ChaoZhang
概述
多空力量策略是由Alexander Elder博士开发的,它通过Elder-ray指标来衡量市场的买入和卖出压力。Elder-ray指标通常与三屏交易系统一起使用,但也可以单独使用。
Alexander Elder博士使用13日指数移动平均线(EMA)来表示市场价值的共识。多头力量反映买方将价格推高于价值共识的能力。空头力量反映卖方将价格压低于平均价值共识的能力。
多头力量通过高点减去13日EMA计算。空头力量通过低点减去13日EMA计算。
策略原理
该策略通过计算多空力量指标来判断市场的多空态势。
- 计算13日EMA作为市场价值共识
- 计算多头力量:当日最高价减去13日EMA
- 计算空头力量:当日最低价减去13日EMA
- 比较多头力量和空头力量与阈值的关系,判断做多做空信号
- 可以选择反向交易
当多头力量大于阈值时为做多信号,当空头力量大于阈值时为做空信号。且可以选择反向交易。
优势分析
- 使用多空力量指标判断市场多空态势,简单易懂
- 可配置参数灵活,阈值和周期可调
- 可选择反向交易,适应不同市场环境
- 采用指数移动平均线,对突发事件敏感度较低
风险分析
- 多空力量指标容易产生错误信号,需结合趋势和其他指标过滤
- 固定周期无法适应市场变化,可采用自适应周期优化
- 不存在止损,容易追随市场产生过大亏损
- 仅判断多空,缺乏入市时机选择
可设置止损,优化移动平均线周期,结合趋势指标等进行优化。
优化方向
- 优化移动平均线周期参数,使用自适应周期EMA
- 加入趋势指标过滤,避免逆势交易
- 增加止损策略,控制单笔亏损
- 结合其他指标选择更佳入市时机
- 运用机器学习技术优化参数设置
总结
多空力量策略通过Elder-ray指标判断市场多空态势,简单直观,参数可配置。但容易产生错误信号,需进一步优化加入趋势判断和止损。该策略思路值得学习借鉴,但直接应用需谨慎。
策略源码
/*backtest
start: 2023-09-23 00:00:00
end: 2023-10-23 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version = 2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 08/12/2016
// Developed by Dr Alexander Elder, the Elder-ray indicator measures buying
// and selling pressure in the market. The Elder-ray is often used as part
// of the Triple Screen trading system but may also be used on its own.
// Dr Elder uses a 13-day exponential moving average (EMA) to indicate the
// market consensus of value. Bull Power measures the ability of buyers to
// drive prices above the consensus of value. Bear Power reflects the ability
// of sellers to drive prices below the average consensus of value.
// Bull Power is calculated by subtracting the 13-day EMA from the day's High.
// Bear power subtracts the 13-day EMA from the day's Low.
//
// You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect...
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading.
////////////////////////////////////////////////////////////
strategy(title="Elder Ray (Bull Power) Strategy Backtest")
Length = input(13, minval=1)
Trigger = input(0)
reverse = input(false, title="Trade reverse")
hline(0, color=purple, linestyle=line)
xPrice = close
xMA = ema(xPrice,Length)
DayHigh = iff(dayofmonth != dayofmonth[1], high, max(high, nz(DayHigh[1])))
nRes = DayHigh - xMA
pos = iff(nRes > Trigger, 1,
iff(nRes < Trigger, -1, nz(pos[1], 0)))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1, 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(nRes, color=blue, title="Bull Power", style = histogram)