VWAP交易策略与成交量异常监测
Author: ChaoZhang, Date: 2024-06-07 15:44:04Tags: VWAPRSIYTDSMA
概述
该策略基于多个VWAP(成交量加权平均价)水平,包括开盘价、最高价、最低价和成交量异常高的蜡烛图的VWAP。策略利用VWAP作为支撑位和阻力位,同时考虑了成交量的异常情况。当价格突破VWAP水平并满足一定条件时,策略会产生交易信号。此外,该策略还使用RSI指标来检测动量变化,作为平仓条件。
策略原理
- 计算多个VWAP水平,包括开盘价VWAP、最高价VWAP、最低价VWAP和异常高成交量蜡烛图的VWAP。
- 检测成交量异常高的蜡烛图,并在该蜡烛图上重置异常高成交量VWAP的累积变量。
- 在VWAP水平上下设置偏离值,作为交易信号的触发条件。
- 检查价格是否在VWAP的另一侧存在跳空,以避免错误信号。
- 根据价格相对于VWAP的位置以及收盘价与开盘价的关系,产生多个交易信号,包括Wick(影线)和Crossover(交叉)两种类型。
- 使用RSI指标检测动量变化,当RSI超过70或低于30时,平仓相应的交易。
优势分析
- 该策略利用了多个VWAP水平,提供了更全面的支撑位和阻力位信息。
- 通过检测成交量异常高的蜡烛图,策略可以捕捉到市场的重要变化。
- 设置偏离值可以过滤掉一些噪音信号,提高交易信号的质量。
- 考虑了价格在VWAP另一侧的跳空情况,避免了一些错误信号。
- 根据价格与VWAP的相对位置以及收盘价与开盘价的关系,产生多个交易信号,增加了策略的灵活性。
- 使用RSI指标作为平仓条件,可以帮助策略在动量发生变化时及时退出交易。
风险分析
- 该策略依赖于VWAP水平,如果市场出现极端行情,VWAP可能失去效力。
- 异常高成交量的判断基于固定的阈值,可能无法适应不同的市场情况。
- 偏离值的设置可能需要根据不同的市场和交易品种进行调整。
- 该策略产生了多个交易信号,可能导致过度交易和高昂的交易成本。
- RSI指标可能产生滞后的平仓信号,导致策略承受更大的风险。
优化方向
- 对VWAP水平的计算方法进行优化,如考虑更长的时间周期或使用加权方法。
- 优化异常高成交量的判断标准,如采用自适应的阈值或结合其他成交量指标。
- 对偏离值进行参数优化,找到最佳的偏离幅度。
- 引入风险管理措施,如设置止损和止盈,控制单笔交易的风险敞口。
- 尝试其他的动量指标或组合多个指标,以获得更准确的平仓信号。
- 对交易信号进行过滤,减少过度交易和降低交易成本。
总结
该策略利用多个VWAP水平和成交量异常检测,生成多样化的交易信号。通过考虑价格与VWAP的相对位置、收盘价与开盘价的关系以及RSI指标,策略试图捕捉市场的重要变化并及时退出交易。然而,该策略也存在一些风险,如对极端行情的适应性、过度交易和滞后的平仓信号等。为了进一步改进,可以考虑优化VWAP的计算方法、异常成交量的判断标准、偏离值的设置,并引入风险管理措施和更多的指标组合。总的来说,该策略为基于VWAP的交易提供了一个很好的起点,但仍需要根据实际市场情况进行优化和调整。
/*backtest
start: 2024-05-30 00:00:00
end: 2024-06-06 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("5 Anchored VWAP Strategy with Abnormally High Volume Candle", overlay=true)
// Initialize VWAP variables
var float vwap_open = na
var float vwap_high = na
var float vwap_low = na
var float vwap_high_volume = na
var float cum_v_open = 0
var float cum_v_high = 0
var float cum_v_low = 0
var float cum_v_high_volume = 0
var float cum_pv_open = 0
var float cum_pv_high = 0
var float cum_pv_low = 0
var float cum_pv_high_volume = 0
var float highest_volume = 0
// Initialize YTD high and low variables
var float ytd_high = na
var float ytd_low = na
// Parameters for abnormal volume detection
length = 20
volume_threshold = 2.0
// Displacement parameters
displacement_percentage = 0.01 // 1% displacement
// Calculate average volume
avg_volume = ta.sma(volume, length)
// Check if it's the first day of the year
is_first_day_of_year = year(time) != year(time[1])
// Reset YTD high and low on the first day of the year
if is_first_day_of_year
ytd_high := high
ytd_low := low
// Update YTD high and low
ytd_high := na(ytd_high) ? high : math.max(ytd_high, high)
ytd_low := na(ytd_low) ? low : math.min(ytd_low, low)
// Update cumulative variables for open VWAP
cum_v_open += volume
cum_pv_open += close * volume
if cum_v_open != 0
vwap_open := cum_pv_open / cum_v_open
// Update cumulative variables for high VWAP
if high == ytd_high
cum_v_high := 0
cum_pv_high := 0
cum_v_high += volume
cum_pv_high += close * volume
if cum_v_high != 0
vwap_high := cum_pv_high / cum_v_high
// Update cumulative variables for low VWAP
if low == ytd_low
cum_v_low := 0
cum_pv_low := 0
cum_v_low += volume
cum_pv_low += close * volume
if cum_v_low != 0
vwap_low := cum_pv_low / cum_v_low
// Check for new high-volume candle that is also abnormally high and reset cumulative variables for high-volume VWAP
new_high_volume = false
if volume > highest_volume and volume > volume_threshold * avg_volume
highest_volume := volume
cum_v_high_volume := 0
cum_pv_high_volume := 0
new_high_volume := true
cum_v_high_volume += volume
cum_pv_high_volume += close * volume
if cum_v_high_volume != 0
