基于波动率指标和随机指标的多时间周期交易策略


创建日期: 2023-12-21 14:34:42 最后修改: 2023-12-21 14:34:42
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基于波动率指标和随机指标的多时间周期交易策略

概述

本策略融合了波动率指标VIX和随机指标RSI,通过不同时间周期指标的组合,实现高效的突破买入和超买超卖的止损平仓。策略优化空间较大,可适应不同市场环境。

策略原理

  1. 计算VIX波动率指标:取最近20天的最高价与最低价计算波动率。当波动率高于上轨时,表示市场恐慌;当低于下轨时,表示市场Complacency。

  2. 计算RSI随机指标:取最近14天的涨跌幅计算,当RSI高于70时为超买区,低于30时为超卖区。

  3. 融合两种指标,当波动率高于上轨或最高百分位时做多;当RSI高于70时平仓。

策略优势

  1. 融合多种指标,综合判断市场时点。
  2. 不同时间周期指标互相验证,提高决策准确性。
  3. 可优化调整参数,适应不同交易品种。

风险分析

  1. 参数设置不当可能导致多次虚假信号。
  2. 单一平仓指标容易漏掉价格反转。

优化建议

  1. 增加更多验证指标,例如均线、布林带等判断入场时机。
  2. 增加更多平仓指标,例如反转K线形态等。

总结

本策略通过VIX指标判断市场时点和风险水平,配合RSI指标过滤掉超买超卖的不利交易点,从而在高效的时机买入且及时止损。策略优化空间较大,可适应更广泛的市场环境。

策略源码
/*backtest
start: 2023-11-20 00:00:00
end: 2023-12-20 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © timj

strategy('Vix FIX / StochRSI Strategy', overlay=true, pyramiding=9, margin_long=100, margin_short=100)

Stochlength = input.int(14, minval=1, title="lookback length of Stochastic")
StochOverBought = input.int(80, title="Stochastic overbought condition")
StochOverSold = input.int(20, title="Stochastic oversold condition")
smoothK = input(3, title="smoothing of Stochastic %K ")
smoothD = input(3, title="moving average of Stochastic %K")
k = ta.sma(ta.stoch(close, high, low, Stochlength), smoothK)
d = ta.sma(k, smoothD)

///////////// RSI 
RSIlength = input.int( 14, minval=1 , title="lookback length of RSI")
RSIOverBought = input.int( 70  , title="RSI overbought condition")
RSIOverSold = input.int( 30  , title="RSI oversold condition")
RSIprice = close
vrsi = ta.rsi(RSIprice, RSIlength)

///////////// Double strategy: RSI strategy + Stochastic strategy

pd = input(22, title="LookBack Period Standard Deviation High")
bbl = input(20, title="Bolinger Band Length")
mult = input.float(2.0    , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")
lb = input(50  , title="Look Back Period Percentile High")
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
new = input(false, title="-------Text Plots Below Use Original Criteria-------" )
sbc = input(false, title="Show Text Plot if WVF WAS True and IS Now False")
sbcc = input(false, title="Show Text Plot if WVF IS True")
new2 = input(false, title="-------Text Plots Below Use FILTERED Criteria-------" )
sbcFilt = input(true, title="Show Text Plot For Filtered Entry")
sbcAggr = input(true, title="Show Text Plot For AGGRESSIVE Filtered Entry")
ltLB = input.float(40, minval=25, maxval=99, title="Long-Term Look Back Current Bar Has To Close Below This Value OR Medium Term--Default=40")
mtLB = input.float(14, minval=10, maxval=20, title="Medium-Term Look Back Current Bar Has To Close Below This Value OR Long Term--Default=14")
str = input.int(3, minval=1, maxval=9, title="Entry Price Action Strength--Close > X Bars Back---Default=3")
//Alerts Instructions and Options Below...Inputs Tab
new4 = input(false, title="-------------------------Turn On/Off ALERTS Below---------------------" )
new5 = input(false, title="----To Activate Alerts You HAVE To Check The Boxes Below For Any Alert Criteria You Want----")
sa1 = input(false, title="Show Alert WVF = True?")
sa2 = input(false, title="Show Alert WVF Was True Now False?")
sa3 = input(false, title="Show Alert WVF Filtered?")
sa4 = input(false, title="Show Alert WVF AGGRESSIVE Filter?")

//Williams Vix Fix Formula
wvf = ((ta.highest(close, pd)-low)/(ta.highest(close, pd)))*100
sDev = mult * ta.stdev(wvf, bbl)
midLine = ta.sma(wvf, bbl)
lowerBand = midLine - sDev
upperBand = midLine + sDev
rangeHigh = (ta.highest(wvf, lb)) * ph

//Filtered Bar Criteria
upRange = low > low[1] and close > high[1]
upRange_Aggr = close > close[1] and close > open[1]
//Filtered Criteria
filtered = ((wvf[1] >= upperBand[1] or wvf[1] >= rangeHigh[1]) and (wvf < upperBand and wvf < rangeHigh))
filtered_Aggr = (wvf[1] >= upperBand[1] or wvf[1] >= rangeHigh[1]) and not (wvf < upperBand and wvf < rangeHigh)

//Alerts Criteria
alert1 = wvf >= upperBand or wvf >= rangeHigh ? 1 : 0
alert2 = (wvf[1] >= upperBand[1] or wvf[1] >= rangeHigh[1]) and (wvf < upperBand and wvf < rangeHigh) ? 1 : 0
alert3 = upRange and close > close[str] and (close < close[ltLB] or close < close[mtLB]) and filtered ? 1 : 0
alert4 = upRange_Aggr and close > close[str] and (close < close[ltLB] or close < close[mtLB]) and filtered_Aggr ? 1 : 0

//Coloring Criteria of Williams Vix Fix
col = wvf >= upperBand or wvf >= rangeHigh ? color.lime : color.gray

isOverBought = (ta.crossover(k,d) and k > StochOverBought) ? 1 : 0
isOverBoughtv2 = k > StochOverBought ? 1 : 0
filteredAlert = alert3 ? 1 : 0
aggressiveAlert = alert4 ? 1 : 0


if (filteredAlert or aggressiveAlert)
    strategy.entry("Long", strategy.long)

if (isOverBought)
    strategy.close("Long")
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