ChaoZhang
概述
双EMA均线交叉策略是一种常用的趋势跟踪策略。该策略使用两个不同周期的EMA均线,当短周期EMA上穿长周期EMA时生成买入信号,当短周期EMA下穿长周期EMA时生成卖出信号,以捕捉价格趋势的变化。
策略原理
该策略的核心逻辑基于EMA均线的“金叉死叉”原理。EMA均线能够有效平滑价格数据,提示趋势方向。短周期EMA线能较快地响应价格变动,而长周期EMA线对噪声相对不敏感,能反映长期趋势。当短周期EMA上穿长周期EMA时,被视为价格上涨势头增强的信号;当短周期EMA下穿长周期EMA时,被视为价格下跌势头加剧的信号。策略根据这一原理发出买入和卖出信号。
具体来说,该策略使用 length1 和 length2 参数设置两个EMA均线的长度。demaVal1 是长度为 length1 的 EMA 均线,demaVal2 是长度为 length2 的 EMA 均线。二者计算方法为:
demaVal1 = EMA(close, length1)
demaVal2 = EMA(close, length2)
其中 EMA() 是计算EMA均线的函数。当 demaVal1 上穿 demaVal2 时生成买入信号 demaCrossover,下穿时生成卖出信号 demaCrossunder。策略根据这两个信号发出交易指令。
策略优势
该策略具有以下优势:
- 策略逻辑简单易懂,容易实现。
- 均线交叉理论成熟,应用广泛。
- 可配置参数长度灵活,适用于不同市场环境。
- 可通过优化参数提高策略效果。
风险及优化
该策略也存在一些风险:
- 当市场不趋势时,EMA交叉信号可能出现频繁的虚假信号。
- 默认参数可能不适用于所有品种,需要根据历史数据针对性优化。
根据以上风险,可从以下几个方面进行优化:
- 调整 EMA 周期参数,适配不同周期行情。
- 增加过滤条件,避免虚假信号。例如拟合优度指标、交易量指标等。
- 结合趋势、支持阻力位等技术指标,提高策略效果。
总结
双EMA均线交叉策略整体来说是一种简单实用的趋势跟踪策略。它承袭了均线交叉分析的成熟理论,在参数调整和过滤条件优化的前提下,可以适用于不同品种的趋势交易,具有良好的应用前景。
策略源码
/*backtest
start: 2022-11-29 00:00:00
end: 2023-12-05 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/
// © zeguela
//@version=4
strategy(title="ZEGUELA DEMABOT", commission_value=0.063, commission_type=strategy.commission.percent, initial_capital=100, default_qty_value=90, default_qty_type=strategy.percent_of_equity, overlay=true, process_orders_on_close=true)
// Step 1. Script settings
// Input options
srcData = input(title="Source Data", type=input.source, defval=close)
// Length settings
len1 = input(title="Length DEMA #1", type=input.integer, defval=8, minval=1)
len2 = input(title="Length DEMA #2", type=input.integer, defval=24, minval=0)
len3 = input(title="Length DEMA #3", type=input.integer, defval=0, minval=0)
// Step 2. Calculate indicator values
// Function that calculates the DEMA
DEMA(series, length) =>
if (length > 0)
emaValue = ema(series, length)
2 * emaValue - ema(emaValue, length)
else
na
// Calculate the DEMA values
demaVal1 = DEMA(srcData, len1)
demaVal2 = DEMA(srcData, len2)
demaVal3 = DEMA(srcData, len3)
// Step 3. Determine indicator signals
// See if there's a DEMA crossover
demaCrossover = if (len2 > 0) and (len3 > 0)
crossover(demaVal1, demaVal2) and (demaVal3 > demaVal3[1])
else
if (len2 > 0) and (len3 == 0)
crossover(demaVal1, demaVal2)
else
if (len3 > 0) and (len2 == 0)
crossover(demaVal1, demaVal3)
else
crossover(close, demaVal1)
// Check if there's a DEMA crossunder
demaCrossunder = if (len2 > 0) and (len3 > 0)
crossunder(demaVal1, demaVal2) and (demaVal3 < demaVal3[1])
else
if (len2 > 0) and (len3 == 0)
crossunder(demaVal1, demaVal2)
else
if (len3 > 0) and (len2 == 0)
crossunder(demaVal1, demaVal3)
else
crossunder(close, demaVal1)
// Step 4. Output indicator data
// Plot DEMAs on the chart
plot(series=demaVal1, color=color.green, linewidth=2, title="DEMA #1")
plot(series=demaVal2, color=color.red, linewidth=2, title="DEMA #2")
plot(series=demaVal3, color=color.fuchsia, linewidth=2, title="DEMA #3")
//TRAILING STOP CODE
a = input(title="Usar Trailing Stop?", type=input.bool, defval=false)
stopPerlong = input(9.0, title='Stop Loss Long %', type=input.float, group="Stop Loss & Take Profit Settings") / 100
stopPershort = input(6.0, title='Stop Loss Short %', type=input.float, group="Stop Loss & Take Profit Settings") / 100
take1Perlong = input(25.0, title='Take Profit Long % 1', type=input.float, group="Stop Loss & Take Profit Settings") / 100
