基于移动平均线背离策略
Author: ChaoZhang, Date: 2024-01-24 11:43:41Tags:
概述
该策略通过计算移动平均线及其枢轴点,发现价格与移动平均线之间的背离,作为买入和卖出信号。它可以应用于任何振荡指标,以查找背离。这是一个有价值的工具,可以用来进行回测和实盘交易。
策略原理
- 计算长度为Len的移动平均线(MA)
- 检测MA的枢轴低点(PL)和枢轴高点(PH)
- 判断是否存在正向背离:价格创新低点而MA未创新低或价格未创新低而MA创新低
- 判断是否存在反向背离:价格创新高点而MA未创新高或价格未创新高而MA创新高
- 根据背离情况判断买入和卖出
优势分析
- 可自动发现价格与MA之间的背离,避免人工判断错误
- 可适用于任何振荡指标,扩展性强
- 可用于回测验证策略盈利能力
- 可配置参数调整灵敏度,避免错误信号
- 提供多种背离类型,判断准确全面
风险分析
- 若振荡指标设定不当,可能产生大量错误信号
- 背离发生前需要有效的枢轴点,可能发生信号不足
- 需适当调整参数,以平衡灵敏度与过滤错误信号
- 与其他因素结合使用效果更好,单独使用可信度较低
优化方向
- 优化移动平均线参数,寻找最佳参数组合
- 结合其他指标如量价指标避免错误信号
- 增加机器学习模型判断背离可信度
- 增加风险管理机制,控制单笔损失
总结
该策略通过发现价格与移动平均线之间的背离作为交易信号,可自动化判断,避免主观错误。可广泛适用于任何振荡指标,具备较强扩展性。需配合参数优化与其他指标使用,可大幅提高交易信号的可信度与系统稳定性。
/*backtest
start: 2023-12-24 00:00:00
end: 2024-01-12 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/
// © tista
//https://www.tradingview.com/u/tista/#published-scripts
//@version=4
strategy(title="MA Divergences", format=format.price)
//* Backtesting Period Selector | Component *//
//* https://www.tradingview.com/script/eCC1cvxQ-Backtesting-Period-Selector-Component *//
//* https://www.tradingview.com/u/pbergden/ *//
//* Modifications made *//
testStartYear = input(2021, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(999999, "Backtest Stop Year")
testStopMonth = input(9, "Backtest Stop Month")
testStopDay = input(26, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
testPeriod() => true
/////////////// END - Backtesting Period Selector | Component ///////////////
len = input(title="MA Period", minval=1, defval=14)
src = input(title="MA Source", defval=close)
lbR = input(title="Pivot Lookback Right", defval=5)
lbL = input(title="Pivot Lookback Left", defval=5)
rangeUpper = input(title="Max of Lookback Range", defval=600)
rangeLower = input(title="Min of Lookback Range", defval=2)
plotBull = input(title="Plot Bullish", defval=true)
plotHiddenBull = input(title="Plot Hidden Bullish", defval=true)
plotBear = input(title="Plot Bearish", defval=true)
plotHiddenBear = input(title="Plot Hidden Bearish", defval=true)
bearColor = color.red
bullColor = color.green
hiddenBullColor = color.green
hiddenBearColor = color.red
textColor = color.white
noneColor = color.new(color.white, 100)
osc = wma(src, len)
plot(osc, title="MA", linewidth=2, color=color.yellow)
plFound = na(pivotlow(osc, lbL, lbR)) ? false : true
phFound = na(pivothigh(osc, lbL, lbR)) ? false : true
_inRange(cond) =>
bars = barssince(cond == true)
rangeLower <= bars and bars <= rangeUpper
alertcondition(osc[1] > 100.0 and osc[2] < 100.0, title="MA value crosses over 100.0", message="Check charts for a MA cross over 100.0")
alertcondition(osc[1] < 100.0 and osc[2] > 100.0, title="MA value crosses under 100.0", message="Check charts for a MA cross under 100.0")
alertcondition(osc[1] > -100. and osc[2] < -100.0, title="MA value crosses over -100.0", message="Check charts for a MA cross over -100.0")
alertcondition(osc[1] < -100.0 and osc[2] > -100.0, title="MA value crosses under -100.0", message="Check charts for a MA cross under -100.0")
//------------------------------------------------------------------------------
// Regular Bullish
// Osc: Higher Low
oscHL = osc[lbR] > valuewhen(plFound, osc[lbR], 1) and _inRange(plFound[1])
// Price: Lower Low
priceLL = low[lbR] < valuewhen(plFound, low[lbR], 1)
bullCond = plotBull and priceLL and oscHL and plFound
plot(
plFound ? osc[lbR] : na,
offset=-lbR,
title="Regular Bullish",
linewidth=2,
