ゴールデンクロス取引戦略
作成日:
2024-01-26 14:29:01
最終変更日:
2024-01-26 14:29:01
コピー:
4
クリック数:
613
ChaoZhang
1
フォロー
1617
フォロワー
概要
双均線交差 golden cross 取引戦略は,2つの異なる周期の移動平均の交差を買入と売却の信号として利用する.具体的には,短周期移動平均が下方から長期移動平均を突破すると,黄金の交差信号が生成され,市場がブルに転じることを示す.短周期移動平均が上方から下方から長い周期移動平均を突破すると,死亡交差信号が生成され,市場がベアに転じることを示す.
戦略原則
この戦略は2つの原則に基づいています.
移動平均は市場の傾向と力を反映する. 短期移動平均は,市場の最近の動きと転換点を捉える. 長期移動平均は,市場の主要トレンドを示す.
短期移動平均と長期移動平均が黄金交差を形成するときは,短期市場勢力が長期のトレンド勢力を上回るので,新しい上昇傾向が始まる可能性が高いことを示している.死交差を形成するときは,長期の下落傾向が優位であることを示すので,継続的な下落の可能性が高い.
具体的には,この戦略は13周期と30周期の単純な移動平均を設定し,それらの交差時に取引シグナルを生成します.交差の原理は次のとおりです.
短期移動平均線が長期移動平均線を横断すると,金色の交差信号が生じ,多額の取引をする機会を示します.このとき,トレンドの堅強さを評価することによって入場します.価格が一定の周期を超えて上昇を続ければ,当時は上昇傾向であると確信しているので,多額の取引をしてください.
短期移動平均線が長期移動平均線の下を通過すると,デッド・クロス・シグナルが生み出され,空調の機会を示します.このとき,トレンドの強さを評価することによって入場します.価格が一定周期を超えて下落を維持すれば,現在の下落傾向であると確信し,空調します.
交差信号の強さを移動平均の傾度で評価する.交差信号は,短期および長期の移動平均の傾度が特定の値より大きい場合にのみ,入場に値するほどの強さがあると判断する.これは通常のfalse信号の干渉を抑制する.
ストップダストは20%で,ストップは100%です.
優位分析
双等線交差策には以下の利点があります.
思考が明確でシンプルで,理解し,実行しやすく,初心者にも適しています.
価格平均の特性を利用し,短期的な価格変動に誤って導かれないようにする.
傾向の強さを評価し,機械的に空白を余分にしないようにし,大盘の判断を組み合わせる.
移動平均の傾斜動量因子を導入し,信号をより信頼性のあるものにする.
回帰の最適化は単純で,移動平均のパラメータとトレンドの堅持時間などのいくつかの重要なパラメータを調整するだけです.
リスク分析
この戦略には以下のリスクもあります.
双均線交差は本質的に遅滞信号であり,ターニングポイントを完璧に予測できない.一定程度の遅延が存在する.移動平均周期を適切に短縮するか,ターニングポイントを予測できる因子と組み合わせて使用すべきである.
機械取引システムは集団で同時に攻撃されやすいので,行情が過度に悪化し,止損または停止が無効になる.階段の止損停止を設定するか,適切な人工介入を行う.
振動をうまく処理できないので,このような周期で横横に繰り返される品種を避け,明確な方向の品種を選択して取引するべきである.
トレンドの強さを評価する時間窓は,結果に大きな影響があるかどうか,繰り返しテストして最適な値を決定するように設定されます.
最適化の方向
双均線交差戦略は以下の点で最適化できます.
大規模なトレンドを評価する指標を追加し,逆行操作を避ける.例えば,比較周線や月線の位置を追加する.
取引量検証を追加し,取引量が増大した場合にのみ信号を発信し,偽信号を避ける.
移動平均のパラメータを最適化して,最適な周期組み合わせを探します.移動平均のパラメータを自律的に適応させることができます.
主流の公式指標,MACD,KDなどの補助判断と組み合わせて,信号の正確性を向上させる.
階段式止損ブレーキを設定し,リスクをより良くコントロールする.
