递归移动趋势均线结合123形态反转的组合策略
Author: ChaoZhang, Date: 2024-02-21 16:02:32Tags:
概述
本策略是将递归移动趋势均线和123形态反转这两种策略组合在一起,形成一个综合信号,以提高策略的稳定性和盈利能力。
原理
123形态反转
该部分借鉴了Ulf Jensen的《我如何在期货市场上获得三倍收益》一书中的内容。其买入信号为:近两天收盘价格上涨且9日周期的STO SLOWK值低于50时做多;卖出信号为:近两天收盘价格下跌且9日周期的STO FASTK值高于50时做空。
递归移动趋势均线
该部分采用了一种叫做“递归多项式拟合”的技术。其思想是利用过去几天的价格以及当天的价格来预测第二天的价格。当预测价格高于昨日实际价格时看空,反之看多。
优势
这种组合策略可以发挥两种策略的优势,避免单一策略的局限性。123形态反转可以在价格反转的时候捕捉较大的行情。而递归移动趋势均线则可以更准确地判断价格的走势方向。两者结合可以形成较强的综合信号。
风险及解决方法
- 123形态反转存在因价格短期震荡而发出错误信号的可能。可以适当调整参数以过滤噪音。
- 递归移动趋势均线对突发事件的响应可能较慢。可以考虑结合其他指标判断局部趋势。
- 两种策略信号可能不一致。这时可考虑只在双信号发出时才开仓,或根据市场状况选择仅跟随一种信号。
优化方向
- 可以测试不同周期参数的组合,寻找最佳参数对
- 可以引入自动止损机制
- 可以根据不同品种、市场环境调整参数
- 可以考虑与其他策略或指标组合,形成更强大的综合系统
总结
本策略综合运用两种不同类型的策略,通过产生综合信号提高稳定性。同时结合两者的优势,可以在价格反转点进行捕捉,并判断价格未来走势。如果继续优化,有望产生更出色的表现。
/*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=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 01/06/2021
// This is combo strategies for get a cumulative signal.
//
// 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.
//
// Second strategy
// Taken from an article "The Yen Recused" in the December 1998 issue of TASC,
// written by Dennis Meyers. He describes the Recursive MA in mathematical terms
// as "recursive polynomial fit, a technique that uses a small number of past values
// of the estimated price and today's price to predict tomorrows price."
// Red bars color - short position. Green is long.
//
// 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
RMTA(Length) =>
pos = 0.0
Bot = 0.0
nRes = 0.0
Alpha = 2 / (Length+1)
Bot := (1-Alpha) * nz(Bot[1],close) + close
nRes := (1-Alpha) * nz(nRes[1],close) + (Alpha*(close + Bot - nz(Bot[1], 0)))
pos:= iff(nRes > close[1], -1,
iff(nRes < close[1], 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Recursive Moving Trend Average", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Recursive Moving Trend Average ----")
LengthRMTA = input(21, minval=3)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posRMTA = RMTA(LengthRMTA)
pos = iff(posReversal123 == 1 and posRMTA == 1 , 1,
iff(posReversal123 == -1 and posRMTA == -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 ? #b50404: possig == 1 ? #079605 : #0536b3 )
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