月旗MACD动量StochRSI交易策略
Author: ChaoZhang, Date: 2024-02-23 15:06:59Tags:
概述
月旗MACD动量StochRSI交易策略是一个利用MACD、动量和StochRSI三个指标进行判断的量化交易策略。该策略主要适用于比特币和以太坊的日线交易。
策略原理
该策略使用以下几个关键指标进行判断:
MACD指标:快速SMA周期为50,慢速SMA周期为200,代表着市场中常用的50日线和200日线。该指标判断市场的长期趋势方向。
自创的动量指标:本质上与Stoch指标类似,用于判断市场的短期动量方向。
StochRSI指标:判断市场力度和超买超卖情况。
在进入多头时,需要同时满足MACD>0(代表着中长期趋势向上)、自创动量指标>0(代表着短期动量向上)和收盘价较前一日收高(代表着当前处于上升趋势)3个条件。
平多头信号略复杂,需要同时满足MACD<0、自创动量指标<0、收盘价较前一日收低和StochRSI>20的4个条件。
该策略综合判断了中长期趋势、短期动量和当前趋势,是一种较为稳健的突破系统。
策略优势
多指标综合判断,避免产生假信号
MACD参数选择考虑了市场重要的50日线和200日线
各指标参数测试变化后,策略效果变化不大,避免过拟合风险
回测数据充分,可靠性较高
策略风险
突破系统容易被套利,可能会增加交易次数和滑点成本
综合多指标判断的复杂度较高,参数调整和优化难度大
日内短线操作风险较大
策略优化
结合更多指标,如成交量的分析
增加机器学习算法,实现动态参数优化
降低交易频率,转换至更高周期进行判断
总结
月旗MACD动量StochRSI交易策略综合多种指标判断市场趋势和力度,回测效果较好,可靠性较高,适合有经验的量化交易者在高质量数字货币上应用和优化。
/*backtest
start: 2023-02-16 00:00:00
end: 2024-02-22 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// // This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// // © MoonFlag
//@version=5
strategy("MoonFlag 1D MACD Momentum StochRSI Strategy", max_bars_back=500, overlay=false, initial_capital=5000, default_qty_type=strategy.percent_of_equity, default_qty_value=80, pyramiding=0, calc_on_order_fills=true)
d(gaps_1, data)=>
float out = 0.
out :=(ta.wma(ta.wma(ta.wma(data, math.round(((1 * gaps_1) - math.round((1 * gaps_1) / 3)) / 2)), math.round((1 * gaps_1) / 3)) , int(((1 * gaps_1) - math.round((1 * gaps_1) / 3)) / 2)))
out
MoonFlagAverage(gaps_1,data)=>
float out = 0.
out:=d(gaps_1,d(gaps_1, d(gaps_1, data)))
out
fastLength = input.int(50, "MACD SMA Fast Length")
slowlength = input.int(200, "MACD SMA Slow Length")
MACDLength = 9//input.int(9, "MACD Length")
MACD = ta.ema(close, fastLength) - ta.ema(close, slowlength)
aMACD = ta.sma(MACD, MACDLength)
MACDdelta = MACD - aMACD
//plot (MACD, "MACD1", color.red)
//plot (aMACD, "aMACD1", color.green)
//plot (delta, "MACD delta", color.white)
fastLength2 = input.int(12, "MoonFlag Momentum Length")
slowlength2 = 2*fastLength2//input.int(50, "MoonFlag Momentum Slow Length")
MACDLength2 = 20//input.int(20, "Momentum Delta")
MoonFlag_MACD2 = MoonFlagAverage(fastLength2, close) - MoonFlagAverage(slowlength2,close)
MoonFlag_aMACD2 = MoonFlagAverage(MACDLength2, MoonFlag_MACD2)
MoonFlag_delta = MoonFlag_MACD2 - MoonFlag_aMACD2
MoonFlag_delta_line=0
if MoonFlag_delta < 0
MoonFlag_delta_line:=-100
else
MoonFlag_delta_line:=100
//plot (MoonFlag_MACD2, "MoonFlag Momentum Fast Length", color.red)
//plot (MoonFlag_aMACD2, "MoonFlag Momentum Slow Length", color.green)
//plot (MoonFlag_delta2, "MoonFlag Delta", color.white)
uptrend = (close + high)/(close[1] + high[1])
downtrend = (close + low)/(close[1] + low[1])
lineColor = color.green
if uptrend > 1
lineColor := color.green
if downtrend < 1
lineColor := color.red
smoothK = 2//input.int(2, minval=1, title="K smoothing Stoch RSI")
smoothD = 3//input.int(3, minval=1, title= "D smoothing for Stoch RSI")
lengthRSI = 7//input.int(7, minval=1, title="RSI Length")
lengthStoch = 8//input.int(8, minval=1, title="Stochastic Length")
src = close//input(close, title="RSI Source")
rsi1 = ta.rsi(src, lengthRSI)
k = ta.sma(ta.stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
StochRSI = ta.sma(k, smoothD)
MACDdirection_line = 0
MACDdirection_line := MACDdirection_line[1]
if (MACDdelta > 0)
MACDdirection_line := 50
if (MACDdelta < 0)
MACDdirection_line := -50
useStochRSI = input.bool(true,"Include Condition (StochRSI > 20) with Exit Long/Enter Short")
StochRSI_val = 20//input.int(20,"StochRSI greater than to exit short")
h1 = hline(StochRSI_val)
StochRSIGreaterThanSetValue = true
if useStochRSI
if (StochRSI > StochRSI_val)
StochRSIGreaterThanSetValue := true
else
StochRSIGreaterThanSetValue := false
stoch20 = lineColor
if StochRSI < StochRSI_val
stoch20 := color.white
yearin = input.int(2019, title="Start backtesting from year:")
includeShorts = false//input.bool(false, "Include Shorts")
plot(MoonFlag_delta_line,"MoonFlag Momentum Direction", color.white)
plot(MACDdirection_line,"MACD Direction", color = color.orange)
plot(StochRSI, "StochRSI", color=lineColor)
if (year>=yearin)
if (MACDdelta > 0) and (uptrend > 1) and MoonFlag_delta_line > 0
strategy.entry("buy2", strategy.long, comment="buy")
if (MACDdelta < 0) and (downtrend < 1) and MoonFlag_delta_line < 0 and StochRSIGreaterThanSetValue
if includeShorts
strategy.entry("sell", strategy.short, comment="sell")
else
strategy.close("buy2", comment = "sell")
更多内容