二重移動平均の堅牢な取引戦略

作成日: 2024-02-05 10:57:28 最終変更日: 2024-02-05 10:57:28

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二重移動平均の堅牢な取引戦略

概要

双移動平均の安定取引戦略は,相対的に強い指数 ((RSI) と変化率指数 ((ROC) の二重の力を融合して,中長期トレンドの方向を識別する.この戦略は,フィルタリング条件とストップ条件を同時に設定し,トレンドの方向の確認に基づいてエントリーを行うことを実現し,偽突破によるリスクを効果的に軽減します.

戦略原則

この戦略は,RSI指標とROC指標の組み合わせに基づいて,入場タイミングを判断する.価格が相対的な超売り地域に近づくと,構造の転換点とみなされ,反転信号を形成する.価格が相対的な超売り地域で波動すると,現在の傾向はしばらく続くことを示している.ROC指標は,変化率の観点から価格変化の傾向と強さを判断する.両者の組み合わせは,市場構造の判断において互補を形成する.

さらに,この戦略は,中長線トレンド判断のSMAと短期ストップラインの2つのフィルター条件を追加している.これは,戦略が中長線トレンド方向の確認のみで,短期間のストップ損失リスクがない前提で入場することを可能にします.この配置は,震動状況で閉じ込められる機会を減らすことができ,トレーダーにとってリスクは制御可能です.

この戦略の柔軟な入力設定は,トレーダーがRSIまたはROCのいずれかの指標のみを入場ベースとして使用するか,両者の組み合わせを使用して,異なる品種と状況のタイプに最適化することを選択する自由を与え,戦略の適用範囲をさらに拡大します.

優位分析

この戦略の最大の利点は,トレンドと反転信号を組み合わせて入場判断を行うことであり,トレンド要因と構造的機会の両方を考慮し,市場の構造の変化に基づいて入場タイミングの正確さを保証することができます. RSIとROCの組み合わせの使用は,単一の指標と比較して,この戦略を市場のランダムなノイズに対するより強い抵抗力にもなります.

もう一つの優点は,戦略に組み込まれたトレンドフィルター (SMA) と短期ストップで,波動的な状況で被ばく確率を効果的に減らすことができる.トレンド判断と短期ストップの2つの防線の設定は,これをリスクが制御可能な安定した戦略にします.

最後に,この戦略は,複数のパラメータ設定の組み合わせを内蔵しており,トレーダーは,異なる品種と市場情勢タイプに対して最適化することができます.これは,戦略の適用面を非常に広くしています.トレンド情勢であれ,整合情勢であれ,この戦略は,市場変化に適応するためにパラメータを調整することができます.

リスク分析

この戦略の最大のリスクは,RSIやROCなどの反転信号指標が一定の遅延があることです. 傾向が変化したとき,これらの指標は,パラメータが設定された門檻レベルに到達するために一定の遅延があります. この遅延は,戦略の入場時間が遅れており,トレンドの初期開始段階を捕捉することができません.

もう一つの潜在的なリスクは,振動的なトレンドでは,RSIとROCのパラメータ設定が過度に敏感になり,特定の偽信号を生成する可能性があります.短期停止が誘発される場合,これらの偽信号は,実際の損失を直接引き起こします.

最適化の方向

この戦略は以下の点で最適化できます.

KDJ,MACDなどのより多くの指標を組み合わせ,より多くの次元を使用して市場の構造を判断し,信号の正確性を向上させる
RSIとROCのパラメータ設定に適応最適化メカニズムが追加され,インジケータのパラメータがリアルタイム変動に動的に調整できるようになります.
入場論理を最適化し,トレンド指数と逆転指数が条件を満たしたときに一定の確認メカニズムを設定し,振動中に発生する偽信号を避ける
ストップ範囲を拡大するか,または,ストップが密集しているため,余剰利益を減らすために,反転に余裕を与えるために,フリーストップを設定する.

要約する

双移動平均の堅調な取引戦略は,トレンド判断と反転指標を組み合わせて,中長線のトレンド確認に基づいて構造的機会を捕捉することに成功している.この戦略は,強力な構成性も備えている.トレーダーは,個々の株と状況タイプに対してパラメータを最適化することができます.内蔵された二重の保護メカニズムも,それをリスク管理可能なものにします.さらに多くの指標を統合するか,自主パラメータ調整メカニズムを確立するかの選択によって,この戦略のパフォーマンスは拡張の余地があります.

ストラテジーソースコード

/*backtest
start: 2024-01-05 00:00:00
end: 2024-02-04 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/
// © GlobalMarketSignals

//@version=4
strategy("GMS: RSI & ROC Strategy", overlay=true)

LongShort = input(title="Long Only or Short Only or Both?", type=input.string, defval="Both", options=["Both", "Long Only", "Short Only"])
RSIroc = input(title="RSI Only, ROC Only, Both?", type=input.string, defval="Both", options=["Both", "RSI Only", "ROC Only"])
RSILength = input(title="RSI Length", type = input.integer ,defval=14)
RSIUpper = input(title="RSI Upper Threshold", type = input.float ,defval=70)
RSILower = input(title="RSI Lower Threshold", type = input.float ,defval=30)
ROCLength = input(title="ROC Length", type = input.integer ,defval=14)
ROCUpper = input(title="ROC Upper Threshold", type = input.float ,defval=0.01)
ROCLower = input(title="ROC Lower Threshold", type = input.float ,defval=-0.01)
LongExit = input(title="Long Exit SMA Length", type = input.integer ,defval=5)
ShortExit = input(title="Short Exit SMA Length", type = input.integer ,defval=5)
AboveBelow = input(title="Trend SMA Filter?", type=input.string, defval="Above", options=["Above", "Below", "Don't Include"])
TrendLength = input(title="Trend SMA Length", type = input.integer ,defval=200)

