ChaoZhang
本文将详细介绍一种通过多指标验证形成交易信号的量化策略。该策略综合运用多种指标判断,以提高信号的可靠性。
一、策略原理
该策略集合使用两种交易技术:
(一)123形态反转策略
1.计算K线的收盘价关系,判断可能的底部和顶部形态;
2.结合随机指标判定反转信号,避免错误信号;
(二)平滑多空量指标
1.计算多空量指标及其移动平均;
2.根据指标和均线的背离关系判断趋势;
3.只有当两种技术的判断一致时,才生成最终的交易信号。
这样,通过多指标验证,可以过滤掉一定的假信号,提高信号准确性。
二、策略优势
该策略最大的优势是多指标组合验证,这避免了单一指标的局限性,增强了信号的稳定性。
另一优势是两种不同类型技术的组合使用,这进一步提高了判断的全面性。
最后,组合使用也提供了更多参数空间进行优化测试。
三、潜在风险
但该策略也存在以下问题:
首先,多指标组合增加了参数优化难度,不当设置可能导致过优化。
其次,两种技术信号之间可能出现分歧,需要设定清晰的判断规则。
最后,部分指标如随机指标等还是存在滞后问题。
四、内容总结
本文详细介绍了一种通过多指标验证进行量化交易的策略。它通过组合使用指标来提高信号质量,但也需要注意参数优化难度及指标滞后等问题。总体来说,该策略提供了一种相对稳健的交易方法。
策略源码
/*backtest
start: 2023-08-15 00:00:00
end: 2023-09-14 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 21/07/2021
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Accumulation is a term used to describe a market controlled by buyers;
// whereas distribution is defined by a market controlled by sellers.
// Williams recommends trading this indicator based on divergences:
// Distribution of the security is indicated when the security is making
// a new high and the A/D indicator is failing to make a new high. Sell.
// Accumulation of the security is indicated when the security is making
// a new low and the A/D indicator is failing to make a new low. Buy.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
SWAD(Length) =>
pos = 0.0
xWAD = 0.0
xPrice = close
xWAD:= iff(close > nz(close[1], 0), nz(xWAD[1],0) + close - low[1],
iff(close < nz(close[1],0), nz(xWAD[1],0) + close - high[1],0))
xWADMA = sma(xWAD, Length)
pos:= iff(xWAD > xWADMA, 1,
iff(xWAD < xWADMA, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Smoothed Williams AD", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Smoothed Williams AD ----")
LengthWillAD = input(14, step = 1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posSWAD = SWAD(LengthWillAD)
pos = iff(posReversal123 == 1 and posSWAD == 1 , 1,
iff(posReversal123 == -1 and posSWAD == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1 )
strategy.entry("Long", strategy.long)
if (possig == -1 )
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )