收益率理论波动指标量化策略
Author: ChaoZhang, Date: 2024-02-05 13:54:34Tags:
概述
本策略运用技术指标评级法,通过与移动平均线比较,动态选择买入和卖出的时机。策略包含长仓和空仓两个方向,可自定义开启或关闭。策略对低风险的长期持仓交易比较友好。
策略原理
本策略结合多种技术指标评级法实时评估市场时机。主要包括以下几个步骤:
- 计算多种移动平均线,包括SMA、EMA、Hull MA和加权移动平均线VWMA等。通过与当前价格比较,评定多空级别。
- 计算一系列震荡指标,包括RSI、CCI、MACD、威廉指标%R、随机指标等。判断震荡指标多空态势差异,评定多空级别。
- 技术指标评级法综合上述两个方面指标评分结果,得出最终操作信号。信号绝对值超过0.5为强信号,0.1-0.5为弱信号。
- 根据最终操作信号,策略可以做多或做空。同时设定止损和止盈退出逻辑。
策略优势在于指标评级法可以比较全面地判断市场时机,相比单一指标有更强的可靠性。另外,通过自定义参数可以自由选择评级指标种类,实现对策略的定制化。
优势分析
- 结合众多技术指标,指标评分法判断市场时机更加全面和可靠
- 采用动态止损和止盈设定,有助于抑制亏损风险
- 可自定义指标评级成分,实现对策略的定制化操作
- 支持做多和做空两个方向,适应更多市场环境
- 可选择是否开启某个交易方向,降低不必要的交易次数
风险分析
- 指标评分法作为决策依据,本身也存在一定主观性
- 部分震荡指标对于创新高和低位判断不准确
- 需要详细评估技术指标权重配置以优化评分法
- 大量指标计算增加策略运算量,可能影响运行效率
- 须关注长时间运行内的总体盈亏情况,防止过度交易
针对上述风险,主要的解决措施是优化评分指标权重配置,根据历史数据反复测试,选择较优参数;另外适当减少评分指标数量也可以提高运行效率。
优化方向
本策略可以从以下几个方面进行优化:
- 评估每种技术指标的有效性,优化评分法中的指标选择
- 调整各技术指标的评分权重和信号强弱阈值
- 优化移动止损止盈的参数,进一步控制交易风险
- 根据不同品种特点,设定最佳的指标参数取值
- 增加机器学习等手段辅助判决指标评分信号
通过参数优化,策略可以针对性地适应更多市场品种,从而获得更好的收益回报率。
总结
本策略综合运用技术指标评级法判断市场时机做多做空。策略具有指标选择定制化,动态止损止盈,可选择开启交易方向等优点。风险方面主要集中在评分法本身的主观性,以及部分指标的失效。未来优化空间在于参数选择及效率提升。总体而言,该策略适合对市场时机判断要求较高的投资者。
/*backtest
start: 2024-01-05 00:00:00
end: 2024-02-04 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="Ratings", shorttitle="Ratings", default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_value = 0.1, overlay=true)
//Settings
useLong = input(true, title = "Long")
useShort = input(true, title = "Short")
res = input("", title="Indicator Timeframe", type=input.resolution)
ratingSignal = input(defval = "All", title = "Rating is based on", options = ["MAs", "Oscillators", "All"])
startTime = input(defval = timestamp("01 Jan 2000 00:00 +0000"), title = "Start Time", type = input.time, inline = "time1")
finalTime = input(defval = timestamp("31 Dec 2099 23:59 +0000"), title = "Final Time", type = input.time, inline = "time1")
trueTime = true
// Awesome Oscillator
AO() =>
sma(hl2, 5) - sma(hl2, 34)
// Stochastic RSI
StochRSI() =>
rsi1 = rsi(close, 14)
K = sma(stoch(rsi1, rsi1, rsi1, 14), 3)
D = sma(K, 3)
[K, D]
// Ultimate Oscillator
tl() => close[1] < low ? close[1]: low
uo(ShortLen, MiddlLen, LongLen) =>
Value1 = sum(tr, ShortLen)
Value2 = sum(tr, MiddlLen)
Value3 = sum(tr, LongLen)
Value4 = sum(close - tl(), ShortLen)
Value5 = sum(close - tl(), MiddlLen)
Value6 = sum(close - tl(), LongLen)
float UO = na
if Value1 != 0 and Value2 != 0 and Value3 != 0
var0 = LongLen / ShortLen
var1 = LongLen / MiddlLen
Value7 = (Value4 / Value1) * (var0)
Value8 = (Value5 / Value2) * (var1)
Value9 = (Value6 / Value3)
UO := (Value7 + Value8 + Value9) / (var0 + var1 + 1)
UO
// Ichimoku Cloud
donchian(len) => avg(lowest(len), highest(len))
ichimoku_cloud() =>
conversionLine = donchian(9)
baseLine = donchian(26)
leadLine1 = avg(conversionLine, baseLine)
leadLine2 = donchian(52)
[conversionLine, baseLine, leadLine1, leadLine2]
calcRatingMA(ma, src) => na(ma) or na(src) ? na : (ma == src ? 0 : ( ma < src ? 1 : -1 ))
calcRating(buy, sell) => buy ? 1 : ( sell ? -1 : 0 )
calcRatingAll() =>
//============== MA =================
SMA10 = sma(close, 10)
SMA20 = sma(close, 20)
SMA30 = sma(close, 30)
SMA50 = sma(close, 50)
SMA100 = sma(close, 100)
SMA200 = sma(close, 200)
EMA10 = ema(close, 10)
EMA20 = ema(close, 20)
EMA30 = ema(close, 30)
EMA50 = ema(close, 50)
EMA100 = ema(close, 100)
EMA200 = ema(close, 200)
HullMA9 = hma(close, 9)
// Volume Weighted Moving Average (VWMA)
VWMA = vwma(close, 20)
[IC_CLine, IC_BLine, IC_Lead1, IC_Lead2] = ichimoku_cloud()
// ======= Other =============
