ChaoZhang
概述
该策略基于移动平均线和成交量的趋势分析,设定动量指标,并以追踪趋势的方式进行买卖操作。
策略原理
- 计算close价格的EMA均线和成交量的累积EMA均线
- 当close上穿EMA时判断为上升趋势,作多头操作
- 当继续上升时,close上穿累积EMA的2倍均线时,追加多仓
- 设置RSI指标,当RSI超过90时平掉1/3头寸获利了结
- 当close下穿EMA时判断为下降趋势,平掉全部多头仓位
- 当close下穿EMA时判断为下降趋势,做空操作
- 设置止损线,止损线为进入价格的固定百分比
- 空头获利方式与多头相同
优势分析
该策略主要优势有:
- 使用EMA均线判断趋势,可以有效跟踪趋势
- 采用成交量的累积EMA来判断真实的趋势变化
- 追踪动量指标RSI来获利了结
- 风险控制到位,有止损线
- 可以适应不同行情,灵活调整参数
风险分析
该策略主要风险有:
- EMA均线生成滞后,可能错过转折点
- 成交量不一定能反映真实趋势
- 固定百分比止损可能过于机械化
- PARAMETERS太多,调参难度大
- 交易频繁,交易费用成本较高
风险解决思路:
- 优化EMA参数,降低滞后性
- 结合其他指标确认成交量信号
- 根据市场情况优化止损点
- 简化参数,仅保留主要设置
- 适当放宽止损线和交易频率
优化方向
该策略可以从以下几个方面进行优化:
- 测试不同EMA参数设置,找到最优参数组合
- 增加 VOLUME 倍数作为入场信号强弱判定
- 结合MACD,KD等其他指标确认入场
- 根据特定股票特点优化止损百分比
- 优化交易频率,降低交易费用
总结
该策略整体来说是一个基于均线系统的趋势追踪策略。核心思路是使用EMA判定趋势方向,并配合VOLUME动量指标来确认入场。可以通过参数优化不断优化,并辅助其他指标进一步确认。总体来说是一个灵活的趋势追踪策略,在熟练运用后可以获得不错的回报。
策略源码
/*backtest
start: 2023-10-30 00:00:00
end: 2023-11-06 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mohanee
//@version=4
strategy("EMA_cumulativeVolume_crossover[Strategy]", overlay=true, pyramiding=5, default_qty_type=strategy.percent_of_equity, default_qty_value=20, initial_capital=10000)
emaLength= input(25, title="EMA Length", minval=1, maxval=200)
cumulativePeriod = input(100, title="cumulative volume Period", minval=1, maxval=200)
riskCapital = input(title="Risk % of capital", defval=10, minval=1)
stopLoss=input(8,title="Stop Loss",minval=1)
takePartialProfits=input(true, title="take partial profits (percentage same as stop loss)")
tradeDirection=input(title="Trade Direction", defval="LONG", options=["LONG", "SHORT"])
avgPrice = (high + low + close) / 3
avgPriceVolume = avgPrice * volume
cumulPriceVolume = sum(avgPriceVolume, cumulativePeriod)
cumulVolume = sum(volume, cumulativePeriod)
cumValue = cumulPriceVolume / cumulVolume
emaVal=ema(close, emaLength)
emaCumValue1=ema(cumValue, emaLength)
emaCumValue2=ema(cumValue, emaLength*2)
emaCumValueHistory=ema(cumValue[emaLength], emaLength)
//vwapVal1=vwap(hlc3)
rsiVal=rsi(close,5)
plotEma=plot(emaVal, title="EMA", color=color.green, transp=25)
//plot(vwapValue, title="Cumulate Volumne", color=color.orange, linewidth=2, transp=25)
//plot(vwapVal1, title="vwapVal1", color=color.purple, linewidth=1, transp=25)
plotCum=plot(emaCumValue1, title="emaVwapValue", color=color.purple, linewidth=2, transp=35)
plot(emaCumValue2, title="emaVwapValue", color=color.yellow, linewidth=3, transp=25)
fill(plotEma,plotCum, color=emaVal>emaCumValue1 ? color.lime : color.red, transp=35, title="ema and cum area")
plot(emaCumValueHistory, title="emaCumValueHistory", color=color.black, linewidth=2, transp=25)
//bgcolor(emaVal>vwapValue?color.blue:color.purple)
//Entry--
//Echeck how many units can be purchased based on risk manage ment and stop loss
qty1 = (strategy.equity * riskCapital / 100 ) / (close*stopLoss/100)
//check if cash is sufficient to buy qty1 , if capital not available use the available capital only
qty1:= (qty1 * close >= strategy.equity ) ? (strategy.equity / close) : qty1
//strategy.entry(id="LE",comment="LE", long=true, qty=qty1, when=crossover(emaVal, vwapValue) and (tradeDirection=="LONG") ) //emaVal>vwapValue and crossover(close , emaVal)
strategy.entry(id="LE",comment="LE", long=true, qty=qty1, when=strategy.position_size==0 and crossover(emaVal, emaCumValue1) and (tradeDirection=="LONG") ) //emaVal>vwapValue and crossover(close , emaVal)
//re-entry
rentryCondition1=strategy.position_size>1 and emaVal > emaCumValue1 and emaCumValue1>emaCumValue2 and crossover(close, emaCumValue2) and close>open and (tradeDirection=="LONG")
strategy.entry(id="LE",comment="LE RE", long=true, qty=qty1, when=rentryCondition1 )
rentryCondition2=strategy.position_size>1 and emaVal > emaCumValue1 and emaCumValue1>emaCumValueHistory and crossover(close, emaCumValueHistory) and close>open and (tradeDirection=="LONG")
//strategy.entry(id="LE",comment="LE RE", long=true, qty=qty1, when=rentryCondition2 )
//stoploss
stopLossVal= strategy.position_size>=1 ? (strategy.position_avg_price * (1-(stopLoss*0.01) )) : 0.00
//draw initil stop loss
//plot(strategy.position_size>=1 ? stopLossVal : na, color = color.purple , style=plot.style_linebr, linewidth = 2, title = "stop loss")
//partial exits
takeProfit= strategy.position_size>=1 ? (strategy.position_avg_price * (1+(1*0.01) )) : ( close[1] * 2 )
//if(takePartialProfits==true)
//strategy.close(id="LE", comment="Partial"+tostring(close-strategy.position_avg_price, "###.##") , qty=strategy.position_size/3 , when = (tradeDirection=="LONG" ) and close>takeProfit and crossunder(close, emaVal) ) //close<close[1] and close[1]<close[2] and close[2]<close[3])
strategy.close(id="LE", comment="PExit Points=>"+tostring(close-strategy.position_avg_price, "###.##") , qty=strategy.position_size/3 , when = (tradeDirection=="LONG" ) and takePartialProfits == true and close>=takeProfit and crossunder(rsiVal,90) )
profitVal= strategy.position_size>=1 ? (strategy.position_avg_price * (1+(1*0.01) )) : ( close[1] * 2 )
//strategy.close(id="LE" , comment="LE Exit Points="+tostring(close-strategy.position_avg_price, "###.##"), when=crossunder(emaVal, vwapValue) and (tradeDirection=="LONG") )
strategy.close(id="LE" , comment="Exit Points=>"+tostring(close-strategy.position_avg_price, "###.##"), when= crossunder(emaVal, emaCumValue1) and (tradeDirection=="LONG") )
strategy.close(id="LE" , comment="SL Exit Loss="+tostring(close-strategy.position_avg_price, "###.##"), when= close < stopLossVal and (tradeDirection=="LONG") )
//for short you dont have to wait crossodown of ema, falling is speed , so just check if close crossing down vwapVal
strategy.entry(id="SE",comment="SE", long=false, qty=qty1, when=crossunder(emaVal, emaCumValue1) and (tradeDirection=="SHORT") ) //emaVal>vwapValue and crossover(close , emaVal)
//stoploss
stopLossValUpside= abs(strategy.position_size)>=1 and tradeDirection=="SHORT" ? (strategy.position_avg_price * (1+(stopLoss*0.01) )) : 0.00
//draw initil stop loss
//plot(abs(strategy.position_size)>=1 and tradeDirection=="SHORT" ? stopLossValUpside : na, color = color.purple , style=plot.style_linebr, linewidth = 2, title = "stop loss")
//partial exits
shortTakeProfit= abs(strategy.position_size)>=1 and tradeDirection=="SHORT" ? (strategy.position_avg_price * (1-(stopLoss*0.01) )) : 0.00
if(takePartialProfits==true)
strategy.close(id="SE", comment="Partial" , qty=strategy.position_size/3 , when = (tradeDirection=="SHORT" ) and crossover(rsiVal,15) ) //close<takeProfit and (emaVal - close)>8 )
//strategy.close(id="SE" , comment="SE Exit Points="+tostring(close-strategy.position_avg_price, "###.##"), when=crossover(emaVal, vwapValue) and (tradeDirection=="SHORT") )
//strategy.close(id="SE" , comment="SE Exit Points="+tostring(close-strategy.position_avg_price, "###.##"), when= abs(strategy.position_size)>=1 and ( (emaVal<emaCumValue1 and close>emaCumValue1 and open>emaCumValue1 and close>open ) or (crossover(emaVal,emaCumValue1)) ) and (tradeDirection=="SHORT") )
//strategy.close(id="SE" , comment="SL Exit Loss="+tostring(close-strategy.position_avg_price, "###.##"), when= abs(strategy.position_size)>=1 and close > stopLossValUpside and (tradeDirection=="SHORT" ) )
strategy.close(id="SE" , comment="SL Exit Loss="+tostring(close-strategy.position_avg_price, "###.##"), when= abs(strategy.position_size)>=1 and crossover(emaVal, emaCumValue1) and (tradeDirection=="SHORT" ) )