ChaoZhang
概述
本策略基于动量指标RSI和价格的Exponential Moving Average(EMA)以及Simple Moving Average(SMA)构建交易信号。它属于趋势跟踪类型的策略。
策略原理
该策略使用3个条件来产生交易信号:
- RSI > 45: RSI值大于45视为好的买入信号
- EMA(RSI) > SMA(RSI): EMA线大于SMA线表示RSI正在加速向上,属于好的动量信号
- EMA(收盘价) > SMA(收盘价): EMA线大于SMA线表示价格趋势正在加速向上
满足以上3个条件中任意2个,则产生买入信号;如果全部不满足,则产生卖出信号。
该策略同时提供了“总是买入”模式,用于测试系统本身相对大盘的表现。
策略优势分析
- 使用动量指标RSI判断市场态势,可以减少交易市场震荡期的头寸
- 结合EMA和SMA判断趋势方向,可以及时捕捉价格变化趋势
- 条件规则简单清晰,容易理解和优化
- 提供“总是买入”模式检验系统优势
策略风险分析
- 依赖参数设置,参数不当将导致交易频繁或错过良好交易机会
- 大盘遇到重大消息时,短期价格可能出现巨幅波动,将导致止损
- 策略本身无法判断趋势即将反转的时机,需要配合其他指标判断
优化方向
- 优化RSI,EMA和SMA的参数,找到最佳参数组合
- 增加Volume,MACD等其他技术指标判断规则
- 增加趋势反转判断指标,降低亏损概率
总结
本策略整体来说属于中频交易策略,旨在捕捉中期价格趋势,而避开短期市场震荡,其优势和风险点都较为明显。通过参数优化和规则丰富,可以进一步增强策略稳定性,是值得深入研究和优化的高效率量化交易策略。
策略源码
/*backtest
start: 2022-12-05 00:00:00
end: 2023-12-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("I11L Unitrend",overlay=false, initial_capital=1000000,default_qty_value=1000000,default_qty_type=strategy.cash,commission_type=strategy.commission.percent,commission_value=0.00)
tradingMode = input.string("Unitrend", "Trading Mode", ["Unitrend", "Always Buy"], tooltip="Choose the Trading Mode by trying Both in your Backtesting. I use it if one is far better then the other one.")
compoundingMode = input.bool(false)
leverage = input.float(1.0,step=0.1)
SL_Factor = 1 - input.float(1,"Risk Capital per Trade unleveraged (%)", minval=0.1, maxval=100, step=0.1) / 100
TPFactor = input.float(2, step=0.1)
var disableAdditionalBuysThisDay = false
var lastTrade = time
if(time > lastTrade + 1000 * 60 * 60 * 8 or tradingMode == "Always Buy")
disableAdditionalBuysThisDay := false
if(strategy.position_size != strategy.position_size[1])
lastTrade := time
disableAdditionalBuysThisDay := true
//Trade Logic
SCORE = 0
//rsi momentum
RSIFast = ta.ema(ta.rsi(close,50),24)
RSISlow = ta.sma(ta.rsi(close,50),24)
RSIMomentum = RSIFast / RSISlow
goodRSIMomentum = RSIMomentum > 1
SCORE := goodRSIMomentum ? SCORE + 1 : SCORE
//rsi trend
RSITrend = RSISlow / 45
goodRSI = RSITrend > 1
SCORE := goodRSI ? SCORE + 1 : SCORE
//price trend
normalTrend = ta.ema(close,50) / ta.sma(close,50)
goodTrend = normalTrend > 1
SCORE := goodTrend ? SCORE + 1 : SCORE
isBuy = SCORE > 1 or tradingMode == "Always Buy"
isSell = false //SCORE == 0
//plot(SCORE, color=isBuy ? color.green : #ffffff88)
//reduced some of the values just for illustrative purposes, you can buy after the signal if the trendlines seem to grow
plot(1, color=isBuy ? #77ff7733 : SCORE == 2 ? #ffff0033 : SCORE == 1 ? #ff888833 : #ff000033,linewidth=10)
plot(1 - (1 - RSIMomentum) * 6,color=#00F569)
plot(1 - (1 - RSITrend) * 0.25,color=#00DB9B)
plot(1 - (1 - normalTrend) * 20,color=#00F5EE)
strategy.initial_capital = 50000
if(isBuy and not(disableAdditionalBuysThisDay))
if(compoundingMode)
strategy.entry("Long", strategy.long, (strategy.equity / close) * leverage)
else
strategy.entry("Long", strategy.long, (strategy.initial_capital / close) * leverage)
if(strategy.position_size != 0)
strategy.exit("TP/SL Long", "Long", stop=strategy.position_avg_price * (1 - (1 - SL_Factor)), limit=strategy.position_avg_price * (1 + (1 - SL_Factor) * TPFactor))