The Dynamic Santa Claus Regression Strategy is a quantitative trading strategy that identifies potential entry and exit points based on the dynamic regression relationship between price and bar index. This strategy uses a dynamically adjustable moving average parameter to plot the regression trend line of prices. By analyzing the direction of the regression line, it determines whether to enter or exit positions.
The core of this strategy is to calculate the linear regression relationship between price and bar index. It first calculates simple moving averages and standard deviations of length N. Then based on sample correlation coefficients and standard deviation ratios, it obtains the slope k and intercept b of the regression line. This results in a dynamically adjusted linear regression equation:
y = kx + b
where x is the bar index, and y is the price.
According to the magnitude relationship between the current and previous values of the regression line, the trend direction is determined. If the regression line is rising and the closing price is higher than the opening price and the highest price of the previous moment, a buy signal is generated. If the regression line falls and the closing price is lower than the opening price and the lowest price of the previous moment, a sell signal is generated.
Improper N value setting may cause the regression line to be too smooth or sensitive
Price volatility in the short term, regression relationship judgment fails
The ring ratio only considers one point in time and may miss local extremes
The Dynamic Santa Claus Regression Strategy utilizes the dynamic regression relationship between price and time to implement a flexible, intuitive, and adjustable quantitative trading system. The logic of this strategy is clear and easy to understand. Through parameter optimization, it can be applied to different trading products and cycles. The innovation of this strategy lies in the introduction of time factors to establish a dynamic model, making judgments more trending. In summary, this strategy provides a worthwhile sample for quantitative trading.
/*backtest start: 2023-01-05 00:00:00 end: 2024-01-11 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 // Creator - TradeAI strategy('Moving Santa Claus Strategy | TradeAI', overlay=true) // Set the length of the moving average length = input(64) // Calculate the moving averages and standard deviations x = bar_index y = close x_ = ta.sma(x, length) y_ = ta.sma(y, length) mx = ta.stdev(x, length) my = ta.stdev(y, length) c = ta.correlation(x, y, length) slope = c * (my / mx) // Calculate the parameters of the regression line inter = y_ - slope * x_ reg = x * slope + inter // Set the line color based on whether EMA is moving up or down var color lineColor = na if (reg > reg[1] and (close > open and close > high[1])) lineColor := color.new(#d8f7ff, 0) if (reg < reg[1] and (close < open and close < low[1])) lineColor := color.new(#ff383b, 0) // Plot the EMA line with different thicknesses plot(reg, color=lineColor, title="EMA") var color lineColorrr = na if (reg > reg[1] and (close > open and close > high[1])) lineColorrr := color.new(#d8f7ff, 77) if (reg < reg[1] and (close < open and close < low[1])) lineColorrr := color.new(#ff383b, 77) plot(reg, color=lineColorrr, title="EMA", linewidth=5) var color lineColorr = na if (reg > reg[1] and (close > open and close > high[1])) lineColorr := color.new(#d8f7ff, 93) if (reg < reg[1] and (close < open and close < low[1])) lineColorr := color.new(#ff383b, 93) plot(reg, color=lineColorr, title="EMA", linewidth=10) var color lineColorrrr = na if (reg > reg[1] and (close > open and close > high[1])) lineColorrrr := color.new(#d8f7ff, 97) if (reg < reg[1] and (close < open and close < low[1])) lineColorrrr := color.new(#ff383b, 97) plot(reg, color=lineColorr, title="EMA", linewidth=15) var color lineColorrrrr = na if (reg > reg[1] and (close > open and close > high[1])) lineColorrrrr := color.new(#d8f7ff, 99) if (reg < reg[1] and (close < open and close < low[1])) lineColorrrrr := color.new(#ff383b, 99) plot(reg, color=lineColorr, title="EMA", linewidth=20) // Implement trading strategy based on EMA direction if reg > reg[1] and (close > open and close > high[1]) strategy.entry('buy', strategy.long) if reg < reg[1] and (close < open and close < low[1]) strategy.close('buy')template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6