Mehrfache gleitende Durchschnittskreuzungen kombiniert mit der Momentum-Strategie für den Volumenpreishandel

EMA VWAP SMA SLO RSI HLC3 MOL

Erstellungsdatum: 2025-01-06 16:07:59 zuletzt geändert: 2025-01-06 16:07:59

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Mehrfache gleitende Durchschnittskreuzungen kombiniert mit der Momentum-Strategie für den Volumenpreishandel

Dies ist eine umfassende Momentum-Trading-Strategie, die auf mehreren gleitenden Durchschnitts-Crossover-Indikatoren und Volumen-Preis-Indikatoren basiert. Die Strategie generiert Handelssignale basierend auf der Kombination aus schnellem und langsamem exponentiellem gleitendem Durchschnitt (EMA)-Crossover, volumengewichtetem Durchschnittspreis (VWAP) und SuperTrend, wobei auch Intraday-Handelszeitfenster kombiniert werden und Bedingungen wie Preisänderungsbereiche verwendet werden, um den Einstieg zu steuern und beenden.

Strategieprinzip

Die Strategie verwendet den 5-Tage- und 13-Tage-EMA als Hauptindikatoren zur Trendbeurteilung. Wenn der schnelle EMA den langsamen EMA überschreitet und der Schlusskurs über dem VWAP liegt, wird ein Long-Signal ausgelöst; wenn der schnelle EMA den langsamen EMA unterschreitet und der Schlusskurs unter dem VWAP liegt, wird ein Long-Signal ausgelöst. Wenn er fällt, wird ein Short-Signal ausgelöst. Gleichzeitig führt die Strategie auch den SuperTrend-Indikator als Grundlage für Trendbestätigung und Stop-Loss ein. Die Strategie legt für verschiedene Handelstage unterschiedliche Einstiegsbedingungen fest, darunter die Preisänderungsspanne im Vergleich zum Schlusskurs des vorherigen Handelstages, die Schwankungsbreite der höchsten und niedrigsten Kurse des Tages usw.

Strategische Vorteile

Der koordinierte Einsatz mehrerer technischer Indikatoren verbessert die Zuverlässigkeit von Handelssignalen
Legen Sie differenzierte Einstiegsbedingungen für verschiedene Handelstage fest, um sich besser an die Markteigenschaften anzupassen
Durch die Einführung dynamischer Stop-Profit- und Stop-Loss-Mechanismen lassen sich Risiken wirksam kontrollieren
In Kombination mit den Einschränkungen der Intraday-Handelszeitfenster werden die Risiken von Perioden hoher Volatilität vermieden.
Durch die Begrenzung der vorherigen Höchst- und Tiefstpunkte und der Preisschwankungsbreite wird das Risiko verringert, dass man zu hohen Kursen nachjagt und zu niedrigen Kursen verkauft.

Strategisches Risiko

Bei schnelllebigen Marktbedingungen können falsche Signale auftreten
In den frühen Phasen einer Trendumkehr kann es zu einer Verzögerung kommen
Bei der Parameteroptimierung besteht das Risiko einer Überanpassung
Transaktionskosten können die Rendite der Strategie beeinträchtigen
In Zeiten hoher Volatilität kann es zu großen Marktrückgängen kommen.

Richtung der Strategieoptimierung

Erwägen Sie die Einführung von Volumenanalyseindikatoren, um die Trendstärke weiter zu bestätigen
Optimieren Sie die Parametereinstellungen für verschiedene Handelstage, um die Strategieanpassung zu verbessern
Fügen Sie weitere Marktstimmungsindikatoren hinzu, um die Vorhersagegenauigkeit zu verbessern
Verbessern Sie den Stop-Profit- und Stop-Loss-Mechanismus, um die Effizienz der Kapitalnutzung zu verbessern
Erwägen Sie das Hinzufügen von Volatilitätsindikatoren, um das Positionsmanagement zu optimieren

Zusammenfassen

Diese Strategie kombiniert Trendverfolgung und Momentum-Trading durch die umfassende Nutzung mehrerer technischer Indikatoren. Bei der Entwicklung der Strategie wird die Vielfalt des Marktes umfassend berücksichtigt und für verschiedene Handelstage werden differenzierte Handelsregeln angewendet. Durch strikte Risikokontrolle und flexible Stop-Profit- und Stop-Loss-Mechanismen weist die Strategie einen guten praktischen Anwendungswert auf. In Zukunft können die Stabilität und Profitabilität der Strategie durch die Einführung weiterer technischer Indikatoren und die Optimierung der Parametereinstellungen verbessert werden.

