ChaoZhang
概述
该策略是一种双重优化的组合反转EMA加权交易策略。它结合了反转策略和EMA加权策略这两种不同类型的策略,通过判断两种策略的信号是否一致,来产生更可靠的交易信号。
策略原理
反转部分采用123反转策略。该策略判断前两天的收盘价关系,与随机指标的组合来产生信号。具体规则是:
- 当今天的收盘价高于昨天,且昨天的收盘价低于前天;同时9日随机慢线低于50时,做多;
- 当今天的收盘价低于昨天,且昨天的收盘价高于前天;同时9日随机快线高于50时,做空。
EMA加权部分采用指数移动平均和成交量的加权计算。计算公式如下:
xMAVolPrice = ema(volume * close, Length)
xMAVol = ema(volume, Length)
nRes = xMAVolPrice / xMAVol
具体交易规则是:当nRes指标低于/高于昨日收盘价时,做多/做空。
最后,该策略判断两个部分的信号是否一致,一致才产生实际的交易信号。
优势分析
该策略结合两种不同类型的策略,可以互相验证,提高信号的可靠性,降低假信号。同时,反转部分可以捕捉转折点,EMA加权部分可以跟踪趋势,两者可以达到优势互补。
风险分析
该策略有一定的时间滞后,容易错过短线的交易机会。且EMA加权对价格震荡的市场效果不佳。此外,反转信号的可靠性也需要检验。
可以适当缩短参数,加快反应速度。加入止损来控制风险。引入更多因素验证反转信号。
优化方向
- 测试更多的反转因素组合,找到最佳的参数。
- 尝试不同类型的EMA加权方式。
- 加入止损、追踪止损。
- 优化参数,使反应更快。
总结
该策略整合两种不同类型策略的优点,可以提高信号质量,在一定程度上克服单一策略的缺点。但也存在一定的滞后性,需要进一步优化。总体而言,该策略为量化交易提供了新的思路,值得进一步研究优化,抓住市场机会。
策略源码
/*backtest
start: 2023-11-06 00:00:00
end: 2023-12-06 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 18/10/2019
// This is combo strategies for get a cumulative signal.
//
// 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
// The related article is copyrighted material from Stocks & Commodities 2009 Oct
//
// 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
fFilter(xSeriesSum, xSeriesV, Filter) =>
iff(xSeriesV > Filter, xSeriesSum, 0)
EMA_VW(Length) =>
pos = 0.0
xMAVolPrice = ema(volume * close, Length)
xMAVol = ema(volume, Length)
nRes = xMAVolPrice / xMAVol
pos := iff(nRes < close[1], 1,
iff(nRes > close[1], -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & EMA & Volume Weighting", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthEMA_VM = input(22, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posEMA_VW = EMA_VW(LengthEMA_VM)
pos = iff(posReversal123 == 1 and posEMA_VW == 1 , 1,
iff(posReversal123 == -1 and posEMA_VW == -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 ? #b50404: possig == 1 ? #079605 : #0536b3 )