ChaoZhang
1
fokus pada
1617
Pengikut
Ini ialah strategi perdagangan momentum yang komprehensif berdasarkan penunjuk persilangan purata bergerak berbilang dan penunjuk harga volum. Strategi ini menjana isyarat dagangan berdasarkan gabungan berbilang penunjuk seperti persilangan purata pergerakan eksponen (EMA) yang pantas dan perlahan, harga purata wajaran volum (VWAP) dan SuperTrend, sambil juga menggabungkan tetingkap masa dagangan intrahari dan Syarat seperti julat perubahan harga adalah digunakan untuk mengawal keluar masuk.
Prinsip Strategi
Strategi menggunakan EMA 5 hari dan 13 hari sebagai penunjuk pertimbangan arah aliran utama Apabila EMA pantas melintasi EMA perlahan dan harga penutupan di atas VWAP, isyarat panjang dicetuskan apabila EMA pantas melintasi di bawah EMA perlahan dan harga penutupan adalah di bawah VWAP, isyarat panjang dicetuskan Apabila ia turun, isyarat pendek dicetuskan. Pada masa yang sama, strategi itu juga memperkenalkan penunjuk SuperTrend sebagai asas untuk pengesahan arah aliran dan henti rugi. Strategi ini menetapkan syarat kemasukan yang berbeza untuk hari dagangan yang berbeza, termasuk julat perubahan harga berbanding dengan harga penutupan hari dagangan sebelumnya, julat turun naik harga tertinggi dan terendah pada hari itu, dsb.
Kelebihan Strategik
- Penggunaan berbilang penunjuk teknikal yang diselaraskan meningkatkan kebolehpercayaan isyarat dagangan
- Tetapkan syarat kemasukan yang berbeza untuk hari dagangan yang berbeza untuk menyesuaikan diri dengan ciri pasaran dengan lebih baik
- Mengguna pakai mekanisme henti untung dan henti rugi dinamik boleh mengawal risiko dengan berkesan
- Digabungkan dengan sekatan tetingkap masa dagangan intrahari, risiko tempoh turun naik yang tinggi dapat dielakkan
- Dengan mengehadkan mata tinggi dan rendah sebelumnya dan julat turun naik harga, risiko mengejar tinggi dan menjual rendah dikurangkan.
Risiko Strategik
- Isyarat palsu mungkin muncul dalam keadaan pasaran yang bergerak pantas
- Mungkin terdapat ketinggalan pada peringkat awal pembalikan arah aliran
- Pengoptimuman parameter mungkin mempunyai risiko overfitting
- Kos urus niaga boleh menjejaskan pulangan strategi
- Pasaran mungkin menghadapi pengeluaran besar semasa tempoh turun naik yang tinggi
Arah pengoptimuman strategi
- Pertimbangkan untuk memperkenalkan penunjuk analisis volum untuk mengesahkan lagi kekuatan aliran
- Optimumkan tetapan parameter untuk hari dagangan yang berbeza untuk meningkatkan kebolehsesuaian strategi
- Tambahkan lebih banyak penunjuk sentimen pasaran untuk meningkatkan ketepatan ramalan
- Meningkatkan mekanisme henti untung dan henti rugi untuk meningkatkan kecekapan penggunaan modal
- Pertimbangkan untuk menambah penunjuk turun naik untuk mengoptimumkan pengurusan kedudukan
ringkaskan
Strategi ini menggabungkan penjejakan arah aliran dan dagangan momentum melalui penggunaan menyeluruh pelbagai penunjuk teknikal. Reka bentuk strategi mempertimbangkan sepenuhnya kepelbagaian pasaran dan menerima pakai peraturan dagangan yang berbeza untuk hari dagangan yang berbeza. Melalui kawalan risiko yang ketat dan mekanisme henti untung dan henti rugi yang fleksibel, strategi ini menunjukkan nilai aplikasi praktikal yang baik. Pada masa hadapan, kestabilan dan keuntungan strategi boleh dipertingkatkan dengan memperkenalkan lebih banyak petunjuk teknikal dan mengoptimumkan tetapan parameter.
