方式进行改进,使策略在实际应用中达到更好效果。
策略源码
/*backtest
start: 2023-11-08 00:00:00
end: 2023-11-15 00:00:00
period: 1m
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/
// © RolandoSantos
//@version=4
strategy(title = "VWAP Candles Strategy", overlay=true, shorttitle = "VWAP Cndl", default_qty_type=strategy.cash, default_qty_value=10000, initial_capital=10000)
//Make inputs that set the take profit %
longProfitPerc = input(title="Take Long Profit % ", minval=0.0, step=0.1, defval=0.3) / 100
shortProfitPerc = input(title="Take Short Profit % ", minval=0.0, step=0.1, defval=0.95) / 100
tp = input(100, "Take Profit % QTY (How much profit you want to take after take profit target is triggered)")
// Figure out take profit price
longExitPrice = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - shortProfitPerc)
//Use NYSE for Copp Curve entries and exits//
security = input("", title="Change this if you want to see Copp Curve calculated for current ticker. All Copp Curve calculations are base on NYSE Composite")
ticker = security(security,"", close)
///Copp Curve////
period_ = input(21, title="Length", minval=1)
isCentered = input(false, title="Centered")
barsback = period_/2 + 1
ma = sma(close, period_)
dpo = isCentered ? close[barsback] - ma : close - ma[barsback]
instructions =input(title="Standard Copp settings are (10, 14, 11) however, DOUBLE these lengths as alternate settings to (20,28,22) and you will find it may produce better results, but less trades", defval="-")
wmaLength = input(title="WMA Length (Experiment changing this to longer lengths for less trades, but higher win %)", type=input.integer, defval=20)
longRoCLength = input(title="Long RoC Length", type=input.integer, defval=28)
shortRoCLength = input(title="Short RoC Length", type=input.integer, defval=22)
source = ticker
curve = wma(roc(source, longRoCLength) + roc(source, shortRoCLength), wmaLength)
//////////// QQE////////////QQE///////////////////QQE////////////////////////
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic
//@version=4
src=input(close)
length = input(25,"RSI Length", minval=1)
SSF=input(9, "SF RSI SMoothing Factor", minval=1)
showsignals = input(title="Show Crossing Signals?", type=input.bool, defval=true)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
RSII=ema(rsi(src,length),SSF)
TR=abs(RSII-RSII[1])
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*TR + (1-wwalpha)*nz(WWMA[1])
ATRRSI=0.0
ATRRSI := wwalpha*WWMA + (1-wwalpha)*nz(ATRRSI[1])
QQEF=ema(rsi(src,length),SSF)
QUP=QQEF+ATRRSI*4.236
QDN=QQEF-ATRRSI*4.236
QQES=0.0
QQES:=QUP<nz(QQES[1]) ? QUP : QQEF>nz(QQES[1]) and QQEF[1]<nz(QQES[1]) ? QDN : QDN>nz(QQES[1]) ? QDN : QQEF<nz(QQES[1]) and QQEF[1]>nz(QQES[1]) ? QUP : nz(QQES[1])
//QQF=plot(QQEF,"FAST",color.maroon,2)
//QQS=plot(QQES,"SLOW",color=color.blue, linewidth=1)
buySignalr = crossover(QQEF, QQES)
sellSignalr = crossunder(QQEF, QQES)
buyr = QQEF > QQES
////QQE////////////////QQE/////////////////QQE/////////////////
//////////////LSMA//////////////////////////
// LSMA 1 Settings & Plot
lsma1Length = input(100, minval=1, title="LSMA 1")
lsma1Offset = input(title="LSMA 1 Offset", type=input.integer, defval=0)
lsma1Source = input(close, title="LSMA 1 Source")
lsma1 = linreg(lsma1Source, lsma1Length, lsma1Offset)
lsma1_std_dev = stdev(abs(lsma1[1] - lsma1), lsma1Length)
//plot(lsma1, color=(lsma1 > lsma1[1] ? color.yellow : color.blue), title="LSMA 1", linewidth=2, transp=0)
////////////LSMA///////////////////
//////////////////ADX////////////////////
len = input(14)
th = input(20)
TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0
SmoothedTrueRange = 0.0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/len) + TrueRange
SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/len) + DirectionalMovementPlus
SmoothedDirectionalMovementMinus = 0.0
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/len) + DirectionalMovementMinus
DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
ADX = sma(DX, len)
///////////////////ADX/////////////////////
/////////////sqz momentum/////////////////////////
//
// @author LazyBear & ChrisMoody complied by GIS_ABC
//
lengthBB = input(20, title="BB Length")
mult = input(2.0,title="BB MultFactor")
lengthKC=input(20, title="KC Length")
multKC = input(1.5, title="KC MultFactor")
useTrueRange = input(true, title="Use TrueRange (KC)")
// Calculate BB
sourceBB = close
basis = sma(sourceBB, lengthBB)
dev = multKC * stdev(source, lengthBB)
upperBB = basis + dev
lowerBB = basis - dev
// Calculate KC
maKC = sma(sourceBB, lengthKC)
rangeKC = useTrueRange ? tr : (high - low)
rangema = sma(rangeKC, lengthKC)
upperKC = maKC + rangema * multKC
lowerKC = maKC - rangema * multKC
sqzOn = (lowerBB > lowerKC) and (upperBB < upperKC)
sqzOff = (lowerBB < lowerKC) and (upperBB > upperKC)
noSqz = (sqzOn == false) and (sqzOff == false)
val = linreg(source - avg(avg(highest(high, lengthKC), lowest(low, lengthKC)),sma(close,lengthKC)),lengthKC,0)
////////////////////////////
/////// RSI on EMA/////////////////
lenrsi = input(13, minval=1, title="Length")
srcrsi = linreg(hlc3,100,0)
up = rma(max(change(srcrsi), 0), lenrsi)
down = rma(-min(change(srcrsi), 0), lenrsi)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
rsicolor = rsi > rsi[1] ? color.green : color.red
//plot(rsi,color = rsicolor)
//hline(20,color=color.green)
//hline(80,color=color.red)
vwaprsi = rsi(vwap(hlc3),13)
vwaprsicolor = vwaprsi > vwaprsi[1] ? color.blue : color.yellow
emarsi = ema(rsi,13)
emarsicolor = emarsi > emarsi[1] ? color.green : color.red
//plot(emarsi,color=emarsicolor)
//plot(vwaprsi,color=vwaprsicolor)
/////// RSI on VWMA/////////////////
lenrsiv = input(23, minval=1, title="Length RSI VWMA")
srcrsiv = vwma(linreg(close,23,0),23)
upv = rma(max(change(srcrsiv), 0), lenrsiv)
downv = rma(-min(change(srcrsiv), 0), lenrsiv)
rsiv = downv == 0 ? 100 : upv == 0 ? 0 : 100 - (100 / (1 + upv / downv))
rsicolorv = rsiv > rsiv[1] ? color.green : color.red
/////////////////////////////////////
/////////////////////////////////////
////////////////coral trend////////////////////
//
// @author LazyBear
// List of all my indicators:
// https://docs.google.com/document/d/15AGCufJZ8CIUvwFJ9W-IKns88gkWOKBCvByMEvm5MLo/edit?usp=sharing
//
//study(title="Coral Trend Indicator [LazyBear]", shorttitle="CTI_LB", overlay=true)
srcCT=close
i1 = 1.0
i2 = 1.0
i3 = 1.0
i4 = 1.0
i5 = 1.0
i6 = 1.0
sm =input(21, title="Smoothing Period")
cd = input(0.4, title="Constant D")
ebc=input(false, title="Color Bars")
ribm=input(false, title="Ribbon Mode")
di = (sm - 1.0) / 2.0 + 1.0
c1 = 2 / (di + 1.0)
c2 = 1 - c1
c3 = 3.0 * (cd * cd + cd * cd * cd)
c4 = -3.0 * (2.0 * cd * cd + cd + cd * cd * cd)
c5 = 3.0 * cd + 1.0 + cd * cd * cd + 3.0 * cd * cd
i1 := c1*srcCT + c2*nz(i1[1])
i2 := c1*i1 + c2*nz(i2[1])
i3 := c1*i2 + c2*nz(i3[1])
i4 := c1*i3 + c2*nz(i4[1])
i5 := c1*i4 + c2*nz(i5[1])
i6 := c1*i5 + c2*nz(i6[1])
bfr = -cd*cd*cd*i6 + c3*(i5) + c4*(i4) + c5*(i3)
// --------------------------------------------------------------------------
// For the Pinescript coders: Determining trend based on the mintick step.
