基于Wave Trend和VWMA的趋势跟踪量化策略
Author: ChaoZhang, Date: 2024-01-26 17:35:29Tags:
概述
本策略结合了Wave Trend振荡器和VWMA指标,实现了一个趋势跟踪的量化交易策略。该策略可以识别市场趋势,并基于Wave Trend振荡器的信号进行买入或卖出。另外,交易大小根据VWMA指标的信号来确定。
策略原理
该策略主要基于以下两个指标:
Wave Trend振荡器:这是一个由LazyBear移植到TradingView的指标,可以识别价格波动的“波浪”,并产生买入/卖出信号。具体计算方法是:先计算价格的平均值ap,然后计算ap的EMA(称为esa),再计算ap与esa的差值的绝对值的EMA(称为d),最后计算一致性指数ci=(ap-esa)/(0.015*d), ci的EMA即为Wave Trend(wt1), wt1的4周期SMA即为wt2。当wt1上穿wt2时为买入信号,下穿为卖出信号。
VWMA指标:这是一个考虑成交量的加权移动平均线。根据价格在VWMABands(VWMA的上下轨)之内或之外,产生+1(多头)、0(中性)或-1(空头)的信号。
根据Wave Trend的信号确定买入和卖出的时机。而根据VWMA指标的多空信号,确定每次交易的具体数量。
策略优势
- 结合两种指标的信号,可以提高决策的准确性
- 基于成交量的VWMA指标,可以判断市场的力量对比
- 可自定义交易时间段,避免重要新闻事件的剧烈波动
- 交易数量根据VWMA的信号进行调整,可以减少交易风险
策略风险
- Wave Trend指标可能产生假信号
- 成交量数据不精确可能影响VWMA指标
- 需要较长的历史数据进行指标计算
- 未考虑止损策略
优化方向
- 测试不同参数组合,找到最佳参数
- 增加止损策略
- 考虑结合其他指标进行信号过滤
- 测试不同的交易时间段设置
- 动态调整交易数量的计算方式
总结
本策略整合了趋势判断和量能指标,实现了一个较为先进的趋势跟踪策略。该策略具有一定的优势,但也存在一些风险需要注意。通过参数和规则的优化,有望进一步提高策略的稳定性和收益率。
/*backtest
start: 2023-12-26 00:00:00
end: 2024-01-25 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/
//
// Created by jadamcraig
//
// This strategy benefits from extracts taken from the following
// studies/authors. Thank you for developing and sharing your ideas in an open
// way!
// * Wave Trend Strategy by thomas.gigure
// * cRSI + Waves Strategy with VWMA overlay by Dr_Roboto
//
//@version=4
//==============================================================================
//==============================================================================
overlay = true // plots VWMA (need to close and re-add)
//overlay = false // plots Wave Trend (need to close and re-add)
strategy("Wave Trend w/ VWMA overlay", overlay=overlay)
baseQty = input(defval=1, title="Base Quantity", type=input.float, minval=1)
useSessions = input(defval=true, title="Limit Signals to Trading Sessions?")
sess1_startHour = input(defval=8, title="Session 1: Start Hour",
type=input.integer, minval=0, maxval=23)
sess1_startMinute = input(defval=25, title="Session 1: Start Minute",
type=input.integer, minval=0, maxval=59)
sess1_stopHour = input(defval=10, title="Session 1: Stop Hour",
type=input.integer, minval=0, maxval=23)
sess1_stopMinute = input(defval=25, title="Session 1: Stop Minute",
type=input.integer, minval=0, maxval=59)
sess2_startHour = input(defval=12, title="Session 2: Start Hour",
type=input.integer, minval=0, maxval=23)
sess2_startMinute = input(defval=55, title="Session 2: Start Minute",
type=input.integer, minval=0, maxval=59)
sess2_stopHour = input(defval=14, title="Session 2: Stop Hour",
type=input.integer, minval=0, maxval=23)
sess2_stopMinute = input(defval=55, title="Session 2: Stop Minute",
type=input.integer, minval=0, maxval=59)
sess1_closeAll = input(defval=false, title="Close All at End of Session 1")
sess2_closeAll = input(defval=true, title="Close All at End of Session 2")
//==============================================================================
//==============================================================================
// Volume Weighted Moving Average (VWMA)
//==============================================================================
//==============================================================================
plotVWMA = overlay
// check if volume is available for this equity
useVolume = input(
title="VWMA: Use Volume (uncheck if equity does not have volume)",
defval=true)
vwmaLen = input(defval=21, title="VWMA: Length", type=input.integer, minval=1,
maxval=200)
vwma = vwma(close, vwmaLen)
vwma_high = vwma(high, vwmaLen)
vwma_low = vwma(low, vwmaLen)
if not(useVolume)
vwma := wma(close, vwmaLen)
vwma_high := wma(high, vwmaLen)
vwma_low := wma(low, vwmaLen)
// +1 when above, -1 when below, 0 when inside
vwmaSignal(priceOpen, priceClose, vwmaHigh, vwmaLow) =>
sig = 0
color = color.gray
if priceClose > vwmaHigh
sig := 1
color := color.green
else if priceClose < vwmaLow
sig := -1
color := color.red
else
sig := 0
color := color.gray
[sig,color]
[vwma_sig, vwma_color] = vwmaSignal(open, close, vwma_high, vwma_low)
priceAboveVWMA = vwma_sig == 1 ? true : false
priceBelowVWMA = vwma_sig == -1 ? true : false
// plot(priceAboveVWMA?2.0:0,color=color.blue)
// plot(priceBelowVWMA?2.0:0,color=color.maroon)
//bandTrans = input(defval=70, title="VWMA Band Transparancy (100 invisible)",
// type=input.integer, minval=0, maxval=100)
//fillTrans = input(defval=70, title="VWMA Fill Transparancy (100 invisible)",