color=(bullCond ? bullColor : noneColor),
transp=0
)
plotshape(
bullCond ? osc[lbR] : na,
offset=-lbR,
title="Regular Bullish Label",
text=" Bull ",
style=shape.labelup,
location=location.absolute,
color=bullColor,
textcolor=textColor,
transp=0
)
alertcondition(bullCond, title="Regular bullish divergence in MA found", message="Check charts for a regular bullish divergence found with MA")
//------------------------------------------------------------------------------
// Hidden Bullish
// Osc: Lower Low
oscLL = osc[lbR] < valuewhen(plFound, osc[lbR], 1) and _inRange(plFound[1])
// Price: Higher Low
priceHL = low[lbR] > valuewhen(plFound, low[lbR], 1)
hiddenBullCond = plotHiddenBull and priceHL and oscLL and plFound
plot(
plFound ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bullish",
linewidth=2,
color=(hiddenBullCond ? hiddenBullColor : noneColor),
transp=0
)
plotshape(
hiddenBullCond ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bullish Label",
text=" H Bull ",
style=shape.labelup,
location=location.absolute,
color=bullColor,
textcolor=textColor,
transp=0
)
alertcondition(hiddenBullCond, title="Hidden bullish divergence in MA found", message="Check charts for a hidden bullish divergence found with MA")
//------------------------------------------------------------------------------
// Regular Bearish
// Osc: Lower High
oscLH = osc[lbR] < valuewhen(phFound, osc[lbR], 1) and _inRange(phFound[1])
// Price: Higher High
priceHH = high[lbR] > valuewhen(phFound, high[lbR], 1)
bearCond = plotBear and priceHH and oscLH and phFound
plot(
phFound ? osc[lbR] : na,
offset=-lbR,
title="Regular Bearish",
linewidth=2,
color=(bearCond ? bearColor : noneColor),
transp=0
)
plotshape(
bearCond ? osc[lbR] : na,
offset=-lbR,
title="Regular Bearish Label",
text=" Bear ",
style=shape.labeldown,
location=location.absolute,
color=bearColor,
textcolor=textColor,
transp=0
)
alertcondition(bearCond, title="Regular bearish divergence in MA found", message="Check charts for a regular bearish divergence found with MA")
//------------------------------------------------------------------------------
// Hidden Bearish
// Osc: Higher High
oscHH = osc[lbR] > valuewhen(phFound, osc[lbR], 1) and _inRange(phFound[1])
// Price: Lower High
priceLH = high[lbR] < valuewhen(phFound, high[lbR], 1)
hiddenBearCond = plotHiddenBear and priceLH and oscHH and phFound
plot(
phFound ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bearish",
linewidth=2,
color=(hiddenBearCond ? hiddenBearColor : noneColor),
transp=0
)
plotshape(
hiddenBearCond ? osc[lbR] : na,
offset=-lbR,
title="Hidden Bearish Label",
text=" H Bear ",
style=shape.labeldown,
location=location.absolute,
color=bearColor,
textcolor=textColor,
transp=0
)
// Alerts
//alertcondition(bearCond or hiddenBearCond, title='Bear div', message='Bear div')
//alertcondition(bullCond or hiddenBullCond, title='Bull div', message='Bull div')
//alertcondition(bearCond or bullCond, title='Bull or beal div', message='Bull or bear div')
//alertcondition(hiddenBearCond or hiddenBullCond, title='Bull or beal div', message='Hidden Bull or bear div')
//alertcondition(hiddenBearCond or hiddenBullCond or bearCond or bullCond, title='Bull or beal div', message='Any Bull or bear div')
if testPeriod()
if bullCond or hiddenBullCond
strategy.entry("Buy", strategy.long)
if bearCond or hiddenBearCond
strategy.entry("Sell", strategy.short)
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