ChaoZhang
概述
该策略通过组合使用T3均线、T3黄金分割均线和MavilimW加权移动均线,在价格与均线关系发生变化时产生交易信号。属于趋势跟踪类策略。
策略原理
分别计算T3均线、T3黄金分割均线和MavilimW加权移动均线。
价格与均线的突破、回调可以产生买入和卖出信号。
结合多个均线,可以进行交易信号过滤,提高信号质量。
设置止损策略来控制单笔损失。
可选择单独或组合使用多种均线交易系统。
优势分析
多均线组合可以提高信号准确率,互相验证。
每种均线对趋势变化响应不同,组合使用可以取得优势。
交易信号直观,由均线的关系形成。
设置止损有助于风险控制。
代码清晰,容易理解原理及自定义。
风险分析
均线组合也会出现错误信号导致损失。
无法有效判断价格趋势中断的节点。
均线参数设置不当会影响策略表现。
可能需要频繁调整持仓,增加交易成本。
优化过程中可能过度优化导致过拟合。
优化方向
测试不同均线参数,找到最佳组合。
评估其他趋势指标添加进行信号过滤。
优化止损策略参数,降低单笔亏损风险。
研究价格周期模式,判断趋势中断关键点。
添加趋势指标,避免不必要反转交易。
采用动态仓位管理策略,优化资金使用效率。
总结
该策略通过组合多种均线交易系统,形成互相验证的交易信号。但多均线组合也存在错误信号风险。需要持续进行参数优化测试,并辅以风险控制手段,将其打造成一个稳定的趋势跟踪策略。
策略源码
/*backtest
start: 2022-09-13 00:00:00
end: 2023-09-19 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//creator&compiler: Bartu Altan
//inspired by: KIVANÇ ÖZBİLGİÇ @fr3792 and @mavilim0732 on twitter
//With courtesy of Kıvanç Özbilgiç, Permission Pending
strategy("Tilson T3, Tilson T3 Fibo and MavilimW Combined Strategy Strategy",shorttitle="T3 and MavilimW Strategy", initial_capital=100,currency=currency.USD,default_qty_type=strategy.percent_of_equity,default_qty_value =75,overlay=true)
stop_loss=input(defval=3.0,title="Stop Loss %",type=input.float)*0.01
strategyt3 = input(true,"T3")
strategyt3Fibo = input(true,"T3 Fibo Cross")
strategyMav = input(true,"MavilimW")
fmal=input(3,"First Moving Average length")
smal=input(5,"Second Moving Average length")
barsSinceCloseUnderMavw = input(5,"Bars Since Close Under MAVW")
T3FiboLine = input(false, title="Show T3 Fibonacci Ratio Line?")
length1 = input(8, "T3 Length")
a1 = input(0.7, "Volume Factor")
// BEGINNING OF T3
e1 = ema((high + low + 2 * close) / 4, length1)
e2 = ema(e1, length1)
e3 = ema(e2, length1)
e4 = ema(e3, length1)
e5 = ema(e4, length1)
e6 = ema(e5, length1)
c1 = -a1 * a1 * a1
c2 = 3 * a1 * a1 + 3 * a1 * a1 * a1
c3 = -6 * a1 * a1 - 3 * a1 - 3 * a1 * a1 * a1
c4 = 1 + 3 * a1 + a1 * a1 * a1 + 3 * a1 * a1
T3 = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3
col1t3 = T3 > T3[1]
col3t3 = T3 < T3[1]
color_1 = col1t3 ? color.green : col3t3 ? color.red : color.yellow
plot(strategyt3 or strategyt3Fibo ? T3:na, color=color_1, linewidth=3, title="T3")
//T3 Fibo
length12 = input(5, "T3 Length fibo")
a12 = input(0.618, "Volume Factor fibo")
e12 = ema((high + low + 2 * close) / 4, length12)
e22 = ema(e12, length12)
e32 = ema(e22, length12)
e42 = ema(e32, length12)
e52 = ema(e42, length12)
e62 = ema(e52, length12)
c12 = -a12 * a12 * a12
c22 = 3 * a12 * a12 + 3 * a12 * a12 * a12
c32 = -6 * a12 * a12 - 3 * a12 - 3 * a12 * a12 * a12
c42 = 1 + 3 * a12 + a12 * a12 * a12 + 3 * a12 * a12
T32 = c12 * e62 + c22 * e52 + c32 * e42 + c42 * e32
col12 = T32 > T32[1]
col32 = T32 < T32[1]
color2 = col12 ? color.blue : col32 ? color.purple : color.yellow
plot(strategyt3Fibo and T3FiboLine and T32 ? T32 : na, color=color2, linewidth=2, title="T3fibo")
//End of T3 Fibo
// END OF T3
// MAVİLİMW //
tmal=fmal+smal
Fmal=smal+tmal
Ftmal=tmal+Fmal
Smal=Fmal+Ftmal
M1= wma(close, fmal)
M2= wma(M1, smal)
M3= wma(M2, tmal)
M4= wma(M3, Fmal)
M5= wma(M4, Ftmal)
MAVW= wma(M5, Smal)
col1= MAVW>MAVW[1]
col3= MAVW<MAVW[1]
colorM = col1 ? color.blue : col3 ? color.red : color.yellow
plot(strategyMav ?MAVW:na,title="MAVW",color=colorM,linewidth=2)
// END OF MAVILIMW
// Long Conditions //
longT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossover(close,T3) and barssince(crossunder(close,T3)) > barsSinceCloseUnderMavw : na
longT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossover(T32,T3):na
longMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossover(close,MAVW) and barssince(crossunder(close,MAVW)) > barsSinceCloseUnderMavw : na
longT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close > T3 and close > MAVW and T32 > T3 : na
longT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossover(T32,T3) and close > T3) or (T32>T3 and crossover(close,T3) and barssince(crossunder(close,T3)) > barsSinceCloseUnderMavw):na
longMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossover(T32,T3) and close > MAVW) or (T32>T3 and crossover(close,MAVW) and barssince(crossunder(close,MAVW)) > barsSinceCloseUnderMavw) : na
longMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossover(close,T3) and barssince(crossunder(close,T3)) > barsSinceCloseUnderMavw and close>MAVW) or (crossover(close,MAVW) and barssince(crossunder(close,MAVW)) > barsSinceCloseUnderMavw and close>T3) : na
longchosen = longT3single or longT3Fibo or longMav or longT3WFiboandMav or longT3WFibo or longMavT3Fibo or longMavT3
