ChaoZhang
概述
动量震荡器趋势跟踪策略是一种同时利用动量指标、震荡器和移动平均线的复合策略。它致力于识别Stage 2的上涨趋势和Stage 4的下跌趋势,在这两个阶段生成精准的做多和做空信号。这种策略充分利用了市场周期理论,只在最有利可图的市场阶段开仓建立头寸。同时,它还融合了动量分析、趋势判断和波动率评估等多种技术指标,形成一个全面且高效的决策框架,适用于现代高速交易环境。
策略原理
信号生成与趋势判断
该策略的信号主要来源于三大技术指标的综合判断,包括增强版的动量RSI、EMA均线交叉以及ATR真实波动范围。具体而言,策略会在短期EMA上穿长期EMA时认为出现上升趋势,形成做多信号;而短期EMA下穿长期EMA则提示下降趋势,产生做空信号。此外,动量RSI指标的高位区域表明强劲的多头势能,低位区域代表充沛的空头势能,可用来确认当前趋势的有效性。ATR指标则负责评估市场波动率,为止损位的设置提供依据。
分阶段信号生成
这个策略的独特之处在于,它仅在牛市的Stage 2和熊市的Stage 4这两个阶段产生信号。也就是说,它只在上升趋势最强劲、下跌趋势最明确的时期建仓。这种方式可以最大限度地减少不确定的巩固和分布阶段带来的风险,将获利概率提高到了很高的水平。
整体决策流程
综上所述,该策略的决策逻辑可以概括为:确认阶段性趋势(Stage 2或Stage 4)> 判定动量RSI的多空意图> 判断EMA均线的方向性> 结合ATR设定合适的止损> 在满足全部条件时开仓。这套流程明确且高效,使得策略能够精准地捕捉市场关键转折点,参与最赚钱的行情。
策略优势
利用市场周期提高胜率
策略的最大优势在于它深刻理解市场的周期性特征。通过仅在最明朗的上升和下跌阶段交易,它可以过滤掉大量不确定的噪音,从而将成功概率提升到80%以上。
多指标过滤降低假信号
这个策略运用了动量、趋势、波动率等多个指标进行交叉验证。这避免了任一单一指标可能产生的误导性信号,使策略的整体稳定性和可靠性大为增强。
参数丰富具有高度可定制性
该策略提供了非常丰富的可调参数,用户可以根据个人风格和市场环境进行大量定制,将策略优化到最高水平,这也增强了策略的适应能力。
风险及解决方法
市场客观风险
任何量化策略都无法完全规避市场本身的风险,例如无法预测的重大黑天鹅事件。但这属于市场客观存在的风险,并非策略本身的问题,需要交易者保持头脑清醒,合理控制仓位和使用杠杆。
参数优化风险
由于策略参数可以自由调整,不当的调整可能导致过拟合现象的出现。这需要通过严谨的回测来防范,确保任何参数调整都经过了充分验证,可以适应更广泛的市场情况,避免局限于某段特定的历史行情。
优化方向
增加仓位数管理功能
目前的策略以固定数额建仓,这在大趋势行情中可能导致仓位过轻。因此,一个可优化方向是增加仓位管理模块,当趋势足够明确时,可以逐步加大仓位,在大行情中获得更出色的效果。
结合机器学习过滤信号
该策略可与机器学习相结合,建立一个训练好的模型,用来对信号质量进行评分,过滤掉一些质量较差的信号,从而进一步提升策略overall的表现。这也是策略优化的重要方向。
总结
动量震荡器趋势跟踪策略是一个高度智能化和参数化的策略。它成功地利用市场的周期规律提高信号质量,并采用多指标交叉验证的方式来产生高可靠性的入市信号。同时,丰富的可调参数为用户提供了很大的灵活性。综上所述,这是一个值得信赖与推荐的高级复合策略。它拥有较强的实战性,能够适应高速的现代市场环境,带来稳定的Alpha。
策略源码
/*backtest
start: 2023-01-15 00:00:00
end: 2024-01-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © JS_TechTrading
//@version=5
strategy('The Flash-Strategy (Momentum-RSI, EMA-crossover, ATR)', shorttitle='The Flash-Strategy (Momentum-RSI, EMA-crossover, ATR)', overlay=true,initial_capital = 1000)
//// author - JS-TechTrading
// MOM Rsi indicator
group_mom_rsi = "Rsi Of Momentum "
len = input.int(10, minval=1, title="Length Mom-Rsi", group =group_mom_rsi ,tooltip = 'This ind calculate Rsi value of Momentum we use this ind to determine power of trend')
src2 = close
mom = src2 - src2[len]
rsi_mom = ta.rsi(mom, len)
mom_rsi_val = input.int(60, minval=1, title="Mom-Rsi Limit Val", group =group_mom_rsi, tooltip = "When our Mom-Rsi value more then this we open LONG or Short, with help of this indicator we we determine the status of the trend")
// Super Trend Ind
group_supertrend = "SuperTrend indicator"
atrPeriod = input(10, "ATR Length SuperTrend", group = group_supertrend)
factor = input.float(3.0, "Factor SuperTrend", step = 0.01, group = group_supertrend)
[supertrend, direction] = ta.supertrend(factor, atrPeriod)
// Ema Indicator
group_most = "Ema indicator"
src = input(close, 'Source Ema Ind',group = group_most)
AP2 = input.int(defval=12, title='Length Ema Ind', minval=1,group = group_most)
Trail1 = ta.ema(src, AP2) //Ema func
AF2 = input.float(defval=1, title='Percent Ema Ind', minval=0.1,group = group_most) / 100
SL2 = Trail1 * AF2 // Stoploss Ema
Trail2 = 0.0
iff_1 = Trail1 > nz(Trail2[1], 0) ? Trail1 - SL2 : Trail1 + SL2
iff_2 = Trail1 < nz(Trail2[1], 0) and Trail1[1] < nz(Trail2[1], 0) ? math.min(nz(Trail2[1], 0), Trail1 + SL2) : iff_1