// --------------------------------------------------------------------------
//bfrC = bfr - nz(bfr[1]) > syminfo.mintick ? green : bfr - nz(bfr[1]) < syminfo.mintick ? red : blue
//bfrC = bfr > nz(bfr[1]) ? green : bfr < nz(bfr[1]) ? red : blue
//tc=ebc?gray:bfrC
//plot(ribm?na:bfr, title="Trend", linewidth=3)
//bgcolor(ribm?bfrC:na, transp=50)
//barcolor(ebc?bfrC:na)
////////////////////////////////////////////////////////////////
///////////////////VWAP///////////////////
//------------------------------------------------
//------------------------------------------------
NormalVwap=vwap(hlc3)
H = vwap(high)
L = vwap(low)
O = vwap(open)
C = vwap(close)
left = 30
left_low = lowest(left)
left_high = highest(left)
newlow = low <= left_low
newhigh = high >= left_high
q = barssince(newlow)
w = barssince(newhigh)
col2 = q < w ? #8B3A3A : #9CBA7F
col2b=O > C?color.red:color.lime
AVGHL=avg(H,L)
AVGOC=avg(O,C)
col=AVGHL>AVGOC?color.lime:color.red
col3=open > AVGOC?color.lime:color.red
//plotcandle(O,H,L,C,color=col2b)
//plot(H, title="VWAP", color=red)
//plot(L, title="VWAP", color=lime)
//plot(O, title="VWAP", color=blue)
//plot(C, title="VWAP", color=black)
//plot(NormalVwap, color=col2b)
/////////////////////////////////////////////////////////////////////////////
///Trade Conditions///
t = time(timeframe.period, "0930-1500")
long = vwaprsi > vwaprsi[1] and rsi>rsi[1] and vwaprsi < 20 //vwaprsi > 98 and rsi > 50 and rsi[1] < rsi and rsi[1] < rsi[2] //crossover(rsi,20)//O<C and O > linreg(hlc3,100,0) and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C and close > vwap(hlc3) and ADX > ADX[1] //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3) and t //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]
close_long = crossover(vwaprsi,99.8) //C < O // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3)
close_short = rsiv > rsiv[1] and rsiv[2] > rsiv[1]//vwaprsi > vwaprsi[1] or rsi > rsi[1] // vwaprsi > 99 and rsi > 99 and rsi > rsi[1] and vwaprsi > vwaprsi[1]//vwaprsi > vwaprsi[1] and rsi>rsi[1] and vwaprsi < 20 //vwaprsi > 98 and rsi > 50 and rsi[1] < rsi and rsi[1] < rsi[2] //crossover(rsi,20)//O<C and O > linreg(hlc3,100,0) and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C and close > vwap(hlc3) and ADX > ADX[1] //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3) and t //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]
short = rsiv > 95 and rsiv < rsiv[1] and rsiv[2] < rsiv[1] //vwaprsi < 1 and rsi < 1 and rsi < rsi[1] and vwaprsi < vwaprsi[1] and t //crossover(vwaprsi,99.8) //C < O // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3)
//long = vwaprsi > vwaprsi[1] and emarsi > emarsi[1] and emarsi[2] > emarsi[1] and ADX > 25//O<C and O > linreg(hlc3,100,0) and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C and close > vwap(hlc3) and ADX > ADX[1] //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3) and t //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]
//close_long = vwaprsi < vwaprsi[1] or emarsi < emarsi[1]//C < O // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3)
//close_long = O>C or lsma1 < H // or O > linreg(hlc3,100,0) //and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C and close > vwap(hlc3) and ADX > ADX[1] //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3) and t //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]
//long = rsi > rsi[1] and rsi[1] >rsi[2] and lsma1 > lsma1[1] and bfr > bfr[1] and O<C and lsma1 > L and close > close[1] and ADX > ADX[1] and ADX[1] > ADX[2] and ADX > 20 and rsi > rsi[1] and t // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3)
//close_short = O<C or lsma1 > H // or O > linreg(hlc3,100,0) //and linreg(hlc3,100,0) > linreg(hlc3,100,0)[1] and AVGHL>AVGOC and t //O < C and close > vwap(hlc3) and ADX > ADX[1] //and val > nz(val[1]) and close > vwap(hlc3) and open > sma(close,23) and close > vwap(hlc3) and t //and rsi > rsi[1] and open > ema(close,13) and open > bfr and bfr > bfr[1]
//short = rsi < rsi[1] and rsi[1] <rsi[2] and lsma1 < lsma1[1] and bfr < bfr[1] and O>C and lsma1 < L and close < close[1] and ADX > ADX[1] and ADX[1] > ADX[2] and ADX > 20 and rsi < rsi[1] and t // linreg(hlc3,100,0) and linreg(hlc3,100,0) < linreg(hlc3,100,0)[1] //O > C and val < nz(val[1]) // and close < vwap(hlc3)
/// Start date
startDate = input(title="Start Date", defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", defval=2021, minval=1800, maxval=2100)
// See if this bar's time happened on/after start date
afterStartDate = true
///Entries and Exits//
if (long and afterStartDate)
strategy.entry("Long", strategy.long, comment = "Open Long")
// strategy.close("Short", strategy.short,qty_percent=100, comment = "close Short")
if (short and afterStartDate)
strategy.entry("Short", strategy.short, comment = "Open Short")
if (close_long and afterStartDate )
strategy.close("Long", strategy.long, qty_percent=100, comment="close Long")
// strategy.entry("Short", strategy.short, comment="Open Short")
if (close_short and afterStartDate )
strategy.close("Short", strategy.short, qty_percent=100, comment="close Long")
if ( hour(time) == 15 and minute(time) > 15 )
strategy.close_all()
//Submit exit orders based on take profit price
if (strategy.position_size > 0 and afterStartDate)
strategy.exit(id="Long", qty_percent=tp, limit=longExitPrice)
if (strategy.position_size < 0 and afterStartDate)
strategy.exit(id="Short", qty_percent=tp, limit=shortExitPrice)
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