ChaoZhang
概述
该策略将指数移动平均线(EMA)与随机指标(Stochastic Oscillator)相结合,采用趋势追随与延续方式,同时还具有一些很酷的功能。我专门为交易替代币设计了这个策略,但它同样适用于比特币本身和一些外汇交易对。
策略原理
该策略有4个开启交易信号的必要条件。以下是开启做多交易的条件(平仓信号刚好相反):
- 快速EMA高于慢速EMA
- 随机K线处于超买区域
- 随机K线向上穿过随机D线
- 价格收盘于慢速EMA和快速EMA之间
一旦所有条件为真,下一根K线开盘时就会开仓。
优势分析
该策略结合EMA和随机指标的优势,能够有效地捕捉趋势的开始和延续,适合中长线操作。同时策略提供多种可自定义的参数,用户可以根据自己的交易风格和市场特征进行调整。
具体来说,策略的优势有:
- EMA交叉判断趋势方向,增强信号的稳定性和可靠性
- 随机指标判断是否超买超卖,寻找反转机会
- 结合两种指标,既有趋势跟随,又有逆势交易
- ATR自动计算止损距离,止损随市场波动性调整
- 可自定义风险回报比,满足不同用户需求
- 提供多种参数自定义,用户可根据市场调整
风险分析
该策略主要的风险来源于:
- EMA交叉形成的信号可能出现假突破,从而产生错误信号
- 随机指标本身有滞后性,可能错过价格反转的最佳时机点
- 单一策略无法完全适应市场多变的环境
为降低上述风险,可采取以下措施:
- 适当调整EMA周期参数,避免产生过多假信号
- 结合更多指标判断趋势和支撑位,确保交易信号可靠性
- 制定清晰的资金管理策略,控制每次交易的风险敞口
- 采用复合策略,不同策略可以互相验证信号,提高稳定性
优化方向
该策略可以从以下几个方面进一步优化:
- 增加基于波动率的持仓调整模块。当市场波动加剧时,适当减小头寸;当波动减弱,可放大头寸。
- 增加对大级别趋势的判断,避免逆势操作。例如结合每日或每周K线判断趋势方向。
- 增加机器学习模型判断买卖信号。可以针对历史数据训练分类模型,辅助产生交易信号。
- 优化资金管理策略模块,使止损和 Position Size 更加智能。
总结
该策略整合了趋势跟随和反转交易的优点,既考虑大级别的市场环境,又关注当下价格行为,是一款值得长期跟踪实盘的有效策略。通过持续优化参数设置、增加趋势判断模块等手段,策略的表现还具有很大提升空间,值得投入更多研发精力。
策略源码
/*backtest
start: 2023-11-18 00:00:00
end: 2023-12-18 00:00:00
period: 1h
basePeriod: 15m
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/
// © LucasVivien
// Since this Strategy may have its stop loss hit within the opening candle, consider turning on 'Recalculate : After Order is filled' in the strategy settings, in the "Properties" tabs
//@version=5
strategy("Stochastic Moving Average", shorttitle="Stoch. EMA", overlay=true, default_qty_type= strategy.cash, initial_capital=10000, default_qty_value=100)
//==============================================================================
//============================== USER INPUT ================================
//==============================================================================
var g_tradeSetup = " Trade Setup"
activateLongs = input.bool (title="Long Trades" , defval=true , inline="A1", group=g_tradeSetup, tooltip="")
activateShorts = input.bool (title="Short Trades" , defval=true , inline="A1", group=g_tradeSetup, tooltip="")
rr = input.float(title="Risk : Reward" , defval=1 , minval=0, maxval=100 , step=0.1, inline="" , group=g_tradeSetup, tooltip="")
RiskEquity = input.bool (title="Risk = % Equity ", defval=false , inline="A2", group=g_tradeSetup, tooltip="Set stop loss size as a percentage of 'Initial Capital' -> Strategy Parameter -> Properties tab (Low liquidity markets will affect will prevent to get an exact amount du to gaps)")
riskPrctEqui = input.float(title="" , defval=1 , minval=0, maxval=100 , step=0.1, inline="A2", group=g_tradeSetup, tooltip="")
RiskUSD = input.bool (title="Risk = $ Amount " , defval=false , inline="A3", group=g_tradeSetup, tooltip="Set stop loss size as a fixed Base currency amount (Low liquidity markets will affect will prevent to get an exact amount du to gaps)")
riskUSD = input.float(title="" , defval=1000, minval=0, maxval=1000000000, step=100, inline="A3", group=g_tradeSetup, tooltip="")
var g_stopLoss = " Stop Loss"
atrMult = input.float(title="ATR Multiplier", defval=1 , minval=0, maxval=100 , step=0.1, tooltip="", inline="", group=g_stopLoss)
atrLen = input.int (title="ATR Lookback" , defval=14, minval=0, maxval=1000, step=1 , tooltip="", inline="", group=g_stopLoss)
var g_stochastic = " Stochastic"
Klen = input.int (title="K%" , defval=14, minval=0, maxval=1000, step=1, inline="S2", group=g_stochastic, tooltip="")
Dlen = input.int (title=" D%" , defval=3 , minval=0, maxval=1000, step=1, inline="S2", group=g_stochastic, tooltip="")
