Estrategia de tendencia de ajuste de dirección de media móvil
Fecha de creación:
2023-09-14 17:47:01
Última modificación:
2023-09-14 17:47:01
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Principio de estrategia
Esta estrategia determina la dirección de la tendencia de la línea larga de la situación, mediante la determinación de los ajustes de dirección de varias líneas comunes, y realiza las operaciones de compra o venta correspondientes.
Las principales lógicas de transacción:
Calcular promedios móviles de varios grupos de diferentes períodos, como 5 días, 20 días, 50 días, etc.
Comparación de las tendencias de las líneas medias para determinar si existe una dirección de ajuste uniforme
Cuando la línea media se ajusta todo hacia arriba, se considera que la línea larga es positiva, cuando la línea media se ajusta todo hacia abajo, se considera que la línea larga es negativa
En el momento de la señal de avance, el precio rompe la línea de pérdida de la línea de baja y se establece una posición de más
En la señal de bajada, el precio rompe la línea de pérdida de salida y se establece una posición en corto plazo
Establezca un límite de pérdidas para controlar el riesgo
La estrategia enfatiza la determinación de tendencias a largo plazo, y el comercio solo se realiza después de la confirmación de la tendencia para controlar el riesgo no sistémico.
Ventajas estratégicas
La combinación de líneas medias múltiples para determinar la tendencia a largo plazo
El mercado de divisas de la India se ha visto afectado por la caída de los precios de las divisas.
Retirada de la estrategia de control de pérdidas
Riesgo estratégico
El indicador de la línea media en sí está por detrás del precio.
El error en el análisis de tendencias puede conducir a pérdidas continuas
Hacer más o menos no aprovecha las oportunidades
Resumir
La estrategia hace hincapié en el juicio de largo plazo a través de la tendencia de la línea media para reducir el riesgo no sistémico. Pero la precisión de juicio y la optimización de la estrategia de deterioro son la clave.
Código Fuente de la Estrategia
/*backtest
start: 2022-09-07 00:00:00
end: 2023-06-24 00:00:00
period: 1d
basePeriod: 1h
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/
// © HeWhoMustNotBeNamed
//@version=4
strategy("TrendMaAlignmentStrategy", overlay=true, initial_capital = 2000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.cash_per_order, pyramiding = 1, commission_value = 2)
MAType = input(title="Moving Average Type", defval="sma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LookbackPeriod = input(5, step=10)
shortHighLowPeriod = input(10, step=10)
longHighLowPeriod = input(20, step=10)
atrlength=input(22)
stopMultiplyer = input(6, minval=1, maxval=10, step=0.5)
reentryStopMultiplyer = input(3, minval=1, maxval=10, step=0.5)
exitOnSignal = input(false)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestYears = input(10, minval=1, step=1)
inDateRange = true
allowReduceCompound=true
includePartiallyAligned = true
considerYearlyHighLow = true
considerNewLongTermHighLows = true
//////////////////////////////////// Get Moving average ///////////////////////////////////
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_getMaAlignment(MAType, includePartiallyAligned)=>
ma5 = f_getMovingAverage(close,MAType,5)
ma10 = f_getMovingAverage(close,MAType,10)
ma20 = f_getMovingAverage(close,MAType,20)
ma30 = f_getMovingAverage(close,MAType,30)
ma50 = f_getMovingAverage(close,MAType,50)
ma100 = f_getMovingAverage(close,MAType,100)
ma200 = f_getMovingAverage(close,MAType,200)
upwardScore = 0
upwardScore := close > ma5? upwardScore+1:upwardScore
upwardScore := ma5 > ma10? upwardScore+1:upwardScore
upwardScore := ma10 > ma20? upwardScore+1:upwardScore
upwardScore := ma20 > ma30? upwardScore+1:upwardScore
upwardScore := ma30 > ma50? upwardScore+1:upwardScore
upwardScore := ma50 > ma100? upwardScore+1:upwardScore
upwardScore := ma100 > ma200? upwardScore+1:upwardScore
upwards = close > ma5 and ma5 > ma10 and ma10 > ma20 and ma20 > ma30 and ma30 > ma50 and ma50 > ma100 and ma100 > ma200
downwards = close < ma5 and ma5 < ma10 and ma10 < ma20 and ma20 < ma30 and ma30 < ma50 and ma50 < ma100 and ma100 < ma200
upwards?1:downwards?-1:includePartiallyAligned ? (upwardScore > 5? 0.5: upwardScore < 2?-0.5:upwardScore>3?0.25:-0.25) : 0