take1Pershort = input(6.0, title='Take Profit Short % 1', type=input.float, group="Stop Loss & Take Profit Settings") / 100
// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - stopPerlong)
shortStopPrice = strategy.position_avg_price * (1 + stopPershort)
longTake1Price = strategy.position_avg_price * (1 + take1Perlong)
shortTake1Price = strategy.position_avg_price * (1 - take1Pershort)
// Determine trail stop loss prices
longStopPriceTrail = 0.0
longStopPriceTrail := if (strategy.position_size > 0)
stopValue = close * (1 - stopPerlong)
max(stopValue, longStopPriceTrail[1])
else
0
// Determine trailing short price
shortStopPriceTrail = 0.0
shortStopPriceTrail := if (strategy.position_size < 0)
stopValue = close * (1 + stopPershort)
min(stopValue, shortStopPriceTrail[1])
else
999999
//calcular qual stop usar
longStop = a ? longStopPriceTrail : longStopPrice
shortStop = a ? shortStopPriceTrail : shortStopPrice
//calcula o valor do stop e TP pra lançar no alerta
longStopEntrada = close * (1 - stopPerlong)
shortStopEntrada = close * (1 + stopPershort)
longTPEntrada = close * (1 + take1Perlong)
shortTPEntrada = close * (1 - take1Pershort)
//armazena o preço de entrada e valor do SL e TP
price_entryL = 0.0
price_entryL := na(price_entryL) ? na : price_entryL[1]
price_entryS = 0.0
price_entryS := na(price_entryS) ? na : price_entryS[1]
stopL = 0.0
stopL := na(stopL) ? na : stopL[1]
stopS = 0.0
stopS := na(stopS) ? na : stopS[1]
takeL = 0.0
takeL := na(takeL) ? na : takeL[1]
takeS = 0.0
takeS := na(takeS) ? na : takeS[1]
if (demaCrossover)
price_entryL := close
stopL := close * (1 - stopPerlong)
takeL := close * (1 + take1Perlong)
if (demaCrossunder)
price_entryS := close
stopS := close * (1 + stopPershort)
takeS := close * (1 - take1Pershort)
resultadoL = ((close - price_entryL)/price_entryL) * 100
resultadoLexit = "(SL = 1% e TP = 0,5%)"
resultadoS = ((price_entryS - close)/price_entryS) * 100
resultadoSexit = "(SL = 1% e TP = 0,5)%"
// Make input options that configure backtest date range
_startDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31, group="BackTest Period")
_startMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12, group="BackTest Period")
_startYear = input(title="Start Year", type=input.integer,
defval=2018, minval=1800, maxval=2100, group="BackTest Period")
_endDate = input(title="End Date", type=input.integer,
defval=31, minval=1, maxval=31, group="BackTest Period")
_endMonth = input(title="End Month", type=input.integer,
defval=12, minval=1, maxval=12, group="BackTest Period")
_endYear = input(title="End Year", type=input.integer,
defval=2031, minval=1800, maxval=2100, group="BackTest Period")
// Look if the close time of the current bar
// falls inside the date range
_inDateRange = (time >= timestamp(syminfo.timezone, _startYear,
_startMonth, _startDate, 0, 0)) and
(time < timestamp(syminfo.timezone, _endYear, _endMonth, _endDate, 0, 0))
//Alert configuration
_alertMessageOpenLong="OpenLong"
_alertMessageCloseLong="CloseLong"
_alertmessageExitLong="ExitLong - TP/SL"
_alertMessageOpenShort="OpenShort"
_alertMessageCloseShort="CloseShort"
_alertMessageExitShort="ExitShort - TP/SL"
if (_inDateRange)
//ENTER SOME SETUP TRADES FOR TSL EXAMPLE
if (demaCrossover)
strategy.entry("LONG", strategy.long, comment = _alertMessageOpenLong)
if (demaCrossunder)