//RSI ONLY
 //Long Side

if LongShort =="Long Only" and AboveBelow == "Above" and RSIroc == "RSI Only"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and close< sma(close,LongExit) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Long Only" and AboveBelow == "Below" and RSIroc == "RSI Only"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and close< sma(close,LongExit) and close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Long Only" and AboveBelow == "Don't Include" and RSIroc == "RSI Only"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and close< sma(close,LongExit))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Above" and RSIroc == "RSI Only"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and close< sma(close,LongExit) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Below" and RSIroc == "RSI Only"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and close< sma(close,LongExit) and close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Don't Include" and RSIroc == "RSI Only"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and close< sma(close,LongExit))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
//RSI ONLY
 //SHORT SIDE

if LongShort =="Short Only" and AboveBelow == "Above" and RSIroc == "RSI Only"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and close> sma(close,ShortExit) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Short Only" and AboveBelow == "Below" and RSIroc == "RSI Only"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and close> sma(close,ShortExit) and close<sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Short Only" and AboveBelow == "Don't Include" and RSIroc == "RSI Only"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and close> sma(close,ShortExit))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Above" and RSIroc == "RSI Only"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and close> sma(close,ShortExit) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Below" and RSIroc == "RSI Only"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and close> sma(close,ShortExit) and close<sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Don't Include" and RSIroc == "RSI Only"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and close> sma(close,ShortExit))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
///////-----------------/////////////
///////-----------------/////////////
///////-----------------/////////////
    
    
//ROC ONLY
 //Long Side

if LongShort =="Long Only" and AboveBelow == "Above" and RSIroc == "ROC Only"
    strategy.entry("LONG", true, when = roc(close,ROCLength)<ROCLower and close< sma(close,LongExit) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Long Only" and AboveBelow == "Below" and RSIroc == "ROC Only"
    strategy.entry("LONG", true, when = roc(close,ROCLength)<ROCLower and close< sma(close,LongExit) and close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Long Only" and AboveBelow == "Don't Include" and RSIroc == "ROC Only"
    strategy.entry("LONG", true, when = roc(close,ROCLength)<ROCLower and close< sma(close,LongExit))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Above" and RSIroc == "ROC Only"
    strategy.entry("LONG", true, when = roc(close,ROCLength)<ROCLower and close< sma(close,LongExit) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Below" and RSIroc == "ROC Only"
    strategy.entry("LONG", true, when = roc(close,ROCLength)<ROCLower and close< sma(close,LongExit) and close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Don't Include" and RSIroc == "ROC Only"
    strategy.entry("LONG", true, when = rsi(close,ROCLength)<ROCLower and close< sma(close,LongExit))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
//ROC ONLY
 //SHORT SIDE

if LongShort =="Short Only" and AboveBelow == "Above" and RSIroc == "ROC Only"
    strategy.entry("SHORT", false, when = roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Short Only" and AboveBelow == "Below" and RSIroc == "ROC Only"
    strategy.entry("SHORT", false, when = roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close<sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Short Only" and AboveBelow == "Don't Include" and RSIroc == "ROC Only"
    strategy.entry("SHORT", false, when = roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Above" and RSIroc == "ROC Only"
    strategy.entry("SHORT", false, when = roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Below" and RSIroc == "ROC Only"
    strategy.entry("SHORT", false, when = roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close<sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Don't Include" and RSIroc == "ROC Only"
    strategy.entry("SHORT", false, when = roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
   
    
///////-----------------/////////////
///////-----------------/////////////
///////-----------------/////////////   

    
//BOTH
 //Long Side

if LongShort =="Long Only" and AboveBelow == "Above" and RSIroc == "Both"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and roc(close,ROCLength)<ROCLower and close< sma(close,LongExit) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Long Only" and AboveBelow == "Below" and RSIroc == "Both"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and roc(close,ROCLength)<ROCLower and close< sma(close,LongExit) and close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Long Only" and AboveBelow == "Don't Include" and RSIroc == "Both"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and roc(close,ROCLength)<ROCLower  and close< sma(close,LongExit))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Above" and RSIroc == "Both"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and roc(close,ROCLength)<ROCLower  and close< sma(close,LongExit) and close>sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Below" and RSIroc == "Both"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and roc(close,ROCLength)<ROCLower  and close< sma(close,LongExit) and close<sma(close,TrendLength))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
if LongShort =="Both" and AboveBelow == "Don't Include" and RSIroc == "Both"
    strategy.entry("LONG", true, when = rsi(close,RSILength)<RSILower and roc(close,ROCLength)<ROCLower  and close< sma(close,LongExit))
    strategy.close("LONG", when = close>sma(close,LongExit))
    
//BOTH
 //SHORT SIDE

if LongShort =="Short Only" and AboveBelow == "Above" and RSIroc == "Both"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Short Only" and AboveBelow == "Below" and RSIroc == "Both"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close<sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Short Only" and AboveBelow == "Don't Include" and RSIroc == "Both"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Above" and RSIroc == "Both"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close>sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Below" and RSIroc == "Both"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit) and close<sma(close,TrendLength))
    strategy.close("SHORT", when = close<sma(close,ShortExit))
    
if LongShort =="Both" and AboveBelow == "Don't Include" and RSIroc == "Both"
    strategy.entry("SHORT", false, when = rsi(close,RSILength)>RSIUpper and roc(close,ROCLength)>ROCUpper and close> sma(close,ShortExit))
    strategy.close("SHORT", when = close<sma(close,ShortExit))

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