Kod sumber strategi
/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-04 08:00:00
period: 1d
basePeriod: 1d
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/
//@version=6
strategy("S1", overlay=true)
fastEMA = ta.ema(close, 5)
slowEMA = ta.ema(close,13)
ema9 = ta.ema(close, 9)
ema100 = ta.ema(close, 100)
ema5 = ta.ema(close, 5)
ema200 = ta.ema(close, 200)
ma = ta.sma(close, 50)
mult = input.float(defval=3)
len = input.int(defval=11)
[superTrend, dir] = ta.supertrend(mult, len)
vwap1= ta.vwap(hlc3)
plot(slowEMA,color = color.green)
plot(fastEMA,color = color.black)
plot(vwap1, color = color.blue)
var dailyTaskDone = false
var gapdown = false
var gapup = false
var runup = 0.0
var biggapdown = false
var biggapup = false
var prevDayClose = 0.0
var todayLow = 0.0
var todayHigh = 0.0
var noBuyNow = false
var noSellNow = false
var buyPrice = 0.0
var sellPrice = 0.0
var todayBuyDone = false
var todaySellDone = false
var dragonflyDoji = false
var candleCount = 0
var candleCount1 = 0
var lastTrade = 9
var lastFiveCandles = false
var lastSevenCandlesS = false
var fiveEMACC = 0
candleCount := candleCount + 1
candleCount1 := candleCount1 + 1
if fiveEMACC > 0
fiveEMACC := fiveEMACC + 1
if fiveEMACC == 6
fiveEMACC := 0
if strategy.openprofit == 0
candleCount := 0
if hour == 9 and minute ==15
prevDayClose := close[1]
todayLow := low
todayHigh := high
lastTrade := 9
if hour == 9 and minute ==15 and (open - close[1]) > close*0.01
gapup := true
if hour == 9 and minute ==15 and (open - close[1]) < close*0.005*-1
gapdown := true
if hour == 9 and minute ==15 and (close - close[1]) > 200
biggapup := true
if hour == 9 and minute ==15 and (close - close[1]) < 200
biggapdown := true
if low < todayLow
todayLow := low
candleCount1 := 0
if high > todayHigh
todayHigh := high
if close > todayLow + 200
noBuyNow := true
if close < todayHigh - 200//0.01*close
noSellNow := false
lastFiveCandles := (close[4]<open[4] or close[3]<open[3] or close[2] < open[2] or close[1]<open[1])
lastSevenCandlesS := (close[6]>open[6] or close[5]>open[5] or close[4]>open[4] or close[3]>open[3] or close[2] > open[2] or close[1]>open[1])
if hour == 15
dailyTaskDone := false
gapdown := false
gapup := false
biggapup := false
biggapdown := false
noBuyNow := false
noSellNow := false
todayLow := 0.0
todayHigh := 0.0
buyPrice := 0.0
sellPrice := 0.0
todayBuyDone := false
todaySellDone := false
dragonflyDoji := false
lastTrade := 9
// if fastEMA < slowEMA and lastTrade == 1 and strategy.openprofit==0
// lastTrade := 9
if fastEMA > slowEMA and lastTrade == 0 and strategy.openprofit==0
lastTrade := 9
buy = (dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or
(dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
(dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
(dayofweek==dayofweek.friday and ((fastEMA - slowEMA > close*0.001))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
sell= (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and lastSevenCandlesS and close[1] < vwap1[1]) or
(dayofweek==dayofweek.monday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or
(dayofweek==dayofweek.tuesday and (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10) and not dragonflyDoji and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
(dayofweek==dayofweek.wednesday and (hour!=9 or minute>=40) and close<open and (slowEMA - fastEMA > close*0.00089) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or
(dayofweek==dayofweek.friday and ((slowEMA - fastEMA > close*0.00089)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) )
// buy = (dayofweek==dayofweek.thursday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1]) or
// (dayofweek==dayofweek.monday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.011) or
// (dayofweek==dayofweek.tuesday and (fastEMA > slowEMA) and close > vwap1 and close[1] > vwap1[1] and lastFiveCandles and close-prevDayClose < close*0.015 and close-todayLow < close*0.012) or
// (dayofweek==dayofweek.wednesday and (fastEMA > slowEMA) and close > vwap1 and close-prevDayClose < close*0.015 and (hour!=9 or minute>=35) and close-todayLow < close*0.012) or
