基于MACD指标的趋势跟踪交易策略


创建日期: 2023-09-27 16:46:38 最后修改: 2023-09-27 16:46:38
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概述

该策略基于MACD指标判断趋势方向,并结合Stoch指标进行具体的买入卖出操作。策略采用较长周期的MACD判断大趋势,较短周期的Stoch进行入市出场。

策略原理

  1. 使用MACD指标判断大趋势方向

    • 计算长周期EMA快线、慢线和MACD柱状线

    • 比较不同周期MACD的变化情况,判断趋势方向

  2. 使用Stoch指标确定具体买卖点

    • 计算%K线和%D线

    • Stoch在超买超卖区附近出现背离,并回抬,作为买入卖出信号

  3. 结合趋势方向和Stoch信号,进行买入卖出操作

    • 大周期MACD上涨时,Stoch买入信号出现,做多

    • 大周期MACD下跌时,Stoch卖出信号出现,做空

  4. 设置止损止盈,优化资金管理

优势分析

  • 该策略结合趋势跟踪和超买超卖指标,能够有效抓住中长线趋势

  • MACD判断大方向,Stoch进行交易细节,可有效控制风险

  • 充分利用指标之间的组合,形成指标策略

  • 设置止损止盈机制,对交易风险进行管理

  • 策略参数可进行优化,适用于不同市场环境

风险分析

  • 中长线趋势判断可能存在错误,导致逆势交易亏损

  • Stoch指标产生假信号,使盈利不足或出现亏损

  • 趋势变化时,止损点可能被突破,扩大亏损

  • 盈利目标过大过小都会影响策略效果

  • 参数不当及不适应市场环境变化,会导致策略失效

  • 可通过优化趋势判断方法,验证Stoch信号,调整止损止盈位置等方式降低风险

优化方向

  • 优化MACD参数组合,提高对趋势的判断精确度

  • 考虑多时间周期的Stoch指标,避免假信号

  • 动态调整止损止盈比例,适应市场波动

  • 结合其他指标信号进行 verifies,提高信号有效性

  • 根据不同品种特点和交易时段,参数进行优化

  • 增加机器学习算法,辅助判断趋势方向

  • 结合量能指标,避免不充分或过度追涨跌

总结

该策略整合MACD和Stoch两个指标优势,在控制风险的前提下,抓取中长线趋势进行交易。通过参数优化、止损止盈设定、信号验证等方式强化策略效果,可适应多种市场环境,具有实际交易价值。优化空间还存在,可继续优化参数设定,提高信号准确度,并辅以机器学习等手段,使策略更全面、智能。

策略源码
/*backtest
start: 2023-09-19 00:00:00
end: 2023-09-26 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

// strategy(title="自用策略v0.2",calc_on_order_fills=false,calc_on_every_tick =false, initial_capital=10000,commission_type=strategy.commission.percent, commission_value=0.00,overlay = true,default_qty_type = strategy.cash, default_qty_value = 10000)



//STOCH
periodD = input(3, title="%D Smoothing", minval=1)
periodK = input(14, title="%K Length", minval=1)
periodK2 = input(42, title="%K2 Length", minval=1)
periodK3 = input(126, title="%K3 Length", minval=1)
periodK4 = input(378, title="%K4 Length", minval=1)
periodK5 = input(14, title="%K5 Length", minval=1)
periodK6 = input(30, title="%K6 Length", minval=1)
smoothK = input(1, title="%K Smoothing", minval=1)
k = sma(stoch(close, high, low, periodK), smoothK)
k2 = sma(stoch(close, high, low, periodK2), smoothK*3)
k3 = sma(stoch(close, high, low, periodK3), smoothK*3*3)
k4 = sma(stoch(close, high, low, periodK4), smoothK*3*3*3)
d = sma(k, periodD)
all = (k+k2*3+k3*9+k4*18)/31
allp = sma(all, periodK6)



buffer = input(title="buffer", type=input.float, defval=0.3, minval = 0, step = 0.1)
b1 = close[1]* (1+buffer/100)
b2 = close[1]* (1-buffer/100)

//MACD
fast_length = input(title="Fast Length", defval=144)
slow_length = input(title="Slow Length", defval=312)

src = input(title="Source", defval=close)
signal_length = input(title="Signal Smoothing",  minval = 1, maxval = 200, defval = 108)
sma_source = input(title="Oscillator MA Type",  defval="EMA", options=["SMA", "EMA"])
sma_signal = input(title="Signal Line MA Type", defval="EMA", options=["SMA", "EMA"])

