基于支撑阻力和动量指标的多时间框架趋势跟踪策略

Author: ChaoZhang, Date: 2024-03-08 17:41:26
Tags:

策略概述

该策略综合利用支撑阻力位、超级趋势指标以及移动平均线等多个技术指标,在多个时间框架上综合判断趋势方向,实现了一个趋势跟踪交易系统。该策略的主要思想是:首先利用枢轴点来判断当前价格所处的支撑阻力位置,然后用超级趋势指标判断当前的趋势方向,最后用移动平均线过滤背离行情。同时,策略还支持风险控制,如设置交易时间窗口、限制最大仓位等。

策略原理

首先根据过去一定周期的最高最低价计算枢轴点,获得当前价格的支撑阻力位。
利用超级趋势指标(Supertrend)判断趋势。超级趋势由动态支撑阻力计算得到,是一个趋势跟踪指标。
使用ATR止损。该策略在原超级趋势基础上加入了ATR作为止损位。
以移动平均线作为趋势过滤。只有当趋势向上且价格在均线上方时做多,趋势向下且价格在均线下方时做空。
设置交易时间窗口。只在特定的时间区间内开仓,可避免在重要时间点交易。
多空仓位分别管理。多头和空头信号分别触发各自的开平仓逻辑。

综上,该策略在枢轴点支撑阻力、超级趋势方向、均线方向三个条件共振时开仓,任一条件失效则平仓。这有效地抓住了趋势行情,同时控制了风险。

优势分析

基于支撑阻力位交易的优势在于符合市场供需规律,枢轴点能动态反应市场平衡。
超级趋势能够有效捕捉趋势,并及时止损。ATR止损进一步控制了风险。
均线过滤避免了逆势交易。在趋势和均线共振时入场,胜率会更高。
自定义交易时间窗口在一定程度上避免了在重要时间点交易,如开盘和收盘前。
多头和空头信号各自独立运作,可同时持有多空仓位,更充分地利用了市场机会。

风险分析

频繁交易的风险。该策略可能会在震荡市频繁开平仓,造成过多的交易成本。
仍可能出现逆势交易。虽然该策略采取了均线过滤,但如果均线本身与大趋势相悖,仍可能出现逆势交易。
参数的最优化问题。策略含有诸多参数,如超级趋势的周期和乘数、均线周期等。不同参数将得到不同结果,如何选择最优参数组合是个挑战。
极端行情下可能失效。在极端行情下,如暴涨暴跌、流动性危机等,该策略可能无法及时止损。

优化方向

引入更多中长期均线,提高趋势判断的可靠性,减少频繁交易。
可以考虑引入波动率指标,如布林带,在高波动率市场减少交易。
对各项参数进行优化,找到最佳参数组合,提高策略稳定性。
在极端行情下设置硬止损,控制风险。此外,可考虑加入市场异常波动的判断,如价格跳空、成交量激增等,在异常时减少或停止交易。

总结

该策略综合了支撑阻力、趋势跟踪、动量过滤等多种技术分析方法,能够在趋势行情中有效获利,同时控制回撤风险。其优势在于信号明确简洁,逻辑清晰,适合在中长周期内运用。但是,该策略也存在频繁交易、参数优化难度大、极端行情下风险控制不足等问题。未来可以通过引入更多技术指标、优化参数、设置硬止损、判断异常行情等方式进一步改进。总的来说,该策略是一个较为成熟的趋势跟踪策略,经过适当优化和改进后,可以成为一个稳健的交易系统。策略思路可供借鉴,但仍需结合实际交易经验和市场特点,审慎运用。量化交易既需要数理逻辑,又离不开人的主观判断,只有二者有机结合,才能创造理想的回报。

/*backtest
start: 2023-03-02 00:00:00
end: 2024-03-07 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@rpcoelho
// Based on © Julien_Eche "Pivot Point Supertrend" with optional EMAs ploted
//@version=4

strategy("PPS w/ EMAs", overlay=true)

prd = input(defval = 1, title="Pivot Point Period", minval = 1, maxval = 50)
Factor=input(defval = 4, title = "ATR Factor", minval = 1, step = 0.1)
Pd=input(defval = 72, title = "ATR Period", minval=1)
showpivot = input(defval = false, title="Show Pivot Points")
showlabel = input(defval = true, title="Show Buy/Sell Labels")
showcl = input(defval = false, title="Show PP Center Line")
showsr = input(defval = false, title="Show Support/Resistance")

/////////////////////////////////////////////////////////////////////////
// Switch Board
////////////////////////////////////////////////////////////////////////
// Define the switch board title as a label (since grouping is not available)
//switchboard_group = "████ Switch Board (Turn On/Off Overlay Indicators) ████"
//label.new(bar_index, high, switchboard_group, color=color.red)
// Create input controls for EMA and VWAP switches
switch_ema = input(true, title="EMA")

