Strategi Crossover Rata-rata Bergerak

Penulis:ChaoZhang, Tanggal: 2023-10-27 16:19:00
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Gambaran umum

Strategi Moving Average Crossover adalah strategi momentum yang menggunakan sinyal crossover dari double moving averages untuk menentukan arah tren dan menghasilkan sinyal trading.

Logika Strategi

Strategi ini menggunakan 3 rata-rata bergerak:

EMA1: Rata-rata bergerak eksponensial periode yang lebih pendek, bertindak sebagai garis cepat
SMA1: Rata-rata bergerak sederhana jangka panjang, bertindak sebagai garis lambat
SMA2: Rata-rata bergerak sederhana periode yang lebih panjang, yang menentukan arah tren

Strategi ini menilai tren berdasarkan hubungan antara EMA1, SMA1 dan SMA2:

Tren naik: EMA1 > SMA1 > SMA2
Tren penurunan: EMA1 < SMA1 < SMA2

Sinyal masuk

Entri panjang: Ketika garis cepat melintasi di atas garis lambat
Entri pendek: Ketika garis cepat melintasi di bawah garis lambat

Sinyal keluar:

Tutup panjang: Ketika garis cepat melintasi di bawah garis lambat
Close short: Ketika garis cepat melintasi garis lambat

Strategi ini menyediakan konfigurasi parameter ganda, dengan rata-rata bergerak yang dapat disesuaikan untuk masuk dan keluar.

Analisis Keuntungan

Keuntungan dari strategi ini:

Menangkap momentum: Mendeteksi perubahan tren, strategi momentum
Konfigurasi Fleksibel: Menyediakan beberapa pilihan MA, pengaturan parameter yang fleksibel
Pemfilteran tren: Menggunakan MA jangka panjang untuk menentukan tren, menghindari perdagangan yang bertentangan dengan tren
Manajemen risiko: Kontrol stop loss dan take profit yang dapat dikonfigurasi untuk risiko perdagangan tunggal

Analisis Risiko

Risiko dari strategi ini:

Whipsaws: Keputihan yang berkepanjangan sebelum pecah dapat menyebabkan beberapa sinyal palsu
Sensitif terhadap parameter MA: Penyesuaian periode MA yang tidak tepat dapat menyebabkan sensitivitas berlebihan atau kelambatan.
Lagging: Sifat yang melekat pada rata-rata bergerak, mungkin tidak tepat waktu masuk
Tidak ada fundamental: hanya didorong oleh indikator teknis, tidak mempertimbangkan fundamental

Risiko Whipsaw dapat dikurangi dengan menyesuaikan periode MA; Sensitivitas Parameter dapat diselesaikan dengan mengoptimalkan; Risiko keterlambatan dapat dikurangi dengan menggabungkan indikator terkemuka lainnya.

Arahan Optimasi

Optimasi potensial:

Tambahkan filter teknis lainnya seperti RSI, Bollinger Bands untuk meningkatkan kualitas sinyal
Optimalkan periode MA untuk menemukan parameter yang optimal
Mengintegrasikan model pembelajaran mesin untuk menilai tren dan keandalan sinyal
Pertimbangkan volume perdagangan untuk menghindari kegagalan palsu dalam kondisi volume rendah
Menggabungkan faktor-faktor dasar untuk menghindari perdagangan melawan siklus ekonomi

Kesimpulan

Strategi Moving Average Crossover lurus ke depan, menilai tren dan waktu dengan menyeberangi MAs cepat dan lambat. Keuntungannya adalah menangkap momentum dengan konfigurasi yang fleksibel, tetapi risiko seperti whipsaw dan laging ada. Dengan optimasi seperti filter tambahan, ini bisa menjadi strategi perdagangan kuantitatif yang sangat praktis.

