ChaoZhang
策略原理
该策略利用多组移动平均线与RSI指标进行组合交易。当快速EMA下穿慢速EMA,并且RSI显示超卖时做空;当价格重新上穿均线时平仓。
具体交易逻辑:
计算4组不同周期的指数移动平均线,例如9日、26日、100日和55日均线
当9日EMA下穿26日EMA时,考虑做空信号
同时,RSI指标低于阈值(如40)时激活做空信号,避免超卖反弹
入场做空后,当价格上穿55日或100日EMA时平空仓
可设置不同均线周期组合,优化参数
该策略充分利用多均线判断趋势,并辅助RSI指标来过滤假信号,在超卖点位做空。
策略优势
多均线组合判断,提高准确性
RSI指标避免超卖反弹的风险
较短均线做策略,较长均线止损,回撤控制
策略风险
需要反复测试确定合适的参数
RSI参数设置需要审慎评估
仅做空策略,可能错过多头机会
总结
该策略综合运用多均线的优势,辅以RSI指标过滤信号。参数优化和止损设置对策略效果至关重要。但仅做空交易亦是一大局限。
策略源码
/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 3h
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/
// © YukalMoon
//@version=5
strategy(title="EMA SCALPEUR", overlay=true, initial_capital = 1000)
//// input controls
EMA_L = input.int (title = "EMA_L", defval = 9, minval = 1, maxval = 100, step =1)
EMA_L2 = input.int (title = "EMA_L2", defval = 26, minval = 1, maxval = 100, step =1)
EMA_S = input.int (title = "EMA_S", defval = 100, minval = 1, maxval = 100, step =1)
EMA_S2 = input.int (title = "EMA_S2", defval = 55, minval = 1, maxval = 100, step =1)
RSI1 = input.int (title = "RSI", defval = 5, minval = 1, maxval = 20 , step = 1)
/// mise en place de ema
RSI = ta.rsi(close, RSI1)
shortest = ta.ema(close, 9)
short = ta.ema(close, 26)
longer = ta.ema(close, 100)
longest = ta.ema(close, 55)
plot(shortest, color = color.red)
plot(short, color = color.orange)
plot(longer, color = color.aqua)
plot(longest, color = color.yellow)
plot(close)
//// trading indicators
EMA1 = ta.ema (close,EMA_L)
EMA2 = ta.ema (close,EMA_L2)
EMA3 = ta.ema (close, EMA_S)
EMA4 = ta.ema (close, EMA_S2)
//buy = ta.crossover(EMA1, EMA2) and RSI > 60 and RSI <70
sell = ta.crossunder(EMA1, EMA2) and RSI > 40
//buyexit = ta.crossunder(EMA3, EMA4)
sellexit = ta.crossover(EMA3, EMA4)
/////strategy
strategy.entry ("short", strategy.short, when = sell, comment = "ENTER-SHORT")
///// market exit
strategy.close ("short", when = sellexit, comment = "EXIT-SHORT")