DEMA与EMA交叉结合ATR波动率的短期策略
Author: ChaoZhang, Date: 2024-01-08 14:14:57Tags:
一、策略概述
本策略名称为“DEMA与EMA短期交叉结合ATR波动率策略”。该策略通过计算DEMA与EMA的交叉信号,结合ATR波动率指标,实现高效的短线交易策略。当DEMA下穿EMA,并且ATR波动率上升时,做空;当DEMA重新上穿EMA时,平仓。
二、策略原理
计算DEMA指标。DEMA为双EMA移动平均线,通过计算一定周期内的双EMA,可以有效过滤短期市场噪音,提高信号准确率。
计算EMA指标。EMA为指数移动平均线,可以更快地反应价格变化。
计算ATR波动率。ATR为真实波动幅度指标,可以反映市场波动性和风险水平。当ATR上升时,代表市场波动加大,容易形成短线调整。
当DEMA下穿EMA,并且ATR波动率大于设置的参数时,表明股价开始下跌,市场 risk off,此时做空。
当DEMA重新上穿EMA时,表明价格形成支撑,开始反弹上涨,此时平仓。
三、策略优势
双EMA结合EMA,可以有效提高信号的准确性。
ATR波动率指标可以排除低风险的whipsaw信号。
短期操作,适合短线追踪,可以避免长时间对冲。
交易逻辑简单清晰,容易理解和实现。
四、策略风险
ATR参数设置不当可能错过交易机会。
需同时关注多空两侧信号,操作难度较大。
ffected by short-term market volatility.
解决方法:参数优化测试,调整参数;简化交易逻辑,只关注单边信号;适当放宽止损范围。
五、策略优化方向
优化DEMA和EMA的参数,寻找最佳参数组合。
优化ATR的周期参数,确定最佳市场波动性衡量指标。
添加其他辅助指标,如BOLL通道,提高信号准确率。
增加止损和止盈规则,锁定更稳定的收益。
六、总结
本策略通过DEMA、EMA交叉和ATR波动率指标,构建了一个简单高效的短期交易策略。策略交易逻辑清晰,容易操作,可适应高频短线交易。下一步通过参数优化和规则优化,可望获得更稳定的超额收益。
/*backtest
start: 2023-12-08 00:00:00
end: 2024-01-07 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/
// © Qorbanjf
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Qorbanjf
//@version=4
strategy("Qorban: DEMA/EMA & VOL Short ONLY", shorttitle="DEMA/EMA & VOL SHORT", overlay=true)
// DEMA
length = input(10, minval=1, title="DEMA LENGTH")
src = input(close, title="Source")
e1 = ema(src, length)
e2 = ema(e1, length)
dema1 = 2 * e1 - e2
plot(dema1, "DEMA", color=color.yellow)
//EMA
len = input(25, minval=1, title="EMA Length")
srb = input(close, title="Source")
offset = input(title="Offset", type=input.integer, defval=0, minval=-500, maxval=500)
ema1 = ema(srb, len)
plot(ema1, title="EMA", color=color.blue, offset=offset)
// get ATR VALUE
atr = atr(14)
//ATRP (Average True Price in precentage)
// Inputs
atrTimeFrame = input("D", title="ATR Timeframe", type=input.resolution)
atrLookback = input(defval=14,title="ATR Lookback Period",type=input.integer)
useMA = input(title = "Show Moving Average?", type = input.bool, defval = true)
maType = input(defval="EMA", options=["EMA", "SMA"], title = "Moving Average Type")
maLength = input(defval = 20, title = "Moving Average Period", minval = 1)
slType = input(title="Stop Loss ATR / %", type=input.float, defval=5.0, step=0.1)
slMulti = input(title="SL Multiplier", type=input.float, defval=1.0, step=0.1)
minimumProfitPercent = input(title="Minimum profit %", type=input.float, defval=20.00)
// ATR Logic
// atrValue = atr(atrLookback)
// atrp = (atrValue/close)*100
// plot(atrp, color=color.white, linewidth=2, transp = 30)
atrValue = security(syminfo.tickerid, atrTimeFrame, atr(atrLookback))
atrp = (atrValue/close)*100
// Moving Average Logic
ma(maType, src, length) =>
maType == "EMA" ? ema(src, length) : sma(src, length) //Ternary Operator (if maType equals EMA, then do ema calc, else do sma calc)
maFilter = security(syminfo.tickerid, atrTimeFrame, ma(maType, atrp, maLength))
// Determine percentage of open profit
var entry = 0.0
distanceProfit = low - entry
distanceProfitPercent = distanceProfit / entry
//Determin if we have a long entry signal OR a sell position signal
profitSignal = minimumProfitPercent == 0.0 or distanceProfitPercent >= minimumProfitPercent
shortSignal = crossunder(dema1, ema1) and atrp > maFilter and strategy.position_size == 0 and not na(atr)
exitSignal = profitSignal and strategy.position_size !=0 and crossover(dema1, ema1)
// === INPUT BACKTEST RANGE ===
//FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
//FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
//FromYear = input(defval = 2017, title = "From Year", minval = 2000)
//ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
//ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
//ToYear = input(defval = 9999, title = "To Year", minval = 2017)
//Invert trade direction & flipping
//tradInvert = input(defval = false, title = "invert trade direction")
//MOM_MR = input(defval=1, title = "MOM = 1 / MR = -1", minval=-1, maxval=1)
//plots=input(false, title="Show plots?")
// Get stop loss (in pips AND percentage distance)
shortStop = highest(high, 4) - (atr * slMulti)
shortStopPercent = close - (close * slMulti)
// Save long stop & target prices (used for drawing data to the chart & deetermining profit)
var shortStopSaved = 0.0
var shortTargetSaved = 0.0
enterShort = false
if shortSignal
shortStopSaved := slType ? shortStop : shortStopPercent
enterShort:= true
entry := close
// long conditions
//enterLong = crossover(dema1, ema1) and atrp < maFilter
//exitSignal => crossunder(dema1, ema1)
//Enter trades when conditions are met
strategy.entry("short", strategy.short, when=enterShort, comment="SHORT")
//place exit orders (only executed after trades are active)
strategy.exit(id="Short exit",
from_entry="short",
limit=exitSignal ? close : na,
stop=shortStopSaved,
when=strategy.position_size > 0,
comment="end short")
//short strategy
//goShort() => crossunder(dema1, ema1) and atrp > maFilter
//KillShort() => crossover(dema1, ema1)
//strategy.entry("SHORT", strategy.short, when = goShort())
//strategy.close("COVER", when = KillShort())
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