多时间轴MACD指标交叉交易策略是一种趋势跟踪策略。它通过计算不同参数设置的MACD指标,在价格突破该指标时产生交易信号,实现股票、指数、外汇等金融产品的自动化交易。
该策略同时计算3条移动平均线:一条加权移动平均线WMA以及两条指数移动平均线EMA。这三条移动平均线的参数设置不同,分别为25天、50天和100天。这样可以让移动平均线覆盖不同的价格走势周期。
在计算出移动平均线后,策略会监测价格是否突破或跌破某条移动平均线。如果价格同时突破或跌破所有3条移动平均线,那么就产生交易信号。
例如,当价格同时高于所有3条移动平均线时,产生买入信号;当价格同时低于所有3条移动平均线时,产生卖出信号。监测价格与移动平均线的关系可以判断价格走势的转折点。
通过多时间轴指标的交叉判断,可以过滤掉一些假信号,使交易信号更加可靠。
该策略可以从以下几个方面进行优化:
多时间轴MACD指标交叉交易策略整体思路清晰,通过移动平均线多周期判断价格趋势,在价格出现显著转折时产生交易信号。策略优化空间大,可针对不同品种和行情周期调整参数,从而获得良好的交易效果。该策略适合对趋势型股票、指数和外汇进行程序化交易。
/*backtest
start: 2024-01-19 00:00:00
end: 2024-02-18 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("TC - MACDoscillator v2", overlay=true)
// ___________ .__ _________ .__ __ .__
// \__ ___/____ | | ____ ____ \_ ___ \_____ ______ |__|/ |______ | |
// | | \__ \ | | / ___\ / _ \ / \ \/\__ \ \____ \| \ __\__ \ | |
// | | / __ \| |__/ /_/ > <_> ) \ \____/ __ \| |_> > || | / __ \| |__
// |____| (____ /____/\___ / \____/ \______ (____ / __/|__||__| (____ /____/
// \/ /_____/ \/ \/|__| \/
//
// MACDoscillator Strategy v2
// Josh Breitfeld 2016
//
/// INPUTS START ///
//tradeSize = input(title="Shares Per Trade", defval=2500, step=1)
WMALength = input(title="WMA Length", defval=25, step=1)
EMA1Length = input(title="EMA1 Length", defval=50, step=1)
EMA2Length = input(title="EMA2 Length", defval=100, step=1)
//security = input(title="Alternate Security", type=string, defval="SPX500")
//inverse = input(title="Inverse Signals", type=bool, defval=true)
/// INPUTS END ///
/// ALGORITHM START ///
/// Define calculations
WMA = wma(close,WMALength)
EMA1 = ema(close,EMA1Length)
EMA2 = ema(close,EMA2Length)
/// Grab values from alternate security
dWMA = WMA
dEMA1 = EMA1
dEMA2 = EMA2
aClose = close
/// Crossover signal system
/// Long crosses
lc1 = aClose > dWMA ? true : false
lc2 = aClose > dEMA1 ? true : false
lc3 = aClose > dEMA2 ? true: false
/// Short crosses
sc1 = aClose < dWMA ? true : false
sc2 = aClose < dEMA1 ? true : false
sc3 = aClose < dEMA2 ? true : false
//plot(lc1,color=green)
//plot(lc2,color=green)
//plot(lc3,color=green)
//plot(sc1,color=red)
//plot(sc2,color=red)
//plot(sc3,color=red)
/// ALGO ORDER CONDITIONS START ///
pBuyToOpen = (lc1 and lc2 and lc3 ? true : false)
pSellToOpen = (sc1 and sc2 and sc3 ? true : false)
pSellToClose = (lc1 ? true : false) and not pBuyToOpen
pBuyToClose = (sc1 ? true : false) and not pSellToOpen
//plot(pBuyToOpen,color=lime)
//plot(pBuyToClose,color=lime)
//plot(pSellToOpen,color=red)
//plot(pSellToClose,color=red)
/// INVERT SIGNALS
//buyToOpen = inverse ? -pBuyToOpen : pBuyToOpen
//sellToOpen = inverse ? -pBuyToOpen : pSellToOpen
//sellToClose = inverse ? -pSellToClose : pSellToClose
//buyToClose = inverse ? -pBuyToClose : pBuyToClose
/// ALGO ORDER CONDITIONS END ///
/// ALGORITHM END ///
/// DEFINE PLOTS ///
plot(dWMA,"WMA",lime,1,line)
plot(dEMA1,"EMA1",blue,2,line)
plot(dEMA2,"EMA2",red,3,line)
//plot(aClose,"Close",orange,4,line)
/// PLOTS END ///
/// ORDER BLOCK ///
//strategy.entry("My Long Entry Id", strategy.long)
/// OPENING ORDERS START ///
if(pBuyToOpen)
strategy.entry("BTO", strategy.long, comment="BTO")
if(pSellToOpen)
strategy.entry("STO", strategy.short, comment="STO")
/// OPENING ORDERS END ///
/// CLOSING ORDERS START ///
strategy.close("BTO", pBuyToClose)
strategy.close("STO", pSellToClose)
/// CLOSING ORDERS END ///
/// END ORDER BLOCK ///
// Josh Breitfeld - Talgo Capital 2016
/// STRATEGY END ///