移動平均クロスオーバーマルチ期間戦略

作成日: 2023-10-09 16:41:04 最終変更日: 2023-10-09 16:41:04

コピー: 2 クリック数: 651

ChaoZhang

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概要

この戦略は,移動平均の交差系をベースに,異なる周期の移動平均のゴールデンクロスとデスクロスによって,買入と売却のタイミングを判断する.戦略は,利益をロックし,リスクを回避するために,トレンド追跡,ストップ,ストップ,ストップなどの機能を組み合わせる.

戦略原則

この戦略は,移動平均の2つのセットを使用し,それぞれ速線と遅線である. 速線は短期のトレンドを表す短い周期; 遅線は長期のトレンドを表す長い周期である. 速線が下方から慢線を突破すると,ゴールデン・クロスが生み出され,トレンドが熊から牛に転移し,多額の取引を行う. 速線が上方から下方から慢線を突破すると,トレンドが牛から熊に転移し,空っぽの取引を行う,デス・クロスが生み出されます.

コードでは,快線指標はma1で,慢線指標はma2である.ma1とma2は,SMA,EMAなどの異なるタイプの移動平均を選択し,異なる周期パラメータを設定できます.ma1は短期的な傾向を表し,周期は短い.ma2は長期的な傾向を表し,周期は長い.

ma1金叉ma2時,ロングシグナルを生じ,オーバーする.ma1デッドフォークma2時,ショートシグナルを生じ,空きをする.実際の取引時,トレンド追跡ストップ,ストップ,ストップなどの機能を組み合わせて,利益をロックし,リスクを回避する.

優位分析

この戦略の利点は以下の通りです.

戦略はシンプルで明快で,理解し,実行しやすい.
異なる市場環境に適用できる,異なるタイプとパラメータの移動平均を柔軟に選択できます.
多周期的なデザインで,短期的および長期的トレンドを同時に捉え,誤殺を回避します.
ポジション開設条件をカスタマイズし,取引頻度を厳格に制御します.
リスクのコントロールを有効にするために,停止,停止条件を設定できます.
トレンドトラッキングのストップ・ロスを追加し,収益トラッキングを実現します.
戦略の安定性や信頼性を高めるための最適化パラメータ.

リスク分析

この戦略には以下のリスクもあります.

双動平均の交差が遅れており,価格の逆転の最適なタイミングを逃している可能性があります.
移動平均の周期設定が正しくない場合,より多くの偽信号が生成される可能性があります.
突発的な事件は,迅速な反転をもたらし,破損の危険を抑える.
トレンド行情では,価格が長期的に平均線側にとどまる可能性が高い.
パラメータ最適化は不適切で,特定の時間帯に過度最適化される可能性があります.

対応するリスク管理策:

他の指標のフィルタリング信号と組み合わせて,偽突破を回避する.
周期設定はトレンド取引の原則に従って,最適化パラメータをテストする.
リスクコントロールは慎重で,ストップダメージ位置は合理的に設定されている.
待たずに済むため,
複数の市場環境でパラメータの強さをテストする.

最適化の方向

この戦略は以下の点で最適化できます.

ウェイトアップ移動平均など,より多くの種類の移動平均をテストします.
波動率に基づく動的周期を増やし,市場の変化に応じて平均線パラメータを調整する.
戦略的な入場条件は,選択時間または基本的なフィルターで,誤った取引率を下げることができます.
出場条件は,市場変動に応じてストップ・ローズ幅を調整するダイナミック・ストップ・ローズを設定できます.
パラメータ最適化システムを構築し,戦略の履歴回測とパラメータ調整を行う.
機械学習アルゴリズムを追加し,AIを使ってパラメータを最適化し,信号をフィルターする.

要約する

この移動平均線交差多周期策略の全体的な考え方は明確で分かりやすく,快速平均線交差によってトレンドを捕捉する.これはより古典的なトレンド追跡策である.この策略は,適切なパラメータを選択し,入場出場ロジックを最適化し,厳格なリスク管理によって安定した収益を実現することができる.しかし,ユーザーは一定の遅れの後にリスクと待機時間のコストを承担する必要がある.全体的に,この策略はシンプルで実用的で,パラメータ最適化とリスク管理を施し,より多くの市場環境に適応する価値がある.

