複合トレンドフォロー戦略


作成日: 2023-09-16 19:10:37 最終変更日: 2023-09-16 19:10:37
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概要

この記事では,複数の指標を総合してトレンド判断する量化取引戦略について説明します. この戦略は,平均線方向,新高新低,年線条件など,複数の技術指標を融合して,株価の中間長線トレンドを追跡します.

戦略原則

この戦略は以下の考えに基づいています.

  1. 平均線方向,新高新低指数などの価格傾向の方向を判断する.

  2. 長期トレンドを年線で判断し,短期的な震動に誤って導かれないようにする.

  3. 複数の指標のバンドル合成信号が入場する時にのみ,偽信号を有効にフィルタリングできる.

  4. 超トレンドのストップ・ロスを採用し,トレンドの利潤をロックする.

  5. 価格が平均線を突破した時に適切なストップ.

優位分析

この戦略の利点は以下の通りです.

  1. 複数の指標を集約して判断することで,意思決定の精度が向上します.

  2. 市場が動いている時に入場するだけで,不必要な取引を避けられる.

  3. 超トレンドのストップ・ロスは,利潤を効果的にロックし,撤回を低減する.

  4. 価格の突破により,適時停止損失により,勝利率を上げることができる.

  5. 戦略の論理が明確で分かりやすく,最適化が容易です.

リスク分析

この戦略には以下のリスクもあります.

  1. 複数の指標が同時に見逃した取引機会を判断する.

  2. 超トレンドは機械的に止まり,利益を制限する可能性があります.

  3. 平均線を突破する判断が不適切であれば,不必要な損害を招く可能性があります.

  4. トレーダーは,パラメータ設定が戦略に与える影響を慎重に評価する必要があります.

要約する

この戦略は,複数の技術指標を総合的に使用してトレンドを判断する.パラメータの最適化が合理的な前提下では,より良い収益を期待できる.しかし,トレーダーは,トレンドの判断の正確さに注意し,適切なパラメータを調整する必要がある.

ストラテジーソースコード 
/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 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("AlignedMA and Cumulative HighLow Strategy V2", overlay=true, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01, calc_on_order_fills = true)

MAType = input(title="Moving Average Type", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
includePartiallyAligned = input(true)
HighLowPeriod = input(22, minval=1,step=1)
LookbackPeriod = input(10, minval=1,step=1)
considerYearlyHighLow = input(false)

dirTBars = input(1)
dirRBars = input(30)

PMAType = input(title="Moving Average Type", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
PMALength = input(10, minval=2, step=10)
shift = input(2, minval=1, step=1)

//Use 2 for ASX stocks
supertrendMult = input(3, minval=1, maxval=10, step=0.5)
supertrendLength = input(22, minval=1)

riskReward = input(2, minval=1, maxval=10, step=0.5)

tradeDirection = input(title="Trade Direction", defval=strategy.direction.all, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestYears = input(1, minval=1, step=1)

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
    upwardScore := close > ma5? upwardScore+1:upwardScore
    upwardScore := ma5 > ma10? upwardScore+1:upwardScore
    upwardScore := ma10 > ma20? upwardScore+1:upwardScore
    upwardScore := ma20 > ma30? upwardScore+1:upwardScore
    upwardScore := ma30 > ma50? upwardScore+1:upwardScore
    upwardScore := ma50 > ma100? upwardScore+1:upwardScore
    upwardScore := ma100 > ma200? upwardScore+1: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
    upwards?1:downwards?-1:includePartiallyAligned ? (upwardScore > 5? 0.5: upwardScore < 2?-0.5:upwardScore>3?0.25:-0.25) : 0

f_getHighLowValue(HighLowPeriod)=>
    currentHigh = highest(high,HighLowPeriod) == high
    currentLow = lowest(low,HighLowPeriod) == low
    currentHigh?1:currentLow?-1:0

f_getDirection(Series)=>
    direction = Series > Series[1] ? 1 : Series < Series[1] ? -1 : 0
    direction := direction == 0? nz(direction[1],0):direction
    direction

f_getDirectionT(Series, tBars, rBars)=>
    compH = Series > 0? Series[tBars] : Series[rBars]
    compL = Series < 0? Series[tBars] : Series[rBars]
    direction = Series > compH ? 1 : Series < compL ? -1 : 0
    direction := direction == 0? nz(direction[1],0):direction
    direction

f_getYearlyHighLowCondition(considerYearlyHighLow)=>
    yhigh = security(syminfo.tickerid, '12M', high[1]) 
    ylow = security(syminfo.tickerid, '12M', low[1]) 
    yhighlast = yhigh[365]
    ylowlast = ylow[365]
    yhighllast = yhigh[2 * 365]
    ylowllast = ylow[2 * 365]
    
