双自信价格震荡量化策略
Author: ChaoZhang, Date: 2024-02-18 10:10:16Tags:
概述
本策略的主要思想是结合123反转策略和绝对价格波动指标这两种不同类型的策略,从而获得一个综合信号。具体来说,如果两个策略都发出做多信号,则最终策略信号为1(做多);如果两个策略都发出做空信号,则最终策略信号为-1(做空);如果两个策略的信号不一致,则最终信号为0(不做任何操作)。
策略原理
首先,123反转策略的原理是:如果收盘价连续两天低于前一天的收盘价,且随机指标低于超买线,则做多;如果收盘价连续两天高于前一天的收盘价,且随机指标高于超卖线,则做空。
其次,绝对价格波动指标显示的是两条指数移动平均线之间的差值。当快速移动平均线高于慢速移动平均线时为正,表示趋势向上;反之为负,表示趋势向下。
最后,本策略会将两个子策略的信号结合,即如果两者发出一致信号,则按此信号操作;否则不进行操作。
优势分析
本策略综合考虑了短期反转信号和价格的中长期趋势,能够有效识别行情的转折点。相比单一使用123反转或APO指标,本策略可以大大提高信号的可靠性,减少错误信号的产生。
另外,本策略运用了多种技术指标,能够全面判断市场行情,不会仅依赖某一指标。这可以避免由于某个指标失效而导致整体判决失误的情况发生。
风险分析
本策略最大的风险在于123反转策略和APO指标产生分歧信号的情况。这种情况下,操作者需要依据自身的经验判断哪一个信号更为可靠。如果判断出现偏差,则可能错过交易机会或出现亏损。
此外,如果行情出现剧烈变动,导致短期反转信号和中长线趋势信号同时发生失效的情况,那么策略的信号也会出现错误。操作者需要关注重大政治经济事件对行情的影响,必要时可以暂停策略运行。
优化方向
本策略可以从以下几个方向进行优化:
优化子策略的参数,使得子策略信号更加可靠。例如调整移动平均线周期参数。
增加其他辅助判断指标,形成投票机制。当多个指标发出一致信号时,信号的可靠性会更高。
增加止损策略。当价格走势不符合技术指标预期时,及时止损可以避免继续扩大损失。
优化开仓和止损位置。结合历史回测数据,设定更合适的具体数值。
总结
本策略综合运用多种技术指标判断行情,在一定程度上规避了单一指标依赖的风险,提高了信号判断的准确性。同时该策略也存在一定的优化余地,投资者可以根据自身需要进行参数调整。总的来说,双自信价格震荡量化策略是一种信号可靠性较高的交易策略,值得进一步研究应用。
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 22/04/2019
// 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.
//
// Secon strategy
// The Absolute Price Oscillator displays the difference between two exponential
// moving averages of a security's price and is expressed as an absolute value.
// How this indicator works
// APO crossing above zero is considered bullish, while crossing below zero is bearish.
// A positive indicator value indicates an upward movement, while negative readings
// signal a downward trend.
// Divergences form when a new high or low in price is not confirmed by the Absolute Price
// Oscillator (APO). A bullish divergence forms when price make a lower low, but the APO
// forms a higher low. This indicates less downward momentum that could foreshadow a bullish
// reversal. A bearish divergence forms when price makes a higher high, but the APO forms a
// lower high. This shows less upward momentum that could foreshadow a bearish reversal.
//
// 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
AbsolutePriceOscillator(LengthShortEMA, LengthLongEMA) =>
xPrice = close
xShortEMA = ema(xPrice, LengthShortEMA)
xLongEMA = ema(xPrice, LengthLongEMA)
xAPO = xShortEMA - xLongEMA
pos = 0.0
pos := iff(xAPO > 0, 1,
iff(xAPO < 0, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal and Absolute Price Oscillator (APO)", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
LengthShortEMA = input(10, minval=1)
LengthLongEMA = input(20, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posAbsolutePriceOscillator = AbsolutePriceOscillator(LengthShortEMA, LengthLongEMA)
pos = iff(posReversal123 == 1 and posAbsolutePriceOscillator == 1 , 1,
iff(posReversal123 == -1 and posAbsolutePriceOscillator == -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 )