ChaoZhang
概述
该策略结合了价格通道指标和MACD指标,实现在多时间框架下进行趋势跟踪和超买超卖的判断,从而制定买卖决策。策略同时结合止损止盈来管理风险。
策略原理
价格通道指标基于最高价和最低价的EMA均线构建价格通道,通过价格突破通道判断趋势;MACD指标判断多空气势,在零轴以上为多头市场,以下为空头市场。
该策略的交易信号来源于以下几个方面:
MACD histogram翻红Enter多头,翻绿Enter空头
价格接近通道底部且MACD在零轴下方时Enter空头
价格接近通道顶部且MACD在零轴上方时Enter多头
MACD上穿零轴时Enter多头,下穿零轴时Enter空头
Exit信号来源于止损止盈设置。
策略优势
多指标组合验证,避免假突破
不同时间框架指标组合,判断趋势方向更可靠
引入止损止盈机制,有效控制单笔损失
策略风险
参数优化空间有限,容易过优化
价格通道参数设置过低,将错失较大行情
停损点设置过小,将承受较大亏损
解决方法:
采用walk forward方法,避免过优化参数
设置价格通道参数为自适应参数
引入波动率止损来动态调整止损距离
策略优化方向
优化MACD参数组合
优化价格通道参数自适应计算
加入更多过滤条件,避免假突破使效率更高
总结
该策略整合价格通道指标和MACD指标的优势,合理的参数设置和优化空间大,在趋势判断和超买超卖判断方面效果较好,止损止盈机制控制了单次亏损风险,是一种较为稳定的交易策略。后续可从参数优化、过滤条件添加、止损机制优化等方面进行改进。
策略源码
/*backtest
start: 2022-12-01 00:00:00
end: 2023-12-07 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("Sonic R + Barcolor MACD", overlay=true)
HiLoLen = input(34, minval=2,title="High Low channel Length")
pacL = ema(low,HiLoLen)
pacH = ema(high,HiLoLen)
// Plot the Price Action Channel (PAC) base on EMA high,low and close//
L=plot(pacL, color=yellow, linewidth=1, title="High PAC EMA",transp=0)
H=plot(pacH, color=yellow, linewidth=1, title="Low PAC EMA",transp=0)
fastLength = input(12)
slowlength = input(26)
MACDLength = input(9)
MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD
hisup= iff(delta>delta[1] and delta>0, 1,
iff(delta<delta[1], -1, nz(hisup[1], 0)))
hisdown = iff(delta<delta[1] and delta<0, 1,
iff(delta>delta[1], -1, nz(hisdown[1], 0)))
barcolor(hisup==1 and MACD>0 ? lime: hisdown==1 and MACD<0 ? red : blue )
//SR
PeriodLookBack = input(34)
xHighest = highest(PeriodLookBack)
xLowest = lowest(PeriodLookBack)
Trend= close>xHighest[1] ? 1: close< xLowest[1]?-1 : nz(Trend[1],0)
// Strategy//
conbuy= hisdown==1 or MACD<0 ? 1: hisup[5]==1 and MACD[5]>0 ?-1 : nz(conbuy[1],0)
gobuy= conbuy==1 and close-open<2*(pacH-pacL) and high-close<(pacH-pacL)/2 and hisup==1 and MACD>0 and close-pacH<1.5*(pacH-pacL) and close>open and high-close<close-open and close>pacH
consell= hisup==1 or MACD>0 ?1 : hisdown[5]==1 and MACD[5]<0 ?-1 : nz(consell[1],0)
gosell= consell==1 and open-close<2*(pacH-pacL) and close-low<(pacH-pacL)/2 and hisdown==1 and MACD<0 and pacL-close<1.5*(pacH-pacL) and close<open and close-low<open-close and close<pacL
if(gobuy)
strategy.entry("Buy",strategy.long)
if(gosell)
strategy.entry("Sell",strategy.short)
//if(Trend==-1 and close<pacL)
// strategy.close("Buy")
//if(Trend==1 and close>pacH)
// strategy.close("Sell")
////////////// TP and SL//
SL = input(defval=100.00, title="Stop Loss Point", type=float, step=1)
rr= input(defval=0.1,title="Reward/Risk",type=float)
useTPandSL = input(defval = false, title = "Use exit order strategy?")
Stop = SL
Take=SL*rr
Q = 100
if(useTPandSL)
strategy.exit("Out Long", "Buy", qty_percent=Q, profit= Take, loss=Stop)
strategy.exit("Out Short", "Sell", qty_percent=Q, profit= Take, loss=Stop)