// (dayofweek==dayofweek.friday and ((fastEMA > slowEMA))and close > vwap1 and close[1] > vwap1[1] and (hour!=9 or minute>=35))
// sell= (dayofweek==dayofweek.thursday and (hour!=9 or minute>=35) and ((slowEMA > fastEMA)) and close < vwap1 and lastSevenCandlesS and close[1] < vwap1[1]) or
// (dayofweek==dayofweek.monday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.008 and todayHigh-close[1] < close * 0.01 ) or
// (dayofweek==dayofweek.tuesday and (hour!=9 or minute>=35) and (open - low < 2*(high-close)) and (close-open<10) and not dragonflyDoji and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and prevDayClose-close<close*0.012 and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
// (dayofweek==dayofweek.wednesday and (hour!=9 or minute>=40) and close<open and (slowEMA > fastEMA) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (close-todayLow>30 or candleCount1<1) ) or
// (dayofweek==dayofweek.friday and ((slowEMA > fastEMA)) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and (hour!=9 or minute>=55) )
dragonflyDoji:= false
// (slowEMA - fastEMA > close*0.00089 or (slowEMA-fastEMA>close*0.00049 and (high[2]>vwap or high[1]>vwap)))
if sellPrice != 0 and runup < sellPrice - low
runup := sellPrice - low
if buyPrice != 0 and runup < high - buyPrice
//ourlabel = label.new(x=bar_index, y=na, text=tostring(runup), yloc=yloc.belowbar)
runup := high - buyPrice
NoBuySellTime = (hour == 15) or ((hour==14 and minute>=25)) or (hour==9 and minute<=35) or hour >= 14
//(fiveEMACC > 0 and low < fastEMA and close < vwap1)
buyexit = fastEMA<slowEMA or (close<superTrend and close < vwap1 and close[1] < vwap1[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
sellexit = slowEMA<fastEMA or (close > vwap1 and close[1] > vwap1[1] and close>superTrend) //or strategy.openprofit > 400 or strategy.openprofit < -5000
exitPosition = (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > 50) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > 80) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek==dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and buyPrice!=0.0 and (high - buyPrice) > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and sellPrice!=0.0 and (sellPrice - low) > 30)
//code such that 2 fastema is > than 2 slowema
//exitPosition = (sellPrice!=0 and runup >21 and strategy.openprofit < -2000) or (candleCount > 18 and strategy.openprofit > 50 and strategy.openprofit < 1000) or (dayofweek==dayofweek.thursday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.007) or (dayofweek==dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.007) or (dayofweek==dayofweek.monday and buyPrice !=0.0 and high-buyPrice > 30) or (dayofweek!=dayofweek.thursday and dayofweek!=dayofweek.monday and buyPrice!=0.0 and (high - buyPrice) > buyPrice * 0.002) or (dayofweek!=dayofweek.thursday and sellPrice!=0.0 and (sellPrice - low) > sellPrice * 0.002)
//(runup >21 and strategy.openprofit < -2000) or
if buy and fastEMA>vwap1 and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
strategy.entry("buy", strategy.long)
//dailyTaskDone := true
if buyPrice == 0.0
fiveEMACC := 1
buyPrice := close
//ourlabel = label.new(x=bar_index, y=na, text=tostring(todayLow + 500), yloc=yloc.belowbar9
todayBuyDone := true
lastTrade := 1
runup := 0.0
if sell and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone // and dayofweek!=dayofweek.friday //and (dayofweek==dayofweek.friday or (prevDayClose-close)<150)//and not biggapdown
strategy.entry("sell", strategy.short)
//dailyTaskDone := true
if sellPrice == 0.0
fiveEMACC := 1
sellPrice := close
todaySellDone := true
lastTrade := 0
runup := 0.0
// if ((fastEMA-slowEMA>18 and close>vwap and close[1]>vwap[1] and (not todayBuyDone or candleCount>12)) or (slowEMA-fastEMA>10 and close < vwap and close[1]<vwap[1] and (not todaySellDone or candleCount > 12))) and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(abs(prevDayClose-close)), yloc=yloc.belowbar)
IntraDay_SquareOff = minute >=15 and hour >= 15