vwap_high_volume := cum_pv_high_volume / cum_v_high_volume
// Plot VWAPs
plot(vwap_open, color=color.red, linewidth=2, title="VWAP Open")
plot(vwap_high, color=color.green, linewidth=2, title="VWAP High")
plot(vwap_low, color=color.blue, linewidth=2, title="VWAP Low")
plot(vwap_high_volume, color=color.purple, linewidth=2, title="VWAP High Volume")
// Plot a vertical line on the chart only when a new high-volume VWAP anchor occurs
bgcolor(new_high_volume ? color.new(color.purple, 90) : na, offset=-1)
// Calculate displacement amounts
displacement_amount_open = vwap_open * displacement_percentage
displacement_amount_high = vwap_high * displacement_percentage
displacement_amount_low = vwap_low * displacement_percentage
displacement_amount_high_volume = vwap_high_volume * displacement_percentage
// Check for gaps on the opposite side of a VWAP
gap_up_opposite_open = na(close[1]) ? false : (open > close[1] and open < vwap_open and close[1] > vwap_open)
gap_down_opposite_open = na(close[1]) ? false : (open < close[1] and open > vwap_open and close[1] < vwap_open)
gap_up_opposite_high = na(close[1]) ? false : (open > close[1] and open < vwap_high and close[1] > vwap_high)
gap_down_opposite_high = na(close[1]) ? false : (open < close[1] and open > vwap_high and close[1] < vwap_high)
gap_up_opposite_low = na(close[1]) ? false : (open > close[1] and open < vwap_low and close[1] > vwap_low)
gap_down_opposite_low = na(close[1]) ? false : (open < close[1] and open > vwap_low and close[1] < vwap_low)
gap_up_opposite_high_volume = na(close[1]) ? false : (open > close[1] and open < vwap_high_volume and close[1] > vwap_high_volume)
gap_down_opposite_high_volume = na(close[1]) ? false : (open < close[1] and open > vwap_high_volume and close[1] < vwap_high_volume)
// RSI calculation for momentum change detection
rsi = ta.rsi(close, 14)
long_exit_condition = rsi > 70
short_exit_condition = rsi < 30
// Debugging Plots
plotshape(not gap_up_opposite_open and not gap_down_opposite_open and close > vwap_open and low < vwap_open - displacement_amount_open and close[1] < vwap_open, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small, title="Open Long Signal")
plotshape(not gap_up_opposite_open and not gap_down_opposite_open and close < vwap_open and high > vwap_open + displacement_amount_open and close[1] > vwap_open, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small, title="Open Short Signal")
plotshape(not gap_up_opposite_high and not gap_down_opposite_high and close > vwap_high and low < vwap_high - displacement_amount_high and close[1] < vwap_high, style=shape.triangledown, location=location.abovebar, color=color.blue, size=size.small, title="High Long Signal")
plotshape(not gap_up_opposite_high and not gap_down_opposite_high and close < vwap_high and high > vwap_high + displacement_amount_high and close[1] > vwap_high, style=shape.triangleup, location=location.belowbar, color=color.orange, size=size.small, title="High Short Signal")
plotshape(not gap_up_opposite_low and not gap_down_opposite_low and close > vwap_low and low < vwap_low - displacement_amount_low and close[1] < vwap_low, style=shape.triangledown, location=location.abovebar, color=color.purple, size=size.small, title="Low Long Signal")
plotshape(not gap_up_opposite_low and not gap_down_opposite_low and close < vwap_low and high > vwap_low + displacement_amount_low and close[1] > vwap_low, style=shape.triangleup, location=location.belowbar, color=color.yellow, size=size.small, title="Low Short Signal")