Strategiequellcode

/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-04 08:00:00
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/
//@version=6
strategy("S1", overlay=true)
fastEMA = ta.ema(close, 5)
slowEMA = ta.ema(close,13)
ema9 = ta.ema(close, 9)
ema100 = ta.ema(close, 100)
ema5 = ta.ema(close, 5)
ema200 = ta.ema(close, 200)

ma = ta.sma(close, 50)

mult = input.float(defval=3)
len = input.int(defval=11)
[superTrend, dir] = ta.supertrend(mult, len)
vwap1= ta.vwap(hlc3)

plot(slowEMA,color = color.green)
plot(fastEMA,color = color.black)
plot(vwap1, color = color.blue)

var dailyTaskDone = false
var gapdown = false
var gapup = false
var runup = 0.0
var biggapdown = false
var biggapup = false
var prevDayClose = 0.0
var todayLow = 0.0
var todayHigh = 0.0
var noBuyNow = false
var noSellNow = false
var buyPrice = 0.0
var sellPrice = 0.0
var todayBuyDone = false
var todaySellDone = false
var dragonflyDoji = false
var candleCount = 0
var candleCount1 = 0
var lastTrade = 9
var lastFiveCandles = false
var lastSevenCandlesS = false
var fiveEMACC = 0
candleCount := candleCount + 1
candleCount1 := candleCount1 + 1

if fiveEMACC > 0
    fiveEMACC := fiveEMACC + 1

if fiveEMACC == 6
    fiveEMACC := 0

if strategy.openprofit == 0
    candleCount := 0

if hour == 9 and minute ==15
    prevDayClose := close[1]
    todayLow := low
    todayHigh := high
    lastTrade := 9
    
if hour == 9 and minute ==15 and (open - close[1]) >  close*0.01
    gapup := true
    
if hour == 9 and minute ==15 and (open - close[1]) <  close*0.005*-1
    gapdown := true

if hour == 9 and minute ==15 and (close - close[1]) > 200
    biggapup := true
    
if hour == 9 and minute ==15 and (close - close[1]) < 200
    biggapdown := true

if low < todayLow
    todayLow := low
    candleCount1 := 0
if high > todayHigh
    todayHigh := high

if close > todayLow + 200
    noBuyNow := true
    
if close < todayHigh - 200//0.01*close
    noSellNow := false

lastFiveCandles := (close[4]<open[4] or close[3]<open[3] or close[2] < open[2] or close[1]<open[1])
lastSevenCandlesS := (close[6]>open[6] or close[5]>open[5] or close[4]>open[4] or close[3]>open[3] or close[2] > open[2] or close[1]>open[1])
if hour == 15
    dailyTaskDone := false
    gapdown := false
    gapup := false
    biggapup := false
    biggapdown := false
    noBuyNow := false
    noSellNow := false
    todayLow := 0.0
    todayHigh := 0.0
    buyPrice  := 0.0
    sellPrice := 0.0
    todayBuyDone := false
    todaySellDone := false
    dragonflyDoji := false
    lastTrade := 9

// if fastEMA < slowEMA and lastTrade == 1 and strategy.openprofit==0
//     lastTrade := 9


if fastEMA > slowEMA and lastTrade == 0 and strategy.openprofit==0
    lastTrade := 9
    
buy =  (dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or 
       (dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or 
       (dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles  and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
       (dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
       (dayofweek==dayofweek.friday and ((fastEMA - slowEMA > close*0.001))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
       
sell=  (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1  and lastSevenCandlesS and close[1] < vwap1[1]) or 
       (dayofweek==dayofweek.monday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or 
       (dayofweek==dayofweek.tuesday and  (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10)  and not dragonflyDoji  and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1]  and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
       (dayofweek==dayofweek.wednesday  and  (hour!=9 or minute>=40) and close<open and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or 
       (dayofweek==dayofweek.friday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) ) 

// buy =  (dayofweek==dayofweek.thursday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1]) or 
//        (dayofweek==dayofweek.monday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or 
//        (dayofweek==dayofweek.tuesday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles  and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
//        (dayofweek==dayofweek.wednesday and (fastEMA > slowEMA) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
//        (dayofweek==dayofweek.friday and ((fastEMA > slowEMA))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
       
// sell=  (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA > fastEMA)) and close < vwap1  and lastSevenCandlesS and close[1] < vwap1[1]) or 
//        (dayofweek==dayofweek.monday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or 
//        (dayofweek==dayofweek.tuesday and  (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10)  and not dragonflyDoji  and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1]  and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
//        (dayofweek==dayofweek.wednesday  and  (hour!=9 or minute>=40) and close<open and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or 
//        (dayofweek==dayofweek.friday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) ) 

dragonflyDoji:= false

// (slowEMA - fastEMA > close*0.00089 or (slowEMA-fastEMA>close*0.00049 and (high[2]>vwap or high[1]>vwap)))
if sellPrice != 0 and runup < sellPrice - low
    runup := sellPrice - low


if buyPrice != 0 and runup < high - buyPrice
    //ourlabel = label.new(x=bar_index, y=na, text=tostring(runup), yloc=yloc.belowbar)
    runup := high - buyPrice
    
