双因子反转与改良价格量趋势组合策略

Author: ChaoZhang, Date: 2024-01-25 14:46:36
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双因子反转与改良价格量趋势组合策略

概述

本策略结合双因子反转与改良价格量趋势两个子策略,以获取综合交易信号。其中双因子反转策略基于Ulf Jensen的书中P183的思路,在股票两日内收盘价反转且随机指标条件成立时产生信号。改良价格量趋势策略基于价格与成交量的联合研判,判断市场的盘整与蓄势的时机。两种策略可以互相验证,组合使用可以提高稳定性。

策略原理

双因子反转子策略运用两日收盘价反转原理与随机指标的多空判断。如果前一日收盘价较高而今日收盘价反转下跌,且快速随机指标低于慢速随机指标而快速随机指标高于50,则产生空头信号。如果前一日收盘较低而今日收盘反转上涨,且快速随机指标高于慢速随机指标而快速随机低于50,则产生多头信号。

改良价格量趋势策略基于价格与成交量的联合研判。计算公式为:PxVFactor = PriceFactor + Scale * CumPVT, 其中PriceFactor为价格因子,CumPVT为累积能量指标。然后计算PxVFactor的Length天简单移动平均,与当前PxVFactor值比较,判断市场趋势与力度。

组合策略综合考虑两个子策略的信号,双因子反转与改良价格量趋势同向看多或看空时,则产生相应的多空信号。

优势分析

双因子反转策略结合了价格反转与随机指标判断,可以有效识别短期 extremums,捕捉反转机会。
改良价格量趋势策略加入成交量因子,可以判断市场蓄势盘整的时机。
两种策略互相验证,可以提高稳定性,避免错误信号。
使用9天或14天等中短期参数,适合日内和短线操作。

风险及优化

反转策略存在被套住的风险,需要设置止损来控制风险。
量价策略存在增大回撤的可能,如果判断市场方向错误,则亏损扩大。
可以测试是否 PriceFactor 和 CumPVT 两个因子的权重是否最优,是可以做进一步优化。
可以测试不同天数参数下的收益回撤比,选择最优参数。

总结

综上所述,双因子反转与改良价格量趋势组合策略,结合了反转和趋势两个维度的研判,两者可以互相验证信号,提高稳定性。在容易被套的反转策略中增加趋势指标作为辅助判断是必要的。而加入成交量因子也很重要,可以判断市场反转与蓄势的时机。本策略使用中短期参数,适合日内与短线操作,具有一定的实盘价值。

/*backtest
start: 2024-01-17 00:00:00
end: 2024-01-24 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 23/02/2021
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
//  The related article is copyrighted material from
//  Stocks & Commodities.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos


MPVT(Level,Scale,Length) =>
    pos = 0.0
    xCumPVT = 0.0
    xOHLC4 = ohlc4
    xV = volume
    rV = xV / 50000
    xCumPVT := nz(xCumPVT[1]) + (rV * (xOHLC4 - xOHLC4[1]) / xOHLC4[1])
    nRes = Level + Scale * xCumPVT
    xMARes = sma(nRes, Length)
    pos:= iff(nRes > xMARes, 1,
           iff(nRes < xMARes, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Modified Price-Volume Trend", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Price-Volume Trend ----")
LevelPVT = input(1)
Scale = input(1)
LengthPVT = input(23)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posMPVT = MPVT(LevelPVT,Scale,LengthPVT)
pos = iff(posReversal123 == 1 and posMPVT == 1 , 1,
	   iff(posReversal123 == -1 and posMPVT == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1 ) 
    strategy.entry("Long", strategy.long)
if (possig == -1 )
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

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