要約する
双均線交差戦略は,全体として非常に直観的に説明可能な戦略構想である.移動平均の消音特性を融合させ,交差判定の簡単な傾向認識能力である.同時に,信号を一定に検証し,盲目追従を避けることで,その実用性と安定性が向上する.この記事で言及されたいくつかの改善構想を除いて,この戦略には,まだ多くの最適化余地があり,深入の研究に値する.
ストラテジーソースコード
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-25 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © MakeMoneyCoESTB2020
//*********************Notes for continued work***************
//************************************************************
//Hello my fellow investors
//I am creating a simple non-cluttered strategy that uses 3(+1) simple means to determine: viability, entry, and exit
//1) Has a consistent trend been maintained for several days/weeks
//2) SH SMA crossover LG SMA = Bullish entry/LG SMA crossover SH SMA = Bearish entry
//3) Use the Slope factor & Weeks in Trend (WiT) to dertermine how strong of an entry signal you are comfortable with
//4) Exit position based on next SMA cross and trend reversal or stop loss%
//3+1) For added confidence in trend detection: Apply MACD check - buy--> MACD line above signal line and corssover below histogram \\ sell --> MACD line below signal line and crossover above histogram.
//*)This code also allows you to determine your desired backtesting date compliments of alanaster
//This code is the product of many hours of hard work on the part of the greater tradingview community. The credit goes to everyone in the community who has put code out there for the greater good.
//Happy Hunting!
// 1. Define strategy settings*************************************************************************************************************************************************************************
//Title
strategy("KISS Strategy: SMA + EMA", shorttitle="KISS Strat")
//define calculations price source
price = input(title="Price Source", defval=close)
// 2. Calculate strategy values*************************************************************************************************************************************************************************
//Calculate 13/30/200SMA
SH_SMA_length= input(title="SH SMA Length", defval=13) //short SMA length
LG_SMA_length= input(title="LG SMA Length", defval=30) //long SMA length
GV_SMA_length= input(title="SH SMA Length", defval=200) //Gravitational SMA length
SH_SMA=sma(price, SH_SMA_length) //short SMA
LG_SMA=sma(price, LG_SMA_length) //long SMA
GV_SMA=sma(price, GV_SMA_length) //gravitational SMA
//calculate MACD
//define variables for speed
fast = 12, slow = 26
//define parameters to calculate MACD
fastMA = ema(price, fast)
slowMA = ema(price, slow)
//define MACD line
macd = fastMA - slowMA
//define SIGNAL line
signal = sma(macd, 9)
//Determine what type of trend we are in
dcp = security(syminfo.tickerid, 'D', close) //daily close price
wcp = security(syminfo.tickerid, 'W', close) //weekly close price
WiT = input(title="Weeks In Trend", defval=1, maxval=5, minval=1) //User input for how many weeks of price action to evaluate (Weeks in Trend = WiT)
BearTrend = false //initialize trend variables as false
BullTrend = false //initialize trend variables as false
// BullTrend := (wcp > SH_SMA) and (SH_SMA > LG_SMA) //true if price is trending up based on weekly price close
// BearTrend := (wcp < SH_SMA) and (SH_SMA < LG_SMA) //true if price is trending down based on weekly price close
// BullTrend := (price > SH_SMA) and (SH_SMA > LG_SMA) //true if price is trending up
// BearTrend := (price < SH_SMA) and (SH_SMA < LG_SMA) //true if price is trending down
//Determine if the market has been in a trend for 'n' weeks
n=WiT //create loop internal counting variable
for i=1 to WiT //create loop to determine if BearTrend=true to set number of weeks
if (wcp[n] < price) //evaluate if BearTrend=false comparing the current price to a paticular week close
BearTrend := false //set value to false if older price value is less than newer: trending up
break //break out of for loop when trend first falters
if (wcp[n] > price) //evaluate if BearTrend=true comparing the current price to a paticular week close
BearTrend := true //set value to true if older price value is greater than newer: trending down