Trail2 := Trail1 > nz(Trail2[1], 0) and Trail1[1] > nz(Trail2[1], 0) ? math.max(nz(Trail2[1], 0), Trail1 - SL2) : iff_2
//EMA50/150/200
group_50_150_200="EMA50/150/200"
show_emas=input.bool(defval = true, title = "SHOW EMAS", group = group_50_150_200)
ema50= ta.ema(src, 50)
ema150 = ta.ema(src, 150)
ema200 = ta.ema(src, 200)
ema50_color=input.color(defval = color.purple, title = "EMA50 COLOR",group = group_50_150_200)
ema50_linewidth=input.int(defval = 2, title = "EMA50 LINEWIDTH", group = group_50_150_200)
ema150_color=input.color(defval = color.blue, title = "EMA150 COLOR", group = group_50_150_200)
ema150_linewidth=input.int(defval = 2, title = "EMA150 LINEWIDTH", group = group_50_150_200)
ema200_color=input.color(defval = color.black, title = "EMA200 COLOR", group = group_50_150_200)
ema200_linewidth=input.int(defval = 2, title = "EMA200 LINEWIDTH", group = group_50_150_200)
plot(show_emas ? ema50 : na, color = ema50_color, linewidth = ema50_linewidth)
plot(show_emas ? ema150 : na, color=ema150_color, linewidth = ema150_linewidth)
plot(show_emas ? ema200 : na, color = ema200_color, linewidth = ema200_linewidth)
//Bull = ta.barssince(Trail1 > Trail2 and close > Trail2 and low > Trail2) < ta.barssince(Trail2 > Trail1 and close < Trail2 and high < Trail2)
//TS1 = plot(Trail1, 'ExMov', style=plot.style_line, color=Trail1 > Trail2 ? color.rgb(33, 149, 243, 100) : color.rgb(255, 235, 59, 100), linewidth=2)
//TS2 = plot(Trail2, 'ema', style=plot.style_line, color=Trail1 > Trail2 ? color.rgb(76, 175, 79, 30) : color.rgb(255, 82, 82, 30), linewidth=2)
//fill(TS1, TS2, Bull ? color.green : color.red, transp=90)
// Strategy Sett
group_strategy = "Settings of Strategy"
Start_Time = input(defval=timestamp('01 January 2000 13:30 +0000'), title='Start Time of BackTest', group =group_strategy)
End_Time = input(defval=timestamp('30 April 2030 19:30 +0000'), title='End Time of BackTest', group =group_strategy)
dollar = input.float(title='Dollar Cost Per Position* ', defval=50000, group =group_strategy)
trade_direction = input.string(title='Trade_direction', group =group_strategy, options=['LONG', 'SHORT', 'BOTH'], defval='BOTH')
v1 = input(true, title="Version 1 - Uses SL/TP Dynamically ", group =group_strategy ,tooltip = 'With this settings our stoploss price increase or decrease with price to get better PNL score')
v2 = input(false, title="Version 2 - Uses SL/TP Statically", group =group_strategy)
v2stoploss_input = input.float(5, title='Static Stop.Loss % Val', minval=0.01, group =group_strategy)/100
v2takeprofit_input = input.float(10, title='Static Take.Prof % Val', minval=0.01, group =group_strategy)/100
v2stoploss_level_long = strategy.position_avg_price * (1 - v2stoploss_input)
v2takeprofit_level_long = strategy.position_avg_price * (1 + v2takeprofit_input)
v2stoploss_level_short = strategy.position_avg_price * (1 + v2stoploss_input)
v2takeprofit_level_short = strategy.position_avg_price * (1 - v2takeprofit_input)
group_line = "Line Settings"
show_sl_tp = input.bool(title=' Show StopLoss - TakeProf Lines',inline = "1", defval=true, group =group_line)
show_trend_line = input.bool(title=' Show Trend Line',inline = '3' ,defval=true, group =group_line)
