基于均线金叉突破动量策略

Author: ChaoZhang, Date: 2024-02-06 14:39:22
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基于均线金叉突破动量策略

概述

本策略基于12日指数移动平均线(EMA)和26日EMA的金叉作为入场信号。为了过滤假突破,策略还引入MACD指标判断市场趋势以及RSI指标判断是否处于超买超卖区域。同时,策略还会判断价格是否突破阻力位来确认趋势。

在止损方面,策略提供三种可选方案:跟踪止损、均线止损和均线叉死。在止盈方面,策略提供两个顺序止盈目标。

策略原理

入场信号
- 12日EMA上穿26日EMA构成金叉
- MACD指标为正,且MACD线高于Signal线
- RSI指标值介于设定的区间内
- 收盘价高于21日EMA和7日SMA
入场确认
- 可选判断:价格突破动态阻力位
止损方式
- 跟踪止损:根据入场价格和设定的跟踪止损百分比跟踪设置止损位
- 均线止损:收盘价跌破7日SMA止损
- 均线叉死:12日EMA下穿26日EMA止损
止盈方式
- 设定两个顺序止盈目标,当第一个止盈位触发后卖出部分数量,当第二个止盈位触发后卖出全部数量

策略优势

使用均线系统过滤误导信号,提高入场准确率
多种可选的止损方式适应不同类型交易者
动态跟踪止损实现风险控制
止盈目标分批出场,锁定部分利润

策略风险

市场震荡时,EMA指标产生较多假信号
跟踪止损在突破上行后可能被突破
均线叉死止损在趋势反转时无法及时止损

对应措施:

结合MACD指标判断市场实际走势
调整跟踪止损的幅度
选用其他止损方式或结合止损

策略优化方向

对EMA参数进行优化,确定最佳参数组合
测试不同的止损方式及参数,找到最佳止损方案
测试不同的止盈参数,优化止盈效果
结合其他指标判断入场时机
根据不同品种、周期参数进行调整

总结

本策略以均线系统为主要交易信号,辅助以MACD、RSI等指标进行入场过滤。止损方式和止盈目标都进行了优化设定,可以通过参数调整匹配不同类型投资者。策略优化空间还很大,可以从入场信号、止损方式、止盈目标等多个维度进行测试和改进,使策略效果更好。

/*backtest
start: 2023-01-30 00:00:00
end: 2024-02-05 00:00:00
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/
// © AbdulRahimShama
//@version=5


strategy('12/26-IT strategy', overlay=true,initial_capital = 100000)



Show_Only_12_26_Crossover_Entry = input.bool(true, group = "Entry_Exit Criteria")
Show_12_26_Crossover_and_resistance_Entry = input.bool(false, group = "Entry_Exit Criteria")


Show_TSL_StopLoss = input.bool(true, group = "Entry_Exit Criteria")
Show_Crossdown_StopLoss = input.bool(true, group = "Entry_Exit Criteria")
Show_SMA7_StopLoss = input.bool(false, group = "Entry_Exit Criteria")



////////////////////////////////////////////////
////////////////TARGETS INPUT
////////////////////////////////////////////////

////////Target1

TargetPerc1 = input.float(title="Target (%)", minval=0,defval=5, group="Target-1") / 100
TargetPrice1 = strategy.position_avg_price * (1 + TargetPerc1)
Target1_exit_qty = input.int(50, group="Target-1",tooltip = "% qty to sell when Target1 is reached")



////////Target2

TargetPerc2 = input.float(title="Target (%)", minval=0,defval=10, group="Target-2") / 100
TargetPrice2 = strategy.position_avg_price * (1 + TargetPerc2)
Target2_exit_qty = input.int(100, group="Target-2",tooltip = "% qty to sell when Target2 is reached")



////////////////////////////////////////////////
////////////////TRAILING STOP LOSS
////////////////////////////////////////////////


TSLsource = input(low, title="TSL Source", group="Trailing StopLoss")

longTrailPerc = input.float(title='Trail Long Loss (%)', minval=0.0, step=0.1, defval=1, group="Trailing StopLoss") * 0.01

TrailStopPrice = 0.0

TrailStopPrice := if strategy.position_size > 0
    sPIVOT_highValue = TSLsource * (1 - longTrailPerc)
    math.max(sPIVOT_highValue, TrailStopPrice[1])
else
    0