/*backtest
start: 2023-09-26 00:00:00
end: 2023-10-26 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/
// © Decam9

//@version=5
strategy(title = "Moving Average Crossover", shorttitle = "MA Crossover Strategy", overlay=true,
     initial_capital = 100000,default_qty_type = strategy.percent_of_equity, default_qty_value = 10)

//Moving Average Inputs
EMA1 = input.int(title="Fast EMA", group = "Moving Averages:", 
     inline = "EMAs", defval=5, minval = 1)
isDynamicEMA = input.bool(title = "Dynamic Exponential Moving Average?", defval = true,
     inline = "EMAs", group = "Moving Averages:", tooltip = "Changes the source of the MA based on trend")

SMA1 = input.int(title = "Slow SMA", group = "Moving Averages:",
     inline = "SMAs", defval = 10, minval = 1)
isDynamicSMA = input.bool(title = "Dynamic Simple Moving Average?", defval = false,
     inline = "SMAs", group = "Moving Averages:", tooltip = "Changes the source of the MA based on trend")

SMA2 = input.int(title="Trend Determining SMA", group = "Moving Averages:",
     inline = "MAs", defval=13, minval = 1)

//Moving Averages
Trend = ta.sma(close, SMA2)
Fast = ta.ema(isDynamicEMA ? (close > Trend ? low : high) : close, EMA1)
Slow = ta.sma(isDynamicSMA ? (close > Trend ? low : high) : close, SMA1)

//Allowed Entries
islong = input.bool(title = "Long", group = "Allowed Entries:",
     inline = "Entries",defval = true)
isshort = input.bool(title = "Short", group = "Allowed Entries:",
     inline = "Entries", defval= true)

//Entry Long Conditions
buycond = input.string(title="Buy when", group = "Entry Conditions:", 
     inline = "Conditions",defval="Fast-Slow Crossing", 
     options=["Fast-Slow Crossing", "Fast-Trend Crossing","Slow-Trend Crossing"])
     
intrendbuy = input.bool(title = "In trend", defval = true, group = "Entry Conditions:",
     inline = "Conditions", tooltip = "In trend if price is above SMA 2")

//Entry Short Conditions
sellcond = input.string(title="Sell when", group = "Entry Conditions:", 
     inline = "Conditions2",defval="Fast-Slow Crossing", 
     options=["Fast-Slow Crossing", "Fast-Trend Crossing","Slow-Trend Crossing"])
     
intrendsell = input.bool(title = "In trend",defval = true, group = "Entry Conditions:",
     inline = "Conditions2", tooltip = "In trend if price is below SMA 2?")

//Exit Long Conditions
closebuy = input.string(title="Close long when", group = "Exit Conditions:", 
     defval="Fast-Slow Crossing", options=["Fast-Slow Crossing", "Fast-Trend Crossing","Slow-Trend Crossing"])

//Exit Short Conditions
closeshort = input.string(title="Close short when", group = "Exit Conditions:", 
     defval="Fast-Slow Crossing", options=["Fast-Slow Crossing", "Fast-Trend Crossing","Slow-Trend Crossing"])
     

//Filters
filterlong =input.bool(title = "Long Entries", inline = 'linefilt', group = 'Apply Filters to', 
     defval = true)
filtershort =input.bool(title = "Short Entries", inline = 'linefilt', group = 'Apply Filters to', 
     defval = true)
filterend =input.bool(title = "Exits", inline = 'linefilt', group = 'Apply Filters to', 
     defval = true)
usevol =input.bool(title = "", inline = 'linefiltvol', group = 'Relative Volume Filter:', 
     defval = false)
rvol = input.int(title = "Volume >", inline = 'linefiltvol', group = 'Relative Volume Filter:', 
     defval = 1)
len_vol = input.int(title = "Avg. Volume Over Period", inline = 'linefiltvol', group = 'Relative Volume Filter:', 
     defval = 30, minval = 1,
     tooltip="The current volume must be greater than N times the M-period average volume.")
useatr =input.bool(title = "", inline = 'linefiltatr', group = 'Volatility Filter:', 
     defval = false)
len_atr1 = input.int(title = "ATR", inline = 'linefiltatr', group = 'Volatility Filter:', 
     defval = 5, minval = 1)
len_atr2 = input.int(title = "> ATR", inline = 'linefiltatr', group = 'Volatility Filter:', 
     defval = 30, minval = 1,
     tooltip="The N-period ATR must be greater than the M-period ATR.")
usersi =input.bool(title = "", inline = 'linersi', group = 'Overbought/Oversold Filter:', 
     defval = false)
rsitrhs1 = input.int(title = "", inline = 'linersi', group = 'Overbought/Oversold Filter:', 
     defval = 0, minval=0, maxval=100)
rsitrhs2 = input.int(title = "< RSI (14) <", inline = 'linersi', group = 'Overbought/Oversold Filter:', 
     defval = 100, minval=0, maxval=100,
     tooltip="RSI(14) must be in the range between N and M.")
issl =  input.bool(title = "SL", inline = 'linesl1', group = 'Stop Loss / Take Profit:', 
     defval = false)
slpercent =  input.float(title = ", %", inline = 'linesl1', group = 'Stop Loss / Take Profit:', 
     defval = 10, minval=0.0)
istrailing =  input.bool(title = "Trailing", inline = 'linesl1', group = 'Stop Loss / Take Profit:', 
     defval = false)
istp =  input.bool(title = "TP", inline = 'linetp1', group = 'Stop Loss / Take Profit:', 
     defval = false)
tppercent =  input.float(title = ", %", inline = 'linetp1', group = 'Stop Loss / Take Profit:', 
     defval = 20)
     
