Stratégie quantitative de suivi de la tendance de la force de la MA

Auteur:ChaoZhang est là., Date: 2024-01-19 16h50: 13
Les étiquettes:

Résumé

La logique de la stratégie

Calculer les MA de 5 jours, 10 jours, 20 jours, etc. Jugez si les prix dépassent chaque MA, les points de score de rupture qui s'accumulent dans un indicateur MA Force.

Analyse des avantages

Analyse des risques

Les risques de retracement existent lorsque l'AM à court terme dépasse l'AM à long terme, ce qui peut entraîner de grosses pertes.
Les risques d'inversion sont inévitables dans les tendances à long terme, ce qui nécessite une sortie de stop loss en temps opportun.
Les paramètres doivent être optimisés et stabilisés pour différents produits.

Directions d'optimisation

Conclusion

/*backtest
start: 2023-12-19 00:00:00
end: 2024-01-18 00:00:00
period: 1h
basePeriod: 15m
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("MA Strength Strategy", overlay=false, initial_capital = 20000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01)
MAType = input(title="Moving Average Type", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
LookbackPeriod = input(10, step=10)

IndexMAType = input(title="Moving Average Type", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
IndexMAPeriod = input(200, step=10)

considerTrendDirection = input(true)
considerTrendDirectionForExit = input(true)
offset = input(1, step=1)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "End Time", type = input.time)
inDateRange = true

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 = 0.0
    upwardScore := close > ma5? upwardScore+1.10:upwardScore
    upwardScore := ma5 > ma10? upwardScore+1.10:upwardScore
    upwardScore := ma10 > ma20? upwardScore+1.10:upwardScore
    upwardScore := ma20 > ma30? upwardScore+1.10:upwardScore
    upwardScore := ma30 > ma50? upwardScore+1.15:upwardScore
    upwardScore := ma50 > ma100? upwardScore+1.20:upwardScore
    upwardScore := ma100 > ma200? upwardScore+1.25: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
    trendStrength = upwards?1:downwards?-1:includePartiallyAligned ? (upwardScore > 6? 0.5: upwardScore < 2?-0.5:upwardScore>4?0.25:-0.25) : 0
    [trendStrength, upwardScore]
    
includePartiallyAligned = true
[trendStrength, upwardScore] = f_getMaAlignment(MAType, includePartiallyAligned)

upwardSum = sum(upwardScore, LookbackPeriod)

indexSma = f_getMovingAverage(upwardSum,IndexMAType,IndexMAPeriod)

plot(upwardSum, title="Moving Average Strength", color=color.green, linewidth=2, style=plot.style_linebr)
plot(indexSma, title="Strength MA", color=color.red, linewidth=1, style=plot.style_linebr)
buyCondition = crossover(upwardSum,indexSma) and (upwardSum > upwardSum[offset] or not considerTrendDirection) 
sellCondition = crossunder(upwardSum,indexSma) and (upwardSum < upwardSum[offset]  or not considerTrendDirection)

exitBuyCondition = crossunder(upwardSum,indexSma)
exitSellCondition = crossover(upwardSum,indexSma) 
strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when= inDateRange and buyCondition, oca_name="oca_buy")
strategy.close("Buy", when = considerTrendDirectionForExit? sellCondition : exitBuyCondition)
strategy.entry("Sell", strategy.short, when= inDateRange and sellCondition, oca_name="oca_sell")
strategy.close( "Sell", when = considerTrendDirectionForExit? buyCondition : exitSellCondition)

Plus de

2019 FMZ - Tous les droits réservés