MACD基于均线的动态趋势判断策略

Author: ChaoZhang, Date: 2024-02-19 10:48:11
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MACD基于均线的动态趋势判断策略

概述

该策略基于MACD指标的均线组合,实现跨时间周期的动态趋势判断,属于较为经典的趋势跟踪策略。主要通过快慢均线的差值MACD和其信号线的关系,判断目前趋势方向和力度。同时引入跨周期判断来提高准确性,动态调整仓位。

策略原理

基于MACD指标快慢均线差值及其信号线关系判断目前趋势方向
MACD差值上穿信号线为做多信号,下穿为做空信号
引入MACD差值和MACD柱状线同向为策略信号增强
增加跨周期判断模块,取较高时间周期MACD指标作为信号滤波和仓位调节依据
仓位动态调整,跨周期信号较弱时减少仓位规模,信号增强时增加仓位

优势分析

MACD指标本身判断趋势方向的有效性较高
组合MACD差值和柱状线双重验证,可以提高信号准确率
跨周期判断提高策略的稳定性,避免被高频信号误导
动态仓位调整使得策略更好的把握机会,提高超额收益

风险分析及解决方法

MACD信号产生滞后,可能导致信号效果略差

解决方法:增加快速均线和慢速均线差值判断以提前捕捉到信号

跨周期信号不一定准确,可能误导策略

解决方法:引入仓位动态调整机制,让主周期策略占主导地位

多因子组合策略整体稳定性可能不足

解决方法:仔细调整各项策略参数比重占比,确保整体稳健性

优化方向

测试不同的周期参数组合效果
测试不同跨周期组合对策略效果的影响
调整MACD指标参数,如快慢均线周期,信号线周期等
测试不同仓位调节因子的效果
测试在其他品种上的回测效果

总结

该MACD均线组合跨周期动态趋势策略,整合了经典指标判断和多时间框架参考的优势。通过参数优化和组合测试,可以构建一个较为稳定、收益良好的趋势跟踪策略。值得实盘测试和投入应用。

/*backtest
start: 2023-02-12 00:00:00
end: 2024-02-18 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@temelbulut
//@version=5
strategy('MACD Strategy %80', overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=50)

fastLength = input.int(title='MACD Fast Length', defval=12, minval=1)
slowLength = input.int(title='MACD Slow Length', defval=26, minval=1)
signalLength = input.int(title='MACD Signal Length', defval=9, minval=1)
crossscore = input(title='Cross (buy/sell) Score', defval=10.)
indiside = input(title='indicator Direction Score', defval=8)
histside = input(title='Histogram Direction Score', defval=2)
shotsl = input(title='Show Stop Loss Line', defval=false)
Mult = input.float(title='Stop Loss Factor', defval=1.2, minval=0.1, maxval=100)
Period = input.int(title='Stop Loss Period', defval=10, minval=1, maxval=100)
lookaheadi = input(title='Lookahead', defval=true)

HTF = timeframe.period == '1' ? '5' : timeframe.period == '3' ? '15' : timeframe.period == '5' ? '15' : timeframe.period == '15' ? '60' : timeframe.period == '30' ? '60' : timeframe.period == '45' ? '60' : timeframe.period == '60' ? '240' : timeframe.period == '120' ? '240' : timeframe.period == '180' ? '240' : timeframe.period == '240' ? 'D' : timeframe.period == 'D' ? 'W' : 'W'

calc = timeframe.period == '1' ? 5 : timeframe.period == '3' ? 5 : timeframe.period == '5' ? 3 : timeframe.period == '15' ? 4 : timeframe.period == '30' ? 4 : timeframe.period == '45' ? 4 : timeframe.period == '60' ? 4 : timeframe.period == '120' ? 3 : timeframe.period == '180' ? 3 : timeframe.period == '240' ? 6 : timeframe.period == 'D' ? 5 : 1

count() =>
    indi = ta.ema(close, fastLength) - ta.ema(close, slowLength)
    signal = ta.ema(indi, signalLength)
    Anlyse = 0.0
    // direction of indi and histogram
    hist = indi - signal
    Anlyse := indi > indi[1] ? hist > hist[1] ? indiside + histside : hist == hist[1] ? indiside : indiside - histside : 0
    Anlyse += (indi < indi[1] ? hist < hist[1] ? -(indiside + histside) : hist == hist[1] ? -indiside : -(indiside - histside) : 0)
    Anlyse += (indi == indi[1] ? hist > hist[1] ? histside : hist < hist[1] ? -histside : 0 : 0)
    // cross now earlier ?
    countcross = indi >= signal and indi[1] < signal[1] ? crossscore : indi <= signal and indi[1] > signal[1] ? -crossscore : 0.
    countcross += nz(countcross[1]) * 0.6
    Anlyse += countcross
    nz(Anlyse)

Anlys = count()
AnlysHfrm = lookaheadi ? request.security(syminfo.tickerid, HTF, count(), lookahead=barmerge.lookahead_on) : request.security(syminfo.tickerid, HTF, count(), lookahead=barmerge.lookahead_off)
Result = (AnlysHfrm * calc + Anlys) / (calc + 1)

longCondition = ta.change(Result) != 0 and Result > 0
if longCondition
    strategy.entry('MACD Long', strategy.long,alert_message = 'MACD Long')

shortCondition = ta.change(Result) != 0 and Result < 0
if shortCondition
    strategy.entry('MACD Short', strategy.short,alert_message = 'MACD Short')

countstop(pos) =>
    Upt = hl2 - Mult * ta.atr(Period)
    Dnt = hl2 + Mult * ta.atr(Period)
    TUp = 0.
    TDown = 0.
    TUp := close[1] > TUp[1] ? math.max(Upt, TUp[1]) : Upt
    TDown := close[1] < TDown[1] ? math.min(Dnt, TDown[1]) : Dnt
    tslmtf = pos == 1 ? TUp : TDown
    tslmtf

pos = longCondition ? 1 : -1
stline = 0.
countstop__1 = countstop(pos)
security_1 = request.security(syminfo.tickerid, HTF, countstop__1)
stline := ta.change(time(HTF)) != 0 or longCondition or shortCondition ? security_1 : nz(stline[1])
plot(stline, color=shotsl ? color.rgb(148, 169, 18) : na, style=plot.style_line, linewidth=2, title='Stop Loss')

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