ChaoZhang
概述
该策略是一个利用MFI指标识别超买超卖区域,结合MA过滤判断价格反转方向的短线交易策略。它可以在股票、外汇、商品和加密货币等市场有效。
策略原理
策略使用MFI指标判断市场的超买超卖现象。当MFI进入20以下的超卖区时,表示底部区域,价值被低估,此时看涨;当MFI进入80以上的超买区时,表示顶部区域,资产被高估,此时看跌。
为过滤假反转,策略还引入了MA指标判断价格趋势方向。只有当MFI反转的同时,价格站上或跌破MA均线时,才产生交易信号。
具体交易逻辑是:
- MFI下破20以下进入超卖区,同时收盘价站上MA均线,产生买入信号
- MFI上破80以上进入超买区,同时收盘价跌破MA均线,产生卖出信号
这样,通过双重指标过滤,可以有效识别反转机会,进场的信号较为可靠。
策略优势
- 使用双重指标确认,避免假突破,信号可靠性高
- 利用超买超卖区域反转,是经典且行之有效的交易技术
- 结合趋势过滤,使信号更加准确可靠
- 适用于多种市场,灵活性强
策略风险
- 市场可能长期持续上涨或下跌,导致止损
- 需要关注系统性风险,避免极端行情造成错失反转点
- 交易频率可能较高,需要关注交易成本控制
应对方法:
- 适当放宽止损幅度,给予策略更多空间
- 加大仓位时注意关注更大级别图表,判断系统性风险
- 优化参数,降低无谓交易
策略优化方向
- 优化MA参数,与交易品种特性匹配
- 优化超买超卖参数,适应不同市场情绪
- 增加仓位管理机制,让盈利更加可控
总结
该策略整合了经典分析方法与现代量化技术,通过严格的双重指标过滤,在各种品种中展现强大的适应性,是一款值得推荐的通用短线策略。
策略源码
/*backtest
start: 2023-12-19 00:00:00
end: 2023-12-26 00:00:00
period: 1m
basePeriod: 1m
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/
// © vikris
//@version=4
strategy("[VJ]Thor for MFI", overlay=true, calc_on_every_tick = false,pyramiding=0)
// ********** Strategy inputs - Start **********
// Used for intraday handling
// Session value should be from market start to the time you want to square-off
// your intraday strategy
// Important: The end time should be at least 2 minutes before the intraday
// square-off time set by your broker
var i_marketSession = input(title="Market session", type=input.session,
defval="0915-1455", confirm=true)
// Make inputs that set the take profit % (optional)
longProfitPerc = input(title="Long Take Profit (%)",
type=input.float, minval=0.0, step=0.1, defval=1) * 0.01
shortProfitPerc = input(title="Short Take Profit (%)",
type=input.float, minval=0.0, step=0.1, defval=1) * 0.01
// Set stop loss level with input options (optional)
longLossPerc = input(title="Long Stop Loss (%)",
type=input.float, minval=0.0, step=0.1, defval=0.5) * 0.01
shortLossPerc = input(title="Short Stop Loss (%)",
type=input.float, minval=0.0, step=0.1, defval=0.5) * 0.01
i_MFI = input(3, title="MFI Length")
OB=input(100, title="Overbought Level")
OS=input(0, title="Oversold Level")
barsizeThreshold=input(.5, step=.05, minval=.1, maxval=1, title="Bar Body Size, 1=No Wicks")
i_MAFilter = input(true, title="Use MA Trend Filter")
i_MALen = input(80, title="MA Length")
// ********** Strategy inputs - End **********
// ********** Supporting functions - Start **********
// A function to check whether the bar or period is in intraday session
barInSession(sess) => time(timeframe.period, sess) != 0
// Figure out take profit price
longExitPrice = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - shortProfitPerc)
// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)
// ********** Supporting functions - End **********
// ********** Strategy - Start **********
// See if intraday session is active
bool intradaySession = true
// Trade only if intraday session is active
//=================Strategy logic goes in here===========================
MFI=mfi(close,i_MFI)
barsize=high-low
barbodysize=close>open?(open-close)*-1:(open-close)
shortwicksbar=barbodysize>barsize*barsizeThreshold
SMA=sma(close, i_MALen)
MAFilter=close > SMA
BUY = MFI[1] == OB and close > open and shortwicksbar and (i_MAFilter ? MAFilter : true)
SELL = MFI[1] == OS and close < open and shortwicksbar and (i_MAFilter ? not MAFilter : true)
//Final Long/Short Condition
longCondition = BUY
shortCondition = SELL
//Long Strategy - buy condition and exits with Take profit and SL
if (longCondition and intradaySession)
stop_level = longStopPrice
profit_level = longExitPrice
strategy.entry("Buy", strategy.long)
strategy.exit("TP/SL", "Buy", stop=stop_level, limit=profit_level)
//Short Strategy - sell condition and exits with Take profit and SL
if (shortCondition and intradaySession)
stop_level = shortStopPrice
profit_level = shortExitPrice
strategy.entry("Sell", strategy.short)
strategy.exit("TP/SL", "Sell", stop=stop_level, limit=profit_level)
// Square-off position (when session is over and position is open)
squareOff = (not intradaySession) and (strategy.position_size != 0)
strategy.close_all(when = squareOff, comment = "Square-off")
// ********** Strategy - End **********
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