// type=input.integer, minval=0, maxval=100)
bandTrans = 60
fillTrans = 60
// ***** Plot VWMA *****
highband = plot(plotVWMA?fixnan(vwma_high):na, title='VWMA High band',
color = vwma_color, linewidth=1, transp=bandTrans)
lowband = plot(plotVWMA?fixnan(vwma_low):na, title='VWMA Low band',
color = vwma_color, linewidth=1, transp=bandTrans)
fill(lowband, highband, title='VWMA Band fill', color=vwma_color,
transp=fillTrans)
plot(plotVWMA?vwma:na, title='VWMA', color = vwma_color, linewidth=3,
transp=bandTrans)
//==============================================================================
//==============================================================================
// Wave Trend
//==============================================================================
//==============================================================================
plotWaveTrend = not(overlay)
n1 = input(10, "Wave Trend: Channel Length")
n2 = input(21, "Wave Trend: Average Length")
obLevel1 = input(60, "Wave Trend: Over Bought Level 1")
obLevel2 = input(53, "Wave Trend: Over Bought Level 2")
osLevel1 = input(-60, "Wave Trend: Over Sold Level 1")
osLevel2 = input(-53, "Wave Trend: Over Sold Level 2")
ap = hlc3
esa = ema(ap, n1)
d = ema(abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ema(ci, n2)
wt1 = tci
wt2 = sma(wt1,4)
plot(plotWaveTrend?0:na, color=color.gray)
plot(plotWaveTrend?obLevel1:na, color=color.red)
plot(plotWaveTrend?osLevel1:na, color=color.green)
plot(plotWaveTrend?obLevel2:na, color=color.red, style=3)
plot(plotWaveTrend?osLevel2:na, color=color.green, style=3)
plot(plotWaveTrend?wt1:na, color=color.green)
plot(plotWaveTrend?wt2:na, color=color.red, style=3)
plot(plotWaveTrend?wt1-wt2:na, color=color.blue, transp=80)
//==============================================================================
//==============================================================================
// Order Management
//==============================================================================
//==============================================================================
// Define Long and Short Conditions
longCondition = crossover(wt1, wt2)
shortCondition = crossunder(wt1, wt2)
// Define Quantities
orderQty = baseQty * 2
if (longCondition)
if (vwma_sig == 1)
if ( strategy.position_size >= (baseQty * 4 * -1) and
strategy.position_size < 0 )
orderQty := baseQty * 4 + abs(strategy.position_size)
else
orderQty := baseQty * 4
else if (vwma_sig == 0)
if ( strategy.position_size >= (baseQty * 2 * -1) and
strategy.position_size < 0 )
orderQty := baseQty * 2 + abs(strategy.position_size)
else
orderQty := baseQty * 2
else if (vwma_sig == -1)
if ( strategy.position_size >= (baseQty * 1 * -1) and
strategy.position_size < 0 )
orderQty := baseQty * 1 + abs(strategy.position_size)
else
orderQty := baseQty * 1
else if (shortCondition)
if (vwma_sig == -1)
if ( strategy.position_size <= (baseQty * 4) and
strategy.position_size > 0 )
orderQty := baseQty * 4 + strategy.position_size
else
orderQty := baseQty * 4
else if (vwma_sig == 0)
if ( strategy.position_size <= (baseQty * 2) and
strategy.position_size > 2 )
orderQty := baseQty * 2 + strategy.position_size
else
orderQty := baseQty * 2
else if (vwma_sig == 1)
if ( strategy.position_size <= (baseQty * 1) and
strategy.position_size > 0 )
orderQty := baseQty * 1 + strategy.position_size
else
orderQty := baseQty * 1
// Determine if new trades are permitted
newTrades = false
if (useSessions)
if ( hour == sess1_startHour and minute >= sess1_startMinute )
newTrades := true
else if ( hour > sess1_startHour and hour < sess1_stopHour )
newTrades := true
else if ( hour == sess1_stopHour and minute < sess1_stopMinute )
newTrades := true
else if ( hour == sess2_startHour and minute >= sess2_startMinute )
newTrades := true
else if ( hour > sess2_startHour and hour < sess2_stopHour )
newTrades := true
else if ( hour == sess2_stopHour and minute < sess2_stopMinute )
newTrades := true
else
newTrades := false
else
newTrades := true
// Long Signals
if ( longCondition )
strategy.order("Buy", strategy.long, orderQty)
// Short Signals
if ( shortCondition )
strategy.order("Sell", strategy.short, orderQty)
// Close open position at end of Session 1, if enabled
if (sess1_closeAll )
strategy.close_all()
// Close open position at end of Session 2, if enabled
if (sess2_closeAll )
strategy.close_all()
更多内容