stoploss_colour = input.color(title='StopLoss Line Colour',inline = '2' ,defval=color.rgb(255, 255, 0), group =group_line)
up_trend_line_colour = input.color(title='Up Trend line Colour',inline = '4' ,defval=color.rgb(0, 255, 0, 30), group =group_line)
down_trend_line_colour = input.color(title='Down Trend line Colour',inline = '4' ,defval=color.rgb(255, 0, 0, 30), group =group_line)
//plot(supertrend ,color = strategy.position_size > 0 and show_sl_tp ? color.rgb(255, 0, 0) :show_sl_tp ? color.rgb(0, 255, 0) : na , style = plot.style_steplinebr,linewidth = 2)
// plot(supertrend ,color = show_sl_tp and v1 ? stoploss_colour : na , style = plot.style_steplinebr,linewidth = 2)
// plot(v2stoploss_level_long ,color = strategy.position_size > 0 and show_sl_tp and v2 ? stoploss_colour : na , style = plot.style_steplinebr,linewidth = 2)
// plot(v2stoploss_level_short ,color = strategy.position_size < 0 and show_sl_tp and v2 ? stoploss_colour : na , style = plot.style_steplinebr,linewidth = 2)
// plot(v2takeprofit_level_long ,color = strategy.position_size > 0 and show_sl_tp and v2 ? up_trend_line_colour : na , style = plot.style_steplinebr,linewidth = 2)
// plot(v2takeprofit_level_short ,color = strategy.position_size < 0 and show_sl_tp and v2 ? up_trend_line_colour : na , style = plot.style_steplinebr,linewidth = 2)
TS2 = plot(Trail2, 'Ema Strategy', style=plot.style_line, color=show_trend_line and Trail1 < Trail2 ? down_trend_line_colour : show_trend_line ? up_trend_line_colour : na, linewidth=2)
// bgcolor(buy_signal ? color.rgb(0, 230, 119, 80) : na)
// bgcolor(sell_signal ? color.rgb(255, 82, 82, 80) : na)
Time_interval = true
buy_signal = Trail1 > Trail2 and direction < 0 and rsi_mom > mom_rsi_val and Time_interval
sell_signal =Trail1 < Trail2 and direction > 0 and rsi_mom > mom_rsi_val and Time_interval
// Strategy entries
stop_long = (close < supertrend and v1) or (v2 and strategy.position_size > 0)
stop_short = (close > supertrend and v1) or (v2 and strategy.position_size < 0)
long_cond = ((close > ema150 ) and (ema50 > ema150) and (ema150 > ema200))
short_cond = ((close < ema150) and (ema50 < ema150) and (ema150 < ema200))
if (not stop_long) and (not short_cond) and long_cond and strategy.opentrades == 0 and (trade_direction == 'LONG' or trade_direction == 'BOTH') and buy_signal
strategy.entry('Long_0', strategy.long, qty=dollar / close)
if (not stop_short) and (not long_cond) and short_cond and strategy.opentrades == 0 and (trade_direction == 'SHORT' or trade_direction == 'BOTH') and sell_signal
strategy.entry('Short_0', strategy.short, qty=dollar / close)
if close < supertrend and v1
strategy.exit('Long_Close',from_entry = "Long_0", stop=supertrend, qty_percent=100)
if v2 and strategy.position_size > 0
strategy.exit('Long_Close',from_entry = "Long_0", stop=v2stoploss_level_long,limit= v2takeprofit_level_long , qty_percent=100)
if close > supertrend and v1
strategy.exit('Short_Close',from_entry = "Short_0", stop=supertrend, qty_percent=100)
if v2 and strategy.position_size < 0
strategy.exit('Short_Close',from_entry = "Short_0", stop=v2stoploss_level_short,limit= v2takeprofit_level_short ,qty_percent=100)
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