ChaoZhang
概述
本策略是基于智能资金指数(SMI)的量化交易策略。该指数反映了机构资金的运作情况,通过观察SMI指标的变化来判断市场未来的可能趋势。属于基于投资者情绪进行交易的策略类型。
策略原理
该策略的核心指标是智能资金指数(SMI)。其计算公式为:
SMI = SMA(今日收盘价 - 今日开盘价 + 昨日收盘价 - 昨日开盘价,N)
其中N为参数周期数。
SMI反映了机构资金的流入流出情况。当SMI上涨意味着资金净流入,说明智能资金看涨;当SMI下跌意味着资金净流出,说明智能资金看跌。
交易策略则是当SMI上涨做多,SMI下跌做空。通过这样来跟随智能资金的操作方向。
策略优势
- 基于智能资金指数,捕捉机构资金操作
- SMI指标计算简单,易于实现
- 反映投资者情绪,对市场变化敏感
- 可在多品种和多时间框架使用
- 参数可优化,适应能力强
策略风险
- SMI指标本身可能出现滞后
- 仅基于单一指标,容易被套
- 无法区分多空市场,需辅以技术分析
- 无法有效控制止损,存在较大回撤
- 需针对品种和周期优化参数
可以通过以下措施来降低风险:
- 优化SMI的周期参数
- 结合图形技术指标进行确认
- 设置止损止盈规则,控制风险
- 根据不同品种和周期进行参数优化
- 适当调整仓位管理系统
优化方向
该策略可以从以下几个方面进行优化:
测试计算SMI的最佳周期数
在SMI信号基础上加入MACD等指标过滤
加入移动止损或固定点位止损
根据不同品种分别寻找optimal123参数
对冲基金等不同周期分析寻找最佳周期
根据市场波动程度调整仓位大小
总结
本策略通过智能资金指数反映市场参与者情绪,进行趋势跟踪交易。这可以及时捕捉到机构资金的操作方向。但SMI本身可能滞后,需进行优化;并且仅依赖单一指标容易被套,需要加入辅助技术指标进行过滤。通过参数调整、止损完善、动态仓位等方法,可以使该策略更稳健可靠。
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 01/08/2018
// Attention:
// If you would to use this indicator on the ES, you should have intraday data 60min in your account.
//
// Smart money index (SMI) or smart money flow index is a technical analysis indicator demonstrating investors sentiment.
// The index was invented and popularized by money manager Don Hays.[1] The indicator is based on intra-day price patterns.
// The main idea is that the majority of traders (emotional, news-driven) overreact at the beginning of the trading day
// because of the overnight news and economic data. There is also a lot of buying on market orders and short covering at the opening.
// Smart, experienced investors start trading closer to the end of the day having the opportunity to evaluate market performance.
// Therefore, the basic strategy is to bet against the morning price trend and bet with the evening price trend. The SMI may be calculated
// for many markets and market indices (S&P 500, DJIA, etc.)
//
// The SMI sends no clear signal whether the market is bullish or bearish. There are also no fixed absolute or relative readings signaling
// about the trend. Traders need to look at the SMI dynamics relative to that of the market. If, for example, SMI rises sharply when the
// market falls, this fact would mean that smart money is buying, and the market is to revert to an uptrend soon. The opposite situation
// is also true. A rapidly falling SMI during a bullish market means that smart money is selling and that market is to revert to a downtrend
// soon. The SMI is, therefore, a trend-based indicator.
// Some analysts use the smart money index to claim that precious metals such as gold will continually maintain value in the future.
//
// You can change long to short in the Input Settings
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Smart Money Index (SMI) Backtest", shorttitle="Smart Money Index")
Length = input(18, minval=1)
reverse = input(false, title="Trade reverse")
xcloseH1 = security(syminfo.tickerid, "60", close[1])
xopenH1 = security(syminfo.tickerid, "60", open[1])
nRes = nz(nRes[1], 1) - (open - close) + (xopenH1 - xcloseH1)
xSmaRes = sma(nRes, Length)
pos = iff(xSmaRes > nRes, 1,
iff(xSmaRes < nRes, -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 )
plot(xSmaRes, color=red, title="SMASMI")
plot(nRes, color=green, title="SMI")