ChaoZhang
概述
本策略综合运用双重均线、随机指标和MACD指标,识别短线交易机会,属于较为经典的短线交易策略。
原理
该策略主要基于以下几点原理:
使用50周期和100周期的EMA均线,判断趋势方向。EMA均线周期较短,能快速响应价格变化。50周期线上穿100周期线代表入场做多;50周期线下穿100周期线代表入场做空。
使用MACD指标的差离值判断买卖时机。当差离上穿0时显示多头力量增强,做多;当差离下穿0时空头力量增强,做空。
结合Stochastic RSI指标判断是否超买超卖。该指标结合KDJ指标和RSI指标的优点,可以显示市场的超买超卖情况。当指标低于20时为超卖,结合其他指标做多;当指标高于80时为超买,结合其他指标做空。
在开仓方向确定后,如果最近5根K线有4根收盘价触碰均线,表明均线附近有支撑或压力,可以开仓。
使用止盈止损点位管理风险。
优势
该策略具有以下优势:
多指标组合,综合运用均线、超买超卖指标和能量指标,提高交易胜率。
均线周期较短,能快速把握趋势及反转。MACD参数优化,识别买卖时机精准。
Stochastic RSI指标参数经过优化,可以很好地识别超买超卖现象。
利用均线附近支撑压力进行节奏控制,避免在无效突破中被套。
合理止盈止损,有效控制单笔交易风险。
风险
该策略也存在一些风险:
仍无法完全避免假突破带来的亏损。
多指标组合可能出现背离,导致交易信号不一致。
固定止盈止损点位可能无法适应市场的变化。
代码实现较为复杂,参数众多,不太易于优化。
对应风险的解决方法如下:
优化参数,提高信号质量,降低假突破概率。
建立指标之间的优先级,避免信号冲突。
使止盈止损动态跟踪,根据ATR等指标设定止盈止损范围。
简化代码逻辑,提取核心参数进行测试与优化。
优化方向
该策略可以从以下几个方向进行优化:
对均线周期、MACD参数进行测试,找到最佳参数组合。
测试不同的超买超卖指标替代Stochastic RSI。
尝试动态止盈止损、移动止损等方式,使盈亏管理更加智能化。
添加过滤条件,如交易量增长等,提高信号质量。
优化开仓逻辑,防止无效突破。可以引入更多指标判断趋势。
对账户资金规模、每日交易次数等设置止损限制,控制整体风险。
总结
本策略整合多种指标优势,在短线交易中具有较强的实用性。通过继续优化参数,严格开仓逻辑,改进盈亏管理策略,可以进一步提升策略的稳定性和盈利能力。该策略适合有一定基础的短线交易者使用,但需要注意风险控制,以免出现较大亏损。
策略源码
/*backtest
start: 2023-01-01 00:00:00
end: 2023-10-08 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="Forex scalper 2xEMA + SRSI + MACD", shorttitle="Forex scalper 5-15min", overlay=true)
src = input(title="Source", type=input.source, defval=close)
src_0 = src[0]
src_1 = src[1]
src_2 = src[2]
src_3 = src[3]
src_4 = src[4]
len50 = input(50, minval=1, title="Length")
src50 = input(close, title="Source")
out50 = ema(src50, len50)
len100 = input(100)
src100 = input(close, title="Source")
out100 = ema(src100, len100)
len1 = input(1, minval=1, title="Length")
src1 = input(close, title="Source")
out1 = sma(src1, len1)
length = input(4, minval=1)
OverBought = input(80)
OverSold = input(20)
smoothK = 3
smoothD = 3
k = sma(stoch(close, high, low, length), smoothK)
d = sma(k, smoothD)
cu = crossover(k,OverSold)
co = crossunder(k,OverBought)
sma_down = crossunder(out1, out50)
sma_up = crossover(out1,out50)
//if (not na(k) and not na(d))
// if (co and k < OverSold)
// strategy.entry("StochLE", strategy.long, comment="StochLE")
//if (cu and k > OverBought)
// strategy.entry("StochSE", strategy.short, comment="StochSE")
crossCandle_4 = crossover(src[4],out50)
crossCandleUnder_4= cross(src[4],out50)
crossCandle_3 = crossover(src[3],out50)
crossCandleUnder_3= crossunder(src[3],out50)
crossCandle_2 = crossover(src[2],out50)
crossCandleUnder_2= crossunder(src[2],out50)
crossCandle_1 = crossover(src[1],out50)
crossCandleUnder_1= crossunder(src[1],out50)
crossCandle_0 = crossover(src[0],out50)
crossCandleUnder_0= crossunder(src[0],out50)
conditionOver = (crossCandle_4 or crossCandle_3 or crossCandle_2 or crossCandle_1 or crossCandle_0)
conditionUnder =(crossCandleUnder_4 or crossCandleUnder_3 or crossCandleUnder_2 or crossCandleUnder_1 or crossCandleUnder_0)
touch4 = (cross(low[4],out50) or cross(high[4],out50))
touch3 = (cross(low[3],out50) or cross(high[3],out50))
touch2 = (cross(low[2],out50) or cross(high[2],out50))
touch1 = (cross(low[1],out50) or cross(high[1],out50))
touch = touch1 or touch2 or touch3 or touch4
//and sma_up
//and sma_down
// Getting inputs
fast_length = input(title="Fast Length", type=input.integer, defval=12)
slow_length = input(title="Slow Length", type=input.integer, defval=26)
src_macd = input(title="Source", type=input.source, defval=close)
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 10)
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=false)
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false)
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
// Calculating
fast_ma = sma_source ? sma(src_macd, fast_length) : ema(src_macd, fast_length)
slow_ma = sma_source ? sma(src_macd, slow_length) : ema(src_macd, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? sma(macd, signal_length) : ema(macd, signal_length)
hist = macd - signal
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below) ), transp=0 )
//plot(macd, title="MACD", color=col_macd, transp=0)
//plot(signal, title="Signal", color=col_signal, transp=0)
// plot((conditionOver or conditionUnder or touch) and src[0] >= out50 and close >= out50 and (cu) and out50 > out100 and hist>=0 , title="Buy", style=columns, color=lime)
// plot((conditionOver or conditionUnder or touch) and src[0] <= out50 and close <= out50 and (co) and out50< out100 and hist<=0 , title="sell", style=columns, color=red)
long_cond = ((conditionOver or conditionUnder or touch) and src[0] >= out50 and close > out50 and (cu) and out50 > out100 and hist>=0)
short_cond = ((conditionOver or conditionUnder or touch) and src[0] <= out50 and close < out50 and (co) and out50< out100 and hist<=0)
tp=input(200)
sl=input(200)
strategy.entry("long",strategy.long, when=long_cond)
strategy.entry("short",strategy.short, when=short_cond)
strategy.exit("X_long", "long", profit=tp, loss=sl, when=touch )
strategy.exit("x_short", "short",profit=tp, loss=sl,when = touch )