ChaoZhang
概述
该策略是将123形态反转和MACD指标进行组合,实现较强的交易信号过滤。其中123形态反转捕捉短期反转机会,而MACD提供中长期趋势判断。组合信号可有效发现高概率交易点位。
策略原理
123形态反转策略,判断前两日下跌且今日收盘价上涨,并Stochastic指标低于阈值时买入;两日上涨今日下跌,Stochastic高于阈值时卖出。
MACD指标策略,快线高于慢线时做多,快线低于慢线时做空。
只有当两策略信号一致时,才进行交易,否则不交易。可切换正向反向交易。
优势分析
该策略主要具有以下优势:
组合信号可有效过滤假突破,提高胜率。
123形态可捕捉短期反转机会,MACD判断中长线趋势方向。
Stochastic指标结合123形态可避免趋势反转后的过度交易。
两策略分担不同交易任务,可互相验证,降低单一策略过优化风险。
可方便切换做多做空方向,适应多种市场环境。
风险分析
该策略主要风险:
组合信号过于保守,可能错过较好机会。
反转形态易受突发事件影响,出现失效。
未考虑止损机制,存在大额亏损风险。
双重过滤信号可能错过趋势机会。
未考虑参数优化,默认参数不一定适合所有品种。
优化方向
可从以下方面进行优化:
测试不同参数组合,寻找最优参数。
增加止损策略,控制单笔亏损。
加入更多过滤指标,提高信号质量。
增加机器学习模型,实现参数自动优化。
在更多交易品种中测试,评估策略稳定性。
根据市场环境切换参数组合。
总结
该策略整体来说,通过组合双重信号可有效避免单一策略过优化问题。加入更多过滤指标、止损机制等改进后,可以成为一个较为稳健实用的量化交易策略。
策略源码
/*backtest
start: 2023-09-11 00:00:00
end: 2023-09-14 02:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 24/07/2020
// 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
// This is one of the techniques described by William Blau in his book
// "Momentum, Direction and Divergence" (1995). If you like to learn more,
// we advise you to read this book. 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.
// Blau`s indicator is like usual MACD, but it plots opposite of meaningof
// stndard MACD indicator.
//
// 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
fADX(Len) =>
up = change(high)
down = -change(low)
trur = rma(tr, Len)
plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, Len) / trur)
minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, Len) / trur)
sum = plus + minus
100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), Len)
EMACD(r,SmthLen,LengthMACD) =>
pos = 0
source = close
fastMA = ema(source, r)
slowMA = ema(source, LengthMACD)
xmacd = fastMA - slowMA
xMA_MACD = ema(xmacd, SmthLen)
pos := iff(xmacd < xMA_MACD, -1,
iff(xmacd > xMA_MACD, 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Ergodic MACD", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
r = input(14, minval=1)
LengthMACD = input(21, minval=1)
SmthLen = input(5, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posEMACD = EMACD(r,SmthLen,LengthMACD)
pos = iff(posReversal123 == 1 and posEMACD == 1 , 1,
iff(posReversal123 == -1 and posEMACD == -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 )