三均线交叉+William指标的量化交易策略


创建日期: 2023-09-28 10:58:16 最后修改: 2023-09-28 10:58:16
复制: 1 点击次数: 562
avatar of ChaoZhang ChaoZhang
1
关注
1237
关注者

概述

该策略通过结合三条平滑移动平均线、相对强弱指数(RSI)和威廉指标,识别股价的趋势方向,在趋势发生反转的时候寻找入场机会。当快中慢三条移动平均线向上(下)对齐,RSI高于(低于)50,且出现向下(上)的威廉指标信号时,做多(空)头。止损点设定为入场价格的一定百分比,止盈点为入场价格向有利方向移动一定百分比后。

策略原理

该策略使用了三条不同周期的平滑移动平均线,包括快线、中线和慢线。当快线上穿中线时,表示股价进入上升趋势;当快线下穿中线时,表示股价进入下跌趋势。在确定股价处于上升或下跌趋势后,策略等待首次交易机会的出现。

具体来说,在股价进入上升趋势后,策略会等待以下五个条件同时满足,才会开仓做多: 1. 快线、中线和慢线全部向上; 2. RSI高于50; 3. 出现向下的威廉指标形态; 4. 股价上穿慢线; 5. 当前没有持仓。

在股价进入下跌趋势后,策略会等待以下五个条件同时满足,才会开仓做空: 1. 快线、中线和慢线全部向下;
2. RSI低于50; 3. 出现向上的威廉指标形态; 4. 股价下穿慢线; 5. 当前没有持仓。

做多做空后,策略会设置止损点和止盈点来控制风险。具体来说,止损点为入场价格的一定百分比,止盈点为入场价格向有利方向移动一定百分比后的价格。

策略优势

  1. 结合多种指标确认入场,可以有效避免假突破。三条均线确定趋势方向,威廉指标捕捉反转信号,RSI过滤震荡行情,共同提高入场的准确率。

  2. 设置止盈止损点,可以很好控制每单的风险收益比,从而保证盈利的交易大于亏损的交易。

  3. 策略逻辑清晰易理解,参数设置合理,适合不同级别的交易者使用。

策略风险

  1. 在震荡行情中,指标可能发出错误信号,导致不必要的入场。可以通过优化RSI的参数来过滤掉部分震荡行情。

  2. 快线中线交叉可能出现假突破,应该与其他指标搭配使用。可以考虑加入成交量指标。

  3. 停损点距离入场价太近可能会被止损出场,止损点的设置需要调整到合适的位置。

  4. 止盈点距离入场价太远可能无法止盈出场,止盈点也需要调整到合适的位置。

策略优化方向

  1. 可以测试不同周期的参数组合,优化三条均线和RSI的参数。

  2. 可以加入其他指标,如成交量指标,突破前判断成交量是否突出。

  3. 可以根据不同品种分别测试该策略的参数设置。

  4. 可以根据回测结果绘制收益曲线,测试止损止盈参数的设置。

  5. 可以尝试在启用之前进行模拟交易,优化参数设置。

总结

该策略整体来说逻辑清晰,使用指标组合进行入场和出场,可以有效控制风险。策略的参数优化空间还很大,通过测试不同的参数设置,该策略可以成为一个稳定盈利的量化交易策略。但任何策略都无法完全避免损失,需要交易者保持交易纪律,做到盈利了就止盈,亏损了就止损。

策略源码 
/*backtest
start: 2023-08-28 00:00:00
end: 2023-09-27 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//This script is a combination of 3 smoothed moving averages, and RSI. When moving averages are aligned upward (downward) and RSI is above (below) 50 and a down (up) William fractal appears, it enters long (short) position. Exiting from long and short entries are defined by StopLoss and TargetProfit.