    yearlyTrendUp = na(yhigh)? true : na(yhighlast)? close > yhigh : na(yhighllast)? close > max(yhigh,yhighlast) : close > max(yhigh, min(yhighlast, yhighllast))
    yearlyHighCondition = (  (na(yhigh) or na(yhighlast) ? true : (yhigh > yhighlast) ) and ( na(yhigh) or na(yhighllast) ? true : (yhigh > yhighllast))) or yearlyTrendUp or not considerYearlyHighLow
    yearlyTrendDown = na(ylow)? true : na(ylowlast)? close < ylow : na(ylowllast)? close < min(ylow,ylowlast) : close < min(ylow, max(ylowlast, ylowllast))
    yearlyLowCondition = (  (na(ylow) or na(ylowlast) ? true : (ylow < ylowlast) ) and ( na(ylow) or na(ylowllast) ? true : (ylow < ylowllast))) or yearlyTrendDown or not considerYearlyHighLow
    
    [yearlyHighCondition,yearlyLowCondition]

f_getOpenCloseMA(MAType, length)=>
    openMA = f_getMovingAverage(open, MAType, length)
    closeMA = f_getMovingAverage(close, MAType, length)
    direction = openMA < closeMA ? 1 : -1
    [openMA, closeMA, direction]

inDateRange = true

maAlignment = f_getMaAlignment(MAType,includePartiallyAligned)
alignedMaIndex = sum(maAlignment,LookbackPeriod)

maAlignmentDirection=f_getDirectionT(alignedMaIndex,dirTBars, dirRBars)
atr = atr(22)
highLowIndex = f_getHighLowValue(HighLowPeriod)
cumulativeHighLowIndex = sum(highLowIndex,LookbackPeriod)

hlDirection = f_getDirectionT(cumulativeHighLowIndex,dirTBars,dirRBars)
[yearlyHighCondition,yearlyLowCondition] = f_getYearlyHighLowCondition(considerYearlyHighLow)
[supertrend, dir] = supertrend(supertrendMult, supertrendLength)
[esupertrend, edir] = supertrend(supertrendMult+1, supertrendLength)

movingAverage = f_getMovingAverage(close, PMAType, PMALength)

secondaryBuyFilter = movingAverage > movingAverage[shift]
secondarySellFilter = movingAverage < movingAverage[shift]

closeBuyFilter = dir == 1
closeSellFilter = dir == -1
buyFilter = (maAlignmentDirection == 1 and hlDirection == 1 and yearlyHighCondition)
sellFilter = (maAlignmentDirection == -1 and hlDirection == -1 and yearlyLowCondition)

barColor = buyFilter?color.lime:sellFilter?color.orange:color.gray

bandColor = secondaryBuyFilter ? color.green : secondarySellFilter ? color.red : color.gray

compound = strategy.position_size > 0? strategy.position_avg_price + (atr* supertrendMult * riskReward) : strategy.position_size < 0 ? strategy.position_avg_price - (atr* supertrendMult * riskReward) : na
riskFree = na(compound)?false:strategy.position_size > 0 ? supertrend > compound : strategy.position_size < 0 ? supertrend < compound : false

trailingStop = riskFree?(dir==-1?supertrend - 2*atr : supertrend + 2*atr) :supertrend
trailingStop := (strategy.position_size > 0 and trailingStop < trailingStop[1]) ? trailingStop[1] :  ((strategy.position_size < 0 and trailingStop > trailingStop[1])? trailingStop[1] :trailingStop)
plot(trailingStop, title="Supertrend", color=riskFree? color.blue:dir==-1?color.green:color.red, linewidth=2)


buyEntry = buyFilter and secondaryBuyFilter and not closeBuyFilter and low > trailingStop
sellEntry = sellFilter and secondarySellFilter and not closeSellFilter and low < trailingStop
Fi1 = plot(movingAverage[shift], title="MA", color=color.red, linewidth=1, transp=50)
Fi2 = plot(movingAverage, title="Shift", color=color.green, linewidth=1, transp=50)
fill(Fi1, Fi2, title="Band Filler", color=bandColor, transp=40)

barcolor(barColor)

//plot(compound, title="Compound"mzn, color=dir==-1?color.lime:color.orange, linewidth=2)

strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyEntry and inDateRange and (riskFree or strategy.position_size==0), oca_name="oca_buy")
strategy.exit("ExitBuy", "Buy", stop = trailingStop)
strategy.close("Buy", when=closeBuyFilter)


strategy.entry("Sell", strategy.short, when=sellEntry and inDateRange and (riskFree or strategy.position_size==0), oca_name="oca_sell")
strategy.exit("ExitSell", "Buy", stop = trailingStop)
strategy.close("Sell", when=closeSellFilter)
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