该策略基于LazyBear的Z距离VWAP指标,通过计算价格与VWAP的Z距离来判断是否超买超卖,以及进行入场出场。策略加入EMA均线以及Z距离回归0轴的判断,可过滤掉部分噪声信号。
关键函数:
解决方法: 1. 通过回测优化参数设置 2. 结合额外指标过滤信号 3. 合理设置加仓条件 4. 动态调整止损位置
该策略利用Z距离判定价格与VWAP的关系,结合EMA过滤噪音信号,以捕捉趋势机会。策略允许加仓追踪趋势,同时设置止损控制风险。通过参数优化及加入其他指标可以提高策略稳定性。但Z距离指标存在滞后问题,在优化时需考量。总体来说,该策略以简单清晰的逻辑捕捉趋势,经过充分优化后可成为高效的趋势跟踪策略。
/*backtest
start: 2022-11-03 00:00:00
end: 2023-11-09 00:00:00
period: 1d
basePeriod: 1h
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
//This is based on Z distance from VWAP by Lazybear
strategy(title="ZVWAP[LB] strategy", overlay=false,pyramiding=2, default_qty_type=strategy.fixed, default_qty_value=3, initial_capital=10000, currency=currency.USD)
length=input(13,"length")
calc_zvwap(pds, source1) =>
mean = sum(volume*source1,pds)/sum(volume,pds)
vwapsd = sqrt(sma(pow(source1-mean, 2), pds) )
(close-mean)/vwapsd
upperTop=2.5 //input(2.5)
upperBottom=2.0 //input(2.0)
lowerTop=-0.5 //input(-0.5)
lowerBottom=-2.0 //input(-2.0)
buyLine=input(-0.5, title="OverSold Line",minval=-2, maxval=3)
sellLine=input(2.0, title="OverBought Line",minval=-2, maxval=3)
fastEma=input(13, title="Fast EMA",minval=1, maxval=50)
slowEma=input(55, title="Slow EMA",minval=10, maxval=200)
stopLoss =input(5, title="Stop Loss",minval=1)
hline(0, title="Middle Line", linestyle=hline.style_dotted, color=color.green)
ul1=plot(upperTop, "OB High")
ul2=plot(upperBottom, "OB Low")
fill(ul1,ul2, color=color.red)
ll1=plot(lowerTop, "OS High")
ll2=plot(lowerBottom, "OS Low")
fill(ll1,ll2, color=color.green)
zvwapVal=calc_zvwap(length,close)
plot(zvwapVal,title="ZVWAP",color=color.purple, linewidth=2)
longEmaVal=ema(close,slowEma)
shortEmaVal=ema(close,fastEma)
vwapVal=vwap(hlc3)
zvwapDipped=false
for i = 1 to 10
zvwapDipped := zvwapDipped or zvwapVal[i]<=buyLine
longCondition= shortEmaVal > longEmaVal and zvwapDipped and crossover(zvwapVal,0)
barcolor(longCondition ? color.yellow: na)
strategy.entry(id="ZVWAPLE", long=true, when= longCondition and strategy.position_size<1)
//Add
strategy.entry(id="ZVWAPLE", comment="Add", long=true, when= strategy.position_size>1 and close<strategy.position_avg_price and crossover(zvwapVal,0))
//calculate stop Loss
stopLossVal = strategy.position_avg_price - (strategy.position_avg_price*stopLoss*0.01)
strategy.close(id="ZVWAPLE",comment="SL Exit", when=close<stopLossVal) //close all on stop loss
strategy.close(id="ZVWAPLE",comment="TPExitAll", qty=strategy.position_size , when= crossunder(zvwapVal,sellLine)) //close all zvwapVal>sellLine