ChaoZhang
概述
双均线交叉交易策略通过计算两条不同参数设置的均线,并通过均线的交叉进行买入和卖出操作。该策略简单直接,适合中短期交易。
策略原理
该策略主要通过输入快速均线周期、慢速均线周期、均线类型等参数,计算快速均线和慢速均线。当快速均线上穿慢速均线时,进行买入操作;当快速均线下穿慢速均线时,进行卖出操作。
该策略的核心逻辑是:
输入参数:快速均线周期maLen1,慢速均线周期maLen2,均线类型maTypeChoice
根据输入参数计算快速均线maValue1和慢速均线maValue2
比较两条均线大小关系,定义买入和卖出条件:
买入条件:maValue1上穿maValue2
卖出条件:maValue1下穿maValue2
在买入和卖出条件成立时,进行相应的交易操作
可视化显示均线,并用不同颜色区分均线大小关系
发送买入和卖出信号提示
策略优势
使用双均线交叉原理,避免被单一均线震荡误导
均线参数可调,可适应不同周期操作
交易逻辑简单直接,容易理解实现
可自定义买入卖出信号提示,实时掌握交易时机
可视化显示均线走势,形成直观交易指标
可通过参数优化找到最佳参数组合
可用于回测寻找最优参数,也可用于实盘交易
策略风险
均线交叉容易产生错误信号,应结合趋势和形态进行判断
双均线震荡时,容易频繁开仓造成交易费用损失
参数不当可导致过于频繁或不频繁交易
突发事件可能导致剧烈行情,无法止损
大周期突破时,短周期指标可能失效
需要频繁监控,无法全自动实现
风险解决方法:
结合趋势指标,避免震荡劈头交易
结合形态指标,确认信号有效性
优化参数,使交易频率达到合理水平
设置止损止盈点,控制单笔损失
多时间段验证参数稳定性
采用时间或信号过滤,避免假突破
策略优化方向
测试不同均线参数,寻找最优参数
测试不同均线类型,选择产生信号最准确的均线
结合趋势指标,避免不顺趋势交易
结合波动指标,判断合适出场时机
加入时间或信号过滤,减少错误信号
设置滑点控制,优化实盘交易效果
多品种多周期验证稳定性
加入自动止损止盈策略
探索机器学习等技术提升回测效果
总结
双均线交叉策略是一个非常典型的技术指标策略。它利用快慢均线交叉原理产生交易信号,通过参数优化可以获得不错的回测结果。但该策略也存在一定的风险,需要配合趋势、形态等其他技术指标来进行验证,降低错误信号率。此外,实盘交易中还需要考虑滑点控制等交易细节。总体来说,双均线交叉策略适合中短期操作,是理解和实现简单的首选交易策略之一。通过不断优化和验证,可以将该策略运用于实盘,获得稳定收益。
策略源码
/*backtest
start: 2023-10-05 00:00:00
end: 2023-10-05 22:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// © sehweijun
//study( title="Arch1tect's New Toy", shorttitle="Arch1tect's New Toy", overlay=true, resolution="")
// strategy( title="Arch1tect's New Toy (Strategy Tester Version)", shorttitle="Arch1tect's New Toy (Strategy Tester Version)", overlay=true, initial_capital = 100000, commission_value=0.07, commission_type=strategy.commission.cash_per_contract)
maTypeChoice = input( "EMA", title="MA Type", options=["EMA", "WMA", "SMA"] )
maSrc = input( close, title="MA Source" )
maLen1 = input( 15, minval=1, title="MA Length" )
maLen2 = input( 95, minval=1, title="MA Length" )
maValue1 = if ( maTypeChoice == "EMA" )
ema( maSrc, maLen1 )
else if ( maTypeChoice == "WMA" )
wma( maSrc, maLen1 )
else if ( maTypeChoice == "SMA" )
sma( maSrc, maLen1 )
else
0
maValue2 = if ( maTypeChoice == "EMA" )
ema( maSrc, maLen2 )
else if ( maTypeChoice == "WMA" )
wma( maSrc, maLen2 )
else if ( maTypeChoice == "SMA" )
sma( maSrc, maLen2 )
else
0
buySignal = crossover( maValue1, maValue2 )
sellSignal = crossunder( maValue1, maValue2 )
mainMAColour = ( maValue1 > maValue2 ) ? color.green : color.red
plot( maValue1, title="Arch1tect's New Toy", color=mainMAColour, offset=0, linewidth=4 )
//plot( maValue2, title="Arch1tect's Filter", color=color.black, offset=0, linewidth=2 )
var color buyCandleColour = #00ff0a
var color sellCandleColour = #ff1100
barcolor( buySignal ? buyCandleColour : sellSignal ? sellCandleColour : na, title="Signal Bar Colour" )
bgcolor( color=buySignal ? buyCandleColour : sellSignal ? sellCandleColour : na, transp=85, title="Signal Background Colour")
alertcondition( buySignal or sellSignal, title="Signal change!", message="Signal change!")
alertcondition( buySignal, title="Buy signal!", message="Buy signal!")
alertcondition( sellSignal, title="Sell signal!", message="Sell signal!")
