Strategi Perdagangan Breakout EMA Ganda
ChaoZhang
Ringkasan
Strategi perdagangan dua EMA adalah strategi pelacakan tren yang menggunakan dua garis rata-rata EMA untuk menilai sinyal jual beli. Strategi ini juga menggabungkan indikator EMA tambahan untuk memfilter sinyal perdagangan, yang memungkinkan waktu masuk yang lebih baik dalam situasi tren.
Prinsip
Strategi ini menggunakan EMA garis cepat ((9 siklus) dan EMA garis lambat ((21 siklus) untuk menentukan kapan membeli dan menjual. Sebuah sinyal beli dihasilkan ketika garis cepat melintasi garis lambat, dan sinyal jual dihasilkan ketika garis cepat melintasi garis lambat. Untuk menyaring sinyal palsu, strategi ini juga memperkenalkan EMA tambahan ((5 siklus) dan dua EMA lainnya ((1 dan 4 siklus).
Setelah sinyal perdagangan dipicu, strategi akan mengatur stop loss dan stop loss berdasarkan nilai ATR. TP1 adalah 6 kali lipat dari ATR, untuk mendapatkan sebagian keuntungan dari kecepatan yang lebih cepat. Jika harga tidak memicu TP1, ketika EMA garis cepat kembali melintasi EMA tambahan, posisi akan langsung dipadamkan, mencapai stop TP2.
Keunggulan
- Menggunakan kombinasi dua EMA untuk memfilter sinyal palsu, meningkatkan kualitas sinyal perdagangan
- Indikator EMA tambahan dapat memverifikasi lebih lanjut arah tren, mengurangi risiko reversal
- Desain dual-stop, menghasilkan keuntungan cepat dan berkelanjutan dari tren
- ATR Stop Loss Stop Stop yang dapat disesuaikan dengan volatilitas pasar untuk mengurangi risiko
Risiko dan optimasi
- Indeks EMA rentan terhadap kurva fit, sinyal perdagangan mungkin terlambat
- Kombinasi EMA periode pendek mungkin menghasilkan lebih banyak sinyal perdagangan bising
- Operasi garis pendek rentan terhadap kejadian tak terduga, risiko kerusakan lebih besar
Cara Mengoptimalkan:
- Uji beberapa kombinasi parameter EMA untuk mencari parameter yang lebih baik
- Menambahkan validasi indikator lain, seperti volume transaksi, volatilitas, dan lain-lain
- Memperluas jangkauan stop loss dengan tepat untuk mengurangi kemungkinan stop loss akan dipicu
- Mengoptimalkan rasio pengaturan double-stop, menyeimbangkan kecepatan keuntungan dan efisiensi penggunaan dana
Meringkaskan
Strategi perdagangan dua EMA menggunakan silang dua EMA untuk menilai tren, ditambah dengan beberapa EMA filter dan ATR stop loss dinamis, dapat secara efektif melacak tren keuntungan. Namun, EMA kurva fit, stop loss risiko dan lain-lain perlu diperhatikan. Melalui parameter optimasi, manajemen risiko dan langkah-langkah lainnya, dapat memperoleh kinerja perdagangan yang lebih stabil.
Overview
The dual EMA crossover trading strategy utilizes two EMA lines of different periods to generate buy and sell signals by identifying trend direction. It also incorporates additional EMA indicators for signal filtering, allowing better entry timing in trending markets.
Principles
The strategy uses a fast EMA line (9 periods) and a slow EMA line (21 periods) to determine entries. A golden cross where the fast EMA crosses above the slow EMA generates a buy signal, while a death cross with the fast EMA crossing below the slow EMA produces a sell signal. To filter out false signals, the strategy also employs an auxiliary EMA (5 periods) and two more EMAs (1 period, 4 periods). A real trading signal is only triggered when the fast and slow EMAs cross while the auxiliary EMA is between the two, and the 1-period EMA is above the 4-period EMA.
Once a trading signal is triggered, the strategy utilizes ATR values to set stop loss and take profit levels. TP1 is set at 6 x ATR for faster profit taking. If price doesn’t hit TP1, the strategy will close the position directly when the fast EMA crosses back over the auxiliary EMA, realizing TP2.
Advantages
- Dual EMA design filters false signals and improves signal quality
- Auxiliary EMA adds trend direction verification, reducing reverse trade risks
- Dual take profit allows fast profit and sustained trend following
- Dynamic ATR stop loss/take profit adjusts to market volatility
Risks and Improvements
- EMAs can lag prices and generate late signals
- Shorter EMA combos may produce more noise
- Tighter stops face larger sudden event risks
Improvement directions:
- Test multiple EMA combos for better parameters
- Add other confirmation indicators like volume, volatility etc.
