ChaoZhang
策略原理
该策略融合均线指标和霍尔曲线指标来识别市场趋势方向,并追踪趋势运行。
主要交易逻辑是:
计算麦基尼动态均线,判断市场总体趋势方向
霍尔曲线指标穿越发出具体做多做空信号
可选择辅助指标进行信号验证
根据止损和止盈原则设定风险管理机制
霍尔曲线反向时平仓止损
该策略简化了趋势跟踪过程,旨在以机械化系统匹配市场节奏,降低个人思维的影响。
策略优势
均线判定总体方向,辅助指标可选择
霍尔曲线产生明确做多做空信号
风险管理规则化,降低失误
策略风险
参数设定和过滤条件需要测试优化
趋势判断准确性存有不确定性
霍尔曲线可能滞后产生错误信号
总结
该策略旨在以机械化系统匹配趋势,简化操作流程。但参数优化和指标限制仍需注意,以提高稳定性。
策略源码
/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// © Milleman
//@version=4
strategy("Millebot", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.04)
// Risk management settings
Spacer2 = input(false, title="=== Risk management settings ===")
Risk = input(1.0, title="% Risk")/100
RRR = input(2,title="Risk Reward Ratio",step=0.1,minval=0,maxval=20)
SL = input(5,title="StopLoss %",step=0.25)/100
// Baseline : McGinley Dynamic
Spacer3 = input(false, title="=== Baseline - Switch L/S ===")
McG_Source = input(close, title="McGinley source")
McG_length = input(50, title=" McG length", minval=1)
McG_LS_Switch = 0.0
McG_LS_Switch := na(McG_LS_Switch[1]) ? ema(McG_Source, McG_length) : McG_LS_Switch[1] + (McG_Source - McG_LS_Switch[1]) / (McG_length * pow(McG_Source/McG_LS_Switch[1], 4))
// Confirmation indicator
Spacer4 = input(false, title="=== Confirmation indicator ===")
C1_Act = input(false, title=" Confirmation indicator Activation")
C1_src = input(ohlc4, title="Source")
C1_len = input(5,title="Length")
C1 = sma(C1_src,C1_len)
// Entry indicator : Hull Moving Average
Spacer5 = input(false, title="=== Entry indicator configuration ===")
src = input(ohlc4, title="Source")
length = input(50,title="Length HMA")
HMA = ema(wma(2*wma(src, length/2)-wma(src, length), round(sqrt(length))),1)
//VARIABLES MANAGEMENT
TriggerPrice = 0.0, TriggerPrice := TriggerPrice[1]
TriggerxATR = 0.0, TriggerxATR := TriggerxATR[1]
SLPrice = 0.0, SLPrice := SLPrice[1], TPPrice = 0.0, TPPrice := TPPrice[1]
isLong = false, isLong := isLong[1], isShort = false, isShort := isShort[1]
//LOGIC
GoLong = crossover(HMA[0],HMA[1]) and strategy.position_size == 0.0 and (McG_LS_Switch/McG_LS_Switch[1] > 1) and (not C1_Act or C1>C1[1])
GoShort = crossunder(HMA[0],HMA[1]) and strategy.position_size == 0.0 and (McG_LS_Switch/McG_LS_Switch[1] < 1) and (not C1_Act or C1<C1[1])
//FRAMEWORK
//Long
if GoLong and not GoLong[1]
isLong := true, TriggerPrice := close
TPPrice := TriggerPrice * (1 + (SL * RRR))
SLPrice := TriggerPrice * (1-SL)
Entry_Contracts = strategy.equity * Risk / ((TriggerPrice-SLPrice)/TriggerPrice) / TriggerPrice //Het aantal contracts moet meegegeven worden. => budget * risk / %afstand tot SL / prijs = aantal contracts
strategy.entry("Long", strategy.long, comment=tostring(round(TriggerxATR/TriggerPrice*1000)), qty=Entry_Contracts)
strategy.exit("TPSL","Long", limit=TPPrice, stop=SLPrice, qty_percent = 100)
if isLong and crossunder(HMA[0],HMA[1])
strategy.close_all(comment="TrendChange")
isLong := false
//Short
if GoShort and not GoShort[1]
isShort := true, TriggerPrice := close
TPPrice := TriggerPrice * (1 - (SL * RRR))
SLPrice := TriggerPrice * (1 + SL)
Entry_Contracts = strategy.equity * Risk / ((SLPrice-TriggerPrice)/TriggerPrice) / TriggerPrice //Het aantal contracts moet meegegeven worden. => budget * risk / %afstand tot SL / prijs = aantal contracts
strategy.entry("Short", strategy.short, comment=tostring(round(TriggerxATR/TriggerPrice*1000)), qty=Entry_Contracts)
strategy.exit("TPSL","Short", limit=TPPrice, stop=SLPrice)//, qty_percent = 100)
if isShort and crossover(HMA[0],HMA[1])
strategy.close_all(comment="TrendChange")
isShort := false
//VISUALISATION
plot(McG_LS_Switch,color=color.blue,title="Baseline")
plot(C1_Act?C1:na,color=color.white,title="confirmation Indicator")
plot(HMA, color=(HMA[0]>HMA[1]? color.green : color.red), linewidth=4, transp=40, title="Entry Indicator")
plot(isLong or isShort ? TPPrice : na, title="TakeProfit", color=color.green, style=plot.style_linebr)
plot(isLong or isShort ? SLPrice : na, title="StopLoss", color=color.red, style=plot.style_linebr)
bgcolor(isLong[1] and cross(low,SLPrice) and low[1] > SLPrice ? color.yellow : na, transp=75, title="SL Long")
bgcolor(isShort[1] and cross(high,SLPrice) and high[1] < SLPrice ? color.yellow : na, transp=75, title="SL Short")