ChaoZhang
概述
该策略运用4条不同周期的EMA均线,根据其排列顺序形成交易信号,类似交通灯的红黄绿三色指示灯,因此命名为“交通灯交易策略”。它从趋势和反转两个角度综合判断市场,旨在提高交易决策的准确性。
策略原理
设置快线(8周期)、中线(14周期)、慢线(16周期)3条EMA均线,再加入1条长周期(100周期)EMA均线作为过滤器。
判断快中慢3均线的排列顺序和与过滤器的交叉情况,确定做多和做空的时机:
快线上穿中线或中线上穿慢线时,判断为做多信号
中线下穿快线时,判断为平多信号
快线下穿中线或中线下穿慢线时,判断为做空信号
中线上穿快线时,判断为平空信号
通过快中慢3均线的顺序判断趋势方向和力度,结合均线与过滤器的交叉判断反转点,实现趋势跟踪和反转捕捉的有机结合。
优势分析
该策略整合了趋势跟踪和反转交易的优点,能较好地把握市场机会。主要优势有:
- 使用多组EMA均线,判断力更强,降低了假信号
- 灵活设置做多做空条件,避免错过交易机会
- 立体使用长短周期均线,判断力全面
- 可自定义止盈止损条件,风险控制到位
通过参数优化,该策略可以适应更多品种,在回测中展现出较强的盈利能力和稳定性。
风险分析
该策略的主要风险在于:
- 多组EMA均线排列顺序出现混乱时,会增加判断难度,产生交易迟疑
- 无法有效过滤市场异常波动的假信号,如需大幅震荡中造成亏损
- 参数设置不当时,止盈止损条件可能过于宽松或严格,导致错失利润或过度亏损
建议通过对参数优化,设定止损水平,谨慎操作等方式进一步提高策略稳定性,控制风险。
优化方向
该策略的主要优化方向:
- 调整EMA均线的周期参数,适配更多品种
- 增加其他指标过滤,如MACD、布林带等,提高判断准确性
- 优化止盈止损比例,在风险与收益间取得最佳平衡
- 添加自适应止损机制,如ATR止损,进一步控制下行风险
通过多方位的参数调整和风险控制手段的引入,可以持续提升策略的稳定性和盈利能力。
总结
该交通灯交易策略整合趋势跟踪和反转判断,运用4组EMA均线形成交易信号,通过参数优化适配更多品种,在回测中展现出较强盈利能力。后续通过进一步风险控制和多元化指标引入,有望成为稳定高效的量化交易策略。
策略源码
/*backtest
start: 2023-01-01 00:00:00
end: 2023-11-23 00:00:00
period: 1h
basePeriod: 15m
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/
// © maxits
// 4HS Crypto Market Strategy
// This strategy uses 4 ema to get Long or Short Signals
// Length are: 8, 14, 16, 100
// We take long positions when the order of the emas is the following:
// green > yellow > red (As the color of Traffic Lights) and they are above white ema (Used as a filter for long positions)
// We take short positions when the order of the emas is the following:
// green < yellow < red (As the color of inverse Traffic Lights) and they are below white ema (Used as a filter for short positions)
//@version=4
strategy(title="Trafic Lights Strategy",
shorttitle="TLS",
overlay=true,
initial_capital=1000,
default_qty_value=20,
default_qty_type=strategy.percent_of_equity,
commission_value=0.1,
pyramiding=0
)
// User Inputs
// i_time = input(defval = timestamp("28 May 2017 13:30 +0000"), title = "Start Time", type = input.time) //Starting time for Backtesting
sep1 = input(title="============ System Conditions ============", type=input.bool, defval=false)
enable_Long = input(true, title="Enable Long Positions") // Enable long Positions
enable_Short = input(true, title="Enable Short Positions") // Enable short Positions
sep2 = input(title="============ Indicator Parameters ============", type=input.bool, defval=false)
f_length = input(title="Fast EMA Length", type=input.integer, defval=8, minval=1)
m_length = input(title="Medium EMA Length", type=input.integer, defval=14, minval=1)
s_length = input(title="Slow EMA Length", type=input.integer, defval=16, minval=1)
filter_L = input(title="EMA Filter", type=input.integer, defval=100, minval=1)
filterRes = input(title="Filter Resolution", type=input.resolution, defval="D") // ema Filter Time Frame
sep3 = input(title="============LONG Profit-Loss Parameters============", type=input.bool, defval=false)
e_Long_TP = input(true, title="Enable a Profit Level?")
e_Long_SL = input(false, title="Enable a S.Loss Level?")
e_Long_TS = input(true, title="Enable a Trailing Stop?")
long_TP_Input = input(40.0, title='Take Profit %', type=input.float, minval=0)/100
long_SL_Input = input(1.0, title='Stop Loss %', type=input.float, minval=0)/100
atrLongMultip = input(2.0, title='ATR Multiplier', type=input.float, minval=0.1) // Parameters to calculate Trailing Stop Loss
atrLongLength = input(14, title='ATR Length', type=input.integer, minval=1)
sep4 = input(title="============SHORT Profit-Loss Parameters============", type=input.bool, defval=false)
e_Short_TP = input(true, title="Enable a Profit Level?")
e_Short_SL = input(false, title="Enable a S.Loss Level?")
e_Short_TS = input(true, title="Enable a Trailing Stop?")