ストラテジーソースコード

/*backtest
start: 2023-09-08 00:00:00
end: 2023-10-08 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
// The majority of this script I took from the Autoview website. There are some typos in the original that I've fixed, some things I've added, things I will add, and I'm tired pulling my strategy code out and uploading this to pastebin for people.
// DISCLAIMER: I am not a financial advisor, this is not financial advice, do not use this code without first doing your own research, etc, etc, it's not my fault when you lose your house.

strategy("Moving Averages Cross - MTF - Strategy", "MA Cross", overlay=true, pyramiding=0, initial_capital=100000, currency=currency.USD, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.1)

bgcolor ( color=black, transp=40, title='Blackground', editable=true)

///////////////////////////////////////////////
//* Backtesting Period Selector | Component *//
///////////////////////////////////////////////

//* https://www.tradingview.com/script/eCC1cvxQ-Backtesting-Period-Selector-Component *//
//* https://www.tradingview.com/u/pbergden/ *//
//* Modifications made *//

testStartYear = input(2018, "Backtest Start Year") 
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,00,00)

testStopYear = input(9999, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

testPeriod() => true

/////////////////////////////////////
//* Put your strategy logic below *//
/////////////////////////////////////

sp1 = input("----", title="--------Moving Average 1----------", options=["----"])
maUseRes1   = input(defval = false, title = "Use Different Resolution?")
//maReso1     = input(defval = "60", title = "Set Resolution", type = resolution)
maReso1     = input(defval='60', title = "Set Resolution Minutes")
maType1     = input("EMA", title="MA", options=["SMA", "EMA", "DEMA", "TEMA", "WMA", "VWMA", "SMMA", "Hull", "LSMA", "ALMA"])
maSource1   = input(defval = close, title = "Source")
maLength1   = input(defval = 15, title = "Period", minval = 1)
lsmaOffset1 = input(defval = 1, title = "Least Squares (LSMA) Only - Offset Value", minval = 0)
almaOffset1 = input(defval = 0.85, title = "Arnaud Legoux (ALMA) Only - Offset Value", minval = 0, step = 0.01)
almaSigma1  = input(defval = 6, title = "Arnaud Legoux (ALMA) Only - Sigma Value", minval = 0)

sp2 = input("----", title="--------Moving Average 2----------", options=["----"])
maUseRes2   = input(defval = false, title = "Use Different Resolution?")
//maReso2    = input(defval = "60", title = "Set Resolution", type = resolution)
maReso2     = input(defval='60', title = "Set Resolution Minutes")
maType2    = input("EMA", title="MA", options=["SMA", "EMA", "DEMA", "TEMA", "WMA", "VWMA", "SMMA", "Hull", "LSMA", "ALMA"])
maSource2   = input(defval = close, title = "Source")
maLength2   = input(defval = 30, title = "Period", minval = 1)
lsmaOffset2 = input(defval = 1, title = "Least Squares (LSMA) Only - Offset Value", minval = 0)
almaOffset2 = input(defval = 0.85, title = "Arnaud Legoux (ALMA) Only - Offset Value", minval = 0, step = 0.01)
almaSigma2  = input(defval = 6, title = "Arnaud Legoux (ALMA) Only - Sigma Value", minval = 0)

//Function from @JayRogers thank you man awesome work
variant(type, src, len, lsmaOffset, almaOffset, almaSigma) =>
    v1 = sma(src, len)                                                  // Simple
    v2 = ema(src, len)                                                  // Exponential
    v3 = 2 * v2 - ema(v2, len)                                          // Double Exponential
    v4 = 3 * (v2 - ema(v2, len)) + ema(ema(v2, len), len)               // Triple Exponential
    v5 = wma(src, len)                                                  // Weighted
    v6 = vwma(src, len)                                                 // Volume Weighted
    v7 = na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len    // Smoothed
    v8 = wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))   // Hull
    v9 = linreg(src, len, lsmaOffset)                                   // Least Squares
    v10 = alma(src, len, almaOffset, almaSigma)                         // Arnaud Legoux
    type=="EMA"?v2 : type=="DEMA"?v3 : type=="TEMA"?v4 : type=="WMA"?v5 : type=="VWMA"?v6 : type=="SMMA"?v7 : type=="Hull"?v8 : type=="LSMA"?v9 : type=="ALMA"?v10 : v1
//Different resolution function    
reso(exp, res, use) => use ? security(tickerid, res, exp) : exp    
    
ma1 = reso(variant(maType1, maSource1, maLength1, lsmaOffset1, almaOffset1, almaSigma1), maReso1, maUseRes1)
ma2 = reso(variant(maType2, maSource2, maLength2, lsmaOffset2, almaOffset2, almaSigma2), maReso2, maUseRes2)

plotma1 = plot(ma1, color=green, tranps=50, linewidth = 2 )
plotma2 = plot(ma2, color=red,   tranps=50, linewidth = 2 )

