该策略通过组合使用多种反转指标,在价格出现反转信号时采取反向头寸,属于反转类算法交易策略。
首先使用123反转系统判断价格反转信号。该系统结合了价格连续两个Bar的关系和Stochastic指标判断反转。
其次使用快慢峰度指标FSK判断市场情绪反转。该指标通过动量的加速度判断市场买卖气势的变化。
将123反转系统和FSK反转指标进行组合,当两者同时发出反转信号时,采取反向头寸。
可选择反向交易,当原信号为多头时采取空头,当原信号为空头时采取多头。
组合多个因子可以提高信号的准确率,避免单一指标的假信号。
123反转系统和FSK指标具有互补性,可以捕捉不同时间维度的反转机会。
反向交易可以在剧烈行情反转中获利。
采用多种反转因子,可以增强策略的稳健性。
容易理解和实现,适合量化交易初学者。
反转信号可能出现误判,导致亏损。
反转时间定位不准可能导致追顶追底。
反向交易在趋势持续时会亏损。
参数优化不当可能导致过拟合。
交易频率过高可能承担更多交易成本。
测试添加其他反转因子,如RSI,KD等,丰富组合。
优化参数,提高指标灵敏度。
添加趋势过滤,避免逆势交易。
使用动态仓位管理策略,优化资金利用效率。
优化止损策略,降低单笔亏损。
评估交易成本影响,降低过高频交易。
该策略通过组合123反转系统和FSK指标,在价格反转时采取反向交易。可以过滤假信号,提高准确率。但反转策略面临着反转不确定性的风险。需要持续优化参数,并适当控制仓位规模和交易频率,降低风险,提高稳定性。
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-19 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 14/10/2020
// 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 indicator plots the Fast & Slow Kurtosis. The Kurtosis is a market
// sentiment indicator. The Kurtosis is constructed from three different parts.
// The Kurtosis, the Fast Kurtosis(FK), and the Fast/Slow Kurtosis(FSK).
//
// 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
FSK(Triger) =>
pos = 0.0
xMOM_R = mom(mom(close, 3), 1)
xMOM_RAvr = ema(xMOM_R, 65)
xMOM_RWAvr = wma(xMOM_RAvr, 3)
pos := iff(xMOM_RAvr > Triger and xMOM_RWAvr > Triger, 1,-1)
pos
strategy(title="Combo Backtest 123 Reversal & FSK (Fast and Slow Kurtosis)", shorttitle="Combo", overlay = true)
Length = input(15, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
Triger = input(0, minval=0.001)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posFSK = FSK(Triger)
pos = iff(posReversal123 == 1 and posFSK == 1 , 1,
iff(posReversal123 == -1 and posFSK == -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 )