该策略基于线性回归线和移动平均线设计了一个简单的趋势跟踪交易系统。当线性回归线上穿移动平均线时做多,当线性回归线下穿移动平均线时做空。同时结合线性回归线的斜率来过滤部分交易信号,只在趋势方向符合时才入场。
Trend Following Regression Trading Strategy(趋势跟踪回归交易策略)
该策略包含以下几个关键部分:
线性回归线能很好地拟合最近一段时间内的趋势方向。这可以用来辅助判断整体趋势的方向。当价格突破SMA线时,我们需要进一步判断线性回归线的方向是否与此突破相符。只有当二者方向一致时,才产生交易信号。这样可以过滤掉部分假突破。
此外,策略还设置了止损机制。当价格触及止损线时,平仓止损。同样也设置了止盈线,锁定部分利润。
该策略具有以下优势:
该策略也存在一些风险:
针对这些风险,我们可以从以下几个方面进行优化:
该策略主要还可以从以下方面进行优化:
该策略整合了移动平均线的趋势跟踪功能与线性回归的趋势判断功能,形成一个相对简单易行的趋势跟踪交易系统。在趋势明显的市场中,该策略可以获得较好的效果。我们还需要对参数与规则进行大量回测与优化,并做好风险控制, then 该策略应当能够获得稳定的投资回报。
/*backtest
start: 2023-11-17 00:00:00
end: 2023-12-05 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="Regression Trading Strategy", shorttitle="RTS", overlay=true)
// Input parameters
n = input(14, title="SMA Period")
stop_loss_percentage = input(2, title="Stop Loss Percentage")
take_profit_percentage = input(2, title="Take Profit Percentage")
// Calculate the SMA
sma = sma(close, n)
// Linear regression function
linear_regression(src, length) =>
sumX = 0.0
sumY = 0.0
sumXY = 0.0
sumX2 = 0.0
for i = 0 to length - 1
sumX := sumX + i
sumY := sumY + src[i]
sumXY := sumXY + i * src[i]
sumX2 := sumX2 + i * i
slope = (length * sumXY - sumX * sumY) / (length * sumX2 - sumX * sumX)
intercept = (sumY - slope * sumX) / length
line = slope * length + intercept
line
// Calculate the linear regression
regression_line = linear_regression(close, n)
// Plot the SMA and regression line
plot(sma, title="SMA", color=color.blue)
plot(regression_line, title="Regression Line", color=color.red)
// Trading strategy conditions
long_condition = crossover(close, sma) and close > regression_line
short_condition = crossunder(close, sma) and close < regression_line
// Exit conditions
stop_loss_price = close * (1 - stop_loss_percentage / 100)
take_profit_price = close * (1 + take_profit_percentage / 100)
// Plot entry and exit points on the chart
plotshape(series=long_condition, title="Long Entry", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(series=short_condition, title="Short Entry", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)
plotshape(series=crossunder(close, stop_loss_price), title="Stop Loss", location=location.abovebar, color=color.red, style=shape.labeldown, text="SL")
plotshape(series=crossover(close, take_profit_price), title="Take Profit", location=location.belowbar, color=color.green, style=shape.labelup, text="TP")
// Strategy orders
strategy.entry("Long", strategy.long, when = long_condition)
strategy.entry("Short", strategy.short, when = short_condition)
strategy.exit("Exit", from_entry = "Long", when = crossover(close, stop_loss_price) or crossover(close, take_profit_price))
strategy.exit("Exit", from_entry = "Short", when = crossunder(close, stop_loss_price) or crossunder(close, take_profit_price))