基于EMA指标的跨市场多空趋势隔夜持仓策略
Author: ChaoZhang, Date: 2024-11-12 10:49:00Tags: EMAMA
本策略是一个基于EMA技术指标的跨市场隔夜持仓策略,旨在捕捉市场收盘前和开盘后的交易机会。策略通过精确的时间控制和技术指标过滤,实现在不同市场环境下的智能交易。
策略概述
策略主要通过在市场收盘前特定时间进场,并在次日开盘后特定时间出场来获取收益。结合EMA指标作为趋势确认,在多个全球市场中寻找交易机会。策略还集成了自动化交易功能,实现了无人值守操作。
策略原理
- 时间控制:根据不同市场的交易时间,在收盘前固定时间入场,开盘后固定时间出场
- EMA过滤:使用可选的EMA指标验证入场信号
- 市场选择:支持美国、亚洲、欧洲三大市场的交易时间自适应
- 周末保护:在周五收盘前强制平仓,避免持仓过周末风险
策略优势
- 多市场适应性:可以根据不同市场特点灵活调整交易时间
- 风险控制完善:包含周末平仓保护机制
- 自动化程度高:支持自动交易接口对接
- 参数灵活可调:交易时间和技术指标参数均可定制
- 交易成本考虑:包含手续费和滑点设置
策略风险
- 市场波动风险:隔夜持仓可能面临跳空风险
- 时间依赖性:策略效果受市场时间段选择影响
- 技术指标局限:单一EMA指标可能出现滞后 建议:设置止损限制,增加更多技术指标验证
策略优化方向
- 增加更多技术指标组合
- 引入波动率过滤机制
- 优化入场出场时间选择
- 加入自适应参数调整功能
- 增强风险控制模块
总结
该策略通过精确的时间控制和技术指标过滤,实现了一个可靠的隔夜交易系统。策略设计全面考虑了实战需求,包括多市场适应、风险控制、自动化交易等要素,具有较强的实用价值。通过持续优化和完善,该策略有望在实盘交易中取得稳定收益。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PresentTrading
// This strategy, titled "Overnight Market Entry Strategy with EMA Filter," is designed for entering long positions shortly before
// the market closes and exiting shortly after the market opens. The strategy allows for selecting between different global market sessions (US, Asia, Europe) and
// uses an optional EMA (Exponential Moving Average) filter to validate entry signals. The core logic is to enter trades based on conditions set for a specified period before
// the market close and to exit trades either after a specified period following the market open or just before the weekend close.
// Additionally, 3commas bot integration is included to automate the execution of trades. The strategy dynamically adjusts to market open and close times, ensuring trades are properly timed based on the selected market.
// It also includes a force-close mechanism on Fridays to prevent holding positions over the weekend.
//@version=5
strategy("Overnight Positioning with EMA Confirmation - Strategy [presentTrading]", overlay=true, precision=3, commission_value=0.02, commission_type=strategy.commission.percent, slippage=1, currency=currency.USD, default_qty_type=strategy.percent_of_equity, default_qty_value=10, initial_capital=10000)
// Input parameters
entryMinutesBeforeClose = input.int(20, title="Minutes Before Close to Enter", minval=1)
exitMinutesAfterOpen = input.int(20, title="Minutes After Open to Exit", minval=1)
emaLength = input.int(100, title="EMA Length", minval=1)
emaTimeframe = input.timeframe("240", title="EMA Timeframe")
useEMA = input.bool(true, title="Use EMA Filter")
// Market Selection Input
marketSelection = input.string("US", title="Select Market", options=["US", "Asia", "Europe"])
// Timezone for each market
marketTimezone = marketSelection == "US" ? "America/New_York" :
marketSelection == "Asia" ? "Asia/Tokyo" :
"Europe/London" // Default to London for Europe
// Market Open and Close Times for each market
var int marketOpenHour = na
var int marketOpenMinute = na
var int marketCloseHour = na
var int marketCloseMinute = na
if marketSelection == "US"
marketOpenHour := 9
marketOpenMinute := 30
marketCloseHour := 16
marketCloseMinute := 0
else if marketSelection == "Asia"
marketOpenHour := 9
marketOpenMinute := 0
marketCloseHour := 15
marketCloseMinute := 0
else if marketSelection == "Europe"
marketOpenHour := 8
marketOpenMinute := 0
marketCloseHour := 16
marketCloseMinute := 30
// 3commas Bot Settings
emailToken = input.string('', title='Email Token', group='3commas Bot Settings')
