ChaoZhang
概述
本策略通过结合动态RSI指标、CCI指标以及多重MA均线,实现多因子驱动的量化交易策略。该策略综合考虑了趋势、超买超卖等多个维度,进行判断和交易信号产生。
策略原理
技术指标
- MA均线:计算一定周期内的收盘价平均值,判断价格趋势
- RSI相对强弱指标:判断超买超卖区域
- CCI顺势指标:判断超买超卖状态
- Stoch KDJ指标:判断随机指标与主趋势偏离情况
交易信号
买入信号:MA12上穿MA26,CCI低于100(超卖),Stoch KDJ低于80(超卖)
卖出信号:RSI下穿动态阈值,Stoch KDJ高于80(超买)
策略优势
- 多因子驱动,综合判断,降低假信号
- 动态阈值sellable,实时检测超买超卖
- 结合趋势、随机、主流多种技术指标
- 采用多组参数调优,灵活度高
策略风险
- 多因子组合过于复杂,参数调优难度大
- 策略表现与参数选择高度相关
- 需严格按照量化流程进行参数优化
- 存在较高的曲线拟合风险
策略优化
- 更多数据集测试策略稳健性
- 多组参数组合测试寻找最优参数
- 增加止损机制降低最大回撤
- 增加仓位控制,避免追涨杀跌
- 测试不同品种合约的适应性
总结
本策略综合运用多种技术指标与多因子驱动判断,通过参数调优与严格的统计验证寻找最佳参数,可以获得较好的策略效果。但复杂程度较高,需防止过拟合风险,同时要控制仓位和止损来降低最大回撤。本策略可进一步扩展至其他品种和时间周期进行优化测试。
策略源码
/*backtest
start: 2023-11-19 00:00:00
end: 2023-11-26 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="ATOM2.0", shorttitle="ATOM V2.0", overlay=false, default_qty_type=strategy.cash, currency=currency.USD, initial_capital=200, default_qty_type=strategy.cash, default_qty_value=100, pyramiding=10)
// Set Parameter MA12
len12 = input(12, minval=1, title="Length")
src12 = input(close, title="Source")
ma12 = sma(src12, len12)
//plot(ma12, color=color.blue, title="MA12")
// Set Parameter MA26
len26 = input(26, minval=1, title="Length")
src26 = input(close, title="Source")
ma26 = sma(src26, len26)
//plot(ma26, color=color.orange, title="MA12")
//Stochastic RSI 14,3,3
smoothK_1 = input(3, minval=1)
smoothD_1 = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
src_1 = input(close, title="RSI Source_1")
rsi1 = rsi(src_1, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK_1)
d = sma(k, smoothD_1)
//plot(k, color=color.red)
//plot(d, color=color.yellow)
//Stochastic RSI 5,4,3
smoothK_2 = input(4, minval=1)
smoothD_2 = input(3, minval=1)
lengthRSI_2 = input(5, minval=1)
lengthStoch_2 = input(5, minval=1)
src_2 = input(close, title="RSI Source_2")
rsi2 = rsi(src_2, lengthRSI_2)
k_2 = sma(stoch(rsi2, rsi2, rsi2, lengthStoch_2), smoothK_2)
d_2 = sma(k_2, smoothD_2)
//plot(k_2, color=color.white)
//plot(d_2, color=color.green)
// CCI
cci = cci(close,26)
//plot(cci,color=color.blue)
// Dynamic RSI
DZbuy = 0.1
DZsell = 0.1
Period = 14
Lb = 60
RSILine = rsi(close,Period)
jh = highest(RSILine, Lb)
jl = lowest(RSILine, Lb)
jc = (wma((jh-jl)*0.5,Period) + wma(jl,Period))
Hiline = jh - jc * DZbuy
Loline = jl + jc * DZsell
R = (4 * RSILine + 3 * RSILine[1] + 2 * RSILine[2] + RSILine[3] ) / 10
plot(R, title='R', color=color.white, linewidth=1, transp=0)
plot(Hiline, title='Hiline', color=color.yellow, linewidth=1, transp=0)
plot(Loline, title='Loline', color=color.yellow, linewidth=1, transp=0)
plot(jc, title='Jc', color=color.purple, linewidth=1, transp=50)
col_1 = R > Hiline ? color.red:na
col_2 = R < Loline ? color.green:na
fill(plot(R, title='R', color=color.white, linewidth=1, transp=0), plot(Hiline, title='Hiline', color=color.yellow, linewidth=1, transp=0), color=col_1,transp=0)
fill(plot(R, title='R', color=color.white, linewidth=1, transp=0), plot(Loline, title='Loline', color=color.yellow, linewidth=1, transp=0), color=col_2,transp=0)
//------------------------------------------------------------------------------
// Calculate qty
// Parameter
fund = 10 // Fund per Contract in USD
leverage = 100 // Leverage
// Buy Condition
buyCondition = (ma12>ma26 and cci<100 and k<80 and d<80 and k_2<80 and d_2<80 and crossover(k_2, d_2))
buy = (buyCondition == input(1))
alertcondition(buy, title='time to Long', message='Long!!!')
//closeBuy = (cci>100 and cci<cci[1] and cci<cci[2])
closeBuy = (crossunder(R, Hiline) and k>80)
alertcondition(closeBuy, title='Time to Close', message='Close Long')
// Submit Orders
strategy.entry(id="Long", qty=(fund*leverage)/close, long=true, when=buyCondition)
strategy.close(id="Long", when=closeBuy)