// Relative Strength Index, RSI
RSI = rsi(close,14)
// Stochastic
lengthStoch = 14
smoothKStoch = 3
smoothDStoch = 3
kStoch = sma(stoch(close, high, low, lengthStoch), smoothKStoch)
dStoch = sma(kStoch, smoothDStoch)
// Commodity Channel Index, CCI
CCI = cci(close, 20)
// Average Directional Index
float adxValue = na, float adxPlus = na, float adxMinus = na
[P, M, V] = dmi(14, 14)
adxValue := V
adxPlus := P
adxMinus := M
// Awesome Oscillator
ao = AO()
// Momentum
Mom = mom(close, 10)
// Moving Average Convergence/Divergence, MACD
[macdMACD, signalMACD, _] = macd(close, 12, 26, 9)
// Stochastic RSI
[Stoch_RSI_K, Stoch_RSI_D] = StochRSI()
// Williams Percent Range
WR = wpr(14)
// Bull / Bear Power
BullPower = high - ema(close, 13)
BearPower = low - ema(close, 13)
// Ultimate Oscillator
UO = uo(7,14,28)
if not na(UO)
UO := UO * 100
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
PriceAvg = ema(close, 50)
DownTrend = close < PriceAvg
UpTrend = close > PriceAvg
// calculate trading recommendation based on SMA/EMA
float ratingMA = 0
float ratingMAC = 0
if not na(SMA10)
ratingMA := ratingMA + calcRatingMA(SMA10, close)
ratingMAC := ratingMAC + 1
if not na(SMA20)
ratingMA := ratingMA + calcRatingMA(SMA20, close)
ratingMAC := ratingMAC + 1
if not na(SMA30)
ratingMA := ratingMA + calcRatingMA(SMA30, close)
ratingMAC := ratingMAC + 1
if not na(SMA50)
ratingMA := ratingMA + calcRatingMA(SMA50, close)
ratingMAC := ratingMAC + 1
if not na(SMA100)
ratingMA := ratingMA + calcRatingMA(SMA100, close)
ratingMAC := ratingMAC + 1
if not na(SMA200)
ratingMA := ratingMA + calcRatingMA(SMA200, close)
ratingMAC := ratingMAC + 1
if not na(EMA10)
ratingMA := ratingMA + calcRatingMA(EMA10, close)
ratingMAC := ratingMAC + 1
if not na(EMA20)
ratingMA := ratingMA + calcRatingMA(EMA20, close)
ratingMAC := ratingMAC + 1
if not na(EMA30)
ratingMA := ratingMA + calcRatingMA(EMA30, close)
ratingMAC := ratingMAC + 1
if not na(EMA50)
ratingMA := ratingMA + calcRatingMA(EMA50, close)
ratingMAC := ratingMAC + 1
if not na(EMA100)
ratingMA := ratingMA + calcRatingMA(EMA100, close)
ratingMAC := ratingMAC + 1
if not na(EMA200)
ratingMA := ratingMA + calcRatingMA(EMA200, close)
ratingMAC := ratingMAC + 1
if not na(HullMA9)
ratingHullMA9 = calcRatingMA(HullMA9, close)
ratingMA := ratingMA + ratingHullMA9
ratingMAC := ratingMAC + 1
if not na(VWMA)
ratingVWMA = calcRatingMA(VWMA, close)
ratingMA := ratingMA + ratingVWMA
ratingMAC := ratingMAC + 1
float ratingIC = na
if not (na(IC_Lead1) or na(IC_Lead2) or na(close) or na(close[1]) or na(IC_BLine) or na(IC_CLine))
ratingIC := calcRating(
IC_Lead1 > IC_Lead2 and close > IC_Lead1 and close < IC_BLine and close[1] < IC_CLine and close > IC_CLine,
IC_Lead2 > IC_Lead1 and close < IC_Lead2 and close > IC_BLine and close[1] > IC_CLine and close < IC_CLine)
if not na(ratingIC)
ratingMA := ratingMA + ratingIC
ratingMAC := ratingMAC + 1
ratingMA := ratingMAC > 0 ? ratingMA / ratingMAC : na
float ratingOther = 0
float ratingOtherC = 0
ratingRSI = RSI
if not(na(ratingRSI) or na(ratingRSI[1]))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(ratingRSI < 30 and ratingRSI[1] < ratingRSI, ratingRSI > 70 and ratingRSI[1] > ratingRSI)
if not(na(kStoch) or na(dStoch) or na(kStoch[1]) or na(dStoch[1]))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(kStoch < 20 and dStoch < 20 and kStoch > dStoch and kStoch[1] < dStoch[1], kStoch > 80 and dStoch > 80 and kStoch < dStoch and kStoch[1] > dStoch[1])
ratingCCI = CCI
