自适应移动均线交易策略
Author: ChaoZhang, Date: 2024-02-22 17:09:39Tags:
概述
本策略是一种基于自适应移动均线的趋势跟踪策略。它使用两个不同周期的DEMA移动均线进行买卖信号生成。策略会根据不同的周期自动适应分析粒度,实现多时间框架的跟踪。
策略原理
策略使用DEMA快线和DEMA慢线构建交易信号。快线周期为tf,慢线周期为tf*2。当快线上穿慢线时产生买入信号;当快线下穿慢线时产生卖出信号。这样可以跟踪中长线趋势。另外,策略还使用Hull双移动均线过滤器来减少噪音交易。仅在Hull过滤器同方向时才会发出交易信号。
优势分析
该策略最大的优势是可以自适应不同的周期。它会根据不周期自动选择分析粒度,从日线到周线都可以使用。这让策略适用于多种市场环境。另外,双均线结构可以有效跟踪趋势,双线过滤增加了信号质量。所以,该策略非常适合跟踪中长线趋势。
风险分析
该策略主要风险来自于趋势反转。当市场从牛市进入熊市时,快线和慢线可能出现剧烈的向下交叉,导致巨额浮亏。此外,双线过滤器也可能滤除掉部分赚钱机会。如果过滤器方向与价格反向,那些本该获利的信号也会被跳过。所以,该策略主要针对稳定的中长线趋势市场。
优化方向
可以通过调整过滤器参数或使用其他指标替换来优化策略。例如,可以测试MACD取代HullMA,或调整HullMA的周期参数。也可以测试不同的参数组合来寻找更匹配的交易规则。此外,还可以结合波动率指标来控制仓位规模。当市场波动加大时,可以适当缩小仓位。
总结
该策略整体来说是一个非常实用的自适应趋势跟踪策略。它可以自动调整分析周期,适合不同时间段的交易。双均线结构可以稳定跟踪趋势,过滤器也提高了信号质量。总的来说,适合追求稳定中长线收益的投资者。
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-24 23:59:59
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
//
//---------------------------------------------
//* Author - PPSingnal
//* http://ppsignal.com
//---------------------------------------------
//
//
strategy (title="PPSignal V4 (Auto Adaptive Times)", shorttitle="PPSignal V4", overlay=true)
delayOffset = input(defval = 0, title = "Delay Open/Close MA (Forces Non-Repainting)", minval = 0, step = 1)
//---------------------------------------- INICIO PPI ----------------------------------------
// - PARÁMETROS DE ENTRADA
// SE DEFINE LA RESOLUCIÓN
useRes1 = true
setRes1 = true
tf = timeframe.period == "60" ? 4 : timeframe.period == "240" ? 4 : timeframe.period == "D" ? 4 : timeframe.period == "W" ?4 : 4
// PRIMER DEMA
type = "DEMA"
src = close
len = tf
off = 0
lsma = 0
// SEGUNDA DEMA
type2 = "DEMA"
src2 = open
len2 = tf
off2 = 0
lsma2 = 0
// - INPUTS END
//---------------------------------------- INICIO FUNCIONES ----------------------------------------
// RETORNA UNA MEDIA MOVIL (TYPE=TIPO / SRC = TIPO DE PRECIO / LEN=LONGITUD / LSMA=0)
variant(type, src, len, lsma) =>
v1 = sma(src, len) // Simple
v2 = ema(src, len) // Exponential
v3 = wma(src, len) // Weighted
v4 = vwma(src, len) // Volume Weighted
v5 = na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len // Smoothed
v6 = 2 * v2 - ema(v2, len) // Double Exponential
v7 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len) // Triple Exponential
v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len))) // Hull
v9 = linreg(src, len, lsma) // Least Squares
// return variant, defaults to SMA if input invalid.