// Long/Short Logic
longLogic =  crossover(ma1,ma2) ? 1 : 0
shortLogic = crossunder(ma1,ma2) ? 1 : 0

//////////////////////////
//* Strategy Component *//
//////////////////////////

isLong = input(false, "Longs Only")
isShort = input(false, "Shorts Only")
isFlip = input(false, "Flip the Opens")

long = longLogic
short = shortLogic

if isFlip
    long := shortLogic
    short := longLogic
else
    long := longLogic
    short := shortLogic

if isLong
    long := long
    short := na

if isShort
    long := na
    short := short
    
////////////////////////////////
//======[ Signal Count ]======//
////////////////////////////////

sectionLongs = 0
sectionLongs := nz(sectionLongs[1])
sectionShorts = 0
sectionShorts := nz(sectionShorts[1])

if long
    sectionLongs := sectionLongs + 1
    sectionShorts := 0

if short
    sectionLongs := 0
    sectionShorts := sectionShorts + 1

//////////////////////////////
//======[ Pyramiding ]======//
//////////////////////////////

pyrl = input(1, "Pyramiding less than") // If your count is less than this number
pyre = input(0, "Pyramiding equal to") // If your count is equal to this number
pyrg = input(1000000, "Pyramiding greater than") // If your count is greater than this number

longCondition = long and sectionLongs <= pyrl or long and sectionLongs >= pyrg or long and sectionLongs == pyre ? 1 : 0
shortCondition = short and sectionShorts <= pyrl or short and sectionShorts >= pyrg or short and sectionShorts == pyre ? 1 : 0

////////////////////////////////
//======[ Entry Prices ]======//
////////////////////////////////

last_open_longCondition = na
last_open_shortCondition = na
last_open_longCondition := longCondition ? close : nz(last_open_longCondition[1])
last_open_shortCondition := shortCondition ? close : nz(last_open_shortCondition[1])

////////////////////////////////////
//======[ Open Order Count ]======//
////////////////////////////////////

sectionLongConditions = 0
sectionLongConditions := nz(sectionLongConditions[1])
sectionShortConditions = 0
sectionShortConditions := nz(sectionShortConditions[1])

if longCondition
    sectionLongConditions := sectionLongConditions + 1
    sectionShortConditions := 0

if shortCondition
    sectionLongConditions := 0
    sectionShortConditions := sectionShortConditions + 1
    
///////////////////////////////////////////////
//======[ Position Check (long/short) ]======//
///////////////////////////////////////////////

last_longCondition = na
last_shortCondition = na
last_longCondition := longCondition ? time : nz(last_longCondition[1])
last_shortCondition := shortCondition ? time : nz(last_shortCondition[1])

in_longCondition = last_longCondition > last_shortCondition
in_shortCondition = last_shortCondition > last_longCondition

/////////////////////////////////////
//======[ Position Averages ]======//
/////////////////////////////////////

totalLongs = 0.0
totalLongs := nz(totalLongs[1])
totalShorts = 0.0
totalShorts := nz(totalShorts[1])
averageLongs = 0.0
averageLongs := nz(averageLongs[1])
averageShorts = 0.0
averageShorts := nz(averageShorts[1]) 

if longCondition
    totalLongs := totalLongs + last_open_longCondition
    totalShorts := 0.0

if shortCondition
    totalLongs := 0.0
    totalShorts := totalShorts + last_open_shortCondition

averageLongs := totalLongs / sectionLongConditions
averageShorts := totalShorts / sectionShortConditions

/////////////////////////////////
//======[ Trailing Stop ]======//
/////////////////////////////////

isTS = input(false, "Trailing Stop")
tsi = input(1000, "Activate Trailing Stop Price (%). Divided by 100 (1 = 0.01%)") / 100 
ts = input(575, "Trailing Stop (%). Divided by 100 (1 = 0.01%)") / 100

last_high = na
last_low = na
last_high_short = na
last_low_short = na
last_high := not in_longCondition ? na : in_longCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_high_short := not in_shortCondition ? na : in_shortCondition and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low := not in_shortCondition ? na : in_shortCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
last_low_short := not in_longCondition ? na : in_longCondition and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])

long_ts = isTS and not na(last_high) and low <= last_high - last_high / 100 * ts and longCondition == 0 and last_high >= averageLongs + averageLongs / 100 * tsi
short_ts = isTS and not na(last_low) and high >= last_low + last_low / 100 * ts and shortCondition == 0 and last_low <= averageShorts - averageShorts/ 100 * tsi