strategy.entry("SHORT", strategy.short, comment = _alertMessageOpenShort)
//EXIT TRADE @ TSL
if strategy.position_size > 0
strategy.exit("TP/SL", "LONG", stop=longStop, limit=longTake1Price, comment=_alertmessageExitLong, alert_message=_alertmessageExitLong)
if strategy.position_size < 0
strategy.exit("TP/SL", "SHORT", stop=shortStop, limit=shortTake1Price, comment =_alertMessageExitShort, alert_message=_alertMessageExitShort)
//Look & Feel - Plot stop loss and take profit areas
p1=plot(strategy.position_avg_price, color=color.blue, style=plot.style_linebr, linewidth=1, title="Preço de entrada")
p2=plot(series=strategy.position_size > 0 ? longStop : na, color=color.red, style=plot.style_linebr, linewidth=1, title="Long Stop")
p3=plot(series=strategy.position_size > 0 ? longTake1Price : na, color=color.green, style=plot.style_linebr, linewidth=1, title="Long TP")
p4=plot(series=strategy.position_size < 0 ? shortStop : na, color=color.red, style=plot.style_linebr, linewidth=1, title="Short Stop")
p5=plot(series=strategy.position_size < 0 ? shortTake1Price : na, color=color.green, style=plot.style_linebr, linewidth=1, title="Short TP")
fill(p1, p2, color=color.red)
fill(p1, p3, color=color.green)
fill(p1, p4, color=color.red)
fill(p1, p5, color=color.green)
// Insert label with value
stopLossOnLong = "Stop Loss = " + tostring(longStop)
stopLossOnShort = "Stop Loss = " + tostring(shortStop)
takeprofitOnLong = "Take Profit = " + tostring(longTake1Price)
takeprofitOnShort = "Take Profit = " + tostring(shortTake1Price)
precoentrada = "Entrada = " + tostring(strategy.position_avg_price)
var label FinalLabelpriceL = na
var label FinalLabelpriceS = na
var label slFinalLabelL = na
var label slFinalLabelS = na
var label slFinalLabelTPL = na
var label slFinalLabelTPS = na
//Draw entry and stop loss lines and labels
if strategy.position_size > 0
//write the price above the end of the stoploss line
slFinalLabelL := label.new(bar_index, longStop, stopLossOnLong, style=label.style_none, size=size.normal, textcolor=color.red)
slFinalLabelTPL := label.new(bar_index, longTake1Price, takeprofitOnLong, style=label.style_none, size=size.normal, textcolor=color.green)
FinalLabelpriceL := label.new(bar_index, strategy.position_avg_price, precoentrada, style=label.style_none, size=size.normal, textcolor=color.blue)
// Delete previous label when there is a consecutive new high, as there's no line plot in that case.
if strategy.position_size > 0[1]
label.delete(slFinalLabelL[1])
label.delete(slFinalLabelTPL[1])
label.delete(FinalLabelpriceL[1])
if strategy.position_size < 0
//write the price above the end of the stoploss line
slFinalLabelS := label.new(bar_index, shortStop, stopLossOnShort, style=label.style_none, size=size.normal, textcolor=color.red)
slFinalLabelTPS := label.new(bar_index, shortTake1Price, takeprofitOnShort, style=label.style_none, size=size.normal, textcolor=color.green)
FinalLabelpriceS := label.new(bar_index, strategy.position_avg_price, precoentrada, style=label.style_none, size=size.normal, textcolor=color.blue)
// Delete previous label when there is a consecutive new high, as there's no line plot in that case.
if strategy.position_size < 0[1]
label.delete(slFinalLabelS[1])
label.delete(slFinalLabelTPS[1])
label.delete(FinalLabelpriceS[1])
// Exit open market position when date range ends
if (not _inDateRange)
strategy.close_all()