// Strategy Tester
stratTesterOn = input( title="Strategy Tester [ON/OFF]", group="Strategy Tester", type=input.bool, defval=true)
entryTime = input( "2200-1200", title = "Daily trading time session (in Exchange GMT)", group="Strategy Tester", type = input.session )
startTime = input( "2200-2201", title = "Start Time", group="Strategy Tester", type = input.session )
maxDailyLoss = input( 2500, title = "Max daily loss", group="Strategy Tester", type = input.integer )
maxTotalDrawdown = input( 12000, title = "Max daily loss", group="Strategy Tester", type = input.integer )
contractSize = input( 1, title = "Contract size", group="Strategy Tester", type = input.integer )
tradeOnStartSess = input( title="First trade on session start [ON/OFF]", group="Strategy Tester", type=input.bool, defval=true)
fixedTPSL = input( title="Fixed TP/SL PIPS [ON/OFF]", group="Strategy Tester", type=input.bool, defval=false)
fixedTPValue = input ( 10.00, minval=0.01, type=input.float, title="TP", group="Strategy Tester" )
fixedSLValue = input ( 10.00, minval=0.01, type=input.float, title="SL", group="Strategy Tester" )
fromDay = input(defval = 1, title = "From Day", group="Date Range", type = input.integer, minval = 1, maxval = 31)
fromMonth = input(defval = 1, title = "From Month", group="Date Range", type = input.integer, minval = 1, maxval = 12)
fromYear = input(defval = 2020, title = "From Year", group="Date Range", type = input.integer, minval = 1970)
thruDay = input(defval = 1, title = "Thru Day", group="Date Range", type = input.integer, minval = 1, maxval = 31)
thruMonth = input(defval = 1, title = "Thru Month", group="Date Range", type = input.integer, minval = 1, maxval = 12)
thruYear = input(defval = 2112, title = "Thru Year", group="Date Range", type = input.integer, minval = 1970)
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
// strategy.risk.max_intraday_loss( maxDailyLoss, strategy.cash )
// strategy.risk.max_drawdown( maxTotalDrawdown, strategy.cash )
isTime(_position) =>
range = time( timeframe.period, _position + ':1234567' )
bgcolor( color=isTime( entryTime ) and stratTesterOn and window() ? color.yellow : na, title="Daily trading time session (in Exchange GMT)", transp=75 )
if ( stratTesterOn and window() )
if ( buySignal and isTime( entryTime ) )
if ( not fixedTPSL )
strategy.close_all()
strategy.entry( "Buy", strategy.long, contractSize )
if ( fixedTPSL and strategy.position_size == 0 )
strategy.entry( "Buy", strategy.long, contractSize )
strategy.exit( "TP/SL", "Buy", stop=close[0]-fixedSLValue, limit=close[0]+fixedTPValue )
if ( sellSignal and isTime( entryTime ))
if ( not fixedTPSL )
strategy.close_all()
strategy.entry( "Sell", strategy.short, contractSize )
if ( fixedTPSL and strategy.position_size == 0 )
strategy.entry( "Sell", strategy.short, contractSize )
strategy.exit( "TP/SL", "Sell", stop=close[0]+fixedSLValue, limit=close[0]-fixedTPValue )
if ( isTime( startTime ) and tradeOnStartSess and strategy.position_size == 0 )
if ( maValue1 > maValue2 )
strategy.entry( "Buy", strategy.long, contractSize )
if ( fixedTPSL )
strategy.exit( "TP/SL", "Buy", stop=close[0]-fixedSLValue, limit=close[0]+fixedTPValue )
else
strategy.entry( "Sell", strategy.short, contractSize )
if ( fixedTPSL )
strategy.exit( "TP/SL", "Sell", stop=close[0]+fixedSLValue, limit=close[0]-fixedTPValue )
strategy.close_all( when=not isTime( entryTime ) )
plot( strategy.equity )