ChaoZhang
概述
该策略结合双MACD指标和随机指标StochRSI进行交易信号判断。双MACD采用不同参数设置实现快慢效应,StochRSI用于强势背驰验证。策略还加入趋势判断及止损条件控制风险。
策略原理
该策略的交易信号判断基于以下指标:
双MACD:快速MACD采用短周期参数,慢速MACD采用长周期参数,实现不同的平滑效果。
StochRSI:计算一定周期内RSI的最高低值,判断RSI是否处于超买超卖状态。
交易信号判断规则:
做多:快速MACD上穿零轴且慢速MACD上穿零轴,StochRSI处于超卖状态且K线上穿D线,且处于上升趋势。
做空:快速MACD下穿零轴且慢速MACD下穿零轴,StochRSI处于超买状态且K线下穿D线,且处于下降趋势。
策略优势
双MACD验证可避免假突破,提高信号质量。
StochRSI判断超买超卖状态,避免追涨杀跌。
考虑大趋势方向,减少逆势交易损失。
实现指标多时间框架验证,提高信号有效性。
设置止损条件控制风险。
风险分析
MACD容易产生假信号,需进一步过滤验证。
StochRSI参数设置不当可能错过交易机会。
止损点设置不合理可能过于保守或激进。
缺乏持仓管理策略,无法动态止损。
可从以下方面进行优化:
增加交易量或均线角度等过滤条件。
优化StochRSI参数或引入其它随机指标。
动态调整止损点,跟踪止损。
增加仓位管理模块,根据策略表现动态调整仓位。
策略优化方向
该策略的主要优化方向:
优化指标参数,提高指标效果。
增加筛选条件,过滤假信号。
优化止损策略,实现动态止损。
引入仓位管理,根据策略效果调整仓位。
增加机器学习模块,利用大数据自动优化。
总结
该策略综合考虑多种指标,形成较强的交易信号。但仍需优化参数设置、进一步过滤信号、动态止损等方面,以减少不必要交易,提高获利概率。整体来说策略思路合理,有良好的优化空间。
策略源码
/*backtest
start: 2023-09-14 00:00:00
end: 2023-09-21 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
//This strategy is an ongoing work in progress. Last updated 8/6/16.
//Feel free to modify it as you see fit, if you do borrow code then send me a link so I
//can see and maybe borrow some of your code to improve this.
//Thanks to ChrisMoody who I stole the code for setting custom resolution from.
//
//more info in comments at end of script
strategy("MACDouble & StochRSI w/ safeties v0.3", overlay=true)
source = close
useCurrentRes = input(true, title="Uncheck to use custom res./intrv. for 2nd MACD indicator")
resCustom = input(title="Resolution/interval to use for 2nd MACD:", defval="45")
res = useCurrentRes ? timeframe.period : resCustom
useCurrentRes2 = input(true, title="Uncheck to use custom res/intrv for StochRSI")
resCustom2 = input(title="Resolution to use for StochRSI indicator:", defval="45")
res2 = useCurrentRes2 ? timeframe.period : resCustom2
//MACD1
fastLength = input(10, title="MACD fast length")
slowlength = input(21, title="MACD slow length")
sigLength = input(9, title="MACD signal length")
MACD = ema(source, fastLength) - ema(source, slowlength)
signal = sma(MACD, sigLength)
delta = MACD - signal
//MACD2
fastLength2 = input(31, title= "2nd MACD fast length")
slowlength2 = input(63, title= "2nd MACD slow length")
sigLength2 = input(30, title= "2nd MACD signal length")
MACD2 = ema(source, fastLength2) - ema(source, slowlength2)
signal2 = sma(MACD2, sigLength2)
delta2 = MACD2 - signal2
MACDRes = security(syminfo.tickerid, res, MACD2)
signalRes = security(syminfo.tickerid,res, signal2)
deltaRes = security(syminfo.tickerid, res, delta2)
uptrend = (close + high)/(close[1] + high[2])
downtrend = (close + low)/(close[1] + low[2])
smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(11, minval=1)
lengthStoch = input(11, minval=1)
src = close
rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
RSI_buyTrig = input(90)
RSI_sellTrig = input(20)
kRes = security(syminfo.tickerid, res2, k)
dRes = security(syminfo.tickerid, res2, d)
if (delta > 0) and (year>2012) and (deltaRes > 0) and (uptrend > 1) and ( kRes and dRes < RSI_buyTrig) and (kRes > dRes)
strategy.entry("buy", strategy.long, comment="buy")
if (delta < 0) and (year>2012) and (deltaRes < 0) and (downtrend < 1) and ( kRes and dRes > RSI_sellTrig) and (kRes < dRes)
strategy.entry("sell", strategy.short, comment="sell")
strategy.exit("sell", loss = 9000)
// RELEASE NOTES, ETC
//
// The core starting idea for this backtesting script came from the desire to have two traditional
//MACD indicators: one 'fast' and one 'slow'. The slow one is to pretty much smooth out noisy signals
//so that short term changes in price are ignored (ideally).
// A brief version history
// v0.1 - Basic two MACD indicators script
// v0.2 - Added StochRSI indicator
// v0.21- Added primitive uptrend/downtrend safety condition
// v0.22- Added changable time resolution for MACDslow
// v0.23- Added exit safeties conditional on loss threshold
// v0.3 - Added changeable resolution for StochRSI
// Future changes planned for next release:
// -Fine tuning exit safeties
// -Major overhaul of trade logic/triggers (may be forked as a different script)
//
//I am more than happy to discuss any difficulties you are having, questions about the script, or improvement suggestions.
//I am not a coder and my background is actually in economics, so feel free to debug ;)
//Feel free to tip me on the indcluded bitcoin address on TV as well
// tradingview.com/u/RyanMartin
// [email protected]