ChaoZhang
该策略的核心思想是根据EMA 36,143,169等不同周期的均线来判断股票的短中长期趋势方向,结合MACD指标来发出买卖信号。具体来说,短期以5、10日EMA判断,中期以20、60日EMA判断,长期以120、250日EMA判断,当短期EMA上穿中期EMA时看多,下穿看空;结合MACD的多空指标判断买卖时机。
Vegas隧道策略的具体原理: 1. 使用EMA36和EMA43构成短期趋势判断,它们组成红色通道; 2. 使用EMA144和EMA169构成中期趋势判断,它们组成绿色通道; 3. 使用EMA576和EMA676构成长期趋势判断,它们组成灰色通道; 4. 当价格站上各条EMA均线时就可以做多,再结合MACD指标向上突破0轴发出买入信号; 5. 当价格跌破各条EMA均线时就可以做空,再结合MACD指标向下突破0轴发出卖出信号。 6. 根据穿越的EMA均线周期分为短中长三个交易策略,分别对应不同的持仓周期。
该策略的优势主要体现在: 1. 同时结合短、中、长三条通道判断趋势方向,比较稳定。 2. Vegas隧道清晰直观,容易判断趋势。 3. 结合MACD指标能够把握较好的买卖时机。 4. 分短中长三个策略,可以更加灵活的进行操作。
该策略的主要风险: 1. 股价剧烈波动时,EMA均线生成滞后,判断错误的可能性大。 2. 三条通道判断不一致时,存在错误操作的风险。 3. 分时图操作需要较强的心理承受能力。
应对方法:
1. 可适当调整EMA均线周期,使其更加匹配目前市场特征。
2. 交易前调整持仓比例,控制单笔损失。
该策略的优化空间: 1. Vegas隧道区分趋势判断不够,可引入布林通道辅助判断。 2. MACD指标对于区间震荡行情效果不佳,可改用KD、RSI等指标。 3. 增加止损策略,如收盘价跌破关键EMA时主动止损。 4. A股涨跌停影响大,可考虑对冲做空ETF。
策略源码
/*backtest
start: 2022-12-26 00:00:00
end: 2024-01-01 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("Vegas Tunnel strategy", overlay=true)
//-------------------------------------------
//-------------------------------------------
// Inputs
useCurrentRes = input(true, title="Use Current Chart Resolution?")
resCustom = input(title="Use Different Timeframe? Uncheck Box Above", type=input.resolution, defval="D")
//tfSet = input(title = "Time Frame", options=["Current","120", "240", "D", "W"], defval="D")
tfSet = useCurrentRes ? timeframe.period : resCustom
maPeriods2 = input(12, "12 EMA")
maPeriods6 = input(240, "240 SMA")
BBlength = input(20, title="BB Length", minval=1)
BBsrc = input(close, title="BB Source")
mult = input(2.0, minval=0.001, maxval=50, title="BB StdDev")
sm2 = security(syminfo.tickerid, tfSet, ema(close, maPeriods2))
sm6 = security(syminfo.tickerid, tfSet, sma(close, maPeriods6))
p2 = plot(sm2, color=color.green, transp=30, linewidth=2, title="SMA2")
p6 = plot(sm6, color=color.white, transp=30, linewidth=2, title="SMA6")
//BB
basis = sma(BBsrc, BBlength)
dev = mult * stdev(BBsrc, BBlength)
upper = basis + dev
lower = basis - dev
offset = input(0, "BB Offset", type = input.integer, minval = -500, maxval = 500)
//plot(basis, "Basis", color=color.blue,linewidth, offset = offset)
pBB1 = plot(upper, "Upper", color=color.blue, offset = offset)
pBB2= plot(lower, "Lower", color=color.blue, offset = offset)
//MACD
fast_ma = ema(close, 48)
slow_ma = ema(close, 56)
macd = fast_ma - slow_ma
//vagas隧道
f1=ema(close, 36)
f2=ema(close, 43)
f3=ema(close, 144)
f4=ema(close, 169)
f5=ema(close, 576)
f6=ema(close, 676)
f7=ema(close,2304)
z1=plot(f1,color=color.red, title="ema36",transp=100)
z2=plot(f2,color=color.red, title="ema43",transp=100)
z3=plot(f3,color=color.green, title="ema144",transp=100)
z4=plot(f4,color=color.green, title="ema169",transp=100)
z5=plot(f5,color=color.white, title="ema576",transp=100)
z6=plot(f6,color=color.white, title="ema676",transp=100)
fill(z1, z2, color=color.red,transp=60)
fill(z3, z4, color=color.green,transp=60)
fill(z5, z6, color=color.gray,transp=60)