// Calculating
fast_ma = sma_source == "SMA" ? sma(src, fast_length) : ema(src, fast_length)
slow_ma = sma_source == "SMA" ? sma(src, slow_length) : ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal == "SMA" ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal
MACDCHA = input(title="MACDCHA步长", defval=30)
MACDCHA2 = input(title="MACDCHA步长2", defval=20)
MACDCHA3 = input(title="MACDCHA步长3", defval=10)
MACDCHA4 = input(title="MACDCHA步长4", defval=5)
MACDCHA5 = input(title="MACDCHA步长5", defval=3)
MACDCHA6 = input(title="MACDCHA步长6", defval=1)
HISTCHA = input(title="hist步长", defval=50)
macdcha = hist - hist[MACDCHA]
macdcha2 = hist - hist[MACDCHA2]
macdcha3 = hist - hist[MACDCHA3]
macdcha4 = hist - hist[MACDCHA4]
macdcha5 = hist - hist[MACDCHA5]
macdcha6 = hist - hist[MACDCHA6]
histcha = hist[HISTCHA]
var true2 = 0
var true2_1 = 0
var true2_2 = 0
var true2_3 = 0
var true2_4 = 0//延伸
var fangxiang =0
//确认方向
if(macdcha>=0 and macdcha2>=0 and macdcha3>=0 and macdcha4>=0 and macdcha5>=0 and macdcha6>=0)
    fangxiang := 1
    true2_2 := 0
if(macdcha<=0 and macdcha2<=0 and macdcha3<=0 and macdcha4<=0 and macdcha5<=0 and macdcha6<=0)
    fangxiang :=-1
    true2_1 := 1
//k3min = min(k3,k3[1],k3[2],k3[3],k3[4],k3[5],k3[6],k3[7],k3[8],k3[9],k3[10],k3[11],k3[12],k3[13],k3[14],k3[15],k3[16],k3[17],k3[18],k3[19],k3[20],k3[21],k3[22],k3[23],k3[24],k3[25],k3[26],k3[27],k3[28],k3[29],k3[30],k3[31],k3[32],k3[33],k3[34],k3[35],k3[36],k3[37],k3[38],k3[39],k3[40],k3[41],k3[42],k3[43],k3[44],k3[45],k3[46],k3[47],k3[48],k3[49],k3[50])
//k3max = max(k3,k3[1],k3[2],k3[3],k3[4],k3[5],k3[6],k3[7],k3[8],k3[9],k3[10],k3[11],k3[12],k3[13],k3[14],k3[15],k3[16],k3[17],k3[18],k3[19],k3[20],k3[21],k3[22],k3[23],k3[24],k3[25],k3[26],k3[27],k3[28],k3[29],k3[30],k3[31],k3[32],k3[33],k3[34],k3[35],k3[36],k3[37],k3[38],k3[39],k3[40],k3[41],k3[42],k3[43],k3[44],k3[45],k3[46],k3[47],k3[48],k3[49],k3[50])
allpmax = max(allp[1],allp[2],allp[3],allp[4],allp[5],allp[6])
allpmin = min(allp[1],allp[2],allp[3],allp[4],allp[5],allp[6])
if(histcha < 0 and macdcha>=0 and macdcha2>=0 and macdcha3>=0 and macdcha4>=0 and macdcha5>=0 and macdcha6>=0 and d < 20 and volume > volume[1] and true2_1 == 1 and allp>allp[1] and allp <80)//and k3max < 80  //and k3min < 30 and k3 >20 and k2<50
    strategy.entry("开多", true, comment = "开多") // and close > close[1] and cci1> MEA1
    true2_1 :=0
if(d >80)
    strategy.close( "开多", comment = "平多")
    true2_1 :=1

stop_loss=input(4, "做多止损 %", minval = 1, step = 1)
sl = strategy.position_avg_price * (1-stop_loss/100)
close_Stop = close < sl
if(close_Stop or(allp<20 and allp[1]>20))
    strategy.close( "开多", comment = "做多止损")
    true2_1 :=1
Target_profit=input(10, "做多止盈 %", minval = 1, step = 1)
tp = strategy.position_avg_price * (1+Target_profit/100)
close_Target = close > tp
strategy.close("开多", when = close_Target, comment ="做多盈利")


//空
if(histcha > 0 and macdcha<=0 and macdcha2<=0 and macdcha3<=0 and macdcha4<=0 and macdcha5<=0 and macdcha6<=0 and d > 80 and volume > volume[1] and true2_2 == 1 and allp<allp[1] and allp >20) // and k3max>70 and k3<80
    //strategy.entry("开空", comment = "开空") 
    strategy.entry("开空", strategy.short,comment ="开空")
    true2_2 := 0
if( d <20)
   // strategy.close(  comment = "平空")
    strategy.close("开空",  comment = "平空")
    true2_2 := 1

stop_loss2=input(4, "做空止损 %", minval = 1, step = 1)
sl2 = strategy.position_avg_price * (1+stop_loss2/100)
close_Stop2 = close > sl2
if(close_Stop2 or(allp>80 and allp[1]<80))
    strategy.close( "开空", comment = "做空止损")
    true2_2 == 1
Target_profit2=input(10, "做空止盈 %", minval = 1, step = 1)
tp2 = strategy.position_avg_price * (1-Target_profit2/100)
close_Target2 = close < tp2
strategy.close("开空", when = close_Target2, comment ="做空盈利")