动量讨价还价策略
Author: ChaoZhang, Date: 2024-01-26 11:07:47Tags:
概述
动量讨价还价策略是一种中短线交易策略,它结合了移动平均线指标和K线形态模型,通过识别突破点和回调点来发现交易机会。该策略适用于看涨期权、看跌期权、期货等高杠杆金融产品的交易。
策略原理
该策略的核心逻辑基于5日简单移动平均线。当价格要突破该平均线时,会形成一个跳空的最高点或最低点K线,此时就是一个潜在的做多或做空信号。在价格突破平均线的第二根K线收盘时,若不破坏前一跳空K线的最低价或最高价,则形成入场信号。随后根据止损点和止盈目标设置风险敞口。
当价格向上突破5日均线而收盘时,前一跳空K线的最高价为止损点,最低价减去一定回调范围乘以风险回报比作为止盈目标。当价格向下突破5日均线而收盘时,前一跳空K线的最低价为止损点,最高价加上一定回调范围乘以风险回报比作为止盈目标。
该策略还提供了一个可选的过滤条件,即当前K线的收盘价相对于跳空K线要稍低或稍高,这样可以避免部分错误信号。
策略优势分析
- 策略思路清晰简洁,容易理解和实现
- 基于移动平均线,可以识别趋势和回调
- 结合K线形态,可以发现更精确的交易时点
- 风险和回报匹配,符合理性交易原则
- 可根据自己的交易品种和周期进行参数调整
- 提供可选过滤条件,可以减少错误信号
策略风险分析
- 如其他技术指标策略,也可能出现被套、止损追击等风险
- 移动平均线指标有滞后性,可能错过短线大行情
- 在震荡趋势中,容易出现较多错误信号
- 策略参数设置不当可能导致过度交易
可以通过合理止损,适当宽松持仓,选择低频交易等方法降低风险。也可以考虑结合其他指标进行信号过滤。
策略优化方向
- 可以测试不同的参数组合,选择最佳参数
- 可以结合其他指标或图形进行信号过滤优化
- 可以考虑动态止损、移动止损等方法
- 可以结合机器学习模型自动优化参数
- 可以开发自动止损、止盈插件
- 可以尝试跨品种、跨周期验证策略健壮性
总结
本策略整体来说是一个易于理解和实现的中短线交易策略。它利用移动平均线和跳空K线形态识别趋势转折点,在理性的风险控制框架下进行操作。虽然仍存在一些改进空间,但其核心思路具有普适性,值得学习和应用。通过参数调整、信号过滤等优化措施,可以将该策略运用到更广泛的交易实践中。
/*backtest
start: 2024-01-18 00:00:00
end: 2024-01-25 00:00:00
period: 15m
basePeriod: 5m
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/
// © TradingInsights2
//@version=5
strategy("Ultimate 5EMA Strategy By PowerOfStocks", overlay=true)
Eusl = input.bool(false, title="Enable the Extra SL shown below")
usl = input.int(defval=5, title='Value to set SL number of points below-low or above-high', minval=1, maxval=100)
RiRe = input.int(defval=3, title='Risk to Reward Ratio', minval=1, maxval=25)
ShowSell = input.bool(true, 'Show Sell Signals')
ShowBuy = input.bool(false, 'Show Buy Signals')
BSWCon = input.bool(defval=false, title='Buy/Sell with Extra Condition - candle close')
// Moving Average
ema5 = ta.ema(close, 5)
pema5 = plot(ema5, '5 Ema', color=color.new(#da1a1a, 0), linewidth=2)
var bool Short = na
var bool Long = na
var shortC = 0
var sslhitC = 0
var starhitC = 0
var float ssl = na
var float starl = na
var float star = na
var float sellat = na
var float alert_shorthigh = na
var float alert_shortlow = na
var line lssl = na
var line lstar = na
var line lsell = na
var label lssllbl = na
var label lstarlbl = na
var label lselllbl = na
var longC = 0
var lslhitC = 0
var ltarhitC = 0
var float lsl = na
var float ltarl = na
var float ltar = na
var float buyat = na
var float alert_longhigh = na
var float alert_longlow = na
var line llsl = na
var line lltar = na
var line lbuy = na
var label llsllbl = na
var label lltarlbl = na
var label lbuylbl = na
ShortWC = low[1] > ema5[1] and low[1] > low and shortC == 0 and close < close[1]
ShortWOC = low[1] > ema5[1] and low[1] > low and shortC == 0
Short := BSWCon ? ShortWC : ShortWOC
sslhit = high > ssl and shortC > 0 and sslhitC == 0
starhit = low < star and shortC > 0 and starhitC == 0
