ChaoZhang
概述
本策略结合了123反转策略和心理线策略,形成一个多因子量化交易策略。该策略综合考虑了技术形态、市场心理等多个维度,在判断市场走势时能够做出更准确的决策。
原理
123反转策略
123反转策略判断当天收盘价与前一日相比,如果上涨,并且慢速K线低于50时,做多;如果下跌,并且快速K线高于50时,做空。该策略利用了短期反转的特点来获利。
心理线策略
心理线策略统计一定周期内的涨跌比例,如果涨幅大于50%则表示多头掌控市场;如果涨幅小于50%则表示空头掌控市场。根据涨跌比例来判断市场心理面。
本策略则是结合上述两种策略的信号,当二者给出同向信号时开仓做单,不同向信号时平仓。
优势
该策略结合多种因子,可以更准确判断市场走势,避免单一技术指标造成的误判。同时结合市场心理因素,也使策略更具有韧性,能够应对更加复杂的行情。
风险与解决
该策略中各个因子参数的设定会对策略表现产生较大影响。不合理的参数组合可能会使策略效果大打折扣。此外,如果行情出现剧烈变化也会导致策略失效。为降低风险,我们需要对各类市场行情进行大量回测,找出最优参数;同时也要控制仓位规模,保证单笔损失不会过大。
优化方向
我们可以在现有的基础上继续添加其他判断因子,如波动率、成交量等指标,形成更加立体化的策略逻辑;或者加入机器学习算法,实现策略的参数自适应优化。这都将是本策略进一步优化的方向。
总结
本策略综合考虑技术形态和市场心理等多因子,通过不同因子间的验证确保信号的有效性。同时留有大量优化空间,可望获得更出色的表现。这是一个值得长期跟踪、积累和优化的优质量化策略。
策略源码
/*backtest
start: 2022-12-20 00:00:00
end: 2023-12-26 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 30/04/2021
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Psychological line (PSY), as an indicator, is the ratio of the number of
// rising periods over the total number of periods. It reflects the buying
// power in relation to the selling power.
// If PSY is above 50%, it indicates that buyers are in control. Likewise,
// if it is below 50%, it indicates the sellers are in control. If the PSY
// moves along the 50% area, it indicates balance between the buyers and
// sellers and therefore there is no direction movement for the market.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
PLine(Length) =>
pos = 0.0
cof = close > close[1]? 1:0
xPSY = sum(cof,Length) / Length * 100
pos:= iff(xPSY > 50, 1,
iff(xPSY < 50, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Psychological line", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Psychological line ----")
LengthPLine = input(20, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posPLine = PLine(LengthPLine)
pos = iff(posReversal123 == 1 and posPLine == 1 , 1,
iff(posReversal123 == -1 and posPLine == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1 )
strategy.entry("Long", strategy.long)
if (possig == -1 )
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )
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