双OTT趋势跟踪策略


创建日期: 2023-10-08 15:10:31 最后修改: 2023-10-08 15:10:31
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概述

双OTT趋势跟踪策略是一种改进版的OTT策略,它结合了双OTT线和系数来更好地应对盘整市的时候的假信号。该策略由土耳其交易员Anıl Özekşi开发,他在自己的视频教程中详细解释了这一策略的设计思路。

原理

双OTT策略的核心是利用两条优化趋势跟踪线OTT来判断趋势方向。它首先计算出移动平均线MAvg,然后根据MAvg值的百分比来得到长止损线longStop和短止损线shortStop。当价格上穿长止损线时为看涨信号,下穿短止损线时为看跌信号。

为了处理盘整市的假信号,该策略改进了以下两点:

  1. 增加了两个垂直位移的OTT线,分别是OTTup和OTTdn,它们是OTT的略微上移和下移。只有当价格突破这两个位移线时,才产生真正的交易信号。

  2. 引入了一个小 coef 系数,用于微调两个位移OTT线,使其更精确地适应市场。

通过这种双OTT设计,可以过滤掉大部分盘整市的噪音,避免产生错误信号。从而可以更好地捕捉趋势转折点,及时切换仓位。这是双OTT策略的最大优势。

优势

  • 利用双OTT线设计可以有效过滤假信号,增强策略稳定性
  • 增加的微调系数coef使OTT线更贴近市场反应
  • 作者Anıl Özekşi在视频中详细讲解策略思路,容易理解掌握
  • 综合EMA,止损线等多种技术指标判断市场走势
  • 作者Anıl Özekşi是知名的土耳其交易员,具有一定的专业知名度

风险

  • OTT指标本身容易产生拉回测试的风险,双OTT设计可减轻这一问题
  • 大幅震荡行情下,止损线可能被频繁触发,存在过度交易的风险
  • coef系数需要仔细测试取得最优值,否则效果会打折扣
  • 作者视频是土耳其语教程,语言障碍问题可能影响算法的正确理解
  • 回测数据不足,需在更长周期和更多市场验证策略有效性

对策: - 增加止损线和双OTT之间的缓冲带,避免过于灵敏 - 优化系数coef的设置,使之更符合回测结果 - 翻译作者教程,确保对算法逻辑理解正确 - 在更多历史行情下进行回测,验证策略参数可靠性

优化方向

  • 可以考虑将参数如周期length等设置为可调节的输入值
  • 尝试其他类型的移动平均线,寻找更符合ottp原理的平均线算法
  • 根据不同交易品种分别优化coef系数的大小
  • 增加过滤机制,避免非主要交易时间段的错误信号
  • 将止损线改为动态追踪,根据波动率实时调整
  • 增加机器学习算法,利用AI自动优化参数设置

总之,双OTT策略充分利用了Anıl Özekşi的ottp经验,并做出创新。它有望成为一个可靠、可定制的趋势跟踪策略框架。但仍需持续优化测试以适应市场的变化。

总结

双OTT策略通过双优化趋势跟踪线以及微调系数,有效应对了盘整市的假信号问题。它合理运用移动平均线思想,辅以止损线来动态跟踪趋势。该策略简洁实用,来自知名交易员的亲身经验,值得深入研究运用。但我们也要清醒认识到其局限性,做到戒骄戒躁,谨慎验证。只有不断优化测试,才能使其成为可靠的趋势跟踪策略。

策略源码
/*backtest
start: 2023-09-07 00:00:00
end: 2023-10-07 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic

//created by: @Anil_Ozeksi
//developer: ANIL ÖZEKŞİ
//author: @kivancozbilgic

strategy("Twin Optimized Trend Tracker","TOTT", overlay=true)
src = input(close, title="Source")
length=input(40, "OTT Period", minval=1)
percent=input(1, "Optimization Constant", type=input.float, step=0.1, minval=0)
coeff=input(0.001, "Twin OTT Coefficient", type=input.float, step=0.001, minval=0)
showsupport = input(title="Show Support Line?", type=input.bool, defval=true)
showsignalsk = input(title="Show Signals?", type=input.bool, defval=true)
mav = input(title="Moving Average Type", defval="VAR", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"])
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
Var_Func(src,length)=>
    valpha=2/(length+1)
    vud1=src>src[1] ? src-src[1] : 0
    vdd1=src<src[1] ? src[1]-src : 0
    vUD=sum(vud1,9)
    vDD=sum(vdd1,9)
    vCMO=nz((vUD-vDD)/(vUD+vDD))
    VAR=0.0
    VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
VAR=Var_Func(src,length)
Wwma_Func(src,length)=>
    wwalpha = 1/ length
    WWMA = 0.0
    WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
WWMA=Wwma_Func(src,length)
Zlema_Func(src,length)=>
    zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2
    zxEMAData = (src + (src - src[zxLag]))
    ZLEMA = ema(zxEMAData, length)
ZLEMA=Zlema_Func(src,length)
Tsf_Func(src,length)=>
    lrc = linreg(src, length, 0)
    lrc1 = linreg(src,length,1)
    lrs = (lrc-lrc1)
    TSF = linreg(src, length, 0)+lrs
TSF=Tsf_Func(src,length)
getMA(src, length) =>
    ma = 0.0
    if mav == "SMA"
        ma := sma(src, length)
        ma

    if mav == "EMA"
        ma := ema(src, length)
        ma

    if mav == "WMA"
        ma := wma(src, length)
        ma

    if mav == "TMA"
        ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
        ma

    if mav == "VAR"
        ma := VAR
        ma

    if mav == "WWMA"
        ma := WWMA
        ma

    if mav == "ZLEMA"
        ma := ZLEMA
        ma

    if mav == "TSF"
        ma := TSF
        ma
    ma
    
MAvg=getMA(src, length)
fark=MAvg*percent*0.01
longStop = MAvg - fark
longStopPrev = nz(longStop[1], longStop)
longStop := MAvg > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop =  MAvg + fark
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := MAvg < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and MAvg > shortStopPrev ? 1 : dir == 1 and MAvg < longStopPrev ? -1 : dir
MT = dir==1 ? longStop: shortStop
OTT=MAvg>MT ? MT*(200+percent)/200 : MT*(200-percent)/200 
OTTup=OTT*(1+coeff)
OTTdn=OTT*(1-coeff)

PPLOT=plot(showsupport ? MAvg : na, color=#0585E1, linewidth=2, title="Support Line")

pALLup=plot(nz(OTTup[2]), color=color.green, linewidth=2, title="OTTup", transp=0)
pALLdn=plot(nz(OTTdn[2]), color=color.red, linewidth=2, title="OTTdown", transp=0)

buySignalk = crossover(MAvg, OTTup[2])
sellSignalk = crossunder(MAvg, OTTdn[2])
K1=barssince(buySignalk)
K2=barssince(sellSignalk)
O1=barssince(buySignalk[1])
O2=barssince(sellSignalk[1])

plotshape(buySignalk and showsignalsk and O1>K2 ? min(low-abs(roc(low,1)),OTTdn-abs(roc(low,1))) : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
plotshape(sellSignalk and showsignalsk and O2>K1 ? max(high+abs(roc(high,1)),OTTup+abs(roc(high,1))) : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0,display=display.none)
longFillColor = highlighting ? (O2>K1 ? color.green : na) : na
shortFillColor = highlighting ? (O1>K2 ? color.red : na) : na
fill(mPlot, PPLOT, title="UpTrend Highligter", color=longFillColor,transp=90)
fill(mPlot, PPLOT, title="DownTrend Highligter", color=shortFillColor,transp=90)
fill(pALLup, pALLdn, title="Flat Zone Highligter", color=color.blue,transp=90)



dummy0 = input(true, title = "=Backtest Inputs=")
FromDay    = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth  = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear   = input(defval = 2005, title = "From Year", minval = 2005)
ToDay      = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth    = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear     = input(defval = 9999, title = "To Year", minval = 2006)
Start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)
Finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)
Timerange() =>
    time >= Start and time <= Finish ? true : false
if buySignalk
    strategy.entry("Long", strategy.long)
if sellSignalk
    strategy.entry("Short", strategy.short)
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