LongWC = high[1] < ema5[1] and high[1] < high and longC == 0 and close > close[1]
LongWOC = high[1] < ema5[1] and high[1] < high and longC == 0
Long := BSWCon ? LongWC : LongWOC
lslhit = low < lsl and longC > 0 and lslhitC == 0
ltarhit = high > ltar and longC > 0 and ltarhitC == 0
if Short and ShowSell
shortC := shortC + 1
sslhitC := 0
starhitC := 0
alert_shorthigh := high[1]
if Eusl
ssl := high[1] + usl
starl := BSWCon ? ((high[1] - close) + usl) * RiRe : ((high[1] - low[1]) + usl) * RiRe
else
ssl := high[1]
starl := BSWCon ? (high[1] - close) * RiRe : (high[1] - low[1]) * RiRe
star := BSWCon ? close - starl : low[1] - starl
sellat := BSWCon ? close : low[1]
// lssl := line.new(bar_index, ssl, bar_index, ssl, color=color.new(#fc2d01, 45), style=line.style_dashed)
// lstar := line.new(bar_index, star, bar_index, star, color=color.new(color.green, 45), style=line.style_dashed)
// lsell := line.new(bar_index, sellat, bar_index, sellat, color=color.new(color.orange, 45), style=line.style_dashed)
// lssllbl := label.new(bar_index, ssl, style=label.style_none, text='Stop Loss - Short' + ' (' + str.tostring(ssl) + ')', textcolor=color.new(#fc2d01, 35), color=color.new(#fc2d01, 35))
// lstarlbl := label.new(bar_index, star, style=label.style_none, text='Target - Short' + ' (' + str.tostring(star) + ')', textcolor=color.new(color.green, 35), color=color.new(color.green, 35))
// lselllbl := label.new(bar_index, sellat, style=label.style_none, text='Sell at' + ' (' + str.tostring(sellat) + ')', textcolor=color.new(color.orange, 35), color=color.new(color.orange, 35))
if sslhit == false and starhit == false and shortC > 0
// line.set_x2(lssl, bar_index)
// line.set_x2(lstar, bar_index)
// line.set_x2(lsell, bar_index)
sslhitC := 0
starhitC := 0
else
if sslhit
shortC := 0
sslhitC := sslhitC + 1
else
if starhit
shortC := 0
starhitC := starhitC + 1
if Long and ShowBuy
longC := longC + 1
lslhitC := 0
ltarhitC := 0
alert_longlow := low[1]
if Eusl
lsl := low[1] - usl
ltarl := BSWCon ? ((close - low[1]) + usl) * RiRe : ((high[1] - low[1]) + usl) * RiRe
else
lsl := low[1]
ltarl := BSWCon ? (close - low[1]) * RiRe : (high[1] - low[1]) * RiRe
ltar := BSWCon ? close + ltarl : high[1] + ltarl
buyat := BSWCon ? close : high[1]
llsl := line.new(bar_index, lsl, bar_index, lsl, color=color.new(#fc2d01, 45), style=line.style_dotted)
lltar := line.new(bar_index, ltar, bar_index, ltar, color=color.new(color.green, 45), style=line.style_dotted)
lbuy := line.new(bar_index, buyat, bar_index, buyat, color=color.new(color.orange, 45), style=line.style_dotted)
llsllbl := label.new(bar_index, lsl, style=label.style_none, text='Stop Loss - Long' + ' (' + str.tostring(lsl) + ')', textcolor=color.new(#fc2d01, 35), color=color.new(#fc2d01, 35))
