ChaoZhang
概述
该策略通过集成移动平均线、相对强弱指标(RSI)和移动平均聚散指标(MACD)三种主要技术指标,实现多空仓位的自动开平。策略名称中含有“多重指标”,主要是为了突出该策略所采用的多种指标。
策略原理
该策略主要通过比较两条移动平均线的大小关系来判断趋势方向,并结合RSI指标避免错过反转机会。具体来说,策略使用EMA或SMA计算快线和慢线,快线上穿慢线为买入信号,快线下穿慢线为卖出信号。为过滤假突破,策略还设置RSI指标的多空逻辑,只有当RSI指标也满足条件时,才会发出交易信号。
除此之外,策略还集成了MACD指标来进行交易决策。当MACD指标的差离值上穿0轴时为买入信号,差离值下穿0轴时为卖出信号。这样可以利用MACD指标判断趋势是否发生转折,避免在趋势转折点产生错误的信号。
优势分析
该策略最大的优势在于集成多种指标过滤信号,可以有效降低假信号的产生,提高信号质量。具体来说,优势有以下几点:
快慢线结合RSI指标,可以避免单一使用移动平均线产生的假突破。
MACD指标的集成,可以提早判断趋势是否反转,避免在转折点产生错误信号。
允许选择EMA或SMA指标,可以根据不同市场特点选择更合适的指标参数。
允许选择资金管理方案,可以控制单笔订单规模,有效控制风险。
支持止损止盈,可以锁定盈利,避免亏损扩大。
风险分析
该策略主要面临以下风险:
参数优化不当可能导致策略效果不佳。需要花时间测试不同的参数组合。
指标发出错误信号的概率仍然存在。当三种指标同时发出错误信号时,将导致较大亏损。
单一品种效果并不稳定,需要扩展到其他品种。
Datenicht zureichen, Strategie effekt wird in der Zukunft abnehmen。
优化方向
该策略主要可以从以下几个方面进行优化:
测试不同的指标参数组合,寻找最优参数。
增加止损机制中的移动止损。当价格运行一定距离后,可以 trail stop 来锁定利润。
增加对大级别趋势的判断指标,避免逆势交易。例如集成 ADX 指标。
Fügen Sie Moneymanagement Module hinzu für besseres Risikomanagement.
Fügen Sie Filter für fundamentale Faktoren wie Nachrichten hinzu.
总结
该策略通过集成多种技术指标如移动平均线、RSI 和 MACD,实现多空头寻找和过滤。其优势在于可以有效过滤假信号,提高信号质量。主要缺陷是参数选择和指标发出错误信号的概率仍然存在。未来的优化方向包括参数优化、止损优化、趋势过滤等。总体来说,该策略作为多重指标策略框架是行之有效的,后续需要继续优化和验证。
策略源码
/*backtest
start: 2023-11-04 00:00:00
end: 2023-12-04 00:00:00
period: 2h
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/
// © fikira
//@version=4
strategy("Strategy Tester EMA-SMA-RSI-MACD", shorttitle="Strat-test", overlay=true, max_bars_back=5000,
default_qty_type= strategy.percent_of_equity, calc_on_order_fills=false, calc_on_every_tick=false,
pyramiding=0, default_qty_value=100, initial_capital=100)
Tiny = "Tiny"
Small = "Small"
Normal = "Normal"
Large = "Large"
cl = "close" , op = "open" , hi = "high" , lo = "low"
c4 = "ohlc4" , c3 = "hlc3" , hl = "hl2"
co = "(E)MA 1 > (E)MA 2"
cu = "(E)MA 3 < (E)MA 4"
co_HTF = "(E)MA 1 (HTF) > (E)MA 2 (HTF)"
cu_HTF = "(E)MA 3 (HTF) < (E)MA 4 (HTF)"
L_S = "Long & Short" , _L_ = "Long Only" , _S_ = "Short Only"
cla = "Close above (E)MA 1"
clu = "Close under (E)MA 3"
cla_HTF = "Close above (E)MA 1 (HTF)"
clu_HTF = "Close under (E)MA 3 (HTF)"
rsi = "RSI strategy"
none = "NONE"
mch = "macd > signal" , mcl = "macd < signal"
mch0 = "macd > 0" , mcl0 = "macd < 0"
sgh0 = "signal > 0" , sgl0 = "signal < 0"
mch_HTF = "macd (HTF) > signal (HTF)" , mcl_HTF = "macd (HTF) < signal (HTF)"
mch0HTF = "macd (HTF) > 0" , mcl0HTF = "macd (HTF) < 0"
sgh0HTF = "signal (HTF) > 0" , sgl0HTF = "signal (HTF) < 0"
EMA = "EMA" , SMA = "SMA"
s = input(cl, "Source" , options=[cl, op, hi, lo, c4, c3, hl])
src =
