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Strategi Kuantitatif Melacak Tren Kekuatan MA

Penulis:ChaoZhang
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Gambaran umum

Logika Strategi

  2. Menerapkan rata-rata bergerak pada MA Strength, membentuk indikator MA untuk menentukan sinyal panjang/pendek.

Analisis Keuntungan

  3. Dengan hanya pergi panjang daripada shorting, kerugian dari pembalikan tren dapat dihindari.

Analisis Risiko

  1. Risiko retracement terjadi ketika MA jangka pendek melintasi di bawah MA jangka panjang, yang dapat menjadi kerugian besar.
  2. Risiko pembalikan tidak dapat dihindari dalam tren jangka panjang, yang membutuhkan stop loss exit yang tepat waktu.

Arahan Optimasi

  1. Sinyal filter tambahan dengan lebih banyak indikator. Volume dapat digunakan untuk menghindari kebocoran palsu dengan hanya memberi sinyal pada konfirmasi volume.

Kesimpulan

Strategi ini menilai tren harga dengan menghitung indikator kekuatan MA dan menggunakan persilangan MA sebagai sumber sinyal untuk melacak tren. Keuntungannya terletak pada menentukan kekuatan tren dengan akurat untuk keandalan. Risiko utama berasal dari pembalikan tren dan penyesuaian parameter. Dengan mengoptimalkan akurasi sinyal, menambahkan stop loss, memilih produk yang sesuai, pengembalian yang baik dapat diperoleh.

/*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)
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