OBstochLvl = input.int (title="OB" , defval=80, minval=0, maxval=100 , step=1, inline="S1", group=g_stochastic, tooltip="")
OSstochLvl = input.int (title=" OS" , defval=20, minval=0, maxval=100 , step=1, inline="S1", group=g_stochastic, tooltip="")
OBOSlookback = input.int (title="Stoch. OB/OS lookback", defval=0 , minval=0, maxval=100 , step=1, inline="" , group=g_stochastic, tooltip="This option allow to look 'x' bars back for a value of the Stochastic K line to be overbought or oversold when detecting an entry signal (if 0, looks only at current bar. if 1, looks at current and previous and so on)")
OBOSlookbackAll = input.bool (title="All must be OB/OS" , defval=false , inline="" , group=g_stochastic, tooltip="If turned on, all bars within the Stochastic K line lookback period must be overbought or oversold to return a true signal")
entryColor = input.color(title=" " , defval=#00ffff , inline="S3", group=g_stochastic, tooltip="")
baseColor = input.color(title=" " , defval=#333333 , inline="S3", group=g_stochastic, tooltip="Will trun to designated color when stochastic gets to opposite extrem zone of current trend / Number = transparency")
transp = input.int (title=" " , defval=50, minval=0, maxval=100, step=10, inline="S3", group=g_stochastic, tooltip="")
var g_ema = " Exp. Moving Average"
ema1len = input.int (title="Fast EMA ", defval=21, minval=0, maxval=1000, step=1, inline="E1", group=g_ema, tooltip="")
ema2len = input.int (title="Slow EMA ", defval=50, minval=0, maxval=1000, step=1, inline="E2", group=g_ema, tooltip="")
ema1col = input.color(title=" " , defval=#0066ff , inline="E1", group=g_ema, tooltip="")
ema2col = input.color(title=" " , defval=#0000ff , inline="E2", group=g_ema, tooltip="")
var g_referenceMarket =" Reference Market"
refMfilter = input.bool (title="Reference Market Filter", defval=false , inline="", group=g_referenceMarket)
market = input (title="Market" , defval="BTC_USDT:swap", inline="", group=g_referenceMarket)
res = input.timeframe(title="Timeframe" , defval="30" , inline="", group=g_referenceMarket)
len = input.int (title="EMA Length" , defval=50 , inline="", group=g_referenceMarket)
//==============================================================================
//========================== FILTERS & SIGNALS =============================
//==============================================================================
//------------------------------ Stochastic --------------------------------
K = ta.stoch(close, high, low, Klen)
D = ta.sma(K, Dlen)
stochBullCross = ta.crossover(K, D)
stochBearCross = ta.crossover(D, K)
OSstoch = false
OBstoch = false
for i = 0 to OBOSlookback
if K[i] < OSstochLvl
OSstoch := true
else
if OBOSlookbackAll
OSstoch := false
for i = 0 to OBOSlookback
if K[i] > OBstochLvl
OBstoch := true
else
if OBOSlookbackAll
OBstoch := false
//---------------------------- Moving Averages -----------------------------
ema1 = ta.ema(close, ema1len)
ema2 = ta.ema(close, ema2len)
emaBull = ema1 > ema2
emaBear = ema1 < ema2
//---------------------------- Price source --------------------------------
bullRetraceZone = (close < ema1 and close >= ema2)
bearRetraceZone = (close > ema1 and close <= ema2)
//--------------------------- Reference market -----------------------------
ema = ta.ema(close, len)
emaHTF = request.security(market, res, ema [barstate.isconfirmed ? 0 : 1])
closeHTF = request.security(market, res, close[barstate.isconfirmed ? 0 : 1])
