ChaoZhang
本策略名称为“多动量指标融合的加密货币交易策略”。该策略通过整合MFI、RSI和Stoch RSI三个动量指标,判断加密货币的超买超卖形态,产生交易信号。
MFI指标即资金流量指标。它综合考虑成交量和价格信息,判断市场买卖力道强弱。MFI低于20表示超卖,高于80表示超买。
RSI指标即相对强弱指数。它描绘价格的超买超卖水平。RSI低于30表示超卖,高于70表示超买。
Stoch RSI指标是RSI指标的变体。它判断RSI指标本身是否超买超卖。参数设置为20-80代表超买超卖区。
本策略的交易逻辑:
当MFI、RSI和Stoch RSI三个指标同时低于超卖区域,视为多重超卖信号,做多;
当三个指标同时高于超买区域,视为多重超买信号,做空。
该策略的优势在于通过多指标确认,可以过滤假信号,提高入场的准确率。但参数设置需要充分优化,并配合止损来控制风险。
总体而言,动量指标对加密货币价格的脉动较为敏感,多指标融合可以提升策略稳健性。但交易者仍需关注市场结构的变化,保持策略灵活调整的意识。靠单一策略难以完美应对市场的多变性。
策略源码
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 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/
// Crypto Crew strategy entry signal long/short with stop loss. Exit signal not provided.
//
// Indicators: MFI + RSI + STOCH RSI
// Entry criteria: long when the three are oversold, short when the three indicators are overbought.
// Exit criteria: Take profit at Fib levels (not demonstrated here) measured from prevous highs/low.
// Feel free to contribute
//@version=4
strategy("Crypto Crew")
//inputs
source = hlc3
rsi_length = input(14, minval=1)
mfi_lenght = input(14, minval=1)
smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
okay = "Okay"
good = "Good"
veryGood = "Very good"
tradingOpportunity = input(title="Opportunity Type", defval=veryGood, options=[okay, good, veryGood])
longThreshhold = tradingOpportunity==okay? 40 : tradingOpportunity==good ? 30 : tradingOpportunity==veryGood? 20 : 0
shortThreshhold = tradingOpportunity==okay? 60 : tradingOpportunity==good ? 70 : tradingOpportunity==veryGood? 80 : 0
//lines
mfi = mfi(source, mfi_lenght)
rsi = rsi(source, rsi_length)
rsi1 = rsi(close, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
longSignal = mfi<longThreshhold and rsi<longThreshhold and k<longThreshhold and d<longThreshhold? 1:-1
shortSignal = mfi>shortThreshhold and rsi>shortThreshhold and k>shortThreshhold and d>shortThreshhold? 1:-1
if longSignal > 0
strategy.entry("Long", strategy.long)
strategy.exit(id="Long Stop Loss", stop=close*0.8) //20% stop loss
if shortSignal > 0
strategy.entry("Short", strategy.short, stop=close*1.2)
strategy.exit(id="Short Stop Loss", stop=close*1.2) //20% stop loss
plot(k, color=color.blue)
plot(d, color=color.red)
plot(rsi, color=color.yellow)
plot(mfi, color=color.blue)
hline(longThreshhold, color=color.gray, linestyle=hline.style_dashed)
hline(shortThreshhold, color=color.gray, linestyle=hline.style_dashed)