多级均线结合蜡烛图形态识别交易系统
Author: ChaoZhang, Date: 2024-11-12 16:39:22Tags: EMASMAMA50MA200
概述
该策略是一个综合性的技术分析交易系统,将经典的蜡烛图形态识别与趋势分析相结合。系统主要依托于多种经典蜡烛图形态的识别,包括十多种不同的蜡烛图形态,同时结合短期和长期移动平均线来确认市场趋势,从而产生买卖信号。该策略适用于不同的时间周期,既可用于短线交易也可用于中长期持仓。
策略原理
策略采用多层次的信号确认机制: 1. 使用6周期指数移动平均线(EMA)作为短期趋势指标 2. 通过50和200周期简单移动平均线(SMA)判断长期趋势 3. 识别多种蜡烛图形态: - 十字星家族(普通十字星、墓碑十字、蜻蜓十字) - 锤子形态(锤子线、上吊线、倒锤子、流星) - 吞没形态 - 孕线形态 - 启明星/黄昏星形态 - 三兵/三鸦形态 4. 结合趋势和形态生成交易信号
策略优势
- 信号多维度确认:通过移动平均线和蜡烛图形态的双重确认,提高交易信号的可靠性
- 适应性强:可以适应不同市场环境,既能捕捉趋势也能把握反转机会
- 风险控制完善:通过形态识别的严格条件,降低虚假信号
- 操作逻辑清晰:每个交易信号都有明确的入场条件
- 可扩展性强:策略框架容易根据需求添加新的形态识别模块
策略风险
- 形态识别延迟:蜡烛图形态确认需要多根K线完成,可能错过最佳入场时机
- 信号重叠:多个形态同时出现可能导致信号冲突
- 市场噪音:震荡市中可能产生过多虚假信号
- 参数敏感性:移动平均线周期选择对策略表现影响较大
- 计算复杂度:多个形态的实时计算可能影响执行效率
策略优化方向
- 信号权重系统:
- 为不同形态设置可调整的权重
- 根据市场环境动态调整权重
- 市场环境识别:
- 添加波动率指标以识别市场状态
- 根据不同市场状态调整策略参数
- 止损优化:
- 基于形态特征设计动态止损
- 添加跟踪止损机制
- 信号过滤:
- 增加成交量确认机制
- 添加趋势强度过滤器
- 优化计算效率:
- 简化形态识别算法
- 优化数据结构
总结
该策略通过整合多种技术分析工具,构建了一个完整的交易系统。策略的核心优势在于多维度的信号确认机制,但同时也面临着信号延迟和过度拟合的风险。通过添加市场环境识别和动态参数调整机制,策略有望获得更好的表现。在实际应用中,建议通过回测优化参数,并结合风险管理系统使用。
/*backtest
start: 2023-11-12 00:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("hazed candles", shorttitle="hazed candles", overlay=true)
// Inputs
ema_input = input.int(6, title="EMA value to detect trend")
show_doji = input.bool(true, title="Doji star")
show_doji_grave = input.bool(true, title="Doji grave")
show_doji_dragonfly = input.bool(true, title="Doji dragonfly")
show_hammer = input.bool(true, title="Hammer")
show_hanginman = input.bool(true, title="Hanging man")
show_rhammer = input.bool(true, title="Reversed hammer")
show_falling_star = input.bool(true, title="Falling star")
show_absorption = input.bool(true, title="Absorptions")
show_tweezers = input.bool(true, title="Tweezers")
show_triple_inside = input.bool(true, title="Triple inside")
show_three_soldiers = input.bool(true, title="Three soldiers")
show_three_crows = input.bool(true, title="Three crows")
show_morning_evening_stars = input.bool(true, title="Morning / evening stars")
show_golden_death_cross = input.bool(true, title="Golden / Death cross")
// EMA calculation
prev_p_1 = ta.ema(close, ema_input)
// Variables
lowhigh_long_prop = 10
body_prop_size = 9
bar_size_h = high - close
bar_size_l = math.max(open, close) - math.min(close, open)
body_size_h = high - low
low_body_prop = close - low
high_body_prop = high - close
low_half_eq = (low_body_prop > body_size_h / 2.5 and low_body_prop < body_size_h / 1.65)
high_half_eq = (high_body_prop > body_size_h / 2.5 and high_body_prop < body_size_h / 1.65)
open_close_eq = (bar_size_l < body_size_h / body_prop_size)
///////////////// Doji star ///////////////
doji_star_up = show_doji and close <= prev_p_1 and open_close_eq and high_body_prop and low_half_eq
doji_star_down = show_doji and close > prev_p_1 and open_close_eq and high_body_prop and low_half_eq
plotshape(doji_star_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Doji star")
plotshape(doji_star_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Doji star")
// Strategy entries for Doji star
if (doji_star_up)
strategy.entry("Buy Doji Star", strategy.long)
if (doji_star_down)
strategy.entry("Sell Doji Star", strategy.short)
///////////////// Doji grave ///////////////
long_high_body = (high_body_prop > bar_size_l * lowhigh_long_prop)
open_low_eq = ((close - low) < body_size_h / body_prop_size)
doji_grave = show_doji_grave and close > prev_p_1 and open_close_eq and open_low_eq and long_high_body
plotshape(doji_grave, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Doji grave")
// Strategy entries for Doji grave
if (doji_grave)
strategy.entry("Sell Doji Grave", strategy.short)
///////////////// Doji dragonfly ///////////////
long_low_body = (low_body_prop > bar_size_l * lowhigh_long_prop)
open_high_eq = ((high - close) < body_size_h / body_prop_size)
doji_dragonfly = show_doji_dragonfly and close <= prev_p_1 and open_close_eq and open_high_eq and long_low_body
