ChaoZhang
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概述
本策略综合应用了123形态反转策略和熊力指标策略,当二者同向做多或做空信号出现时,产生交易信号,属于突破反转型交易策略。
策略原理
该策略由两部分组成:
123形态反转策略
当收盘价连续2日下跌后第3日收盘价突破向上,并且低位stoch指标从低位反弹时产生买入信号;当收盘价连续2日上涨后第3日收盘价突破向下,并且高位stoch指标从高位回落时产生卖出信号。
熊力指标策略
熊力指标反映多空力量对比,当指标大于设定的卖出界线时产生卖出信号,当指标小于设定的买入界线时产生买入信号。
综合信号时,若二者给出同向信号,产生实际交易信号。
策略优势
结合反转信号和指标过滤,避免假突破,提高信号质量。
多种时间周期适用,灵活应对不同市场环境。
可单独使用组成部分策略,也可组合使用,策略模块化设计。
策略风险
反转信号可能出现回调深度较大情况。
熊力指标参数设置需要反复测试优化。
多因子综合策略参数调优复杂,需要大量历史数据测试。
策略优化
join量化模块连接更多数据源,获取更长时间段更丰富数据。
应用机器学习方法自动搜索和评估参数组合。
增加止损机制以控制单笔损失。
总结
本策略综合运用反转技术分析和量化指标,通过双重确认提高信号质量,模块化程度高,可扩展性强,属于实用型策略。后续可通过引入更多先进技术手段进行优化,从而适应更加复杂的市场环境。
策略源码
/*backtest
start: 2023-11-13 00:00:00
end: 2023-11-20 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 29/05/2019
// This is combo strategies for get
// a cumulative signal. Result signal will return 1 if two strategies
// is long, -1 if all strategies is short and 0 if signals of strategies is not equal.
//
// 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
// Bear Power Indicator
// To get more information please see "Bull And Bear Balance Indicator"
// by Vadim Gimelfarb.
//
// 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
BearPower(SellLevel, BuyLevel) =>
value = iff (close < open ,
iff (close[1] > open , max(close - open, high - low), high - low),
iff (close > open,
iff(close[1] > open, max(close[1] - low, high - close), max(open - low, high - close)),
iff(high - close > close - low,
iff (close[1] > open, max(close[1] - open, high - low), high - low),
iff (high - close < close - low,
iff(close > open, max(close - low, high - close),open - low),
iff (close > open, max(close[1] - open, high - close),
iff(close[1] < open, max(open - low, high - close), high - low))))))
pos = 0.0
pos := iff(value > SellLevel, -1,
iff(value <= BuyLevel, 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Bear Power", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
SellLevel = input(30)
BuyLevel = input(3)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posBearPower = BearPower(SellLevel, BuyLevel)
pos = iff(posReversal123 == 1 and posBearPower == 1 , 1,
iff(posReversal123 == -1 and posBearPower == -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 ? red: possig == 1 ? green : blue )