ChaoZhang
移动平均线交叉是一种常见的交易信号。该策略利用快速移动平均线和慢速移动平均线的交叉为交易信号。具体来说,当快速移动平均线从下方上穿慢速移动平均线时,做多;当快速移动平均线从上方下穿慢速移动平均线时,做空。
本策略采用20日exponential moving average (EMA) 作为快速移动平均线,50日EMA作为中速线,200日EMA作为慢速移动平均线。当20日EMA和50日EMA同时上穿200日EMA时做多;当20日EMA和50日EMA同时下穿200日EMA时做空。这样可以过滤掉部分假信号。
策略优势
- 移动平均线策略简单易行,容易理解和实现
- 利用多条移动平均线组合可以过滤假信号
- 多空条件清晰,容易判断进出场时机
策略风险
- 在盘整行情中容易产生假信号
- 移动平均线具有滞后性,无法及时捕捉价格转折
- 无法有效利用突破性行情的利润
优化思路
- 优化移动平均线的周期参数,适应不同品种和周期 2.增加其他指标过滤信号,如交易量,布林带等
- 结合趋势和反转策略,在趋势行情中追踪,在盘整中等待机会
总结
移动平均线交叉策略概念简单,容易掌握,是量化交易的基础策略之一。本策略作为入门学习具有很好的参考价值。但实战中仍需针对品种和周期进行参数优化,并辅以其他更复杂的技术指标来过滤信号,从而提高策略的实战效果。
策略源码
/*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"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rt-maax
//@version=5
strategy(title = "rt maax EMA cross strategy", shorttitle = "rt maax ema ", overlay = true, precision = 8, max_bars_back = 200, pyramiding = 0, initial_capital = 100000,
currency = currency.USD, default_qty_type = strategy.cash, default_qty_value = 100000, commission_type = "percent", commission_value = 0.27)
fastema = ta.ema (close , 50)
fema=ta.ema(close,20)
slowema= ta.ema(close,200)
price = close
// === INPUT BACKTEST RANGE ===
fromMonth = input.int(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromDay = input.int(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromYear = input.int(defval = 2021, title = "From Year", minval = 1970)
thruMonth = input.int(defval = 10, title = "Thru Month", minval = 1, maxval = 12)
thruDay = input.int(defval = 25, title = "Thru Day", minval = 1, maxval = 31)
thruYear = input.int(defval = 2112, title = "Thru Year", minval = 1970)
// === INPUT SHOW PLOT ===
showDate = input(defval = true, title = "Show Date Range")
// === FUNCTION EXAMPLE ===
longCondition1= ta.crossover (fema , fastema)
longcondition2= fema> slowema
longcondition3=fastema>slowema
if (longCondition1 and longcondition2 and longcondition3 )
stoploss=low*0.97
takeprofit=high*1.12
strategy.entry("Long Entry", strategy.long)
strategy.exit ("exit","long",stop=stoploss,limit=takeprofit)
shortCondition1 = ta.crossunder (fema , fastema )
shortcondition2= fastema< slowema
shortcondition3= fema< slowema
if (shortCondition1 and shortcondition2 and shortcondition3 )
stoploss=low*0.97
takeprofit=high*1.5
strategy.entry("Short Entry", strategy.short)
strategy.exit("exit","short",stop=stoploss,limit=takeprofit)
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