plotshape(doji_dragonfly, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Doji dragonfly")
// Strategy entries for Doji dragonfly
if (doji_dragonfly)
strategy.entry("Buy Doji Dragonfly", strategy.long)
///////////////// Hammer ///////////////
bottom_low = close - bar_size_h * 15
bottom_high = close - bar_size_h * 1.5
top_low = open + bar_size_l * 1.5
top_high = open + bar_size_l * 15
h_down = show_hammer and prev_p_1 > close and open == high and low > bottom_low and low < bottom_high
plotshape(h_down, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Hammer")
// Strategy entries for Hammer
if (h_down)
strategy.entry("Buy Hammer", strategy.long)
///////////////// Hanging man ///////////////
hm_down = show_hanginman and prev_p_1 < close and open == high and low > bottom_low and low < bottom_high
plotshape(hm_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Hanging man")
// Strategy entries for Hanging man
if (hm_down)
strategy.entry("Sell Hanging Man", strategy.short)
///////////////// Reversed hammer ///////////////
rh_down = show_rhammer and prev_p_1 > open and low == close and high > top_low and high < top_high
plotshape(rh_down, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Reversed hammer")
// Strategy entries for Reversed hammer
if (rh_down)
strategy.entry("Buy Reversed Hammer", strategy.long)
///////////////// Fallling star ///////////////
fs_down = show_falling_star and prev_p_1 < close and low == close and high > top_low and high < top_high
plotshape(fs_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Falling star")
// Strategy entries for Falling star
if (fs_down)
strategy.entry("Sell Falling Star", strategy.short)
///////////////// Absorption ///////////////
open_1 = open[1]
close_1 = close[1]
high_1 = high[1]
low_1 = low[1]
open_2 = open[2]
close_2 = close[2]
high_2 = high[2]
low_2 = low[2]
open_3 = open[3]
close_3 = close[3]
high_3 = high[3]
low_3 = low[3]
bar_1 = math.max(open_1, close_1) - math.min(open_1, close_1)
bar_2 = math.max(open_2, close_2) - math.min(open_2, close_2)
bar_3 = math.max(open_3, close_3) - math.min(open_3, close_3)
bar_h = math.max(open, close) - math.min(open, close)
bar_size_min = bar_1 * 1.2
bar_size_f = (bar_h > bar_size_min)
absorption_up = show_absorption and bar_size_f and open_1 > close_1 and open_1 != open and open_3 > open_2 and open_2 > open_1 and open_1 > open and close > open
absorption_down = show_absorption and bar_size_f and open_1 < close_1 and open_1 != open and open_3 < open_2 and open_2 < open_1 and open_1 < open and close < open
plotshape(absorption_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Absorption")
plotshape(absorption_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Absorption")
// Strategy entries for Absorption
if (absorption_up)
strategy.entry("Buy Absorption", strategy.long)
if (absorption_down)
strategy.entry("Sell Absorption", strategy.short)
///////////////// Tweezer ///////////////
match_lows = (low_1 == low or (low_2 == low and open_2 == open_1))
sprici_up = show_tweezers and prev_p_1 > open and match_lows and open_3 > open_2 and open_2 > open_1 and open_1 > open and low != open and close_1 != low_1
plotshape(sprici_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Tweezer")
match_highs = (high_1 == high or (high_2 == high and open_2 == open_1))
sprici_down = show_tweezers and prev_p_1 <= open and match_highs and open_3 < open_2 and open_2 < open_1 and open_1 < open and high != open and close_1 != high_1
plotshape(sprici_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Tweezer")
// Strategy entries for Tweezer
if (sprici_up)
strategy.entry("Buy Tweezer", strategy.long)
if (sprici_down)
strategy.entry("Sell Tweezer", strategy.short)
///////////////// Triple inside up/down ///////////////
open_close_min = math.min(close, open)
open_close_max = math.max(close, open)
bar = open_close_max - open_close_min
open_close_min_1 = math.min(close[1], open[1])
