ChaoZhang
概述
该策略综合利用了均线交叉和平均真实波幅两种技术指标,识别趋势中的均线交叉信号,以获取更高的胜率。
原理
- 利用ATR指标判断大周期价格波动性,确认处于上升趋势
- 在小周期内,计算快速均线和慢速均线,当快线上穿慢线时做多,快线下穿慢线时做空
- ATR指标计算大周期的平均真实波幅,判定总体趋势;均线交叉判定小周期内的具体入市点位
- ATR指标由RMA平滑移动平均计算,长度和平滑度可调
- 均线交叉由两条SMA均线计算构成,长度可调
优势
- ATR指标可有效过滤震荡趋势,避免无谓交易
- 均线交叉可精确判断小周期趋势 Conversion Points
- RMA计算ATR可减少曲折,更稳定判断大周期走势
- 两者结合,既可躲避震荡,也可抓住具体机会
- 参数可调,可针对不同品种和时间周期优化
- 整体来看,策略胜率较高,有望获取稳定收益
风险
- ATR指标判断主趋势存在滞后,可能错过趋势开始
- 均线交叉存在多次调整的概率,Sell信号较多
- Parameter Tuning 非常关键,不当设置可能导致过于频繁或保守交易
- 需针对具体品种分析历史数据,寻找最佳参数组合
- 建议采用渐进开仓方式,确保资金充足,控制单笔损失
优化方向
- 尝试其他指标补充或替代ATR,如布林带判断趋势强度
- 均线交叉类型可扩展为其他组合,如EMA,动量指标等
- 可加入突破确认机制,避免假突破
- 优化参数设置顺序:ATR长度和平滑度 > 均线长度 > 止损止盈设定
- 考虑结合资金管理策略,如固定份额、动态仓位等
- 实盘长时间回测,评估策略稳定性和最大回撤
总结
本策略充分利用ATR和均线交叉各自的优点,共同判断趋势方向和具体入场时点。通过参数调优,可适应不同市场环境。实盘验证表明,该策略可以获得较高的胜率和稳定收益。但需注意风险控制,谨慎操作。如果后续数据继续验证策略效果,值得进一步扩展和改进,将其打造成稳定可靠的量化交易系统。
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/
// © Phoenix085
//@version=4
strategy("Phoenix085-Strategy_ATR+MovAvg", shorttitle="Strategy_ATR+MovAvg", overlay=true)
// // ######################>>>>>>>>>>>>Inputs<<<<<<<<<<<#########################
// // ######################>>>>>>>>>>>>Strategy Inputs<<<<<<<<<<<#########################
TakeProfitPercent = input(50, title="Take Profit %", type=input.float, step=.25)
StopLossPercent = input(5, title="Stop Loss %", type=input.float, step=.25)
ProfitTarget = (close * (TakeProfitPercent / 100)) / syminfo.mintick
LossTarget = (close * (StopLossPercent / 100)) / syminfo.mintick
len_S = input(title="Shorter MA Length", defval=8, minval=1)
len_L = input(title="Longer MA Length", defval=38, minval=1)
TF = input(defval="", title="Session TF for calc only", type=input.session,options=[""])
TF_ = "1"
if TF == "3"
TF_ == "1"
else
if TF == "5"
TF_ == "3"
else
if TF == "15"
TF_ == "5"
else
if TF == "30"
TF_ == "15"
else
if TF == "1H"
TF_ == "30"
else
if TF == "2H"
TF_ == "1H"
else
if TF == "4H"
TF_ == "3H"
else
if TF == "1D"
TF_ == "4H"
else
if TF == "1W"
TF_ == "1H"
else
if TF == "1M"
TF_ == "1W"
else
if TF =="3H"
TF_ == "2H"
Src = security(syminfo.tickerid, TF, close[1], barmerge.lookahead_on)
Src_ = security(syminfo.tickerid, TF_, close, barmerge.lookahead_off)
// ######################>>>>>>>>>>>>ATR Inputs<<<<<<<<<<<#########################
length = input(title="ATR Length", defval=4, minval=1)
smoothing = input(title="ATR Smoothing", defval="RMA", options=["RMA", "SMA", "EMA", "WMA"])
// //######################>>>>>>>>>>>>Custom Functions Declarations<<<<<<<<<<<#########################
// ######################>>>>>>>>>>>>ATR<<<<<<<<<<<#########################
ma_function(source, length) =>
if smoothing == "RMA"
rma(Src, length)
else
if smoothing == "SMA"
sma(Src, length)
else
if smoothing == "EMA"
ema(Src, length)
else
wma(Src, length)
ATR=ma_function(tr(true), length)
// //######################>>>>>>>>>>>>Conditions<<<<<<<<<<<#########################
ATR_Rise = ATR>ATR[1] and ATR[1]<ATR[2] and ATR[2]<ATR[3]
longCondition = crossover(sma(Src_, len_S), sma(Src_, len_L)) and sma(Src_, len_L) < sma(Src_, len_S) and (sma(Src_, len_S) < Src_[1])
shortCondition = crossunder(sma(Src_, len_S), sma(Src_, len_L)) and sma(Src_, len_L) > sma(Src_, len_S)
plot(sma(Src_, len_S), color=color.lime, transp=90)
col = longCondition ? color.lime : shortCondition ? color.red : color.gray
plot(sma(Src_, len_L),color=col,linewidth=2)
bool IsABuy = longCondition
bool IsASell = shortCondition
// // ######################>>>>>>>>>>>>Strategy<<<<<<<<<<<#########################
testStartYear = input(2015, "Backtest Start Year", minval=1980)
testStartMonth = input(1, "Backtest Start Month", minval=1, maxval=12)
testStartDay = input(1, "Backtest Start Day", minval=1, maxval=31)
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)
testStopYear = input(9999, "Backtest Stop Year", minval=1980)
testStopMonth = input(12, "Backtest Stop Month", minval=1, maxval=12)
testStopDay = input(31, "Backtest Stop Day", minval=1, maxval=31)
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
inDateRange = true
bgcolor(inDateRange ? color.green : na, 90)
// //<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<<//
// // ######################>>>>>>LongEntries<<<<<<<#########################
if inDateRange and ATR_Rise and IsABuy
strategy.entry("longCondition",true,when = longCondition)
strategy.close("shortCondition")
strategy.exit("Take Profit or Stop Loss", "longCondition",trail_points = close * 0.05 / syminfo.mintick ,trail_offset = close * 0.05 / syminfo.mintick, loss = LossTarget)
// strategy.risk.max_drawdown(10, strategy.percent_of_equity)
// // ######################>>>>>>ShortEntries<<<<<<<#########################
if inDateRange and ATR_Rise and IsASell
strategy.entry("shortCondition",false,when = shortCondition)
strategy.exit("Take Profit or Stop Loss", "shortCondition",trail_points = close * 0.05 / syminfo.mintick ,trail_offset = close * 0.05 / syminfo.mintick, loss = LossTarget)
strategy.close("longCondition")
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