//@version=5

strategy(title="3SmmaCrossUp + Fractal + RSI", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, currency=currency.USD, commission_type=strategy.commission.percent, commission_value=0.03)

///////////////////////////////////////////////////////////////////////////////////////////////////////////////// inputs

// Global
src = input(close, title="Source")
stopLoss = input.float(defval = 0.1, title = "Stop Loss %", minval = 0, maxval=100, step = 0.1)
targetProfit = input.float(defval = 0.4, title = "Target Profit %", minval = 0, maxval=100, step = 0.1)

// Smooth Moving Average
fastSmmaLen = input.int(21, minval=1, title="Fast Length", group = "Smooth Moving Average")
midSmmaLen = input.int(50, minval=1, title="Mid Length",group = "Smooth Moving Average")
slowSmmaLen = input.int(200, minval=1, title="Slow Length",group = "Smooth Moving Average")

// RSI
rsiLen = input.int(defval=14, title="length", minval=1, maxval=1000, step=1, group="RSI")

// Fractals
n = input.int(title="Periods", defval=2, minval=2, group = "Fractals")

///////////////////////////////////////////////////////////////////////////////////////////////////////////////// initialization

var waitingFirstTradeInUpwardTrend = false
var waitingFirstTradeInDownwardTrend = false

///////////////////////////////////////////////////////////////////////////////////////////////////////////////// functions

smma(ma, src, len) => 
    smma = 0.0
    smma := na(smma[1]) ? ma : (smma[1] * (len - 1) + src) / len
    smma
    
fractals(n, highs, lows) =>
    // UpFractal
    bool upflagDownFrontier = true
    bool upflagUpFrontier0 = true
    bool upflagUpFrontier1 = true
    bool upflagUpFrontier2 = true
    bool upflagUpFrontier3 = true
    bool upflagUpFrontier4 = true
    for i = 1 to n
        upflagDownFrontier := upflagDownFrontier and (highs[n-i] < highs[n])
        upflagUpFrontier0 := upflagUpFrontier0 and (highs[n+i] < highs[n])
        upflagUpFrontier1 := upflagUpFrontier1 and (highs[n+1] <= highs[n] and highs[n+i + 1] < highs[n])
        upflagUpFrontier2 := upflagUpFrontier2 and (highs[n+1] <= highs[n] and highs[n+2] <= highs[n] and highs[n+i + 2] < highs[n])
        upflagUpFrontier3 := upflagUpFrontier3 and (highs[n+1] <= highs[n] and highs[n+2] <= highs[n] and highs[n+3] <= highs[n] and highs[n+i + 3] < highs[n])
        upflagUpFrontier4 := upflagUpFrontier4 and (highs[n+1] <= highs[n] and highs[n+2] <= highs[n] and highs[n+3] <= highs[n] and highs[n+4] <= highs[n] and highs[n+i + 4] < highs[n])
    flagUpFrontier = upflagUpFrontier0 or upflagUpFrontier1 or upflagUpFrontier2 or upflagUpFrontier3 or upflagUpFrontier4
    
    upFractal = (upflagDownFrontier and flagUpFrontier)
    
    // downFractal
    bool downflagDownFrontier = true
    bool downflagUpFrontier0 = true
    bool downflagUpFrontier1 = true
    bool downflagUpFrontier2 = true
    bool downflagUpFrontier3 = true
    bool downflagUpFrontier4 = true
    
    for i = 1 to n
        downflagDownFrontier := downflagDownFrontier and (lows[n-i] > lows[n])
        downflagUpFrontier0 := downflagUpFrontier0 and (lows[n+i] > lows[n])
        downflagUpFrontier1 := downflagUpFrontier1 and (lows[n+1] >= lows[n] and lows[n+i + 1] > lows[n])
        downflagUpFrontier2 := downflagUpFrontier2 and (lows[n+1] >= lows[n] and lows[n+2] >= lows[n] and lows[n+i + 2] > lows[n])
        downflagUpFrontier3 := downflagUpFrontier3 and (lows[n+1] >= lows[n] and lows[n+2] >= lows[n] and lows[n+3] >= lows[n] and lows[n+i + 3] > lows[n])
        downflagUpFrontier4 := downflagUpFrontier4 and (lows[n+1] >= lows[n] and lows[n+2] >= lows[n] and lows[n+3] >= lows[n] and lows[n+4] >= lows[n] and lows[n+i + 4] > lows[n])
    flagDownFrontier = downflagUpFrontier0 or downflagUpFrontier1 or downflagUpFrontier2 or downflagUpFrontier3 or downflagUpFrontier4
    
    downFractal = (downflagDownFrontier and flagDownFrontier)
    [upFractal, downFractal]

///////////////////////////////////////////////////////////////////////////////////////////////////////////////// calcs