TSL = close < TrailStopPrice
plot(series=strategy.position_size > 0 and Show_TSL_StopLoss ? TrailStopPrice : na, color=color.new(color.fuchsia, 0), style=plot.style_linebr, linewidth=2, title='Trailing StopLoss')




////////////////////////////////////////////////
////////////////Moving Averages
////////////////////////////////////////////////



EMA_12=ta.ema(close, 12)
EMA_26=ta.ema(close, 26)
EMA_21=ta.ema(close,21)

plot(EMA_12, title="EMA_12", color=color.rgb(0, 255, 0), offset=0, linewidth=1)
plot(EMA_26, title="EMA_26", color=color.rgb(0, 0, 255), offset=0, linewidth=1)
plot(Show_SMA7_StopLoss ? ta.sma(close,7) : na, title="SMA_7", color=color.rgb(255, 0, 0), offset=0, linewidth=1)



////////////////////////////////////////////////
////////////////RESISTANCE INPUT and PLOTTING
////////////////////////////////////////////////

CrossOverLookbackCandles = input.int(10, group= "RESISTANCE")

resistanceSRC = input(high, group= "RESISTANCE")
resistanceLEFT = input(10, group= "RESISTANCE")
resistanceRIGHT = input(10, group= "RESISTANCE")

hih = ta.pivothigh(resistanceSRC, resistanceLEFT, resistanceRIGHT)
top = ta.valuewhen(hih, resistanceSRC[resistanceRIGHT], 0)

res = plot(top, color=top != top[1] ? na : color.new(#00ff00, 50), offset=-resistanceLEFT, linewidth=2, title="Resistance Line")

EMA_12_Low = ta.lowest(EMA_12, CrossOverLookbackCandles)
EMA_26_Low = ta.lowest(EMA_26, CrossOverLookbackCandles)


////////////////////////////////////////////////
////////////////RSI INPUT and PLOTTING
////////////////////////////////////////////////
RSI = ta.rsi(close, 14)
RSILowerRange = input.int(50, tooltip = "RSI value should be ABOVE this value for entry", group = "RSI")
RSIUpperRange = input.int(70, tooltip = "RSI value should be BELOW this value for entry", group = "RSI")



////////////////////////////////////////////////
////////////////MACD
////////////////////////////////////////////////
fast_length = 12
slow_length = 26
MACD_src = close
signal_length = 9

fast_ma = ta.ema(MACD_src, fast_length)
slow_ma = ta.ema(MACD_src, slow_length)
macd = fast_ma - slow_ma
signal = ta.ema(macd, signal_length)
hist = macd - signal



////////////////////////////////////////////////
////////////////ENTRY CRITERIA
////////////////////////////////////////////////


BUYVALUE= input(100000, tooltip = "Buy qty displayed on chart will be based on this value")

BASEENTRY = macd > signal and RSI > RSILowerRange and RSI < RSIUpperRange and close > EMA_21 and close > ta.sma(close, 7)


Entry= ta.crossover(EMA_12, EMA_26) and BASEENTRY
Entry2 = ta.crossover(close, top) and EMA_12_Low < EMA_26_Low and EMA_12 > EMA_26 and RSI < 70

////////////////////////////////////////////////
////////////////BUY SELL STRATEGY
////////////////////////////////////////////////

if ((Entry and Show_Only_12_26_Crossover_Entry))
    strategy.entry("buy", strategy.long, qty=BUYVALUE/close)

if (Entry2 and Show_12_26_Crossover_and_resistance_Entry)
    strategy.entry("buy", strategy.long, qty=BUYVALUE/close)

strategy.exit("Tg1", "buy", limit=TargetPrice1, qty_percent = Target1_exit_qty)
strategy.exit("Tg2", "buy", limit=TargetPrice2, qty_percent = Target2_exit_qty)



if TSL and Show_TSL_StopLoss and close < EMA_12 
    strategy.close_all ("sl")

if ta.crossunder(EMA_12, EMA_26) and Show_Crossdown_StopLoss
    strategy.close_all ("sl")

if ta.crossunder(close, ta.sma(close, 7)) and Show_SMA7_StopLoss
    strategy.close_all ("sl")

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