ChaoZhang
概述
PresentTrend策略是一个独特的自定义趋势跟随策略。该策略结合了短期和长期市场趋势,使其适用于不同的市场条件。
策略原理
该策略由两部分组成:
自定义RSI或MFI指标:该指标根据RSI或MFI计算PresentTrend值,根据该值的金叉死叉生成买入和卖出信号,指示潜在的趋势反转。
ATR指标:这是一种流行的趋势跟随指标,使用平均真实波动范围(ATR)。
当两种策略的买入和卖出信号同时触发时,该策略会开仓做多或做空。这可以确保交易仅在短期和长期趋势一致时发生,从而提高策略的可靠性。
策略优势
- 结合短期和长期趋势,适用于不同市场条件
- 使用自定义指标和ATR,提高信号可靠性
- 可选择只做多、只做空或双向交易,适应不同交易风格
- 默认参数经过优化,平衡了灵敏度和稳定性
- 可根据个人偏好调整参数,优化策略
策略风险及解决方案
- 所有趋势跟随策略存在被套利的风险
- 多空双向交易可能增加交易次数和手续费
- 参数设置不当可能产生过多错误信号
- 可适当缩短交易持仓周期,降低套利风险
- 可选择只做多或做空,减少交易次数
- 应充分测试并适当调整参数,确保参数合理
策略优化方向
- 增加止损机制,更好控制单笔损失
- 结合其他指标过滤信号,减少错误交易
- 测试不同持仓周期参数,寻找最优参数
- 尝试基于机器学习自动优化参数
- 利用更多数据源,如订单流信息等
- 优化策略代码,提高执行效率
总结
PresentTrend策略整体来说是一个非常有效的趋势跟随策略。它同时结合短期和长期趋势指标,在保持灵敏度的同时提高信号的可靠性。通过调整方向、参数以及增加附加逻辑,该策略可以适应不同的市场环境和交易者需求。虽然仍需注意趋势跟随策略固有的风险,但总体上PresentTrend是一个值得考虑的选择。
策略源码
/*backtest
start: 2023-08-21 00:00:00
end: 2023-09-20 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © PresentTrading
//@version=5
// Define the strategy settings
strategy('PresentTrend - Strategy [presentTrading]' , overlay=true, precision=3, default_qty_type=strategy.cash,
commission_value= 0.1, commission_type=strategy.commission.percent, slippage= 1,
currency=currency.USD, default_qty_type = strategy.percent_of_equity, default_qty_value = 10, initial_capital= 10000)
// Define the input parameters
priceSource = input.source(title='Source', defval=hlc3, group='PresentTrend') // The price source to use
lengthParam = input.int(title='Length', defval=14, group='PresentTrend') // The length of the moving average
multiplier = input.float(title='Multiplier', defval=1.618, step=0.1, group='PresentTrend') // The multiplier for the ATR
indicatorChoice = input.bool(title='Whether to use RSI or MFI', defval=false, group='PresentTrend') // Whether to use RSI or MFI
// Add a parameter for choosing Long or Short
tradeDirection = input.string(title="Trade Direction", defval="Both", options=["Long", "Short", "Both"])
// Calculate the ATR and the upT and downT values
ATR = ta.sma(ta.tr, lengthParam)
upperThreshold = low - ATR * multiplier
lowerThreshold = high + ATR * multiplier
// Initialize the PresentTrend indicator
PresentTrend = 0.0
// Calculate the PresentTrend indicator
PresentTrend := (indicatorChoice ? ta.rsi(priceSource, lengthParam) >= 50 : ta.mfi(hlc3, lengthParam) >= 50) ? upperThreshold < nz(PresentTrend[1]) ? nz(PresentTrend[1]) : upperThreshold : lowerThreshold > nz(PresentTrend[1]) ? nz(PresentTrend[1]) : lowerThreshold
// Calculate the buy and sell signals
longSignal = ta.crossover(PresentTrend, PresentTrend[2])
shortSignal = ta.crossunder(PresentTrend, PresentTrend[2])
// Calculate the number of bars since the last buy and sell signals
barsSinceBuy = ta.barssince(longSignal)
barsSinceSell = ta.barssince(shortSignal)
previousBuy = ta.barssince(longSignal[1])
previousSell = ta.barssince(shortSignal[1])
// Initialize the direction variable
trendDirection = 0
// Calculate the direction of the trend
trendDirection := longSignal and previousBuy > barsSinceSell ? 1 : shortSignal and previousSell > barsSinceBuy ? -1 : trendDirection[1]
// Check the trade direction parameter before entering a trade
if (trendDirection == 1 and (tradeDirection == "Long" or tradeDirection == "Both"))
strategy.entry("Buy", strategy.long)
if (trendDirection == -1 and (tradeDirection == "Short" or tradeDirection == "Both"))
strategy.entry("Sell", strategy.short)
// Add a stop mechanism when the tradeDirection is one-sided
if (tradeDirection == "Long" and trendDirection == -1)
strategy.close("Buy")
if (tradeDirection == "Short" and trendDirection == 1)
strategy.close("Sell")
// Visualization
plot(PresentTrend, color=color.blue, title="PresentTrend")
plotshape(series=longSignal, location=location.belowbar, color=color.green, style=shape.labelup, title="Buy Signal")
plotshape(series=shortSignal, location=location.abovebar, color=color.red, style=shape.labeldown, title="Sell Signal")