bullRefMarket = (closeHTF > emaHTF or closeHTF[1] > emaHTF[1])
bearRefMarket = (closeHTF < emaHTF or closeHTF[1] < emaHTF[1])
//-------------------------- SIGNAL VALIDATION -----------------------------
validLong = stochBullCross and OSstoch and emaBull and bullRetraceZone
and activateLongs and (refMfilter ? bullRefMarket : true) and strategy.position_size == 0
validShort = stochBearCross and OBstoch and emaBear and bearRetraceZone
and activateShorts and (refMfilter ? bearRefMarket : true) and strategy.position_size == 0
//==============================================================================
//=========================== STOPS & TARGETS ==============================
//==============================================================================
SLdist = ta.atr(atrLen) * atrMult
longSL = close - SLdist
longSLDist = close - longSL
longTP = close + (longSLDist * rr)
shortSL = close + SLdist
shortSLDist = shortSL - close
shortTP = close - (shortSLDist * rr)
var SLsaved = 0.0
var TPsaved = 0.0
if validLong or validShort
SLsaved := validLong ? longSL : validShort ? shortSL : na
TPsaved := validLong ? longTP : validShort ? shortTP : na
//==============================================================================
//========================== STRATEGY COMMANDS =============================
//==============================================================================
if validLong
strategy.entry("Long", strategy.long,
qty = RiskEquity ? ((riskPrctEqui/100)*strategy.equity)/longSLDist : RiskUSD ? riskUSD/longSLDist : na)
if validShort
strategy.entry("Short", strategy.short,
qty = RiskEquity ? ((riskPrctEqui/100)*strategy.equity)/shortSLDist : RiskUSD ? riskUSD/shortSLDist : na)
strategy.exit(id="Long Exit" , from_entry="Long" , limit=TPsaved, stop=SLsaved, when=strategy.position_size > 0)
strategy.exit(id="Short Exit", from_entry="Short", limit=TPsaved, stop=SLsaved, when=strategy.position_size < 0)
//==============================================================================
//============================= CHART PLOTS ================================
//==============================================================================
//---------------------------- Stops & Targets -----------------------------
plot(strategy.position_size != 0 or (strategy.position_size[1] != 0 and strategy.position_size == 0) ? SLsaved : na,
color=color.red , style=plot.style_linebr)
plot(strategy.position_size != 0 or (strategy.position_size[1] != 0 and strategy.position_size == 0) ? TPsaved : na,
color=color.green, style=plot.style_linebr)
//--------------------------------- EMAs -----------------------------------
l1 = plot(ema1, color=#0066ff, linewidth=2)
l2 = plot(ema2, color=#0000ff, linewidth=2)
//-------------------------- Stochastic gradient ---------------------------
// fill(l1, l2, color.new(color.from_gradient(K, OSstochLvl, OBstochLvl,
// emaBull ? entryColor : emaBear ? baseColor : na,
// emaBull ? baseColor : emaBear ? entryColor : na), transp))
//---------------------------- Trading Signals -----------------------------
plotshape(validLong, color=color.green, location=location.belowbar, style=shape.xcross, size=size.small)
plotshape(validShort, color=color.red , location=location.abovebar, style=shape.xcross, size=size.small)
//---------------------------- Reference Market ----------------------------
bgcolor(bullRefMarket and refMfilter ? color.new(color.green,90) : na)
bgcolor(bearRefMarket and refMfilter ? color.new(color.red ,90) : na)