plotshape(not gap_up_opposite_high_volume and not gap_down_opposite_high_volume and close > vwap_high_volume and low < vwap_high_volume - displacement_amount_high_volume and close[1] < vwap_high_volume, style=shape.triangledown, location=location.abovebar, color=color.teal, size=size.small, title="High Volume Long Signal")
plotshape(not gap_up_opposite_high_volume and not gap_down_opposite_high_volume and close < vwap_high_volume and high > vwap_high_volume + displacement_amount_high_volume and close[1] > vwap_high_volume, style=shape.triangleup, location=location.belowbar, color=color.fuchsia, size=size.small, title="High Volume Short Signal")
// Trading signals based on VWAP support/resistance with displacement, no gaps on the opposite side, and bounce conditions
if not gap_up_opposite_open and not gap_down_opposite_open
if (close > vwap_open and low < vwap_open)
if close > open
strategy.entry("Long_Open_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_Open_Crossover", strategy.long, comment="Crossover")
if (close < vwap_open and high > vwap_open)
if close < open
strategy.entry("Short_Open_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_Open_Crossover", strategy.short, comment="Crossover")
if not gap_up_opposite_high and not gap_down_opposite_high
if (close > vwap_high and low < vwap_high)
if close > open
strategy.entry("Long_High_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_High_Crossover", strategy.long, comment="Crossover")
if (close < vwap_high and high > vwap_high)
if close < open
strategy.entry("Short_High_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_High_Crossover", strategy.short, comment="Crossover")
if not gap_up_opposite_low and not gap_down_opposite_low
if (close > vwap_low and low < vwap_low)
if close > open
strategy.entry("Long_Low_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_Low_Crossover", strategy.long, comment="Crossover")
if (close < vwap_low and high > vwap_low)
if close < open
strategy.entry("Short_Low_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_Low_Crossover", strategy.short, comment="Crossover")
if not gap_up_opposite_high_volume and not gap_down_opposite_high_volume
if (close > vwap_high_volume and low < vwap_high_volume)
if close > open
strategy.entry("Long_High_Volume_Wick", strategy.long, comment="Wick")
else
strategy.entry("Long_High_Volume_Crossover", strategy.long, comment="Crossover")
if (close < vwap_high_volume and high > vwap_high_volume)
if close < open
strategy.entry("Short_High_Volume_Wick", strategy.short, comment="Wick")
else
strategy.entry("Short_High_Volume_Crossover", strategy.short, comment="Crossover")
// Exit trades based on RSI momentum change
if strategy.position_size > 0 and long_exit_condition
strategy.close("Long_Open_Wick")
strategy.close("Long_Open_Crossover")
strategy.close("Long_High_Wick")
strategy.close("Long_High_Crossover")
strategy.close("Long_Low_Wick")
strategy.close("Long_Low_Crossover")
strategy.close("Long_High_Volume_Wick")
strategy.close("Long_High_Volume_Crossover")
if strategy.position_size < 0 and short_exit_condition
strategy.close("Short_Open_Wick")
strategy.close("Short_Open_Crossover")
strategy.close("Short_High_Wick")
strategy.close("Short_High_Crossover")
strategy.close("Short_Low_Wick")
strategy.close("Short_Low_Crossover")
strategy.close("Short_High_Volume_Wick")
strategy.close("Short_High_Volume_Crossover")
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