这个策略是将两种动量指标组合使用,以发掘更多交易机会。第一种指标是乌尔夫·詹森在他的书中提出的快慢随机指标的反转策略。第二种指标是John Ehlers提出的去趋势合成价格。该策略综合利用两种指标的信号,在两种指标同时发出买入或卖出信号时下单。
第一部分的快慢随机指标反转策略的原理是:当收盘价连续两天低于前一日收盘价,而快线高于慢线时做多;当收盘价连续两天高于前一日收盘价,而快线低于慢线时做空。
第二部分的去趋势合成价格的计算公式是:
DSP = EMA(HL/2, 0.25周期) - EMA(HL/2, 0.5周期)
其中HL/2是计算高低价中点,0.25周期EMA代表价格的短期趋势,0.5周期EMA代表价格的长期趋势。去趋势合成价格代表了价格相对其主导周期的涨跌幅度。当DSP上穿阈值时看涨,下穿阈值时看跌。
该策略将两种指标信号综合考虑。只有两种指标同时发出买入或卖出信号时,才会开仓。
该策略综合运用两种不同的动量指标,通过双重过滤提高信号质量,在保持交易频率的同时控制风险。但需要注意指标本身的局限性,并适当优化参数。如果能持续优化,该策略有望获取超越大盘的超额收益。
/*backtest
start: 2023-09-29 00:00:00
end: 2023-10-29 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 18/11/2019
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Detrended Synthetic Price is a function that is in phase with the
// dominant cycle of real price data. This DSP is computed by subtracting
// a half-cycle exponential moving average (EMA) from the quarter cycle
// exponential moving average.
// See "MESA and Trading Market Cycles" by John Ehlers pages 64 - 70.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
D_DSP(Length, SellBand, BuyBand) =>
pos = 0.0
xHL2 = hl2
xEMA1 = ema(xHL2, Length)
xEMA2 = ema(xHL2, 2 * Length)
xEMA1_EMA2 = xEMA1 - xEMA2
pos := iff(xEMA1_EMA2 > SellBand, 1,
iff(xEMA1_EMA2 < BuyBand, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & D_DSP (Detrended Synthetic Price) V 2", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthDSP = input(14, minval=1)
SellBand = input(-25)
BuyBand = input(25)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posD_DSP = D_DSP(LengthDSP, SellBand, BuyBand)
pos = iff(posReversal123 == 1 and posD_DSP == 1 , 1,
iff(posReversal123 == -1 and posD_DSP == -1, -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)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )