ChaoZhang
概述
均线突破策略是一种利用移动平均线进行判断的短线交易策略。该策略通过设置均线长度,并在均线突破时进行买卖操作。其特点是操作简单,容易掌握。
策略原理
该策略主要通过设置两个移动平均线,快线和慢线,来判断价格走势。快线周期短,反应敏感;慢线周期长,反应平稳。
代码中通过设置input参数定义了快线周期shortPeriod和慢线周期longPeriod。然后计算两个均线的值shortSMA和longSMA。
当短周期均线由下向上突破长周期均线时,表明价格走势由跌转涨,做多;当短周期均线由上向下跌破长周期均线时,表明价格走势由涨转跌,做空。
进入做多仓位条件:
快线由下向上突破慢线
快线>慢线
进入做空仓位条件:
快线由上向下跌破慢线
快线<慢线
此外,策略还设置了止损、止盈、金额等参数来控制风险。
策略优势
- 操作简单,容易掌握,适合新手
- 均线具有一定的趋势过滤能力,可过滤掉部分噪音
- 可灵活调整均线周期,适应不同周期操作
- 可预先设置止损止盈点,控制风险
策略风险
- 容易出现虚假突破,从而产生错误信号
- 不适合大幅震荡市场,应选择趋势明显时使用
- 均线系统滞后,入场时机不准
- 无法有效过滤强势趋势的反转
风险防范:
- 组合其他指标进行过滤,避免虚假信号
- 选择趋势明显时使用,不要在震荡市场使用
- 适当调整均线参数,优化入场时机
- 适当放宽止损范围,避免被套
策略优化方向
- 优化均线系统参数,找到最佳周期组合
- 增加其他指标判断,如BOLL通道,KD等
- 优化仓位管理策略,让盈利最大化
- 测试不同品种合约的参数健壮性
- 增加机器学习算法,利用大数据优化
总结
均线突破策略概念简单,通过快慢均线判断做多做空时机,操作容易上手。但也存在一些问题,如虚假突破、滞后等。通过参数优化、组合其他指标等方法可以改进。总体来说,该策略适合作为新手入门的第一阶段策略,在掌握了基本原理后,可以进一步优化,提高盈利能力。
策略源码
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 1h
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/
// © YohanNaftali
//@version=5
///////////////////////////////////////////////////////////////////////////////
// Heikin Ashi Candle Startegy
// ver 2021.12.29
// © YohanNaftali
// This script composed by Yohan Naftali for educational purpose only
// Reader who will use this signal must do own research
///////////////////////////////////////////////////////////////////////////////
strategy(
title = 'Heikin Ashi Candle Startegy Long',
shorttitle = 'HA Strategy Long',
format = format.price,
precision = 0,
overlay = true)
// Input
validationPeriod = input.int(
defval = 3,
title = 'Validation Period',
group = 'Candle')
qtyOrder = input.float(
defval = 1.0,
title = 'Qty',
group = 'Order')
maxActive = input.float(
defval = 1.0,
title = 'Maximum Active Open Position',
group = 'Order')
// Long Strategy
tpLong = input.float(
defval = 1,
title = "Take Profit (%)",
minval = 0.0,
step = 0.1,
group = "Long") * 0.01
slLong = input.float(
defval = 25,
title = "Stop Loss (%)",
minval=0.0,
step=0.1,
group="Long") * 0.01
trailingStopLong = input.float(
defval = 0.2,
title = "Trailing Stop (%)",
minval = 0.0,
step = 0.1,
group = 'Long') * 0.01
// Calculation
haTicker = ticker.heikinashi(syminfo.tickerid)
haClose = request.security(haTicker, timeframe.period, close)
haOpen = request.security(haTicker, timeframe.period, open)
// Long
limitLong = tpLong > 0.0 ? strategy.position_avg_price * (1 + tpLong) : na
stopLong = slLong > 0.0 ? strategy.position_avg_price * (1 - slLong) : na
float trailLong = 0.0
trailLong := if strategy.position_size > 0
trailClose = close * (1 - trailLong)
math.max(trailClose, trailLong[1])
else
0
isGreen = true
for i = 0 to validationPeriod-1
isGreen := isGreen and haClose[i] > haOpen[i]
isLong = isGreen and haClose[validationPeriod] < haOpen[validationPeriod]
plot(
limitLong,
title = 'Limit',
color = color.rgb(0, 0, 255, 0),
style = plot.style_stepline,
linewidth = 1)
plot(
trailLong,
title = 'Trailing',
color = color.rgb(255, 255, 0, 0),
style = plot.style_stepline,
linewidth = 1)
plot(
stopLong,
title = 'Stop',
style = plot.style_stepline,
color = color.rgb(255, 0, 0, 0),
linewidth = 1)
// plotshape(
// isLong,
// title = 'Entry',
// style = shape.arrowup,
// location = location.belowbar,
// offset = 1,
// color = color.new(color.green, 0),
// text = 'Long Entry',
// size = size.small)
// Strategy
strategy.risk.max_position_size(maxActive)
strategy.risk.allow_entry_in(strategy.direction.long)
strategy.entry(
id = "Long",
direction = strategy.long,
qty = qtyOrder,
when = isLong,
alert_message = "LN")
if (strategy.position_size > 0)
strategy.exit(
id = "Long Exit",
from_entry = "Long",
limit = limitLong,
stop = stopLong,
trail_price = trailLong,
alert_message = "LX")