// Make input options that configure backtest date range
startDate = input(title="Start Date", type=input.integer,
defval=1, minval=1, maxval=31)
startMonth = input(title="Start Month", type=input.integer,
defval=1, minval=1, maxval=12)
startYear = input(title="Start Year", type=input.integer,
defval=2018, minval=1800, maxval=2100)
endDate = input(title="End Date", type=input.integer,
defval=1, minval=1, maxval=31)
endMonth = input(title="End Month", type=input.integer,
defval=11, minval=1, maxval=12)
endYear = input(title="End Year", type=input.integer,
defval=2030, minval=1800, maxval=2100)
// Look if the close time of the current bar
// falls inside the date range
inDateRange = true
//波段多
if (inDateRange and crossunder(f3,f1))//
strategy.entry("buy", strategy.long,1, when=macd>0, comment = "買Long-term")
buyclose=crossunder(f3,f5)
strategy.close("buy", when = buyclose, comment = "關Long-term")
//多策略1
if (inDateRange and crossover(low , f3) and macd>0 and f3>f6)
strategy.entry("buy1", strategy.long,100, comment = "買Mid-term")
buyclose1=crossunder(close,upper*0.999)
if (macd<0 or f3<f6)
strategy.close("buy1", comment = "關Mid-term")
//strategy.close("buy1",when=cross(basis,close), comment = "關M",qty_percent=50)
strategy.close("buy1", when = buyclose1, comment = "關Mid-term",qty_percent=100)
//多策略3
if (inDateRange and (macd>0) and crossunder(low,f1) and f1>f4) //
strategy.entry("buy3", strategy.long,1, comment = "買Short-term")
buyclose3=crossunder(close,upper*0.999)
if (macd<0 or f1<f4)
strategy.close("buy3", comment = "關Short-term")
strategy.close("buy3", when = buyclose3, comment = "關Short-term")
//多策略4
if (inDateRange and (macd>0) and crossunder(low,f5) and f4>f5) //
strategy.entry("buy4", strategy.long,1, comment = "買Long-term")
buyclose4=crossunder(close,upper*0.999)
if (macd<0 or f4<f6)
strategy.close("buy4", comment = "關Long-term")
strategy.close("buy4", when = buyclose4, comment = "關Long-term")
//空策略1
if (inDateRange and (macd<0) and crossunder(high,f1) and f1<f3 and f3<f6) //
strategy.entry("sell1", strategy.short,1, comment = "空Short-term")
sellclose1=crossunder(lower*0.999,close)
if (macd>0 or f1>f4)
strategy.close("sell1", comment = "關空Short-term")
strategy.close("sell1", when = sellclose1, comment = "關空Short-term")
//空策略2
if (inDateRange and (macd<0) and crossunder(high,f4) and f4<f6) //
strategy.entry("sell2", strategy.short,1, comment = "空Mid-term")
sellclose2=crossunder(lower,close)
if (macd>0 or f4>f6)
strategy.close("sell2", comment = "關空Mid-term")
strategy.close("sell2", when = sellclose2, comment = "關Mid-term")
//空策略3
if (inDateRange and (macd<0) and crossunder(high,f6)) //
strategy.entry("sell3", strategy.short,1, comment = "空Long-term")
sellclose3=crossunder(lower,close)
if (macd>0 or f6>f7)
strategy.close("sell3", comment = "關空Long-term")
strategy.close("sell3", when = sellclose3, comment = "關空Long-term")
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