s == cl ? close :
s == op ? open :
s == hi ? high :
s == lo ? low :
s == c4 ? ohlc4 :
s == c3 ? hlc3 :
s == hl ? hl2 :
close
__1_ = input(false, ">=< >=< [STRATEGIES] >=< >=<")
Type = input(_L_, "Type Strategy", options=[L_S, _L_, _S_])
_1a_ = input(false, ">=< >=< [BUY/LONG] >=< >=<")
ENT = input(co, "Pick your poison:", options=[co, cla, rsi, mch, mch0, sgh0])
EH = input(0, " if RSI >")
EL = input(100, " if RSI <")
EH_HTF = input(0, " if RSI (HTF) >")
EL_HTF = input(100, " if RSI (HTF) <")
EX = input(none, " Extra argument", options=[none, mch, mch0, sgh0])
EX2 = input(none, " Second argument", options=[none, mch_HTF, mch0HTF, sgh0HTF, co_HTF, cla_HTF])
_1b_ = input(false, ">=< [(E)MA settings (Buy/Long)] >=<")
ma1 = input(SMA, " (E)MA 1", options=[EMA, SMA])
len1 = input(50, " Length" )
ma2 = input(SMA, " (E)MA 2", options=[EMA, SMA])
len2 = input(100, " Length" )
ma1HTF = input(SMA, " (E)MA 1 - HTF", options=[EMA, SMA])
len1HTF = input(50, " Length" )
ma2HTF = input(SMA, " (E)MA 2 - HTF", options=[EMA, SMA])
len2HTF = input(100, " Length" )
_2a_ = input(false, ">=< >=< [SELL/SHORT] >=< >=<")
CLO = input(cu, "Pick your poison:", options=[cu, clu, rsi, mcl, mcl0, sgl0])
CH = input(0, " if RSI >")
CL = input(100, " if RSI <")
CH_HTF = input(0, " if RSI (HTF) >")
CL_HTF = input(100, " if RSI (HTF) <")
CX = input(none, " Extra argument", options=[none, mcl, mcl0, sgl0])
CX2 = input(none, " Second argument", options=[none, mcl_HTF, mcl0HTF, sgl0HTF, cu_HTF, clu_HTF])
_2b_ = input(false, ">=< [(E)MA settings (Sell/Short)] >=<")
ma3 = input(SMA, " (E)MA 3", options=[EMA, SMA])
len3 = input(50, " Length" )
ma4 = input(SMA, " (E)MA 4", options=[EMA, SMA])
len4 = input(100, " Length" )
ma3HTF = input(SMA, " (E)MA 3 - HTF", options=[EMA, SMA])
len3HTF = input(50, " Length" )
ma4HTF = input(SMA, " (E)MA 4 - HTF", options=[EMA, SMA])
len4HTF = input(100, " Length" )
__3_ = input(false, ">=< >=< [RSI] >=< >=< >=<")
ler = input(20 , " RSI Length")
__4_ = input(false, ">=< >=< [MACD] >=< >=< >=<")
fst = input(12, " Fast Length")
slw = input(26, " Slow Length")
sgn = input(9 , " Signal Smoothing")
sma_source = input(false, "Simple MA(Oscillator)")
sma_signal = input(false, "Simple MA(Signal Line)")
__5_ = input(false, ">=< >=< [HTF settings] >=< >=<")
MA_HTF = input("D", " (E)MA HTF", type = input.resolution)
RSI_HTF = input("D", " RSI HTF" , type = input.resolution)
MACD_HTF= input("D", " MACD HTF" , type = input.resolution)
__6_ = input(false, ">=< >=< [SL/TP] >=< >=< >=<")
sl = input(false, "Stop Loss?")
