トレンドの勢いに基づいた定量的な取引戦略

作成日: 2023-09-14 20:38:49 最終変更日: 2023-09-14 20:38:49

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この記事では,トレンドの動きを判断した上で量化取引を行う戦略について詳しく説明します. この戦略は,平均線,MACD,RSIなどの指標を使用して価格の動きを判断し,中長線のトレンドの機会を捉えるようにします.

戦略の原則

戦略の主要な判断指標は以下の通りです.

EMA平均線は,異なる周期間の価格の動向を判断する.
MACDは,短期的な動向が変化しているかどうかを判断します.
RSIは,超買超売状態にあるかどうかを判断します.
ATR,止損と停止位置を計算する.

この指標を集約して,価格が持続し,強烈な突破を起こすと,トレンドが開始され,取引信号が形成されます.

短期EMA平均線が反転を繰り返すときは,収束と判断し,長期EMAを突破するまで入場する.

MACDImplement momentum change判断力,RSIは上下を回避する。ATRはストップ・ローズ・ストップ・ストップをセットして単価リスクをコントロールする。

2 戦略的優位性

この戦略の最大の利点は,指標が互補であり,中長線トレンドの開始を効果的に判断できる点である.

もう一つの利点は,トレンドの利潤をロックし,リスクをコントロールするストップ・ロスト・ストップの設定です.

最後に,EMA周期は階層化され,順番に異なる強さのトレンドに入ることができます.

3 潜在的リスク

しかし,この戦略には次のリスクもあります.

まず,トレンド判断が遅れている可能性があり,漏れが出る可能性もあります.

第二に,過剰な過激派主義は裏切りを受ける危険性があります.

ストレスから抜け出すには心理的な準備が必要です

内容と要約

この記事では,トレンドの動量判断に基づく定量化戦略について詳しく説明する.これは,平均線,MACD,RSIなどの指標を総合的に使用してトレンドの方向性を判断する.パラメータを最適化することで,リスクを制御し,安定した収益を得ることができる.しかし,指標の遅れなどの問題が発生する際にも警戒する必要がある.

ストラテジーソースコード

/*backtest
start: 2023-08-14 00:00:00
end: 2023-08-30 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("QuantCat Mom Finder Strateg (1H)", overlay=true)

//Series to sum the amount of crosses in EMA for sideways trend/noise filtering
//can change EMA lengths, can change to SMA's/WMA's e.t.c

lookback_value = 60
minMA = 20
midMA = 40
maxMA = 60

ema25_crossover = (crossover(close, ema(close, minMA))) == true ? 1 : 0
ema25_crossover_sum = sum(ema25_crossover, lookback_value) ///potentially change lookback value to alter results

ema50_crossover = (crossover(close, ema(close, midMA))) == true ? 1 : 0
ema50_crossover_sum = sum(ema50_crossover, lookback_value) ///potentially change lookback value to alter results

ema75_crossover = (crossover(close, ema(close, maxMA))) == true ? 1 : 0
ema75_crossover_sum = sum(ema75_crossover, lookback_value) ///potentially change lookback value to alter results

ema25_crossunder = (crossunder(close, ema(close, minMA))) == true ? 1 : 0
ema25_crossunder_sum = sum(ema25_crossunder, lookback_value) ///potentially change lookback value to alter results

ema50_crossunder = (crossunder(close, ema(close, midMA))) == true ? 1 : 0
ema50_crossunder_sum = sum(ema50_crossunder, lookback_value) ///potentially change lookback value to alter results

ema75_crossunder = (crossunder(close, ema(close, maxMA))) == true ? 1 : 0
ema75_crossunder_sum = sum(ema75_crossunder, lookback_value) ///potentially change lookback value to alter results4


//Boolean series declaration
//can change amount of times crossed over the EMA verification to stop sideways trend filtering (3)

maxNoCross=2

macdmidlinebull=-0.5
macdmidlinebear=0.5
[macdLine, signalLine, histLine] = macd(close, 12, 26, 9)

//---------------
//Series Creation

bullishMacd = (macdLine > signalLine) and (macdLine > macdmidlinebull) ? true : false

bearishMacd = (macdLine < signalLine) and (macdLine < macdmidlinebear) ? true : false

bullRsiMin = 50 //53 initial values
bullRsiMax = 60 //61
bearRsiMin = 40 //39
bearRsiMax = 50 //47

basicBullCross25bool = ((ema25_crossover_sum < ema50_crossover_sum) 
     and (ema25_crossover_sum < ema75_crossover_sum) 
     and (ema25_crossover_sum < maxNoCross) 
     and crossover(close, ema(close, minMA)) and (rsi(close, 14) > bullRsiMin)
     and (rsi(close, 14) < bullRsiMax) and (bullishMacd == true)) ? true : false
  