///////////////////////////////
//======[ Take Profit ]======//
///////////////////////////////

isTP = input(false, "Take Profit")
tp = input(300, "Take Profit (%). Divided by 100 (1 = 0.01%)") / 100
long_tp = isTP and close > averageLongs + averageLongs / 100 * tp and not longCondition
short_tp = isTP and close < averageShorts - averageShorts / 100 * tp and not shortCondition

/////////////////////////////
//======[ Stop Loss ]======//
/////////////////////////////

isSL = input(false, "Stop Loss")
sl = input(575, "Stop Loss (%). Divided by 100 (1 = 0.01%)") / 100
long_sl = isSL and close < averageLongs - averageLongs / 100 * sl and longCondition == 0
short_sl = isSL and close > averageShorts + averageShorts / 100 * sl and shortCondition == 0

/////////////////////////////////
//======[ Close Signals ]======//
/////////////////////////////////

longClose = long_tp or long_sl or long_ts  ? 1 : 0
shortClose = short_tp or short_sl or short_ts ? 1: 0

///////////////////////////////
//======[ Plot Colors ]======//
///////////////////////////////

longCloseCol = na
shortCloseCol = na
longCloseCol := long_tp ? purple : long_sl ? maroon : long_ts ? blue : longCloseCol[1]
shortCloseCol := short_tp ? purple : short_sl ? maroon : short_ts ? blue : shortCloseCol[1]
tpColor = isTP and in_longCondition ? purple : isTP and in_shortCondition ? purple : white
slColor = isSL and in_longCondition ? red : isSL and in_shortCondition ? red : white

//////////////////////////////////
//======[ Strategy Plots ]======//
//////////////////////////////////

// Comment out these lines to use alerts
plot(isTS and in_longCondition ? averageLongs + averageLongs / 100 * tsi : na, "Long Trailing Activate", blue, style=3, linewidth=2)
plot(isTS and in_longCondition and last_high >= averageLongs +  averageLongs / 100 * tsi ? last_high - last_high / 100 * ts : na, "Long Trailing", fuchsia, style=2, linewidth=3)
plot(isTS and in_shortCondition ? averageShorts - averageShorts/ 100 * tsi : na, "Short Trailing Activate", blue, style=3, linewidth=2)
plot(isTS and in_shortCondition and last_low <= averageShorts - averageShorts/ 100 * tsi ? last_low + last_low / 100 * ts : na, "Short Trailing", fuchsia, style=2, linewidth=3)
plot(isTP and in_longCondition and last_high < averageLongs + averageLongs / 100 * tp ? averageLongs + averageLongs / 100 * tp : na, "Long TP", tpColor, style=3, linewidth=2)
plot(isTP and in_shortCondition and last_low > averageShorts - averageShorts / 100 * tp ? averageShorts - averageShorts / 100 * tp : na, "Short TP", tpColor, style=3, linewidth=2)
plot(isSL and in_longCondition and last_low_short > averageLongs - averageLongs / 100 * sl ? averageLongs - averageLongs / 100 * sl : na, "Long SL", slColor, style=3, linewidth=2)
plot(isSL and in_shortCondition and last_high_short < averageShorts + averageShorts / 100 * sl ? averageShorts + averageShorts / 100 * sl : na, "Short SL", slColor, style=3, linewidth=2)

///////////////////////////////
//======[ Alert Plots ]======//
///////////////////////////////


// Uncomment to use Alerts, or the new Signal Plots, but not both
// Old Signal Plots
//plot(longCondition, "Long", green)
//plot(shortCondition, "Short", red)
//plot(longClose, "Long Close", longCloseCol)
//plot(shortClose, "Short Close", shortCloseCol)

// Uncomment for your alerts
//alertcondition(condition=longCondition, title="Long", message="")
//alertcondition(condition=shortCondition, title="Short", message="")
//alertcondition(condition=longClose, title="Long Close", message="")
//alertcondition(condition=shortClose, title="Short Close", message="")

///////////////////////////////////
//======[ Reset Variables ]======//
///////////////////////////////////

if longClose or not in_longCondition
    averageLongs := 0
    totalLongs := 0.0
    sectionLongs := 0
    sectionLongConditions := 0

if shortClose or not in_shortCondition
    averageShorts := 0
    totalShorts := 0.0
    sectionShorts := 0
    sectionShortConditions := 0

////////////////////////////////////////////
//======[ Strategy Entry and Exits ]======//
////////////////////////////////////////////

// Comment out to use alerts
if testPeriod()
    strategy.entry("Long", 1, when=longCondition)
    strategy.entry("Short", 0,  when=shortCondition)
    strategy.close("Long", when=longClose)
    strategy.close("Short", when=shortClose)

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