n:=n-1 //set internal counter one day closer to present
m=WiT //create loop internal counting variable
for j=1 to WiT //create loop to determine if BearTrend=true to set number of weeks
if (wcp[m] > price) //evaluate if BullTrend=false comparing the current price to a paticular week close
BullTrend := false //set value to false if older price value is greater than newer: trending down
break //break out of for loop when trend first falters
if (wcp[m] < price) //evaluate if BullTrend=true comparing the current price to a paticular week close
BullTrend := true //set value to true if older price value is less than newer: trending up
m:=m-1 //set internal counter one day closer to present
//Determine if crossings occur
SH_LGcrossover = crossover(SH_SMA, LG_SMA) //returns true if short crosses over long
SH_LGcrossunder = crossunder(SH_SMA, LG_SMA) //returns true if short crosses under long
//Determine the slope of the SMAs when a cross over occurs
SlopeFactor= input(title="Slope Factor", defval=.01, minval=0, step = 0.001) //user input variable for what slope to evaluate against
XSlopeSH = abs(SH_SMA-SH_SMA[2]) //slope of short moving average (time cancels out)
XSlopeLG = abs(LG_SMA-LG_SMA[2]) //slope of long moving average (time cancels out)
StrongSlope = iff (abs(XSlopeSH-XSlopeLG)>SlopeFactor, true, false) //create a boolean variable to determine is slope intensity requirement is met
// ************************************ INPUT BACKTEST RANGE ******************************************=== coutesy of alanaster
fromMonth = input(defval = 4, title = "From Month", type = input.integer, minval = 1, maxval = 12)
fromDay = input(defval = 1, title = "From Day", type = input.integer, minval = 1, maxval = 31)
fromYear = input(defval = 2020, title = "From Year", type = input.integer, minval = 1970)
thruMonth = input(defval = 1, title = "Thru Month", type = input.integer, minval = 1, maxval = 12)
thruDay = input(defval = 1, title = "Thru Day", type = input.integer, minval = 1, maxval = 31)
thruYear = input(defval = 2112, title = "Thru Year", type = input.integer, minval = 1970)
// === INPUT SHOW PLOT ===
showDate = input(defval = true, title = "Show Date Range", type = input.bool)
// === FUNCTION EXAMPLE ===
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => true
bgcolor(color = showDate and window() ? color.gray : na, transp = 90)
// === EXECUTION ===
//strategy.entry("L", strategy.long, when = window() and crossOv) // enter long when "within window of time" AND crossover
//strategy.close("L", when = window() and crossUn) // exit long when "within window of time" AND crossunder
// 3. Output strategy data*************************************************************************************************************************************************************************
//Embolden line if a trend exists
trendcolorLG = BearTrend?color.red:color.black //highlights beartrend condition met graphically
trendcolorSH = BullTrend?color.green:color.black //highlights beartrend condition met graphically
//plot SMAs
plot(SH_SMA, title = "SH SMA", color = trendcolorSH)
plot(LG_SMA, title = "LG SMA", color = trendcolorLG)
plot(GV_SMA, title = "GV SMA", color = color.silver, linewidth = 4, transp = 70)
//Highlight crossovers
plotshape(series=SH_LGcrossover, style=shape.arrowup, location=location.belowbar,size=size.normal, color=color.green)
plotshape(series=SH_LGcrossunder, style=shape.arrowdown, location=location.abovebar,size=size.normal, color=color.red)
// 4. Determine Long & Short Entry Calculations*************************************************************************************************************************************************************************
//Define countback variable
countback=input(minval=0, maxval=5, title="Price CountBack", defval=0)
//User input for what evaluations to run: SMA or SMA + EMA
SMA_Y_N=input(defval = "Y", title="Run SMA", type=input.string, options=["Y", "N"])
MACD_Y_N=input(defval = "N", title="Run MACD", type=input.string, options=["Y", "N"])
//Calculate SMA Cross entry conditions