/////////////////////////////////////////////////////////////////////////
// EMA Selection
////////////////////////////////////////////////////////////////////////

ma_function(source, length, type) =>
    float ma = na
    if type == 'RMA'
        ma := rma(source, length)
    else if type == 'SMA'
        ma := sma(source, length)
    else if type == 'EMA'
        ma := ema(source, length)
    else if type == 'WMA'
        ma := wma(source, length)
    else if type == 'HMA'
        ma := length < 2 ? hma(source, 2) : hma(source, length)
    else
        ma := vwma(source, length)
    ma

// Moving Averages Line Title
//ma_group = "██████████ MAs Line ██████████"

// Inputs for MA 1
len1bool = input(false, title="Show MA 1")
len1 = input(13, title="Length MA 1")
ma_1_type = input("EMA", title="Type MA 1", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma1 = input(title="MA1 Source", type=input.source, defval=close)
ma_1_colour = input(color.rgb(235, 159, 238), title="Color MA 1")

// Inputs for MA 2
len2bool = input(false, title="Show MA 2")
len2 = input(17, title="Length MA 2")
ma_2_type = input("EMA", title="Type MA 2", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma2 = input(title="MA2 Source", type=input.source, defval=close)
ma_2_colour = input(color.rgb(230, 241, 65), title="Color MA 2")

// Inputs for MA 3
len3bool = input(true, title="Show MA 3")
len3 = input(34, title="Length MA 3")
ma_3_type = input("EMA", title="Type MA 3", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma3 = input(title="MA3 Source", type=input.source, defval=close)
ma_3_colour = input(#c7f887, title="Color MA 3")

// Inputs for MA 4
len4bool = input(false, title="Show MA 4")
len4 = input(72, title="Length MA 4")
ma_4_type = input("EMA", title="Type MA 4", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma4 = input(title="MA4 Source", type=input.source, defval=close)
ma_4_colour = input(#2f6999, title="Color MA 4")

// Inputs for MA 5
len5bool = input(true, title="Show MA 5")
len5 = input(144, title="Length MA 5")
ma_5_type = input("EMA", title="Type MA 5", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma5 = input(title="MA5 Source", type=input.source, defval=close)
ma_5_colour = input(color.rgb(13, 156, 37), title="Color MA 5")

// Inputs for MA 6
len6bool = input(true, title="Show MA 6")
len6 = input(610, title="Length MA 6")
ma_6_type = input("EMA", title="Type MA 6", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma6 = input(title="MA6 Source", type=input.source, defval=close)
ma_6_colour = input(color.rgb(173, 161, 152), title="Color MA 6")

// Inputs for MA 7
len7bool = input(true, title="Show MA 7")
len7 = input(8, title="Length MA 7")
ma_7_type = input("EMA", title="Type MA 7", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma7 = input(title="MA7 Source", type=input.source, defval=close)
ma_7_colour = input(color.rgb(68, 39, 231), title="Color MA 7")

// Inputs for MA 8
len8bool = input(true, title="Show MA 8")
len8 = input(21, title="Length MA 8")
ma_8_type = input("EMA", title="Type MA 8", options=["RMA", "SMA", "EMA", "WMA", "HMA", "VWMA"])
src_ma8 = input(title="MA8 Source", type=input.source, defval=close)
ma_8_colour = input(color.white, title="Color MA 8")

ema1 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma1, len1, ma_1_type))
ema2 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma2, len2, ma_2_type))
ema3 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma3, len3, ma_3_type))
ema4 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma4, len4, ma_4_type))
ema5 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma5, len5, ma_5_type))
ema6 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma6, len6, ma_6_type))
ema7 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma7, len7, ma_7_type))
ema8 = security(syminfo.tickerid, timeframe.period, ma_function(src_ma8, len8, ma_8_type))

plot(len1bool and switch_ema ? ema1:na, color=ma_1_colour, linewidth=1, title='MA 1')
plot(len2bool and switch_ema? ema2:na, color=ma_2_colour, linewidth=1, title='MA 2')
plot(len3bool and switch_ema? ema3:na, color=ma_3_colour, linewidth=1, title='MA 3')
plot(len4bool and switch_ema? ema4:na, color=ma_4_colour, linewidth=1, title='MA 4')
plot(len5bool and switch_ema? ema5:na, color=ma_5_colour, linewidth=1, title='MA 5')
plot(len6bool and switch_ema? ema6:na, color=ma_6_colour, linewidth=2, title='MA 6')
plot(len7bool and switch_ema? ema7:na, color=ma_7_colour, linewidth=1, title='MA 7')
plot(len8bool and switch_ema? ema8:na, color=ma_8_colour, linewidth=1, title='MA 8')