//Conditions for Crossing
fscrossup = ta.crossover(Fast,Slow)
fscrossdw = ta.crossunder(Fast,Slow)
ftcrossup = ta.crossover(Fast,Trend)
ftcrossdw = ta.crossunder(Fast,Trend)
stcrossup = ta.crossover(Slow,Trend)
stcrossdw = ta.crossunder(Slow,Trend)

//Defining in trend
uptrend = Fast >= Slow and Slow >= Trend
downtrend = Fast <= Slow and Slow <= Trend
justCrossed = ta.cross(Fast,Slow) or ta.cross(Slow,Trend)


//Entry Signals
crosslong = if intrendbuy
    (buycond =="Fast-Slow Crossing" and uptrend ? fscrossup:(buycond =="Fast-Trend Crossing" and uptrend ? ftcrossup:(buycond == "Slow-Trend Crossing" and uptrend ? stcrossup : na))) 
else
    (buycond =="Fast-Slow Crossing"?fscrossup:(buycond=="Fast-Trend Crossing"?ftcrossup:stcrossup))

crossshort = if intrendsell
    (sellcond =="Fast-Slow Crossing" and downtrend ? fscrossdw:(sellcond =="Fast-Trend Crossing" and downtrend ? ftcrossdw:(sellcond == "Slow-Trend Crossing" and downtrend ? stcrossdw : na))) 
else
    (sellcond =="Fast-Slow Crossing"?fscrossdw:(buycond=="Fast-Trend Crossing"?ftcrossdw:stcrossdw))
crossexitlong = (closebuy =="Fast-Slow Crossing"?fscrossdw:(closebuy=="Fast-Trend Crossing"?ftcrossdw:stcrossdw))
crossexitshort = (closeshort =="Fast-Slow Crossing"?fscrossup:(closeshort=="Fast-Trend Crossing"?ftcrossup:stcrossup))


// Filters
rsifilter = usersi?(ta.rsi(close,14) > rsitrhs1 and ta.rsi(close,14) < rsitrhs2):true
volatilityfilter = useatr?(ta.atr(len_atr1) > ta.atr(len_atr2)):true
volumefilter = usevol?(volume > rvol*ta.sma(volume,len_vol)):true
totalfilter = volatilityfilter and volumefilter and rsifilter

//Filtered signals
golong  = crosslong  and islong  and (filterlong?totalfilter:true) 
goshort = crossshort and isshort and (filtershort?totalfilter:true)
endlong  = crossexitlong and (filterend?totalfilter:true)
endshort = crossexitshort and (filterend?totalfilter:true)

// Entry price and TP
startprice = ta.valuewhen(condition=golong or goshort, source=close, occurrence=0)
pm = golong?1:goshort?-1:1/math.sign(strategy.position_size)
takeprofit = startprice*(1+pm*tppercent*0.01)
// fixed stop loss
stoploss = startprice * (1-pm*slpercent*0.01)
// trailing stop loss
if istrailing and strategy.position_size>0
    stoploss := math.max(close*(1 - slpercent*0.01),stoploss[1])
else if istrailing and strategy.position_size<0
    stoploss := math.min(close*(1 + slpercent*0.01),stoploss[1])
    
if golong and islong
    strategy.entry("long",   strategy.long )
if goshort and isshort
    strategy.entry("short",  strategy.short)
if endlong
    strategy.close("long")
if endshort
    strategy.close("short")

// Exit via SL or TP
strategy.exit(id="sl/tp long", from_entry="long", stop=issl?stoploss:na, 
              limit=istp?takeprofit:na)
strategy.exit(id="sl/tp short",from_entry="short",stop=issl?stoploss:na, 
              limit=istp?takeprofit:na)

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