long_bot_id = input.string('', title='Long Bot ID', group='3commas Bot Settings')
usePairAdjust = input.bool(false, title='Use this pair in PERP', group='3commas Bot Settings')
selectedExchange = input.string("Binance", title="Select Exchange", group='3commas Bot Settings', options=["Binance", "OKX", "Gate.io", "Bitget"])
// Determine the trading pair based on settings
var pairString = ""
if usePairAdjust
pairString := str.tostring(syminfo.currency) + "_" + str.tostring(syminfo.basecurrency) + (selectedExchange == "OKX" ? "-SWAP" : "")
else
pairString := str.tostring(syminfo.currency) + "_" + str.tostring(syminfo.basecurrency)
// Function to check if it's a trading day (excluding weekends)
isTradingDay(t) =>
dayOfWeek = dayofweek(t, marketTimezone)
dayOfWeek >= dayofweek.monday and dayOfWeek <= dayofweek.friday
// Function to get the timestamp for market open and close times
getMarketTimes(t) =>
y = year(t, marketTimezone)
m = month(t, marketTimezone)
d = dayofmonth(t, marketTimezone)
marketOpenTime = timestamp(marketTimezone, y, m, d, marketOpenHour, marketOpenMinute, 0)
marketCloseTime = timestamp(marketTimezone, y, m, d, marketCloseHour, marketCloseMinute, 0)
[marketOpenTime, marketCloseTime]
// Get the current time in the market's timezone
currentTime = time
// Calculate market times
[marketOpenTime, marketCloseTime] = getMarketTimes(currentTime)
// Calculate entry and exit times
entryTime = marketCloseTime - entryMinutesBeforeClose * 60 * 1000
exitTime = marketOpenTime + exitMinutesAfterOpen * 60 * 1000
// Get EMA data from the specified timeframe
emaValue = request.security(syminfo.tickerid, emaTimeframe, ta.ema(close, emaLength))
// Entry condition with optional EMA filter
longCondition = close > emaValue or not useEMA
// Functions to create JSON strings
getEnterJson() =>
'{"message_type": "bot", "bot_id": "' + long_bot_id + '", "email_token": "' + emailToken + '", "delay_seconds": 0, "pair": "' + pairString + '"}'
getExitJson() =>
'{"action": "close_at_market_price", "message_type": "bot", "bot_id": "' + long_bot_id + '", "email_token": "' + emailToken + '", "delay_seconds": 0, "pair": "' + pairString + '"}'
// Entry Signal
entrySignal = isTradingDay(currentTime) and currentTime >= entryTime and currentTime < marketCloseTime and dayofweek(currentTime, marketTimezone) != dayofweek.friday
// Exit Signal
exitSignal = isTradingDay(currentTime) and currentTime >= exitTime and currentTime < marketCloseTime
// Entry Logic
if strategy.position_size == 0 and longCondition
strategy.entry("Long", strategy.long, alert_message=getEnterJson())
// Exit Logic
if strategy.position_size > 0
strategy.close("Long", alert_message=getExitJson())
// Force Close Logic on Friday before market close
isFriday = dayofweek(currentTime, marketTimezone) == dayofweek.friday
if strategy.position_size > 0 // Close 5 minutes before market close on Friday
strategy.close("Long", comment="Force close on Friday before market close", alert_message=getExitJson())
// Plotting entry and exit points
plotshape( strategy.position_size == 0 and longCondition, title="Entry", text="Entry", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape( strategy.position_size > 0, title="Exit", text="Exit", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)
// Plot EMA for reference
plot(useEMA ? emaValue : na, title="EMA", color=color.blue)
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