// get Pivot High/Low
float ph = pivothigh(prd, prd)
float pl = pivotlow(prd, prd)

// drawl Pivot Points if "showpivot" is enabled
plotshape(ph and showpivot, text="H",  style=shape.labeldown, color=na, textcolor=color.red, location=location.abovebar, transp=0, offset = -prd)
plotshape(pl and showpivot, text="L",  style=shape.labeldown, color=na, textcolor=color.lime, location=location.belowbar, transp=0, offset = -prd)

// calculate the Center line using pivot points
var float center = na
float lastpp = ph ? ph : pl ? pl : na
if lastpp
    if na(center)
        center := lastpp
    else
        //weighted calculation
        center := (center * 2 + lastpp) / 3

// upper/lower bands calculation
Up = center - (Factor * atr(Pd))
Dn = center + (Factor * atr(Pd))

// get the trend
float TUp = na
float TDown = na
Trend = 0
TUp := close[1] > TUp[1] ? max(Up, TUp[1]) : Up
TDown := close[1] < TDown[1] ? min(Dn, TDown[1]) : Dn
Trend := close > TDown[1] ? 1: close < TUp[1]? -1: nz(Trend[1], 1)
Trailingsl = Trend == 1 ? TUp : TDown

// plot the trend
linecolor = Trend == 1 and nz(Trend[1]) == 1 ? color.lime : Trend == -1 and nz(Trend[1]) == -1 ? color.red : na
plot(Trailingsl, color = linecolor ,  linewidth = 2, title = "PP SuperTrend")
 
plot(showcl ? center : na, color = showcl ? center < hl2 ? color.blue : color.red : na)

// check and plot the signals
bsignal = Trend == 1 and Trend[1] == -1
ssignal = Trend == -1 and Trend[1] == 1
plotshape(bsignal and showlabel ? Trailingsl : na, title="Buy", text="Buy", location = location.absolute, style = shape.labelup, size = size.tiny, color = color.lime, textcolor = color.black, transp = 0)
plotshape(ssignal and showlabel ? Trailingsl : na, title="Sell", text="Sell", location = location.absolute, style = shape.labeldown, size = size.tiny, color = color.red, textcolor = color.white, transp = 0)

//get S/R levels using Pivot Points
float resistance = na
float support = na
support := pl ? pl : support[1]
resistance := ph ? ph : resistance[1]

// if enabled then show S/R levels
plot(showsr and support ? support : na, color = showsr and support ? color.lime : na, style = plot.style_circles, offset = -prd)
plot(showsr and resistance ? resistance : na, color = showsr and resistance ? color.red : na, style = plot.style_circles, offset = -prd)

// Trend Filter from SuperTrend Long Strategy
Periods = input(title="ATR Period", type=input.integer, defval=3)
src = input(hlc3, title="Source")
Multiplier = input(title="ATR Multiplier", type=input.float, step=0.1, defval=4.0)
changeATR = input(title="Change ATR Calculation Method ?", type=input.bool, defval=true)

// Combine the SuperTrend calculations
atr2 = sma(tr, Periods)
atr = changeATR ? atr(Periods) : atr2

up = src - (Multiplier * atr)
up1 = nz(up[1], up)
up := close[1] > up1 ? max(up, up1) : up

dn = src + (Multiplier * atr)
dn1 = nz(dn[1], dn)
dn := close[1] < dn1 ? min(dn, dn1) : dn

trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend

// Moving Average as Trend Filter
periodes_ma = input(title="Moving Average Period", type=input.integer, defval=20)
src_ma = input(title="Moving Average Source", type=input.source, defval=close)
ma = sma(src_ma, periodes_ma)

// Strategy Entry Conditions
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear  = input(defval = 2017, title = "From Year", minval = 999)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear    = input(defval = 9999, title = "To Year", minval = 999)

start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)       

window()  => true

// Combined entry conditions
longCondition = (trend == 1 and trend[1] == -1 and close > ma) or (bsignal and window())
shortCondition = (trend == -1 and trend[1] == 1 and close < ma) or (ssignal and window())

if (longCondition)
    strategy.entry("BUY", strategy.long)

if (shortCondition)
    strategy.close("BUY")
    strategy.entry("SELL", strategy.short)

buy1 = barssince((trend == 1 and trend[1] == -1 and close > ma) or (bsignal and window()))
sell1 = barssince((trend == -1 and trend[1] == 1 and close < ma) or (ssignal and window()))
color1 = buy1[1] < sell1[1] ? color.green : buy1[1] > sell1[1] ? color.red : na
barcolor(color1)

更多内容

2019 - FMZ - 发明者量化