SL = input(10.0, title=" Stop Loss %" ) / 100
tp = input(false, "Take Profit?")
TP = input(20.0, title=" Take Profit %") / 100
SL_ = strategy.position_avg_price * (1 - SL)
TP_ = strategy.position_avg_price * (1 + TP)
// Limitation in time
// (= inspired from a script of "Che_Trader")
xox = input(false, ">=< >=< [TIME] >=< >=< >=<")
ystr1 = input(2010, " Since Year" )
ystp1 = input(2099, " Till Year" )
mstr1 = input(1 , " Since Month")
mstp1 = input(12 , " Till Month" )
dstr1 = input(1 , " Since Day" )
dstp1 = input(31 , " Till Day" )
_Str1 = timestamp(ystr1, mstr1, dstr1, 1, 1)
Stp1_ = timestamp(ystp1, mstp1, dstp1, 23, 59)
TIME = time >= _Str1 and time <= Stp1_ ? true : false
////////////////////////////////////////////////////////////////////////////////////////////
_1 =
ma1 == SMA ? sma(src, len1) :
ma1 == EMA ? ema(src, len1) :
na
_2 =
ma2 == SMA ? sma(src, len2) :
ma2 == EMA ? ema(src, len2) :
na
_3 =
ma3 == SMA ? sma(src, len3) :
ma3 == EMA ? ema(src, len3) :
na
_4 =
ma4 == SMA ? sma(src, len4) :
ma4 == EMA ? ema(src, len4) :
na
_1b =
ma1HTF == SMA ? sma(src, len1HTF) :
ma1HTF == EMA ? ema(src, len1HTF) :
na
_2b =
ma2HTF == SMA ? sma(src, len2HTF) :
ma2HTF == EMA ? ema(src, len2HTF) :
na
_3b =
ma3HTF == SMA ? sma(src, len3HTF) :
ma3HTF == EMA ? ema(src, len3HTF) :
na
_4b =
ma4HTF == SMA ? sma(src, len4HTF) :
ma4HTF == EMA ? ema(src, len4HTF) :
na
_1_HTF = security(syminfo.tickerid, MA_HTF, _1b)
_2_HTF = security(syminfo.tickerid, MA_HTF, _2b)
_3_HTF = security(syminfo.tickerid, MA_HTF, _3b)
_4_HTF = security(syminfo.tickerid, MA_HTF, _4b)
cl_HTF = security(syminfo.tickerid, MA_HTF, close)
////////////////////////////////////////////////////////////////////////////////////////////
plot(ENT == co or ENT == cla ? _1 : na , title="(E)MA 1", color=color.lime )
plot(ENT == co ? _2 : na , title="(E)MA 2", color=color.red )
plot(CLO == cu or CLO == clu ? _3 : na , title="(E)MA 3", color= _3 == _1 ? color.lime : color.yellow)
plot(CLO == cu ? _4 : na , title="(E)MA 4", color= _4 == _2 ? color.red : color.blue )
plot(EX2 == co_HTF or EX2 == cla_HTF ? _1_HTF : na, title="(E)MA 1 HTF", color=color.lime, linewidth=2, transp=50)
plot(EX2 == co_HTF ? _2_HTF : na, title="(E)MA 2 HTF", color=color.red , linewidth=2, transp=50)
plot(CX2 == cu_HTF or CX2 == clu_HTF ? _3_HTF : na, title="(E)MA 3 HTF", color= _3_HTF == _1_HTF ? color.lime : color.yellow, linewidth=2, transp=50)
plot(CX2 == cu_HTF ? _4_HTF : na, title="(E)MA 4 HTF", color= _4_HTF == _2_HTF ? color.red : color.blue , linewidth=2, transp=50)