open_close_max_1 = math.max(close[1], open[1])
open_close_min_2 = math.min(close[2], open[2])
open_close_max_2 = math.max(close[2], open[2])
body_top_1 = math.max(close[1], open[1])
body_low_1 = math.min(close[1], open[1])
triple_inside_up = show_triple_inside and open_close_min_2 == open_close_min_1 and bar_1 > bar_2 * 0.4 and bar_1 < bar_2 * 0.6 and close > open_2 and bar > bar_1 and bar + bar_1 < bar_2 * 2
plotshape(triple_inside_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Three inside")
triple_inside_down = show_triple_inside and open_close_max_2 == open_close_max_1 and bar_1 > bar_2 * 0.4 and bar_1 < bar_2 * 0.6 and close < open_2 and bar > bar_1 and bar + bar_1 < bar_2 * 2
plotshape(triple_inside_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Three inside")
// Strategy entries for Triple inside
if (triple_inside_up)
strategy.entry("Buy Triple Inside", strategy.long)
if (triple_inside_down)
strategy.entry("Sell Triple Inside", strategy.short)
///////////////// Triple soldiers / crows ///////////////
triple_solders = show_three_soldiers and prev_p_1 > open_2 and bar > bar_1 * 0.8 and bar < bar_1 * 1.2 and bar > bar_2 * 0.8 and bar < bar_2 * 1.2 and close > close_1 and close_1 > close_2 and open_2 < close_2 and open_1 < close_1
plotshape(triple_solders, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Three soldiers")
triple_crows = show_three_crows and prev_p_1 < open_2 and bar > bar_1 * 0.8 and bar < bar_1 * 1.2 and bar > bar_2 * 0.8 and bar < bar_2 * 1.2 and close < close_1 and close_1 < close_2 and open_2 > close_2 and open_1 > close_1
plotshape(triple_crows, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Three crows")
// Strategy entries for Three soldiers and Three crows
if (triple_solders)
strategy.entry("Buy Three Soldiers", strategy.long)
if (triple_crows)
strategy.entry("Sell Three Crows", strategy.short)
///////////////// Golden death cross ///////////////
ma_50 = ta.sma(close, 50)
ma_200 = ta.sma(close, 200)
ma_50_200_cross = ta.crossover(ma_50, ma_200) or ta.crossunder(ma_50, ma_200)
golden_cross_up = show_golden_death_cross and ma_50_200_cross and ma_50 > ma_200
plotshape(golden_cross_up, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Golden cross")
death_cross_down = show_golden_death_cross and ma_50_200_cross and ma_50 < ma_200
plotshape(death_cross_down, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Death cross")
// Strategy entries for Golden cross and Death cross
if (golden_cross_up)
strategy.entry("Buy Golden Cross", strategy.long)
if (death_cross_down)
strategy.entry("Sell Death Cross", strategy.short)
///////////////// Morning evening stars ///////////////
morning_star = show_morning_evening_stars and bar > bar_1 and bar_2 > bar_1 and bar > (bar_2 * 0.5) and open_close_min_2 > open_close_min_1 and open_close_min > open_close_min_1 and prev_p_1 > close_2 and prev_p_1 > close_1 and close > close_1 and close_3 > close_2 and close_2 > close_1 and close > body_top_1 and close_2 != close_1 and open != close and open_2 != close_2
plotshape(morning_star, style=shape.labelup, color=color.green, location=location.belowbar, size=size.large, text="Morning star")
evening_star = show_morning_evening_stars and bar > bar_1 and bar_2 > bar_1 and bar > (bar_2 * 0.5) and open_close_max_2 < open_close_max_1 and open_close_max < open_close_max_1 and prev_p_1 < close_2 and prev_p_1 < close_1 and close < close_1 and close_3 < close_2 and close_2 < close_1 and close < body_low_1 and close_2 != close_1 and open != close and open_2 != close_2
plotshape(evening_star, style=shape.labeldown, color=color.red, location=location.abovebar, size=size.large, text="Evening star")
// Strategy entries for Morning star and Evening star
if (morning_star)
strategy.entry("Buy Morning Star", strategy.long)
if (evening_star)
strategy.entry("Sell Evening Star", strategy.short)
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