ChaoZhang
本策略通过组合使用双Hull移动平均线和日K线比较,设定多空条件判决阈值进行交易。还设置了止损止盈价格进行风险管理。
策略原理:
计算双Hull移动平均线,并比较当前值与前一周期大小关系。
计算日K线收盘价变化率,设定多空判决阈值。
当快线上穿慢线,且日变化率超过阈值时做多。当快线下穿慢线,且日变化率低于阈值时做空。
设置固定止损止盈价格。价格触及止损止盈时主动平仓。
还可设置最大开仓数量。
该策略的优势:
双HullMA可提高判断准确性。日K线变化率确认龙头方向。
阈值设置避免被反向小幅价格影响。
止损止盈有助锁定利润,控制风险。
该策略的风险:
过高过低的阈值设置会错过交易机会。需谨慎测试。
固定止损止盈价格无法灵活调整,存在不合理设置风险。
HullMA及日变化率均存在滞后问题。
总之,该策略通过双指标判决和风险管理措施进行交易,可在一定程度上提高稳定性。但仍需关注参数优化问题,寻找最佳配置。
策略源码
/*backtest
start: 2022-09-06 00:00:00
end: 2023-02-21 00:00:00
period: 5d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
// Hull_MA_cross & Daily_Candle_cross combination with TP$ & SL$ setting
// (new script reducing effect of repaint on results)
//
strategy("Decision Threshold", shorttitle="DT", overlay=true, default_qty_type=strategy.percent_of_equity, max_bars_back=720, default_qty_value=100, calc_on_order_fills= true, calc_on_every_tick=true, pyramiding=0)
keh=input(title="Double HullMA",defval=14, minval=1)
dt = input(defval=0.0010, title="Decision Threshold", step=0.0001)
SL = input(defval=-50000.00, title="Stop Loss in $", step=1)
TP = input(defval=100000.00, title="Target Point in $", step=1)
p=input(ohlc4)
ot=1
n2ma=2*wma(p,round(keh/2))
nma=wma(p,keh)
diff=n2ma-nma
sqn=round(sqrt(keh))
n2ma1=2*wma(p[1],round(keh/2))
nma1=wma(p[1],keh)
diff1=n2ma1-nma1
sqn1=round(sqrt(keh))
n1=wma(diff,sqn)
n2=wma(diff1,sqn)
b=n1>n2?lime:red
c=n1>n2?green:red
d=n1>n2?red:green
a1=plot(n1,color=c)
a2=plot(n2,color=c)
plot(cross(n1, n2) ? n1 : na, style = circles, color=b, linewidth = 4)
plot(cross(n1, n2) ? n1 : na, style = line, color=d, linewidth = 4)
confidence=(security(syminfo.tickerid, 'D', p)-security(syminfo.tickerid, 'D', p[1]))/security(syminfo.tickerid, 'D', p[1])
closelong = n1<n2 and p<n2 and confidence<dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closelong)
strategy.close("Long")
closeshort = n1>n2 and p>n2 and confidence>dt or strategy.openprofit<SL or strategy.openprofit>TP
if (closeshort)
strategy.close("Short")
longCondition = n1>n2 and strategy.opentrades<ot and confidence>dt and p>n2
if (longCondition)
strategy.entry("Long",strategy.long)
shortCondition = n1<n2 and strategy.opentrades<ot and confidence<dt and p<n2
if (shortCondition)
strategy.entry("Short",strategy.short)