SMAbuy=false
SMAsell=false
SMAbuy := SH_LGcrossover and StrongSlope and BearTrend[WiT*7] //enter long if short SMA crosses over long SMA & security has been in a BearTrend for 'n' days back
SMAsell := SH_LGcrossunder and StrongSlope and BullTrend[WiT*7] //enter short if short SMA crosses under long SMA & security has been in a BullTrend for 'n' days back
//Calculate MACD Cross entry conditions
MACDbuy = iff(MACD_Y_N=="Y", crossunder(signal[countback], macd[countback]), true) and iff(MACD_Y_N=="Y", macd[countback]<0, true) and StrongSlope and BearTrend //enter long if fast MACD crosses over slow MACD & there is a strong slope & security has been in a BearTrend for 'n' days back
MACDsell = iff(MACD_Y_N=="Y", crossunder(macd[countback], signal[countback]), true) and iff(MACD_Y_N=="Y", signal[countback]>0, true) and StrongSlope and BullTrend //enter short if fast MACD crosses under slow MACD & there is a strong slope & security has been in a BullTrend for 'n' days back
//long entry condition
dataHCLB=(iff(SMA_Y_N=="Y", SMAbuy, true) and iff(MACD_Y_N=="Y", MACDbuy, true))
plotshape(dataHCLB, title= "HC-LB", color=color.lime, style=shape.circle, text="HC-LB")
strategy.entry("HC-Long", strategy.long, comment="HC-Long", when = dataHCLB and window())
//short entry condition
dataHCSB=(iff(SMA_Y_N=="Y", SMAsell, true) and iff(MACD_Y_N=="Y", MACDsell, true))
plotshape(dataHCSB, title= "HC-SB", color=color.fuchsia, style=shape.circle, text="HC-SB")
strategy.entry("HC-Short", strategy.short, comment="HC-Short", when=dataHCSB and window())
// 5. Submit Profit and Loss Exit Calculations Orders*************************************************************************************************************************************************************************
// User Options to Change Inputs (%)
stopPer = input(12, title='Stop Loss %', type=input.float) / 100
takePer = input(25, title='Take Profit %', type=input.float) / 100
// Determine where you've entered and in what direction
longStop = strategy.position_avg_price * (1 - stopPer)
shortStop = strategy.position_avg_price * (1 + stopPer)
shortTake = strategy.position_avg_price * (1 - takePer)
longTake = strategy.position_avg_price * (1 + takePer)
//exit position conditions and orders
if strategy.position_size > 0//or crossunder(price[countback], upperBB)
strategy.exit(id="Close Long", when = window(), stop=longStop, limit=longTake)
if strategy.position_size < 0 //or crossover(price[countback], lowerBB)
strategy.exit(id="Close Short", when = window(), stop=shortStop, limit=shortTake)
//Evaluate/debug equation***************************************************************************************************************************************************************************
// plotshape((n==5? true : na), title='n=5', style=shape.labeldown, location=location.abovebar, text='5', color=color.white, textcolor=color.black, transp=0) //print n value if 5
// plotshape((n==4? true : na), title='n=4', style=shape.labeldown, location=location.abovebar, text='4', color=color.white, textcolor=color.black, transp=0) //print n value if 4
// plotshape((n==3? true : na), title='n=3', style=shape.labeldown, location=location.abovebar, text='3', color=color.white, textcolor=color.black, transp=0) //print n value if 3
// plotshape((n==2? true : na), title='n=2', style=shape.labeldown, location=location.abovebar, text='2', color=color.white, textcolor=color.black, transp=0) //print n value if 2
// plotshape((n==1? true : na), title='n=1', style=shape.labeldown, location=location.abovebar, text='1', color=color.white, textcolor=color.black, transp=0) //print n value if 1
// lineValue = 11 //set random visible line value to check when equation is true
// colorP = (BearTrend==true) ? color.green : color.red
// plot (lineValue, title = "BearTrend", color = colorP) //Plot when condition true=green, false=red
// plot (XSlopeLG+15, color=color.white) //used for code debugging
// plot (XSlopeSH+15, color=color.blue) //used for code debugging
// plot (abs(XSlopeSH-XSlopeLG)+20, color=color.fuchsia) //used for code debugging