ChaoZhang
概述
该策略是一个以 MACD 为核心的多指标组合策略。它整合了 MACD 的 5 种交易信号,另外还内置了 5 种移动平均线以供选择。该策略充分利用 MACD 的趋势判断能力,设置不同的交易条件来过滤掉错误信号,从而获取更高的获利概率。
策略名称
多时间框架MACD趋势跟踪策略(Multi-timeframe MACD Trend Following Strategy)
策略原理
该策略主要依靠 MACD 指标判断趋势方向。MACD 是由快线(12日EMA)减去慢线(26日EMA)形成的MACD线,再画出其移动平均线即为信号线。快线上穿慢线为金叉做多信号,快线下穿慢线为死叉做空信号。
该策略设置了5种交易条件:
- 简单的金叉死叉信号
- 结合MACD的超买超卖区域,过滤掉部分假信号
- 金叉时要求收盘价站上移动平均线才能入场
- 金叉时要求收盘价超过移动平均线区域才能入场
- 金叉时要求RSI指标高于某一水平才能入场
同时,该策略还提供了5种移动平均线(EMA、SMA、VWMA、RMA、WMA)以及可自定义的参数设置。
策略优势
- 利用MACD判断市场趋势方向的优势,多种交易条件过滤假信号,提高获利概率
- 内置多种移动平均线类型,可以灵活应对不同品种
- 可自定义参数设置,适应性强
- 多种条件入场,避免单一指标带来的风险
- 追踪趋势能力较强,适合中长线操作
策略风险
- MACD本身作为趋势指标,在盘整市场中存在亏损风险
- 未考虑突发事件的影响,如重大利空消息发布等
- 参数设置不当可能导致策略效果不佳
- 没有设置止损,可能带来更大的亏损
可以通过适当调整参数、设置止损、结合其他指标等方法来降低风险。
策略优化方向
该策略可以从以下几个方面进行优化:
- 优化移动平均线参数,适配不同交易品种
- 优化MACD参数,获取更精确的交易信号
- 增加止损机制,规避市场突发事件的影响
- 结合其他指标,如KDJ、震荡指标等,提升策略效果
- 增加机器学习算法,自动优化参数设置
- 进行回测优化,测试更长的时间周期数据
总结
该策略总体来说是一个非常实用的趋势跟踪策略。它利用MACD指标的优势,设置不同的交易条件来过滤错误信号,从而获取高概率的交易机会。同时参数和指标可自定义,适应性非常强。值得注意的是,任何策略都无法完美预测市场,需要根据实际情况不断调整优化,才能获得长期稳定的超额收益。
策略源码
/*backtest
start: 2023-01-16 00:00:00
end: 2024-01-22 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/
// © HamidBox
//@version=4
strategy("MACD [5-in-1]")
matype_zone(src, len, type) =>
type == "EMA" ? ema(src, len) :
type == "SMA" ? sma(src, len) :
type == "RMA" ? rma(src, len) :
type == "WMA" ? wma(src, len) :
type == "VWMA" ? vwma(src, len) :
na
matype_signal(src, len, type) =>
type == "EMA" ? ema(src, len) :
type == "SMA" ? sma(src, len) :
type == "RMA" ? rma(src, len) :
type == "WMA" ? wma(src, len) :
type == "VWMA" ? vwma(src, len) :
na
// MACD INPUTS ////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
macd_FastLength = input(title="MACD Fast", defval=12, minval=1, type=input.integer, inline="fastslow") ///
macd_SlowLength = input(title="MACD Slow ", defval=26, minval=1, type=input.integer, inline="fastslow") ///
macd_signalLen = input(title="Signal Line", defval=9, minval=1, type=input.integer, inline="signalsrc") ///
macd_Source = input(title="Source ", defval=close, type=input.source, inline="signalsrc") ///
MACD_Line = input(title="Oscilattor ", defval="EMA", type=input.string, options=["EMA" , "SMA"], inline="matype") ///
SignalLine = input(title="Signal ", defval="EMA", type=input.string, options=["EMA" , "SMA"], inline="matype") ///
///
// MACD SETUP /////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
macd_Fast = MACD_Line == "SMA" ? sma(macd_Source , macd_FastLength) : ema(macd_Source , macd_FastLength) ///
macd_Slow = MACD_Line == "SMA" ? sma(macd_Source , macd_SlowLength) : ema(macd_Source , macd_SlowLength) ///
MACD = macd_Fast - macd_Slow ///
Signal = SignalLine == "SMA" ? sma(MACD, macd_signalLen) : ema(MACD, macd_signalLen) ///
histogram = MACD - Signal ///
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
// MACD CONDITIONS SECTION /////////////////////////////////////////////////////
macd_grtr_signal = MACD > Signal //
macd_less_signal = MACD < Signal //
macd_crsovr_signal = crossover(MACD , Signal) ? MACD : na // FOR MACD CROSS DOT PLOTING //
macd_crsndr_signal = crossunder(MACD , Signal) ? MACD : na // FOR MACD CROSS DOT PLOTING //
macd_crsovr = crossover(MACD , Signal) //
macd_crsndr = crossunder(MACD , Signal) //
////////////////////////////////////////////////////////////////////////////////
// Choose your Desire Signal ///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_crs_signal = input(true, "Stgy №1:👉 MACD CrossOver", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\nBUY: MACD CrossOver Signal Line\nSELL: MACD CrossUnder Signal Line\nDefault Signal")
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_OB = input(false, "Stgy №2:👉 MACD + OverBought ", inline="obs", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="MACD also work as OverBought & OverSold system, same like RSI or other indicators who have OB/OS system, so i added OB-Level in MACD,\nso simple rule is: if MACD Lines is Above OB-Level, we will not take any trade, we only follow MACD signals when MACD-Lines will Below OB-Level")
MACD_OB_LVL = input(title="", defval=0.0, type=input.float, inline="obs", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="MACD also work as OverBought & OverSold system, same like RSI or other indicators who have OB/OS system, so i added OB-Level in MACD,\nso simple rule is: if MACD Lines is Above OB-Level, we will not take any trade, we only follow MACD signals when MACD-Lines will Below OB-Level")
