动量突破银线策略
Author: ChaoZhang, Date: 2024-02-01 15:01:55Tags:
概述
该策略是一个基于价格动量指标MACD和均线的突破买入策略,适用于白银(XAG/USD, XAG/EUR)的1小时时间周期。关键点在于结合价格趋势和动量指标判断趋势反转的时机。
策略原理
当MACD柱状线由负转正且连续上升突破信号线时,表示短期涨势较强;同时如果收盘价突破上升趋势的均线,则产生多头信号。类似的,MACD柱状线由正转负且跌破信号线,并且收盘价跌破下降趋势的均线时,产生空头信号。
具体来说,该策略判断长仓入场信号的条件是: 1) MACD柱状线为正 2) 当前柱状线高于上一根柱状线 3) 收盘价高于均线 4) 收盘价高于近3根K线的最高价
判断短仓入场信号的条件则刚好相反。
一旦开仓,在下一根K线收盘时无条件平仓。该策略不设置止盈止损点,追求捕捉趋势爆发的始动点。
优势分析
该策略结合了价格和动量指标,能较为准确地判断趋势反转的时机,胜率较高。无条件下一根K线收盘平仓的方式,可以有效规避反转失败后的再次损失。
不设置止盈止损,全仓开仓,满足追求高收益的投资者的需求。
风险分析
无止损设置容易被套牢,亏损风险大。若反转信号失败,无法及时止损,可能面临较大的资金损失。
无条件下一根K线收盘就平仓的方式,很难持续捕捉趋势行情的利润。
优化方向
可以考虑在胜率较高的突破买入基础上,增加适当的止损策略,降低亏损风险。
也可以结合高级技巧,在平仓后设置再开仓的机制,尝试持续捕捉趋势利润。
总结
该策略总体来说属于积极进攻型的高风险策略,由于无止损设置,需要投资者承受较大的亏损风险。但相对的,成功反转后第一时间全仓开仓也可以获得高额收益。适合有较强心理承受能力的积极投资者。
/*backtest
start: 2023-01-31 00:00:00
end: 2024-01-13 05:20:00
period: 1d
basePeriod: 1h
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/
// © SoftKill21
//@version=4
strategy("XAG strategy 1h",overlay=true)
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", minval = 1970)
var gica = 0
var marcel = gica+2
//monday and session
// To Date Inputs
toDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2020, title = "To Year", minval = 1970)
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
len = input(10, minval=1, title="Length")
src = input(close, title="Source")
out = sma(src, len)
//distanta = input(1.004)
fast_length = input(title="Fast Length", type=input.integer, defval=12)
slow_length = input(title="Slow Length", type=input.integer, defval=26)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=false)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false)
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
// Calculating
fast_ma = sma_source ? sma(src, fast_length) : ema(src, fast_length)
slow_ma = sma_source ? sma(src, slow_length) : ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal
option1=input(true)
option2=input(true)
long2 = close > open and time_cond and close > out and hist > 0 and hist > hist[1]
short2 = close < open and time_cond and close < out and hist < 0 and hist < hist[1]
long1 = (close > open ) and time_cond and close > out and hist > 0 and hist > hist[1] and high > high[1] and high[1] > high[2] and close > high[1] and close > high[2] and close > high[3]
short1 = (close < open) and time_cond and close < out and hist < 0 and hist < hist[1] and low < low[1] and low[1] < low[2] and close < low[1] and close < low[2] and close < low[3]
if(option1)
strategy.entry("long",1,when= short1)
strategy.entry("short",0,when=long1)
strategy.close_all()
if(option2)
strategy.entry("long",1,when= short2)
strategy.entry("short",0,when=long2)
strategy.close_all()
// if(strategy.openprofit < 0)
// strategy.close_all()
// if(strategy.openprofit>0)
// strategy.close("long",when = close < open )
// strategy.close("short",when = close > open)
// strategy.close("long",when= close < open)
// strategy.close("short",when= close> open)
// tp = input(0.0003)
// sl = input(0.005)
// strategy.exit("closelong", "long" , profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closelong")
// strategy.exit("closeshort", "short" , profit = close * tp / syminfo.mintick, loss = close * sl / syminfo.mintick, alert_message = "closeshort")
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