双因子反转波段突破组合策略
Author: ChaoZhang, Date: 2024-02-01 10:45:12Tags:
概述
本策略是一种双因子组合策略,由反转型因子和波段通道因子共同驱动,实现了多因子叠加,可以在不同市场环境中发挥策略优势。
策略原理
该策略由两个子策略组成:
123反转策略:当收盘价连续两日下跌后,如果今日收盘价突破此前连续两日的最低价,同时9日随机指标的快线上穿慢线时,做多;当收盘价连续两日上涨后,如果今日收盘价跌破此前连续两日的最高价,同时9日随机指标的快线下穿慢线时,做空。
波段过滤器:计算一定周期内价格的波段指标,当波段指标大于某一阈值时做多,当波段指标小于某一阈值时做空。
组合信号为:如果123反转策略和波段过滤器策略同为做多信号,则采取做多持仓;如果两者同为做空信号,则采取做空持仓;否则清仓。
策略优势
- 双因子驱动,市场适应性强,可在多种行情中获利
- 123反转策略可在震荡盘整形态中捕捉反转机会
- 波段过滤器可在趋势明确的行情中跟踪趋势
- 组合信号进行验证,可减少失误交易概率
风险分析
- 参数设置不当可能导致过于频繁交易
- 震荡行情中可能出现多次亏损
- 需要关注交易手续费的影响
优化方向
- 调整波段过滤器的参数,优化波段指标的计算
- 调整123反转策略的参数,优化做多做空的反转判定
- 加入止损机制,控制单笔亏损
总结
本策略综合运用反转因子和趋势因子,实现了多因子驱动的量化交易。通过双因子的验证可减少误交易的概率,使策略在多种市场中表现优异。后续可通过参数调整和止损设置进一步优化,使策略的稳定性和盈利能力得到提升。
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 21/05/2019
// This is combo strategies for get
// a cumulative signal. Result signal will return 1 if two strategies
// is long, -1 if all strategies is short and 0 if signals of strategies is not equal.
//
// 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 Mar 2010
// You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect...
//
// 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
Bandpass_Filter(Length, Delta, TriggerLevel) =>
xPrice = hl2
beta = cos(3.14 * (360 / Length) / 180)
gamma = 1 / cos(3.14 * (720 * Delta / Length) / 180)
alpha = gamma - sqrt(gamma * gamma - 1)
BP = 0.0
pos = 0.0
BP := 0.5 * (1 - alpha) * (xPrice - xPrice[2]) + beta * (1 + alpha) * nz(BP[1]) - alpha * nz(BP[2])
pos := iff(BP > TriggerLevel, 1,
iff(BP <= TriggerLevel, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Bandpass Filter", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthBF = input(20, minval=1)
Delta = input(0.5)
TriggerLevel = input(0)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posBandpass_Filter = Bandpass_Filter(LengthBF, Delta, TriggerLevel)
pos = iff(posReversal123 == 1 and posBandpass_Filter == 1 , 1,
iff(posReversal123 == -1 and posBandpass_Filter == -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 ? red: possig == 1 ? green : blue )
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