basicBullCross50bool = ((ema50_crossover_sum < ema25_crossover_sum) 
     and (ema50_crossover_sum < ema75_crossover_sum) 
     and (ema50_crossover_sum < maxNoCross) 
     and crossover(close, ema(close, midMA)) and (rsi(close, 14) > bullRsiMin)
     and (basicBullCross25bool == false) 
     and (rsi(close, 14) < bullRsiMax) and (bullishMacd == true)) ? true : false
  
basicBullCross75bool = ((ema75_crossover_sum < ema25_crossover_sum) 
     and (ema75_crossover_sum < ema50_crossover_sum) 
     and (ema75_crossover_sum < maxNoCross) 
     and crossover(close, ema(close, maxMA)) and (rsi(close, 14) > bullRsiMin)
     and (basicBullCross25bool == false) and (basicBullCross50bool == false)
     and (rsi(close, 14) < bullRsiMax) and (bullishMacd == true)) ? true : false
     
basicBearCross25bool = ((ema25_crossunder_sum < ema50_crossunder_sum) 
     and (ema25_crossunder_sum < ema75_crossunder_sum) 
     and (ema25_crossunder_sum < maxNoCross) 
     and crossunder(close, ema(close, minMA)) and (rsi(close, 14) <bearRsiMax)
     and (rsi(close, 14) > bearRsiMin) and (bearishMacd == true)) ? true : false
  
basicBearCross50bool = ((ema50_crossunder_sum < ema25_crossunder_sum) 
     and (ema50_crossunder_sum < ema75_crossover_sum) 
     and (ema50_crossunder_sum < maxNoCross) 
     and crossunder(close, ema(close, midMA)) and (rsi(close, 14) < bearRsiMax)
     and (basicBearCross25bool == false) 
     and (rsi(close, 14) > bearRsiMin) and (bearishMacd == true)) ? true : false
  
basicBearCross75bool = ((ema75_crossunder_sum < ema25_crossunder_sum) 
     and (ema75_crossunder_sum < ema50_crossunder_sum) 
     and (ema75_crossunder_sum < maxNoCross) 
     and crossunder(close, ema(close, maxMA)) and (rsi(close, 14) < bearRsiMax)
     and (basicBearCross25bool == false) and (basicBearCross50bool == false)
     and (rsi(close, 14) > bearRsiMin) and (bearishMacd == true)) ? true : false

//STRATEGY
//can change lookback input on ATR

atrLkb = input(14, minval=1, title='ATR Stop Period')
atrRes = input("D",  title='ATR Resolution')
atr = security(syminfo.tickerid, atrRes, atr(atrLkb))


longCondition = (basicBullCross25bool or basicBullCross50bool or basicBullCross75bool) == true
if (longCondition)
    strategy.entry("Long", strategy.long)

shortCondition = (basicBearCross25bool or basicBearCross50bool or basicBearCross75bool) == true
if (shortCondition)
    strategy.entry("Short", strategy.short)
    
   
// Calc ATR Stops
// can change atr multiplier to affect stop distance/tp distance, and change "close" to ema values- could try ema 50

stopMult = 0.6 //0.6 is optimal

longStop = na
longStop :=  shortCondition ? na : longCondition and strategy.position_size <=0 ? close - (atr * stopMult) : longStop[1] 
shortStop = na
shortStop := longCondition ? na : shortCondition and strategy.position_size >=0 ? close + (atr * stopMult) : shortStop[1]

//Calc ATR Target

targetMult = 2.2 //2.2 is optimal for crypto x/btc pairs

longTarget = na
longTarget :=  shortCondition ? na : longCondition and strategy.position_size <=0 ? close + (atr*targetMult) : longTarget[1]
shortTarget = na
shortTarget := longCondition ? na : shortCondition and strategy.position_size >=0 ? close - (atr*targetMult) : shortTarget[1]

// Place the exits

strategy.exit("Long ATR Stop", "Long", stop=longStop, limit=longTarget)
strategy.exit("Short ATR Stop", "Short", stop=shortStop, limit=shortTarget)

//Bar color series

longColour = longCondition ? lime : na
shortColour = shortCondition ? red : na
    
// Plot the stoplosses and targets

plot(longStop, style=linebr, color=red, linewidth=2,     title='Long ATR Stop')
plot(shortStop, style=linebr, color=red, linewidth=2,  title='Short ATR Stop')
plot(longTarget, style=linebr, linewidth=2, color=lime,  title='Long ATR Target')
plot(shortTarget, linewidth=2, style=linebr, color=lime,  title='Long ATR Target')

barcolor(color=longColour)
barcolor(color=shortColour)

alertcondition(((basicBullCross25bool or basicBullCross50bool or basicBullCross75bool)==true), title='Long Entry', message='Bullish Momentum Change!')
alertcondition(((basicBearCross25bool or basicBearCross50bool or basicBearCross75bool)==true), title='Short Entry', message='Bearish Momentum Change!')

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