if true and (IntraDay_SquareOff or exitPosition)
strategy.close("buy")
strategy.close("sell")
buyPrice := 0
sellPrice := 0
runup := 0.0
if buyexit
strategy.close("buy")
buyPrice := 0
if sellexit
strategy.close("sell")
sellPrice := 0
buy1 = ((dayofweek==dayofweek.thursday and (fastEMA - slowEMA > close*0.001) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.monday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1]) or
(dayofweek==dayofweek.tuesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and not gapup) or
(dayofweek==dayofweek.wednesday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close-prevDayClose < close*0.0085) or
(dayofweek==dayofweek.friday and (fastEMA - slowEMA > close*0.0013) and close > vwap1 and close[1] > vwap1[1] and close - todayLow < close*0.012))
and dayofweek!=dayofweek.friday and (not todayBuyDone or lastTrade != 1) and not NoBuySellTime// and not dailyTaskDone //and (dayofweek==dayofweek.friday or (close-prevDayClose)<150)//and not biggapup
sell1= ((dayofweek==dayofweek.thursday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1]) or
(dayofweek==dayofweek.monday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and todayHigh-close < close*0.01 and todayHigh-close[1] < close * 0.01) or
(dayofweek==dayofweek.tuesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not gapdown and not dragonflyDoji and todayHigh-close < close*0.009 and todayHigh-close[1] < close * 0.009) or
(dayofweek==dayofweek.wednesday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close) or
(dayofweek==dayofweek.friday and (slowEMA - fastEMA > close*0.00079) and close < vwap1 and close[1] < vwap1[1] and not dragonflyDoji and prevDayClose-close < 0.005*close)) and
dayofweek!=dayofweek.friday and (not todaySellDone or lastTrade != 0) and not NoBuySellTime// and not dailyTaskDone
// if buy1 and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(fastEMA - slowEMA), yloc=yloc.belowbar)
// if sell1 and strategy.openprofit==0
// ourlabel = label.new(x=bar_index, y=na, text=tostring(slowEMA - fastEMA), yloc=yloc.belowbar)
// buy = ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 20)
// sell= ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 10) or ((fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]) and (slowEMA - fastEMA) > 20)
// buy = (fastEMA > slowEMA and fastEMA[1] < slowEMA[1])
// sell= (fastEMA < slowEMA and fastEMA[1] > slowEMA[1] )
// buy = ((fastEMA > slowEMA and fastEMA[1] < slowEMA[1]) and (fastEMA - slowEMA) > 10) or ((fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]) and (fastEMA - slowEMA) > 1)
// sell= ((fastEMA < slowEMA and fastEMA[1] > slowEMA[1] ) and (slowEMA - fastEMA) > 5)
// buy = fastEMA > slowEMA and fastEMA[1] > slowEMA[1] and fastEMA[2] < slowEMA[2]
// sell= fastEMA < slowEMA and fastEMA[1] < slowEMA[1] and fastEMA[2] > slowEMA[2]
//Daily chart
// buyexit = (close + 40 < slowEMA)//rsi > 65 and fastEMA > ema9 // fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200) //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close - 40 > slowEMA)//rsi < 35 // and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2
// buyexit = (close < superTrend)// and (close < vwap1 and close[1] < vwap1[1] and close < close[1])//and close[2] < vwap1[2]//rsi > 65 and close < fastEMA// fastEMA > ema9// close < fastEMA//(rsi > 65 and close < fastEMA and fastEMA > ema3 and close > ema200) //strategy.openprofit < -10000 and slowEMA > ema3 and slowEMA[1] < ema3[1] and 1==2
// sellexit = (close > superTrend)// and (close > vwap1 and close[1] > vwap1[1] and close > close[1]) //and close[2] > vwap1[2]//rsi < 35// and close > ema200) or (rsi < 35 and close < ema200 and fastEMA < ema3) //strategy.openprofit < -10000 and fastEMA < ema3 and fastEMA[1] > ema3[1] and 1==2
// buyexit = (close < superTrend and close < vwap1 and close[1] < vwap1[1] and close[1] < superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000
// sellexit = (close > superTrend and close > vwap1 and close[1] > vwap1[1] and close[1] > superTrend[1]) //or strategy.openprofit > 400 or strategy.openprofit < -5000