- Widen stop loss to lower stop out odds
- Optimize take profit ratios for profit vs capital efficiency
Conclusion
The dual EMA crossover strategy leverages EMA crosses for trend direction, along with multiple EMA filtering and dynamic ATR stop loss/profit taking. This allows effective trend following and profit harvesting. However, EMA fitting limitations and stop loss risks require caution. Proper optimization, risk management etc. can lead to more robust performance. The strategy suits experienced traders to achieve high capital efficiency in trending markets.
[/trans]
/*backtest
start: 2022-10-09 00:00:00
end: 2023-04-13 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/
// @author ADHDCRYPT0
//@version=4
strategy(title = "EMA double crossover", shorttitle = "(TEST) double cross over", overlay = true, default_qty_value = 100, initial_capital = 1000,default_qty_type=strategy.percent_of_equity, pyramiding=0, process_orders_on_close=true)
// Variables
ema_len1 = input(9 , title="Fast EMA")
ema_len2 = input(21, title="Slow EMA")
ema_len3 = input(5, title="Exit EMA")
ema_len4 = input(1, title="FastConf EMA")
ema_len5 = input(4, title="SlowConf EMA")
fastEMA = ema(open, ema_len1)
slowEMA = ema(open, ema_len2)
exitEMA = ema(open, ema_len3)
conf1EMA = ema(open, ema_len4)
conf2EMA = ema(open, ema_len5)
plot(fastEMA, title='fastEMA', transp=0, color=color.green)
plot(slowEMA, title='slowEMA', transp=0, color=color.red )
plot(exitEMA, title='exitEMA', transp=0, color=color.orange)
plot(conf1EMA, title='conf1EMA', transp=0, color=color.blue)
plot(conf2EMA, title='conf2EMA', transp=0, color=color.black)
vol = volume
volma = sma(volume,7)
vol_cond = vol>volma
atr = atr(5)
// Entry Conditions and vol_cond
long = crossover(fastEMA, slowEMA) and (conf1EMA > conf2EMA) and (fastEMA < exitEMA)
short= crossunder(fastEMA, slowEMA) and (conf1EMA < conf2EMA) and (fastEMA > exitEMA)
tradeType = input("BOTH", title="What trades should be taken : ", options=["LONG", "SHORT", "BOTH", "NONE"])
pos = 0.0
if tradeType=="BOTH"
pos:= long? 1 : short? -1 : pos[1]
if tradeType=="LONG"
pos:= long? 1 : pos[1]
if tradeType=="SHORT"
pos:=short? -1 : pos[1]
longCond = long and (pos[1]!= 1 or na(pos[1]))
shortCond = short and (pos[1]!=-1 or na(pos[1]))
// EXIT FUNCTIONS //
sl = input(1, title="Stop Loss (ATR)", minval=0)
tp = input(6, title="Take Profit 1 (ATR)", minval=0)
// Simple Stop Loss + 2 Take Profits
sl_long = valuewhen(longCond , low - atr * sl, 0)
sl_short = valuewhen(shortCond, high+ atr * sl, 0)
tp_long = valuewhen(longCond , high + atr * tp, 0)
tp_short = valuewhen(shortCond, low - atr * tp, 0)
long_exit = crossover(fastEMA, exitEMA) and pos[1]==1
short_exit= crossover(exitEMA, fastEMA) and pos[1]==-1
if long_exit or short_exit
pos:=0
// Position Adjustment
long_sl = low <sl_long [1] and pos[1]==1
short_sl = high>sl_short[1] and pos[1]==-1
if long_sl or short_sl
pos:=0
// Strategy Backtest Limiting Algorithm
i_startTime = input(defval = timestamp("01 Sep 2002 13:30 +0000"), title = "Backtesting Start Time", type = input.time)
i_endTime = input(defval = timestamp("30 Sep 2099 19:30 +0000"), title = "Backtesting End Time", type = input.time)
timeCond = true
// Make sure we are within the bar range, Set up entries and exit conditions
if strategy.equity >0
strategy.entry("long" , strategy.long , when=longCond and timeCond and tradeType!="SHORT" , alert_message="INSERT MESSAGE HERE")
strategy.entry("short", strategy.short, when=shortCond and timeCond and tradeType!="LONG" , alert_message="INSERT MESSAGE HERE")
strategy.exit("SL/TP1", from_entry = "long" , stop=sl_long , limit=tp_long , alert_message="INSERT MESSAGE HERE")
strategy.exit("SL/TP1", from_entry = "short", stop=sl_short, limit=tp_short, alert_message="INSERT MESSAGE HERE")
strategy.exit("SL", from_entry = "long" , stop=sl_long, alert_message="INSERT MESSAGE HERE")
strategy.exit("SL", from_entry = "short", stop=sl_short, alert_message="INSERT MESSAGE HERE")
strategy.close("long", when=long_exit , comment="TP2", alert_message="INSERT MESSAGE HERE")
strategy.close("short", when=short_exit, comment="TP2", alert_message="INSERT MESSAGE HERE")