ChaoZhang
概述
该策略是利用方向趋势指数(DTI)判断价格趋势走向并进行趋势跟踪的交易系统。DTI通过比较一定周期内最高价和最低价的变化方向来判断趋势,并设定上下阈值来产生交易信号。当DTI上穿上轨时做多,下穿下轨时做空。
策略原理
计算一定周期内的最高价变化和最低价变化,得到价格变化值。对价格变化值进行多次指数移动平均,得到DTI曲线。设定DTI的上下阈值,当指标上穿上阈值时产生做多信号,下穿下阈值时产生做空信号,一直持有至下一信号出现。
优势分析
- DTI判断趋势方向准确、信号较少
- 采用阈值过滤无效突破,避免噪音交易
- 持续跟踪趋势,不受短期波动影响
- 参数调整空间大,可平衡反应灵敏度
风险分析
- 无法准确判断趋势反转点,存在亏损风险
- DTI参数设置不当可能漏失交易机会
- 长期持仓可能带来较大回撤
- 交易频次较低,不适合高频交易
可适当缩短计算周期,调整阈值参数,或结合其他指标判断趋势反转。
优化方向
- 测试计算DTI的不同参数组合
- 优化DTI做多做空的阈值
- 考虑设置止损策略控制风险
- 在不同品种中测试参数健壮性
总结
DTI策略通过清晰的指标信号判断趋势方向,可实现长线稳定盈利。通过参数优化等进一步改进,可成为优质的趋势跟踪策略。
策略源码
/*backtest
start: 2023-08-18 00:00:00
end: 2023-09-17 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 29/03/2017
// This technique was described by William Blau in his book "Momentum,
// Direction and Divergence" (1995). His book focuses on three key aspects
// of trading: momentum, direction and divergence. Blau, who was an electrical
// engineer before becoming a trader, thoroughly examines the relationship between
// price and momentum in step-by-step examples. From this grounding, he then looks
// at the deficiencies in other oscillators and introduces some innovative techniques,
// including a fresh twist on Stochastics. On directional issues, he analyzes the
// intricacies of ADX and offers a unique approach to help define trending and
// non-trending periods.
// Directional Trend Index is an indicator similar to DM+ developed by Welles Wilder.
// The DM+ (a part of Directional Movement System which includes both DM+ and
// DM- indicators) indicator helps determine if a security is "trending." William
// Blau added to it a zeroline, relative to which the indicator is deemed positive or
// negative. A stable uptrend is a period when the DTI value is positive and rising, a
// downtrend when it is negative and falling.
//
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading.
////////////////////////////////////////////////////////////
strategy(title="Directional Trend Index (DTI)", shorttitle="DTI")
r = input(14, minval=1)
s = input(10, minval=1)
u = input(5, minval=1)
OS = input(45, minval=1)
OB = input(-45, maxval=-1)
reverse = input(false, title="Trade reverse")
hline(0, color=green, linestyle=line)
xHMU = iff(high - high[1] > 0, high - high[1], 0)
xLMD = iff(low - low[1] < 0, -(low - low[1]), 0)
xPrice = xHMU - xLMD
xPriceAbs = abs(xPrice)
xuXA = ema(ema(ema(xPrice, r),s),u)
xuXAAbs = ema(ema(ema(xPriceAbs, r),s),u)
Val1 = 100 * xuXA
Val2 = xuXAAbs
DTI = iff(Val2 != 0, Val1 / Val2, 0)
pos = iff(DTI > OS, -1,
iff(DTI < OB, 1, nz(pos[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)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(DTI, color=maroon, title="DTI")
plot(OB, color=blue, title="OB")
plot(OS, color=red, title="OS")