ChaoZhang
策略原理
该策略融合MACD指标和移动平均线指标,在二者给出同向信号时进行做多交易。
具体交易逻辑是:
计算FAST MACD值,一般取12日指数移动平均线
计算SLOW MACD值,一般取26日指数移动平均线
MACD值为FAST减SLOW
计算MACD的信号线,一般取9日移动平均线
计算9日与26日移动平均线
当MACD上穿信号线时,考虑做多
当9日均线上穿26日均线时,进行做多
当MACD下穿信号线且9日均线下穿26日均线时,平仓
该策略充分发挥MACD的超买超卖判断和均线的趋势跟踪能力,结合二者进行交易,以提高成功率。
策略优势
MACD判断超买超卖,均线判断趋势
二者组合验证,提供高概率做多机会
操作规则清晰,易于实施
策略风险
需反复测试确定最佳参数
仅做多,无法利用空头机会
随大趋势做多,可能扩大损失
总结
该策略充分发挥MACD和均线指标的优势,组合二者判断市场节奏。但仅做多和参数优化等问题需注意。
策略源码
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("MACD Cross+MA", overlay=true)
//@version=4
// Getting inputs
fast_length = input(title="Fast Length", type=input.integer, defval=12)
slow_length = input(title="Slow Length", type=input.integer, defval=26)
src = input(title="Source", type=input.source, defval=close)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 9)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=false)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false)
// === INPUT BACKTEST RANGE ===
FromYear = input(defval = 2019, title = "From Year", minval = 2009)
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 2009)
ToMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31)
// === FUNCTION EXAMPLE ===
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
// Calculating
fast_ma = sma_source ? sma(src, fast_length) : ema(src, fast_length)
slow_ma = sma_source ? sma(src, slow_length) : ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal
//plot
plot(sma(close,9),color=color.red)
plot(sma(close,26),color=color.green)
//Condition
BMacdcondition= (macd>signal)
SMacdcondition= (macd<signal)
longCondition = crossover(sma(close, 9), sma(close, 26))
shortCondition = crossunder(sma(close, 9), sma(close, 26))
//entry
if (BMacdcondition) and window()
(longCondition)
strategy.entry("LONG", strategy.long)
if (shortCondition) and window()
(SMacdcondition)
strategy.close("LONG", qty_percent=100 , comment="หนีตาย")