////////////////////////////////////////////////////////////////////////////////////////////
// RSI
rsi_ = rsi(src, ler)
rsi_HTF = security(syminfo.tickerid, RSI_HTF, rsi_)
////////////////////////////////////////////////////////////////////////////////////////////
// MACD
fast_ma = sma_source ? sma(src, fst) : ema(src, fst)
slow_ma = sma_source ? sma(src, slw) : ema(src, slw)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, sgn) : ema(macd, sgn)
hist = macd - signal
macd_HTF = security(syminfo.tickerid, MACD_HTF, macd )
signal_HTF = security(syminfo.tickerid, MACD_HTF, signal)
////////////////////////////////////////////////////////////////////////////////////////////
extra =
EX == none ? true :
EX == mch ? macd > signal :
EX == mch0 ? macd > 0 :
EX == sgh0 ? signal > 0 :
false
cxtra =
CX == none ? true :
CX == mcl ? macd <= signal :
CX == mcl0 ? macd <= 0 :
CX == sgl0 ? signal <= 0 :
false
EXTRA =
EX2 == none ? true :
EX2 == mch_HTF ? macd_HTF > signal_HTF :
EX2 == mch0HTF ? macd_HTF > 0 :
EX2 == sgh0HTF ? signal_HTF > 0 :
EX2 == co_HTF ? _1_HTF > _2_HTF :
EX2 == cla_HTF ? cl_HTF > _1_HTF :
false
CXTRA =
CX2 == none ? true :
CX2 == mcl_HTF ? macd_HTF <= signal_HTF :
CX2 == mcl0HTF ? macd_HTF <= 0 :
CX2 == sgl0HTF ? signal_HTF <= 0 :
CX2 == cu_HTF ? _3_HTF <= _4_HTF :
CX2 == clu_HTF ? cl_HTF <= _3_HTF :
false
RSI = rsi_ > EH and rsi_ <= EL and rsi_HTF > EH_HTF and rsi_HTF <= EL_HTF
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
BUY =
ENT == co and TIME and extra and EXTRA and RSI ? _1 > _2 :
ENT == cla and TIME and extra and EXTRA and RSI ? src > _1 :
ENT == rsi and TIME and extra and EXTRA ? RSI :
ENT == mch and TIME and extra and EXTRA and RSI ? macd > signal :
ENT == mch0 and TIME and extra and EXTRA and RSI ? macd > 0 :
ENT == sgh0 and TIME and extra and EXTRA and RSI ? signal > 0 :
na
SELL =
CLO == cu and TIME and cxtra and CXTRA and RSI ? _3 <= _4 :
CLO == clu and TIME and cxtra and CXTRA and RSI ? src <= _3 :
CLO == rsi and TIME and cxtra and CXTRA ? RSI :
CLO == mcl and TIME and cxtra and CXTRA and RSI ? macd <= signal :
CLO == mcl0 and TIME and cxtra and CXTRA and RSI ? macd <= 0 :
CLO == sgl0 and TIME and cxtra and CXTRA and RSI ? signal <= 0 :
na
if BUY
if (Type == _S_)
strategy.close("[S]")
else
strategy.entry("[B]", strategy.long)
if SELL
if (Type == _L_)
strategy.close("[B]")
else
strategy.entry("[S]", strategy.short)
strategy.exit("[SL/TP]", "[B]", stop= sl ? SL_ : na, limit= tp ? TP_ : na)
更多内容