1. 策略广场
2. 双均线趋势捕捉策略结合动态止损和过滤器

双均线趋势捕捉策略结合动态止损和过滤器

Author: ChaoZhang, Date: 2024-07-31 11:46:38
Tags: MAEMASMAWMATPSL

---

---

/*backtest
start: 2024-06-30 00:00:00
end: 2024-07-30 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Moving Average Breakout with Filter and Dynamic Stop Loss", overlay=true)

// Параметры
maLength = input.int(14, "MA Length")
maType = input.string("SMA", "MA Type", options=["SMA", "EMA", "WMA"])
takeProfitPercent = input.float(1.0, "Take Profit (%)", step=0.1)
filterMaLength = input.int(50, "Filter MA Length")
filterMaType = input.string("SMA", "Filter MA Type", options=["SMA", "EMA", "WMA"])
useDynamicStopLoss = input.bool(false, "Use Dynamic Stop Loss")
dynamicStopLossPercent = input.float(1.0, "Dynamic Stop Loss (%)", step=0.1)

// Выбор типа основной скользящей средней
float ma = na
switch maType
    "SMA" => ma := ta.sma(close, maLength)
    "EMA" => ma := ta.ema(close, maLength)
    "WMA" => ma := ta.wma(close, maLength)

// Выбор типа скользящей средней фильтра
float filterMa = na
switch filterMaType
    "SMA" => filterMa := ta.sma(close, filterMaLength)
    "EMA" => filterMa := ta.ema(close, filterMaLength)
    "WMA" => filterMa := ta.wma(close, filterMaLength)

// Построение скользящих средних
plot(ma, color=color.blue, linewidth=2, title="Moving Average")
plot(filterMa, color=color.orange, linewidth=2, title="Filter Moving Average")

// Логика открытия позиций
longCondition = ta.crossover(close, ma) and close > filterMa
shortCondition = ta.crossunder(close, ma) and close < filterMa

var bool inPosition = false
var float entryPrice = na
var float takeProfitLevel = na
var float stopLossLevel = na

if (longCondition and not inPosition and strategy.position_size == 0)
    entryPrice := close
    takeProfitLevel := close * (1 + takeProfitPercent / 100)
    if (useDynamicStopLoss)
        stopLossLevel := close * (1 - dynamicStopLossPercent / 100)
    else
        stopLossLevel := low[1]
    strategy.entry("Long", strategy.long)
    strategy.exit("Take Profit/Stop Loss", from_entry="Long", limit=takeProfitLevel, stop=stopLossLevel)
    // line.new(bar_index, entryPrice, bar_index + 1, entryPrice, color=color.blue, width=2)
    // line.new(bar_index, takeProfitLevel, bar_index + 1, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index, stopLossLevel, bar_index + 1, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    inPosition := true

if (shortCondition and not inPosition and strategy.position_size == 0)
    entryPrice := close
    takeProfitLevel := close * (1 - takeProfitPercent / 100)
    if (useDynamicStopLoss)
        stopLossLevel := close * (1 + dynamicStopLossPercent / 100)
    else
        stopLossLevel := high[1]
    strategy.entry("Short", strategy.short)
    strategy.exit("Take Profit/Stop Loss", from_entry="Short", limit=takeProfitLevel, stop=stopLossLevel)
    // line.new(bar_index, entryPrice, bar_index + 1, entryPrice, color=color.blue, width=2)
    // line.new(bar_index, takeProfitLevel, bar_index + 1, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index, stopLossLevel, bar_index + 1, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    inPosition := true

// Проверка закрытия позиции по тейк-профиту или стоп-лоссу
if (strategy.position_size == 0)
    inPosition := false

// Отображение текущих линий стоп-лосса и тейк-профита
// if (strategy.position_size > 0)
    // line.new(bar_index[1], takeProfitLevel, bar_index, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index[1], stopLossLevel, bar_index, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    // line.new(bar_index[1], entryPrice, bar_index, entryPrice, color=color.blue, width=2)

// if (strategy.position_size < 0)
    // line.new(bar_index[1], takeProfitLevel, bar_index, takeProfitLevel, color=color.green, width=2, style=line.style_dashed)
    // line.new(bar_index[1], stopLossLevel, bar_index, stopLossLevel, color=color.red, width=2, style=line.style_dashed)
    // line.new(bar_index[1], entryPrice, bar_index, entryPrice, color=color.blue, width=2)

---

• 多重平滑均线动态交叉趋势跟踪与多重确认量化交易策略
• 双均线交叉趋势追踪策略结合动态止盈止损系统
• 自适应移动平均交叉追踪止损策略
• 双移动平均线与MACD结合的趋势跟踪动态止盈智能交易系统
• 双均线交叉带止盈止损的自适应量化交易策略
• 智能均线交叉策略与动态止盈止损系统
• 动态移动止损双目标价均线交叉策略
• 动态移动均线交叉趋势跟踪策略
• 双均线突破交易策略结合止损止盈的自动化量化系统
• 趋势突破交易系统(移动平均线突破策略)

---

• 布林带均值回归交易策略与动态支撑
• 早晨蜡烛突破与反转策略
• 基于斐波那契回撤的自适应趋势跟踪策略
• 高级马尔可夫模型技术指标融合交易策略
• 多层波动带交易策略
• 多周期均线交叉与波动率过滤动态策略
• 多重指标综合动量交易策略
• 三重指数移动平均线与支撑阻力动态交易策略
• 双重RSI策略:结合背离与交叉的高级趋势捕捉系统
• 基于洛伦兹分类法的多时间框架交易策略
• 多指标趋势跟踪与成交量确认策略
• 双均线交叉带止盈止损的自适应量化交易策略
• 基于艾略特波浪与汤姆·德马克顺势交易策略
• 基于量化动量和收敛发散的多时间框架统一策略
• RSI超卖定期投资策略与冷却期优化
• HMA优化多周期量化交易策略与动态止损结合
• 布林带交叉与滑点价格影响组合策略
• 趋势结构突破与订单块公平价值缺口策略
• SMA交叉与成交量过滤的自适应动态止盈止损策略
• 双重MACD趋势确认交易系统