ChaoZhang
概述
该策略运用价格表现指数(PPI)判断市场趋势方向,当PPI上涨时做多,下跌时做空。PPI通过计算一定周期价格变化百分比,判断价格动能和未来方向。
策略原理
主要逻辑:
PPI计算一定周期(默认14日)的价格变化百分比
当PPI上涨时,说明价格在上升,做多
当PPI下跌时,说明价格在下降,做空
可选择反向交易信号
PPI的上涨表明价格在积累动能向上,下跌则代表价格动能向下。以一定参数跟踪PPI曲线,可捕捉中长线价格趋势。
策略优势
使用简单指标判断价格趋势和动量
Parameter可自由配置,适应多种品种
交易逻辑清晰直观
可反向交易,兼顾多种市场环境
策略风险
无法滤除短期噪音,容易假突破
未考虑仓位管理和止损
参数不当可能错过趋势或者过度交易
应对方法:
优化参数,平衡稳定性和敏感度
增加止损策略,控制单笔损失
考虑仓位管理,降低单笔风险
策略优化方向
测试不同品种的参数组合
结合其他指标过滤假信号
开发动态仓位管理机制
增加移动止损或时间止损
利用机器学习判断信号质量
总结
该策略基于价格表现指数判断趋势,具有简单性与通用性。通过参数优化、风控措施等进一步提升,可成为一个稳定的量化交易策略。它提供了基于简单指标判断趋势的有效思路。
策略源码
/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 23/03/2018
// The Performance indicator or a more familiar term, KPI (key performance indicator),
// is an industry term that measures the performance. Generally used by organizations,
// they determine whether the company is successful or not, and the degree of success.
// It is used on a business’ different levels, to quantify the progress or regress of a
// department, of an employee or even of a certain program or activity. For a manager
// it’s extremely important to determine which KPIs are relevant for his activity, and
// what is important almost always depends on which department he wants to measure the
// performance for. So the indicators set for the financial team will be different than
// the ones for the marketing department and so on.
//
// Similar to the KPIs companies use to measure their performance on a monthly, quarterly
// and yearly basis, the stock market makes use of a performance indicator as well, although
// on the market, the performance index is calculated on a daily basis. The stock market
// performance indicates the direction of the stock market as a whole, or of a specific stock
// and gives traders an overall impression over the future security prices, helping them decide
// the best move. A change in the indicator gives information about future trends a stock could
// adopt, information about a sector or even on the whole economy. The financial sector is the
// most relevant department of the economy and the indicators provide information on its overall
// health, so when a stock price moves upwards, the indicators are a signal of good news. On the
// other hand, if the price of a particular stock decreases, that is because bad news about its
// performance are out and they generate negative signals to the market, causing the price to go
// downwards. One could state that the movement of the security prices and consequently, the movement
// of the indicators are an overall evaluation of a country’s economic trend.
//
// You can change long to short in the Input Settings
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Perfomance index Backtest")
Period = input(14, minval=1)
reverse = input(false, title="Trade reverse")
xKPI = (close - close[Period]) * 100 / close[Period]
clr = iff(xKPI > 0, green, red)
p1 = plot(xKPI, color=blue, title="KPI")
p2 = plot(0, color=blue, title="0")
pos = iff(xKPI > 0, 1,
iff(xKPI < 0, -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 )
fill(p1,p2,color=clr)