动态圣诞老人回归策略是一种根据价格和柱线索引之间的动态回归关系,识别潜在入场和出场点的量化交易策略。该策略使用长度可调的参数动态均线,绘制价格的回归趋势线。通过分析回归线的方向,判断是否入场或出场。
该策略的核心是计算价格和柱线索引之间的线性回归关系。首先计算长度为N的简单移动平均线和标准差。然后基于样本相关系数和标准差比值,求出回归线的斜率k和截距b。这样就得到了一个动态调整的线性回归方程:
y = kx + b
其中,x为柱线索引,y为价格。
根据回归线当前时刻与上一时刻的大小关系,判断趋势方向。如果回归线上涨且收盘价高于开盘价和前一时刻最高价,则产生买入信号;如果回归线下跌且收盘价低于开盘价和前一时刻最低价,则产生卖出信号。
动态圣诞老人回归策略利用价格和时间的动态回归关系,实现了一个灵活、直观、参数可调的量化交易系统。该策略逻辑清晰、易于理解,通过参数优化可以适用于不同的交易产品和周期。本策略的创新之处在于引入时间因素建立动态模型,使判断更具有趋势性。总的来说,该策略为量化交易提供了一个值得参考的样本。
/*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')