// Long Close Conditions //
longcT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossunder(close,T3) : na
longcT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossunder(T32,T3):na
longcMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossunder(close,MAVW): na
longcT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close < T3 and close < MAVW and T32 < T3 : na
longcT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossunder(T32,T3) and close < T3) or (T32<T3 and crossunder(close,T3)):na
longcMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossunder(T32,T3) and close < MAVW) or (T32<T3 and crossunder(close,MAVW)): na
longcMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossunder(close,T3) and close<MAVW) or (crossunder(close,MAVW) and close<T3) : na
longclosechosen = longcT3single or longcT3Fibo or longcMav or longcT3WFiboandMav or longcT3WFibo or longcMavT3Fibo or longcMavT3
// t3 fibo //
long = longchosen
longclose = longclosechosen
long_plot = barssince(long[1])>barssince(longclose[1])?long:na
longclose_plot = barssince(longclose[1])>barssince(long[1])?longclose:na
plotshape(long_plot,title="Long",style=shape.labelup,color=color.green,text="Long",textcolor=color.white, location=location.abovebar)
plotshape(longclose_plot,title="Long Close",style=shape.labeldown,color=#B1E141,text="Long Close",textcolor=color.white,location=location.belowbar)
// Short Conditions //
shortT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossunder(close,T3) and barssince(crossover(close,T3)) > barsSinceCloseUnderMavw : na
shortT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossunder(T32,T3):na
shortMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossunder(close,MAVW) and barssince(crossover(close,MAVW)) > barsSinceCloseUnderMavw : na
shortT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close < T3 and close < MAVW and T32 < T3 : na
shortT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossunder(T32,T3) and close < T3) or (T32<T3 and crossunder(close,T3) and barssince(crossover(close,T3)) > barsSinceCloseUnderMavw):na
shortMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossunder(T32,T3) and close < MAVW) or (T32<T3 and crossunder(close,MAVW) and barssince(crossover(close,MAVW)) > barsSinceCloseUnderMavw) : na
shortMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossunder(close,T3) and barssince(crossover(close,T3)) > barsSinceCloseUnderMavw and close<MAVW) or (crossunder(close,MAVW) and barssince(crossover(close,MAVW)) > barsSinceCloseUnderMavw and close<T3) : na
shortchosen = shortT3single or shortT3Fibo or shortMav or shortT3WFiboandMav or shortT3WFibo or shortMavT3Fibo or shortMavT3
// Long Close Conditions //
shortcT3single = strategyt3 and not(strategyt3Fibo) and not(strategyMav) ? crossover(close,T3) : na
shortcT3Fibo = not(strategyt3) and strategyt3Fibo and not(strategyMav) ? crossover(T32,T3):na
shortcMav = not(strategyt3) and not(strategyt3Fibo) and strategyMav ? crossover(close,MAVW): na
shortcT3WFiboandMav = strategyt3 and strategyt3Fibo and strategyMav ? close > T3 and close > MAVW and T32 > T3 : na
shortcT3WFibo = strategyt3 and strategyt3Fibo and not(strategyMav) ? (crossover(T32,T3) and close > T3) or (T32>T3 and crossover(close,T3)):na
shortcMavT3Fibo = not(strategyt3) and strategyt3Fibo and strategyMav ? (crossover(T32,T3) and close > MAVW) or (T32>T3 and crossover(close,MAVW)): na
shortcMavT3 = (strategyt3) and not(strategyt3Fibo) and strategyMav ? (crossover(close,T3) and close>MAVW) or (crossover(close,MAVW) and close>T3) : na
shortclosechosen = shortcT3single or shortcT3Fibo or shortcMav or shortcT3WFiboandMav or shortcT3WFibo or shortcMavT3Fibo or shortcMavT3
short = shortchosen
shortclose = shortclosechosen
short_plot = barssince(short[1])>barssince(shortclose[1])?short:na
shortclose_plot = barssince(shortclose[1])>barssince(short[1])?shortclose:na
plotshape(short_plot,title="Short",style=shape.labeldown,color=color.red,text="Short",textcolor=color.white,location=location.abovebar)
plotshape(shortclose_plot,title="Short Close",style=shape.labeldown,color=#E19B89,text="Short Close",textcolor=color.white,location=location.belowbar)
strategy.entry("Long", true, when=long_plot)
strategy.close("Long",when=longclose_plot)
strategy.exit("Long Stop Loss","Long",stop=strategy.position_avg_price*(1-stop_loss))
strategy.entry("Short", false, when=short_plot)
strategy.close("Short",when=shortclose_plot)
strategy.exit("Short Stop Loss","Short",stop=strategy.position_avg_price*(1+stop_loss))