[upFractal, downFractal] = fractals(n, high, low)


rsiIsHigh = ta.rsi(src, rsiLen) >= 50 


slowMa = ta.sma(src, slowSmmaLen)
midMa = ta.sma(src, midSmmaLen)
fastMa = ta.sma(src, fastSmmaLen)

slowSmma = smma(slowMa ,src, slowSmmaLen)
midSmma = smma(midMa, src, midSmmaLen)
fastSmma = smma(fastMa, src, fastSmmaLen)

isFastSmmaUpward = ta.rising(fastSmma, 1)
isMidSmmaUpward = ta.rising(midSmma, 1)
isSlowSmmaUpward = ta.rising(slowSmma, 1)

isFastSmmaDownward = ta.falling(fastSmma, 1)
isMidSmmaDownward = ta.falling(midSmma, 1)
isSlowSmmaDownward = ta.falling(slowSmma, 1)

slowMovingAveragesAreUpward = isMidSmmaUpward and isSlowSmmaUpward
slowMovingAveragesAreDownward = isMidSmmaDownward and isSlowSmmaDownward

justEnteredUpwardTrend = ta.crossover(fastSmma, midSmma) ? true : false
justEnteredDownwardTrend = ta.crossunder(fastSmma, midSmma) ? true : false

waitingFirstTradeInUpwardTrend := justEnteredUpwardTrend == true ? true : (isFastSmmaDownward or isMidSmmaDownward or isSlowSmmaDownward ? false : waitingFirstTradeInUpwardTrend)
waitingFirstTradeInDownwardTrend := justEnteredDownwardTrend == true ? true : (isFastSmmaUpward or isMidSmmaUpward or isSlowSmmaUpward ? false : waitingFirstTradeInDownwardTrend)

priceCrossedOverSlowMa = ta.crossover(close, slowSmma)
priceCrossedUnderSlowMa = ta.crossunder(close, slowSmma)

enterLongCondition = barstate.isconfirmed and low > fastSmma and rsiIsHigh and (downFractal or priceCrossedOverSlowMa) and waitingFirstTradeInUpwardTrend and strategy.position_size == 0

enterShortCondition = barstate.isconfirmed and high < fastSmma and (not rsiIsHigh) and (upFractal or priceCrossedUnderSlowMa) and waitingFirstTradeInDownwardTrend and strategy.position_size == 0

///////////////////////////////////////////////////////////////////////////////////////////////////////////////// strategy

if(enterLongCondition)
    strategy.entry(id="L", direction=strategy.long)
    waitingFirstTradeInUpwardTrend := false

if(enterShortCondition)
    strategy.entry(id="S", direction=strategy.short)
    waitingFirstTradeInDownwardTrend := false
    
if(strategy.position_size > 0)
    strategy.exit(id="EL", stop=strategy.position_avg_price * (1 - stopLoss/100), limit=strategy.position_avg_price * (1+targetProfit/100)) 
if(strategy.position_size < 0)
    strategy.exit(id="ES", stop=strategy.position_avg_price * (1 + stopLoss/100), limit=strategy.position_avg_price * (1-targetProfit/100)) 

///////////////////////////////////////////////////////////////////////////////////////////////////////////////// plots

plot(series = slowSmma, title="Slow SMMA", linewidth=3)
plot(series = midSmma, title="Mid SMMA", linewidth=2)
plot(series = fastSmma, title="Fast SMMA", linewidth=1)
plotchar(series=rsiIsHigh, title='rsiIsHigh', char='')
plotchar(series=justEnteredUpwardTrend, title='justEnteredUpwardTrend', char='')
plotchar(series=justEnteredDownwardTrend, title='justEnteredDownwardTrend', char='')
plotchar(series=waitingFirstTradeInUpwardTrend, title='waitingFirstTradeInUpwardTrend', char='')
plotchar(series=waitingFirstTradeInDownwardTrend, title='waitingFirstTradeInDownwardTrend', char='')
plotchar(series=enterLongCondition, title='enterLongCondition' , char='')
plotchar(series=enterShortCondition, title='enterShortCondition' , char='')
plotshape(series=upFractal, title='upFractal', style=shape.triangleup, location=location.abovebar, color=#009688, size = size.tiny)
plotshape(series=downFractal, title='downFractal', style=shape.triangledown, location=location.belowbar, color=color.red, size = size.tiny)
Forums
PINE Language FAQ Summary MyLanguage Web3 Intermediate tutorial
Product
Robot Strategy Node Platforms Tickets
API
Syntax guide User guide Trading api Blockchain Indicator

© 2015 - ∞ INVENTOR PTE LTD (SG)