ChaoZhang
该策略通过结合123反转形态与资金流动量指标,实现趋势追踪与反转交易。
策略原理
首先,通过123反转形态判断价格反转点。具体来说,如果前两天收盘价下跌,第三天收盘价上涨,且随机指标低于阈值,产生买入信号;如果前两天收盘价上涨,第三天收盘价下跌,且随机指标高于阈值,产生卖出信号。
其次,计算快线和慢线的资金流动量指标。快线由近期资金流动量的指数移动平均线组成,慢线为较长周期的指数移动平均线。如果快线高于慢线,判断为资金流入,产生买入信号;反之则产生卖出信号。
最后,结合123反转形态与资金流动量指标的信号,如果两者信号一致,则产生交易信号。
优势分析
- 组合多个信号,可以提高信号的可靠性。
- 123反转形态可以捕捉反转点,资金流动量指标判断资金流向。
- 可通过调整参数来优化不同品种和周期的表现。
- 可单独使用其中一个信号进行交易。
风险分析
- 123反转形态可能产生假信号。
- 资金流动量存在滞后性,无法及时捕捉转折点。
- 多重信号组合,策略逻辑相对复杂。
- 需要优化参数以避免过度交易。
可通过提高反转形态的可靠性,设置资金流动量指标的灵敏度,以及加入止损逻辑来控制风险。
优化方向
- 测试不同参数组合,找到最佳的参数。
- 调整买入和卖出阈值,降低错误交易概率。
- 添加其他技术指标,提高信号质量。
- 加入止损机制,控制单笔损失。
- 优化资金管理策略,控制整体风险敞口。
总结
该策略整合反转交易与趋势追踪的优点,可以有效识别市场转折点。但需要注意参数调优以及风险控制,在跟踪趋势的同时防止产生过多错误信号。如果用好,可以成为高效的交易策略之一。
策略源码
/*backtest
start: 2023-08-17 00:00:00
end: 2023-09-16 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 24/02/2021
// 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
// Indicator plots Money Flow Indicator (Chaikin). This indicator looks
// to improve on Larry William's Accumulation Distribution formula that
// compared the closing price with the opening price. In the early 1970's,
// opening prices for stocks stopped being transmitted by the exchanges.
// This made it difficult to calculate Williams' formula. The Chaikin
// Oscillator uses the average price of the bar calculated as follows
// (High + Low) /2 instead of the Open.
// The indicator subtracts a 10 period exponential moving average of the
// AccumDist function from a 3 period exponential moving average of the
// AccumDist function.
//
// 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
MFI(Fast,Slow) =>
pos = 0.0
lenMax = max(Fast, Slow)
lenMin = min(Fast, Slow)
xDiv = (high - low) * volume
SumMax = sum(iff(xDiv > 0, (close - open) / (high - low) * volume , 0) , lenMax)
SumMin = sum(iff(xDiv > 0, (close - open) / (high - low) * volume , 0) , lenMin)
emaMax = ema(SumMax, lenMax)
emaMin = ema(SumMin, lenMin)
nRes = emaMax - emaMin
pos:= iff(nRes > 0, 1,
iff(nRes < 0, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Money Flow Indicator", 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, "---- Money Flow ----")
Fast = input(3, minval=1)
Slow = input(10, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posMFI = MFI(Fast,Slow)
pos = iff(posReversal123 == 1 and posMFI == 1 , 1,
iff(posReversal123 == -1 and posMFI == -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 )