ChaoZhang
概述
该策略通过计算快线EMA和慢线EMA,并比较两条EMA的大小关系来判断行情趋势方向,属于简单的趋势追踪策略。当快线EMA上穿慢线EMA时做多,当快线EMA下穿慢线EMA时做空,属于典型的双EMA黄金交叉策略。
策略原理
该策略的核心指标是快线EMA和慢线EMA。快线EMA长度设置为21周期,慢线EMA长度设置为55周期。快线EMA能更快速地响应价格变动,反映最近短期趋势;慢线EMA对价格变动响应更缓慢,能过滤掉部分噪音,反映中长期趋势。
当快线EMA上穿慢线EMA时,表示短期趋势转为上涨,中长期趋势可能出现转折,这是做多的信号。当快线EMA下穿慢线EMA时,表示短期趋势转为下跌,中长期趋势可能出现转折,这是做空的信号。
通过快慢EMA的比较,可以捕捉短期和中长期两个时间尺度上的趋势转折点,属于典型的趋势追踪策略。
策略优势
- 思路简单清晰,容易理解和实现
- 参数调节灵活,快线和慢线EMA周期可自定义
- 可配置ATR止损止盈,可控的风险
策略风险
- 双EMA交叉时点选择可能不当,存在错过最佳入场点的风险
- 行情震荡时,可能出现多次无效信号,带来亏损风险
- ATR参数设置不当,可能造成止损止盈过于宽松或过于激进
风险应对措施: 1. 优化EMA快慢线参数,寻找最优参数组合 2. 增加过滤机制,避免行情震荡带来的无效信号 3. 测试并优化ATR参数,确保止损止盈设置合理
策略优化方向
- 基于统计方法测试不同EMA周期参数的稳定性
- 增加过滤条件,结合其他指标避免无效信号
- 优化ATR参数以获取最佳止损止盈比率
总结
本策略通过快线EMA和慢线EMA的交叉来判断行情趋势,简单清晰,容易实现。同时结合ATR来设置止损止盈,可控风险。通过参数优化和增加过滤条件,可以进一步增强策略稳定性和盈利能力。
策略源码
/*backtest
start: 2023-10-21 00:00:00
end: 2023-11-20 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title = "VP Backtester", overlay=false)
// Create General Strategy Inputs
st_yr_inp = input(defval=2017, title='Backtest Start Year')
st_mn_inp = input(defval=01, title='Backtest Start Month')
st_dy_inp = input(defval=01, title='Backtest Start Day')
en_yr_inp = input(defval=2025, title='Backtest End Year')
en_mn_inp = input(defval=01, title='Backtest End Month')
en_dy_inp = input(defval=01, title='Backtest End Day')
// Default Stop Types
fstp = input(defval=false, title="Fixed Perc stop")
fper = input(defval=0.1, title='Percentage for fixed stop', type=float)
atsp = input(defval=true, title="ATR Based stop")
atrl = input(defval=14, title='ATR Length for stop')
atrmsl = input(defval=1.5, title='ATR Multiplier for stoploss')
atrtpm = input(defval=1, title='ATR Multiplier for profit')
// Sessions
asa_inp = input(defval=true, title="Trade the Asian Session")
eur_inp = input(defval=true, title="Trade the European Session")
usa_inp = input(defval=true, title="Trade the US session")
ses_cls = input(defval=true, title="End of Session Close Out?")
// Session Start / End times (In exchange TZ = UTC-5)
asa_ses = "1700-0300"
eur_ses = "0200-1200"
usa_ses = "0800-1700"
in_asa = time(timeframe.period, asa_ses)
in_eur = time(timeframe.period, eur_ses)
in_usa = time(timeframe.period, usa_ses)
strategy.risk.allow_entry_in(strategy.direction.all)
// Set start and end dates for backtest
start = timestamp(st_yr_inp, st_mn_inp, st_dy_inp,00,00)
end = timestamp(en_yr_inp, en_mn_inp, en_dy_inp,00,00)
window() => time >= start and time <= end ? true : false // create function "within window of time"
// Check if we are in a sessions we want to trade
can_trade = asa_inp and not na(in_asa) ? true :
eur_inp and not na(in_eur) ? true :
usa_inp and not na(in_usa) ? true :
false
// atr calc for stop and profit
atr = atr(atrl)
atr_stp_dst_sl = atr * atrmsl
atr_stp_dst_tp = atr * atrtpm
//*************************************************************************************
// Put your strategy/indicator code below
// and make sure to set long_condition=1 for opening a buy trade
// and short_condition for opening a sell trade
//*************************************************************************************
fastInput = input(21)
slowInput = input(55)
fast = ema(close, fastInput)
slow = ema(close, slowInput)
plot(fast, color = red)
plot(slow, color = blue)
long_condition = crossover(fast, slow)
short_condition = crossunder(fast, slow)
//*************************************************************************************
// Trade management with ATR based stop & profit
//*************************************************************************************
if (long_condition and window() )
strategy.entry("Long Entry", strategy.long)
if strategy.position_size <= 0 // Less than as in both direction strat - Could be long before switching
if atsp
atr_stop = open - atr_stp_dst_sl
atr_profit = open + atr_stp_dst_tp
strategy.exit('ATR Long Exit', "Long Entry", stop=atr_stop, limit = atr_profit)
if fstp
stop = open - (open * fper)
strategy.exit('Perc Fixed Long Stop Exit', "Long Entry", stop=stop)
if (short_condition and window() )
strategy.entry("Short Entry",strategy.short)
if strategy.position_size >= 0 // Greater than as in both direction strat - Could be long before switching
if atsp
atr_stop = open + atr_stp_dst_sl
atr_profit = open - atr_stp_dst_tp
strategy.exit('ATR Short Exit', "Short Entry", stop=atr_stop, limit = atr_profit)
if fstp
stop = open + (open * fper)
strategy.exit('Perc Fixed Short Stop Exit', "Short Entry", stop=stop)
strategy.close_all(when=not can_trade and ses_cls)