if not(na(ratingCCI) or na(ratingCCI[1]))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(ratingCCI < -100 and ratingCCI > ratingCCI[1], ratingCCI > 100 and ratingCCI < ratingCCI[1])
if not(na(adxValue) or na(adxPlus[1]) or na(adxMinus[1]) or na(adxPlus) or na(adxMinus))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(adxValue > 20 and adxPlus[1] < adxMinus[1] and adxPlus > adxMinus, adxValue > 20 and adxPlus[1] > adxMinus[1] and adxPlus < adxMinus)
if not(na(ao) or na(ao[1]))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(crossover(ao,0) or (ao > 0 and ao[1] > 0 and ao > ao[1] and ao[2] > ao[1]), crossunder(ao,0) or (ao < 0 and ao[1] < 0 and ao < ao[1] and ao[2] < ao[1]))
if not(na(Mom) or na(Mom[1]))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(Mom > Mom[1], Mom < Mom[1])
if not(na(macdMACD) or na(signalMACD))
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + calcRating(macdMACD > signalMACD, macdMACD < signalMACD)
float ratingStoch_RSI = na
if not(na(DownTrend) or na(UpTrend) or na(Stoch_RSI_K) or na(Stoch_RSI_D) or na(Stoch_RSI_K[1]) or na(Stoch_RSI_D[1]))
ratingStoch_RSI := calcRating(
DownTrend and Stoch_RSI_K < 20 and Stoch_RSI_D < 20 and Stoch_RSI_K > Stoch_RSI_D and Stoch_RSI_K[1] < Stoch_RSI_D[1],
UpTrend and Stoch_RSI_K > 80 and Stoch_RSI_D > 80 and Stoch_RSI_K < Stoch_RSI_D and Stoch_RSI_K[1] > Stoch_RSI_D[1])
if not na(ratingStoch_RSI)
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + ratingStoch_RSI
float ratingWR = na
if not(na(WR) or na(WR[1]))
ratingWR := calcRating(WR < -80 and WR > WR[1], WR > -20 and WR < WR[1])
if not na(ratingWR)
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + ratingWR
float ratingBBPower = na
if not(na(UpTrend) or na(DownTrend) or na(BearPower) or na(BearPower[1]) or na(BullPower) or na(BullPower[1]))
ratingBBPower := calcRating(
UpTrend and BearPower < 0 and BearPower > BearPower[1],
DownTrend and BullPower > 0 and BullPower < BullPower[1])
if not na(ratingBBPower)
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + ratingBBPower
float ratingUO = na
if not(na(UO))
ratingUO := calcRating(UO > 70, UO < 30)
if not na(ratingUO)
ratingOtherC := ratingOtherC + 1
ratingOther := ratingOther + ratingUO
ratingOther := ratingOtherC > 0 ? ratingOther / ratingOtherC : na
float ratingTotal = 0
float ratingTotalC = 0
if not na(ratingMA)
ratingTotal := ratingTotal + ratingMA
ratingTotalC := ratingTotalC + 1
if not na(ratingOther)
ratingTotal := ratingTotal + ratingOther
ratingTotalC := ratingTotalC + 1
ratingTotal := ratingTotalC > 0 ? ratingTotal / ratingTotalC : na
[ratingTotal, ratingOther, ratingMA, ratingOtherC, ratingMAC]
[ratingTotal, ratingOther, ratingMA, ratingOtherC, ratingMAC] = security(syminfo.tickerid, res, calcRatingAll())
StrongBound = 0.5
WeakBound = 0.1
getSignal(ratingTotal, ratingOther, ratingMA) =>
float _res = ratingTotal
if ratingSignal == "MAs"
_res := ratingMA
if ratingSignal == "Oscillators"
_res := ratingOther
_res
tradeSignal = getSignal(ratingTotal, ratingOther, ratingMA)
dynSLpoints(factor) => factor * atr(14) / syminfo.mintick
//Trading
lotLong = useLong and trueTime ? na : 0
lotShort = useShort and trueTime ? na : 0
strategy.entry("long", strategy.long, lotLong, when = tradeSignal > StrongBound)
strategy.entry("short", strategy.short, lotShort, when = tradeSignal < -StrongBound)
strategy.exit("sl/tp", loss = dynSLpoints(3), trail_points = dynSLpoints(5), trail_offset = dynSLpoints(2))
//Cancel all
if time > finalTime
strategy.close_all()
strategy.cancel("long")
strategy.cancel("short")
更多内容