f_getMaAlignmentHighLow(MAType, includePartiallyAligned, LookbackPeriod)=>
maAlignment = f_getMaAlignment(MAType,includePartiallyAligned)
[highest(maAlignment, LookbackPeriod), lowest(maAlignment, LookbackPeriod)]
//////////////////////////////////// Calculate new high low condition //////////////////////////////////////////////////
f_calculateNewHighLows(shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows)=>
newHigh = highest(shortHighLowPeriod) == highest(longHighLowPeriod) or not considerNewLongTermHighLows
newLow = lowest(shortHighLowPeriod) == lowest(longHighLowPeriod) or not considerNewLongTermHighLows
[newHigh,newLow]
//////////////////////////////////// Calculate stop and compound //////////////////////////////////////////////////
f_calculateStopAndCompound(target, atr, stopMultiplyer, allowReduceCompound, barState)=>
buyStop = target - (stopMultiplyer * atr)
sellStop = target + (stopMultiplyer * atr)
buyStop := (barState > 0 or strategy.position_size > 0 ) and (buyStop < buyStop[1] or close < sellStop[1])? buyStop[1] : strategy.position_size < 0 and close > buyStop[1]? buyStop[1] : barState < 0 and allowReduceCompound and buyStop > buyStop[1] ? buyStop[1] : buyStop
sellStop := (barState < 0 or strategy.position_size < 0) and (sellStop > sellStop[1] or close > buyStop[1])? sellStop[1] : strategy.position_size > 0 and close < sellStop[1]? sellStop[1]: barState > 0 and allowReduceCompound and sellStop < sellStop[1] ? sellStop[1] : sellStop
[buyStop, sellStop]
//////////////////////////////////// Calculate Yearly High Low //////////////////////////////////////////////////
f_getYearlyHighLowCondition(considerYearlyHighLow)=>
yhigh = security(syminfo.tickerid, '12M', high[1])
ylow = security(syminfo.tickerid, '12M', low[1])
yhighlast = yhigh[365]
ylowlast = ylow[365]
yhighllast = yhigh[2 * 365]
ylowllast = ylow[2 * 365]
yearlyTrendUp = na(yhigh)? true : na(yhighlast)? close > yhigh : na(yhighllast)? close > max(yhigh,yhighlast) : close > max(yhigh, min(yhighlast, yhighllast))
yearlyHighCondition = ( (na(yhigh) or na(yhighlast) ? true : (yhigh > yhighlast) ) and ( na(yhigh) or na(yhighllast) ? true : (yhigh > yhighllast))) or yearlyTrendUp or not considerYearlyHighLow
yearlyTrendDown = na(ylow)? true : na(ylowlast)? close < ylow : na(ylowllast)? close < min(ylow,ylowlast) : close < min(ylow, max(ylowlast, ylowllast))
yearlyLowCondition = ( (na(ylow) or na(ylowlast) ? true : (ylow < ylowlast) ) and ( na(ylow) or na(ylowllast) ? true : (ylow < ylowllast))) or yearlyTrendDown or not considerYearlyHighLow
[yearlyHighCondition,yearlyLowCondition]
atr = atr(atrlength)
[maAlignmentHigh, maAlignmentLow] = f_getMaAlignmentHighLow(MAType, includePartiallyAligned, LookbackPeriod)
[newHigh,newLow] = f_calculateNewHighLows(shortHighLowPeriod, longHighLowPeriod, considerNewLongTermHighLows)
[middle, upper, lower] = bb(close, 20, 2)
barState = (maAlignmentLow > 0 or maAlignmentHigh == 1) and newHigh ? 1 : (maAlignmentHigh < 0 or maAlignmentLow == -1) and newLow ? -1 : 0
[buyStop, sellStop] = f_calculateStopAndCompound(close, atr, stopMultiplyer, allowReduceCompound, barState)
[yearlyHighCondition,yearlyLowCondition] = f_getYearlyHighLowCondition(considerYearlyHighLow)
barcolor(barState == 1?color.lime : barState == -1? color.orange: color.silver)
//plot(maAlignmentHigh, title="AlighmentHigh", color=color.green, linewidth=2, style=plot.style_line)
//plot(maAlignmentLow, title="AlignmentLow", color=color.red, linewidth=2, style=plot.style_line)
plot(barState == 1 or strategy.position_size != 0 ?buyStop:na, title="BuyStop", color=color.green, linewidth=2, style=plot.style_linebr)
plot(barState == -1 or strategy.position_size != 0 ?sellStop:na, title="SellStop", color=color.red, linewidth=2, style=plot.style_linebr)
buyEntry = barState == 1 and close - reentryStopMultiplyer*atr > buyStop and yearlyHighCondition and inDateRange
sellEntry = barState == -1 and close + reentryStopMultiplyer*atr < sellStop and yearlyLowCondition and inDateRange
buyExit = barState == -1
sellExit = barState == 1
strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyEntry)
strategy.close("Buy", when=buyExit and exitOnSignal)
strategy.exit("ExitBuy", "Buy", stop = buyStop)
strategy.entry("Sell", strategy.short, when=sellEntry)
strategy.close("Sell", when=sellExit and exitOnSignal)
strategy.exit("ExitSell", "Sell", stop = sellStop)