        
NoBuySellTime = (hour == 15) or ((hour==14 and minute>=25)) or (hour==9 and minute<=35) or hour >= 14
//(fiveEMACC > 0 and low < fastEMA and close < vwap1)
buyexit     =  fastEMA<slowEMA or (close<superTrend and close < vwap1 and close[1] < vwap1[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
sellexit =  slowEMA<fastEMA or (close > vwap1 and close[1] > vwap1[1] and close>superTrend) //or strategy.openprofit > 400 or strategy.openprofit < -5000

exitPosition =  (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > 50) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > 80) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek==dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday  and buyPrice!=0.0 and (high - buyPrice) > 30) or  (dayofweek!=dayofweek.thursday  and dayofweek!=dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30)
//code such that 2 fastema is > than 2 slowema
//exitPosition =  (sellPrice!=0 and runup >21 and strategy.openprofit < -2000) or (candleCount > 18 and strategy.openprofit > 50 and strategy.openprofit < 1000) or (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.007) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.007) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday  and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.002) or  (dayofweek!=dayofweek.thursday  and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.002)
//(runup >21 and strategy.openprofit < -2000) or
if  buy and fastEMA>vwap1 and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
    strategy.entry("buy", strategy.long)
    //dailyTaskDone := true
    if buyPrice == 0.0 
        fiveEMACC := 1

    buyPrice := close
    //ourlabel = label.new(x=bar_index, y=na, text=tostring(todayLow + 500), yloc=yloc.belowbar9
    todayBuyDone := true
    lastTrade := 1
    runup := 0.0

if  sell and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone // and dayofweek!=dayofweek.friday //and (dayofweek==dayofweek.friday or (prevDayClose-close)<150)//and not biggapdown
    strategy.entry("sell", strategy.short)
    //dailyTaskDone := true
    if sellPrice == 0.0 
        fiveEMACC := 1
    sellPrice := close
    todaySellDone := true
    lastTrade := 0
    runup := 0.0

// if ((fastEMA-slowEMA>18 and close>vwap and close[1]>vwap[1] and (not todayBuyDone or candleCount>12)) or (slowEMA-fastEMA>10 and close < vwap and close[1]<vwap[1] and (not todaySellDone or candleCount > 12))) and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(abs(prevDayClose-close)), yloc=yloc.belowbar)
    
IntraDay_SquareOff = minute >=15 and hour >= 15
if true and (IntraDay_SquareOff or exitPosition)
    strategy.close("buy")
    strategy.close("sell")
    buyPrice := 0
    sellPrice := 0
    runup := 0.0
if  buyexit
    strategy.close("buy")
    buyPrice := 0
if sellexit
    strategy.close("sell")
    sellPrice := 0

buy1 =  ((dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or 
       (dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1]) or 
       (dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and not gapup) or
       (dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.0085) or
       (dayofweek==dayofweek.friday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close - todayLow < close*0.012))
       and dayofweek!=dayofweek.friday and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup


       
sell1=  ((dayofweek==dayofweek.thursday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1]) or 
       (dayofweek==dayofweek.monday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.01 and todayHigh-close[1] < close * 0.01) or 
       (dayofweek==dayofweek.tuesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not gapdown and not dragonflyDoji and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
       (dayofweek==dayofweek.wednesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close) or 
       (dayofweek==dayofweek.friday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close)) and 
       dayofweek!=dayofweek.friday and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone
        
// if buy1 and strategy.openprofit==0
//     ourlabel = label.new(x=bar_index, y=na, text=tostring(fastEMA - slowEMA), yloc=yloc.belowbar)
// if sell1 and strategy.openprofit==0
//     ourlabel = label.new(x=bar_index, y=na, text=tostring(slowEMA - fastEMA), yloc=yloc.belowbar)

// buy =  ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or  ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 20) 
// sell=  ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 10) or ((fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]) and (slowEMA - fastEMA) > 20)

// buy =  (fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) 
// sell=  (fastEMA < slowEMA and fastEMA[1] > slowEMA[1] )


// buy =  ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or  ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 1) 
// sell=  ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 5)


// buy =  fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]
// sell=  fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]

//Daily chart
// buyexit = (close + 40 < slowEMA)//rsi > 65 and fastEMA > ema9 // fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200)  //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close - 40  > slowEMA)//rsi < 35 // and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2


// buyexit = (close < superTrend)// and (close < vwap1 and close[1] < vwap1[1] and close < close[1])//and close[2] < vwap1[2]//rsi > 65 and close < fastEMA// fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200)  //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close > superTrend)// and (close > vwap1 and close[1] > vwap1[1] and close > close[1]) //and close[2] > vwap1[2]//rsi < 35// and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2

// buyexit = (close < superTrend and close < vwap1 and close[1] < vwap1[1] and close[1] < superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
// sellexit =  (close > superTrend and close > vwap1 and close[1] > vwap1[1] and close[1] > superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000

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