lltarlbl := label.new(bar_index, ltar, style=label.style_none, text='Target - Long' + ' (' + str.tostring(ltar) + ')', textcolor=color.new(color.green, 35), color=color.new(color.green, 35))
lbuylbl := label.new(bar_index, buyat, style=label.style_none, text='Buy at' + ' (' + str.tostring(buyat) + ')', textcolor=color.new(color.orange, 35), color=color.new(color.orange, 35))
if lslhit == false and ltarhit == false and longC > 0
// line.set_x2(llsl, bar_index)
// line.set_x2(lltar, bar_index)
// line.set_x2(lbuy, bar_index)
lslhitC := 0
ltarhitC := 0
else
if lslhit
longC := 0
lslhitC := lslhitC + 1
else
if ltarhit
longC := 0
ltarhitC := ltarhitC + 1
strategy.entry("Buy", strategy.long, when=Long)
strategy.entry("Sell", strategy.short, when=Short)
strategy.close("ExitBuy", when=sslhit or starhit)
strategy.close("ExitSell", when=lslhit or ltarhit)
plotshape(ShowSell and Short, title='Sell', location=location.abovebar, offset=0, color=color.new(#e74c3c, 45), style=shape.arrowdown, size=size.normal, text='Sell', textcolor=color.new(#e74c3c, 55))
plotshape(ShowSell and sslhit, title='SL Hit - Short', location=location.abovebar, offset=0, color=color.new(#fc2d01, 25), style=shape.arrowdown, size=size.normal, text='SL Hit - Short', textcolor=color.new(#fc2d01, 25))
plotshape(ShowSell and starhit, title='Target Hit - Short', location=location.belowbar, offset=0, color=color.new(color.green, 45), style=shape.arrowup, size=size.normal, text='Target Hit - Short', textcolor=color.new(color.green, 55))
plotshape(ShowBuy and Long, title='Buy', location=location.belowbar, offset=0, color=color.new(#2ecc71, 45), style=shape.arrowup, size=size.normal, text='Buy', textcolor=color.new(#2ecc71, 55))
plotshape(ShowBuy and lslhit, title='SL Hit - Long', location=location.belowbar, offset=0, color=color.new(#fc2d01, 25), style=shape.arrowdown, size=size.normal, text='SL Hit - Long', textcolor=color.new(#fc2d01, 25))
plotshape(ShowBuy and ltarhit, title='Target Hit - Long', location=location.abovebar, offset=0, color=color.new(color.green, 45), style=shape.arrowup, size=size.normal, text='Target Hit - Long', textcolor=color.new(color.green, 55))
if ShowSell and Short
alert("Go Short@ " + str.tostring(sellat) + " : SL@ " + str.tostring(ssl) + " : Target@ " + str.tostring(star) + " ", alert.freq_once_per_bar )
if ShowBuy and Long
alert("Go Long@ " + str.tostring(buyat) + " : SL@ " + str.tostring(lsl) + " : Target@ " + str.tostring(ltar) + " ", alert.freq_once_per_bar )
///// End of code
更多内容
- 日内开仓反转策略
- 双均线交叉 golden cross 交易策略
- 一种基于移动平均线的趋势跟踪策略
- 一个简单高效的MACD量化交易策略
- 线性回归与双均线短线策略
- 三重叠加随机动量策略
- 多种技术指标动量趋向策略
- 动量均线交叉量化策略
- 双均线反转与ATR trailing stop组合策略
- 杠杆化马丁格尔期货交易策略
- 双K线预测闭合策略
- 基于CMO和WMA的双均线交易策略
- Stochastic Supertrend跟踪止损交易策略
- 双重反转震荡带趋势跟踪策略
- 基于DMI和RSI的趋势跟随策略
- 支撑阻力震荡交易策略
- 三EMA配合DMI和MACD的趋势跟踪策略
- 基于双重指标突破策略
- 皮特波浪交易系统策略
- 基于指数移动平均和成交量加权的多因子量化策略