type=="EMA"?v2 : type=="WMA"?v3 : type=="VWMA"?v4 : type=="SMMA"?v5 : type=="DEMA"?v6 : type=="TEMA"?v7 : type=="HullMA"?v8 : type=="LSMA"?v9 : v1
// SuperSmoother filter
// © 2013 John F. Ehlers
a1 = exp(-1.414*3.14159 / len)
b1 = 2*a1*cos(1.414*3.14159 / len)
c2 = b1
c3 = (-a1)*a1
c1 = 1 - c2 - c3
v12 = 0.0
v12 := c1*(src + nz(src[1])) / 2 + c2*nz(v12[1]) + c3*nz(v12[2])
// RETORNA LA RESOLUCIÓN SETEADA Y SINO LA DEFAULT
// 3H: 1min - 3min - 5min - 15min
// DIARIO: 30 - 45 - 60
// SEMANAL: 120 - 180 - 240 - D
reso(exp, use, res) => use ? request.security(syminfo.tickerid, timeframe.period=="1" ? "D" : timeframe.period=="3" ? "D" : timeframe.period=="5" ? "D" : timeframe.period=="15" ? "D" : timeframe.period=="30" ? "D" : timeframe.period=="45" ? "W" : timeframe.period=="60" ? "W" : timeframe.period=="120" ? "W" : timeframe.period=="180" ? "W" : timeframe.period=="240" ? "W" : timeframe.period=="D" ? "W" : "W", exp) : exp
//---------------------------------------- FIN FUNCIONES ----------------------------------------
//---------------------------------------- INICIO VARIABLES ----------------------------------------
// DEMAS
ma_short = reso(variant(type, src[off], len, lsma), useRes1, setRes1)
ma_long = reso(variant(type2, src2[off2], len2, lsma2), useRes1, setRes1)
//---------------------------------------- FIN VARIABLES ----------------------------------------
//---------------------------------------- FIN PPI ----------------------------------------
//---------------------------------------- PRIMER FILTRO ----------------------------------------
// Double HullMA
scolor = false
n=1
n2ma=2*wma(close,round(n/2))
nma=wma(close,n)
diff=n2ma-nma
sqn=round(sqrt(n))
n2ma1=2*wma(close[1],round(n/2))
nma1=wma(close[1],n)
diff1=n2ma1-nma1
sqn1=round(sqrt(n))
n1=wma(diff,sqn)
n2=wma(diff1,sqn)
//---------------------------------------- FIN PRIMER FILTRO ----------------------------------------
//---------------------------------------- INICIO CONDICIONES ----------------------------------------
// CONDICION CON FILTRO
cruce= (ma_short > ma_long) and n1>n2 ? true : ma_short < ma_long ? false : cruce[1]
// Condition
// FONDO DE COLOR
bground = cruce ? white : red
bgcolor(bground, transp=90)
// BARRAS COLOREADAS
barcol = cruce ? yellow : red
barcolor(barcol, transp=0)
closePlot = plot(ma_short, title = "Zone 1", color = gray, circles = 0, style = circles, transp = 100)
openPlot = plot(ma_long, title = "Zone 2", color = green, circles = 0, style = circles, transp = 100)
trendState = ma_short > ma_long ? true : ma_short < ma_long ? false : trendState[1]
// channel fill
closePlotU = plot(trendState ? ma_short : na, transp = 100, editable = false)
openPlotU = plot(trendState ? ma_long : na, transp = 100, editable = false)
closePlotD = plot(trendState ? na : ma_short, transp = 100, editable = false)
openPlotD = plot(trendState ? na : ma_long, transp = 100, editable = false)
fill(openPlotU, closePlotU, title = "Up Trend Fill", color = yellow, transp = 70)
fill(openPlotD, closePlotD, title = "Down Trend Fill", color = red, transp = 70)
//---------------------------------------- FIN CONDICIONES ----------------------------------------
//---------------------------------------- INICIO ESTRATEGIA ----------------------------------------
//CONDICION COMPRA
longCond = (ma_short > ma_long) and n1>=n2
//CONDICION VENTA
shortCond = (ma_short < ma_long)
//ABRO COMPRA A
strategy.entry("Bull Trend", strategy.long, when = longCond)
//ABRO VENTA A
strategy.entry("Bearish Trend", strategy.short, when = shortCond)
//CIERRO VENTA A
strategy.exit("Exit Short", from_entry = "Bull Trend", when = shortCond)
//CIERRO COMPRA A
strategy.exit("Exit Long", from_entry = "Bearish Trend", when = longCond)
//---------------------------------------- FIN ESTRATEGIA ----------------------------------------
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