short_TP_Input = input(30.0, title='Take Profit %', type=input.float, minval=0)/100
short_SL_Input = input(1.0, title='Stop Loss %', type=input.float, minval=0)/100
atrShortMultip = input(2.0, title='ATR Multiplier', type=input.float, minval=0.1)
atrShortLength = input(14, title='ATR Length', type=input.integer, minval=1)
// Indicators
fema = ema(close, f_length)
mema = ema(close, m_length)
sema = ema(close, s_length)
filter = security(syminfo.tickerid, filterRes, ema(close, filter_L))
plot(fema, title="Fast EMA", color=color.new(color.green, 0))
plot(mema, title="Medi EMA", color=color.new(color.yellow, 0))
plot(sema, title="Slow EMA", color=color.new(color.red, 0))
plot(filter, title="EMA Filter", color=color.new(color.white, 0))
// Entry Conditions
longTrade = strategy.position_size > 0
shortTrade = strategy.position_size < 0
notInTrade = strategy.position_size == 0
inTrade = strategy.position_size != 0
priceEntry = strategy.position_avg_price
goLong = fema > mema and mema > sema and fema > filter and enable_Long and (crossover (fema, mema) or crossover (mema, sema) or crossover (sema, filter))
goShort = fema < mema and mema < sema and fema < filter and enable_Short and (crossunder (fema, mema) or crossunder (mema, sema) or crossunder (sema, filter))
close_L = crossunder(fema, mema)
close_S = crossover (fema, mema)
// Profit and Loss conditions
// Long
long_TP = priceEntry * (1 + long_TP_Input) // Long Position Take Profit Calculation
long_SL = priceEntry * (1 - long_SL_Input) // Long Position Stop Loss Calculation
atrLong = atr(atrLongLength) // Long Position ATR Calculation
long_TS = low - atrLong * atrLongMultip
long_T_stop = 0.0 // Code for calculating Long Positions Trailing Stop Loss/
long_T_stop := if (longTrade)
longStop = long_TS
max(long_T_stop[1], longStop)
else
0
//Short
short_TP = priceEntry * (1 - short_TP_Input) // Long Position Take Profit Calculation
short_SL = priceEntry * (1 + short_SL_Input) // Short Position Stop Loss Calculation
atrShort = atr(atrShortLength) // Short Position ATR Calculation
short_TS = high + atrShort * atrShortMultip
short_T_stop = 0.0 // Code for calculating Short Positions Trailing Stop Loss/
short_T_stop := if shortTrade
shortStop = short_TS
min(short_T_stop[1], shortStop)
else
9999999
// Strategy Long Entry
if goLong and notInTrade
strategy.entry("Go Long", long=strategy.long, comment="Go Long", alert_message="Open Long Position")
if longTrade and close_L
strategy.close("Go Long", when=close_L, comment="Close Long", alert_message="Close Long Position")
if e_Long_TP // Algorithm for Enabled Long Position Profit Loss Parameters
if (e_Long_TS and not e_Long_SL)
strategy.exit("Long TP & TS", "Go Long", limit = long_TP, stop = long_T_stop)
else
if (e_Long_SL and not e_Long_TS)
strategy.exit("Long TP & TS", "Go Long",limit = long_TP, stop = long_SL)
else
strategy.exit("Long TP & TS", "Go Long",limit = long_TP)
else
if not e_Long_TP
if (e_Long_TS and not e_Long_SL)
strategy.exit("Long TP & TS", "Go Long", stop = long_T_stop)
else
if (e_Long_SL and not e_Long_TS)
strategy.exit("Long TP & TS", "Go Long",stop = long_SL)
// Strategy Short Entry
if goShort and notInTrade
strategy.entry("Go Short", long=strategy.short, comment="Go Short", alert_message="Open Short Position")
if shortTrade and close_S
strategy.close("Go Short", comment="Close Short", alert_message="Close Short Position")
if e_Short_TP // Algorithm for Enabled Short Position Profit Loss Parameters
if (e_Short_TS and not e_Short_SL)
strategy.exit("Short TP & TS", "Go Short", limit = short_TP, stop = short_T_stop)
else
if (e_Short_SL and not e_Short_TS)
strategy.exit("Short TP & SL", "Go Short",limit = short_TP, stop = short_SL)
else
strategy.exit("Short TP & TS", "Go Short",limit = short_TP)
else
if not e_Short_TP
if (e_Short_TS and not e_Short_SL)
strategy.exit("Short TS", "Go Short", stop = short_T_stop)
else
if (e_Short_SL and not e_Short_TS)
strategy.exit("Short SL", "Go Short",stop = short_SL)
// Long Position Profit and Loss Plotting
plot(longTrade and e_Long_TP and long_TP ? long_TP : na, title="TP Level", color=color.green, style=plot.style_linebr, linewidth=2)
plot(longTrade and e_Long_SL and long_SL and not e_Long_TS ? long_SL : na, title="SL Level", color=color.red, style=plot.style_linebr, linewidth=2)
plot(longTrade and e_Long_TS and long_T_stop and not e_Long_SL ? long_T_stop : na, title="TS Level", color=color.red, style=plot.style_linebr, linewidth=2)
// Short Position Profit and Loss Plotting
plot(shortTrade and e_Short_TP and short_TP ? short_TP : na, title="TP Level", color=color.green, style=plot.style_linebr, linewidth=2)
plot(shortTrade and e_Short_SL and short_SL and not e_Short_TS ? short_SL : na, title="SL Level", color=color.red, style=plot.style_linebr, linewidth=2)
plot(shortTrade and e_Short_TS and short_T_stop and not e_Short_SL ? short_T_stop : na, title="TS Level", color=color.red, style=plot.style_linebr, linewidth=2)