hline(MACD_OB_LVL, color=color.red, title="MACD OB", linestyle=hline.style_dashed)
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_close = input(false, "Stgy №3:👉 MACD + Close ", inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) Than Moving Average\n\nSELL RULES\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) Than Moving Average\n\nExplanation: When (MACD Cross Signal Line) and also Market current Candle Close or previous 1st-4th any Candle will have close greater than Moving Average (You Choose: EMA or SMA etc...)\n🚦NOTE: in this Condition only Singal Moving Average work => (Slow MA),")
MA_signal_len = input(title="", defval=21, type=input.integer, inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL") // //
MA_signal_type = input(title="", defval="EMA", options=["SMA" , "EMA" , "RMA", "WMA" , "VWMA" , "DEMA", "TEMA"], inline="MAsignal", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) Than Moving Average\n\nSELL RULES\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) Than Moving Average\n\nExplanation: When (MACD Cross Signal Line) and also Market current Candle Close will have close greater than Moving Average (You Choose: EMA or SMA etc...)") // //
dema = if MA_signal_type == "DEMA"
ema = ema(close , MA_signal_len)
2 * ema - ema(ema , MA_signal_len)
tema = if MA_signal_type == "TEMA"
ema = ema(close , MA_signal_len)
3 * (ema - ema(ema, MA_signal_len)) + ema(ema(ema, MA_signal_len), MA_signal_len)
MA_signal = matype_zone(close, MA_signal_len, MA_signal_type)
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_ZONE = input(false, "Stgy №4:👉 MACD + MA-ZONE ", inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES:\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) than (MA-ZONE)\n\nSELL RULES:\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) than (MA-ZONE)")
MA_zone_len = input(title="", defval=21, type=input.integer, inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL")
MA_zone_type = input(title="", defval="EMA", options=["SMA" , "EMA" , "RMA", "WMA" , "VWMA" , "DEMA", "TEMA"], inline="MAZONE", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY RULES:\n1st: MACD CrossOver Signal Line\n2nd: Close (Greater) than (MA-ZONE)\n\nSELL RULES:\n1st: MACD CrossUnder Signal Line\n2nd: Close (Less) than (MA-ZONE)")
dema2 = if MA_zone_type == "DEMA"
ema = ema(close , MA_zone_len)
2 * ema - ema(ema , MA_zone_len)
tema2 = if MA_zone_type == "TEMA"
ema = ema(close , MA_zone_len)
3 * (ema - ema(ema, MA_zone_len)) + ema(ema(ema, MA_zone_len), MA_zone_len)
MA_zone_srcHi = matype_signal(high, MA_zone_len, MA_zone_type) // //
MA_zone_srcLO = matype_signal(low, MA_zone_len, MA_zone_type)
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
MACD_wid_rsiOB = input(false, "Stgy №5:👉 MACD + RSI-OB", group="CHOOSE YOUR DESIRE SIGNAL")
rsilen = input(title="Length", defval=14, type=input.integer, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL")
rsi_ent_value = input(title="Entry", defval=50, type=input.integer, minval=1, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL", tooltip="🚦🚦🚦 Condition 🚦🚦🚦\n\nBUY Rule\nMACD Crossover Signal\nRSI Greater then Entry Level (You Choose)\n\n🚦🚦🚦 Explanation 🚦🚦🚦\nWe have RSI with 2 Levels,\n1st: Entry Level\n2nd: No-Entry Level\n\nEntry level:\nfor never want to BUY trade when RSI is Below our specific Level, like you want open Trade when RSI above 50 level or 30 level etc... \n\nNo-Entry Level:\nthis is same as (Entry Level) Condition, as we know RSI-70 level use for OverBought, and its mean market will go down after RSI-OB level, and thats why we can set overbought level for NO-ENTRY when Market is on OverBought area.")
rsi_ob_value = input(title="No-Entry", defval=70, minval=1, type=input.integer, inline="rsi", group="CHOOSE YOUR DESIRE SIGNAL")
RSI = rsi(close , rsilen)
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
startTime = input(title="Start Time ", type = input.time, defval = timestamp("01 Jan 2021 00:00 +0000"), inline="Backtesting Time Period")
endTime = input(title="End Time ", type = input.time, defval = timestamp("01 Jan 2022 00:00 +0000"))
inDateRange = true
// Stgy №1:👉 MACD Cross Signal CONDITION //////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + CLOSE )) ////
if macd_crsovr and MACD_crs_signal and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#1") ////
if macd_crsndr and MACD_crs_signal and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
// // Stgy №1 Ploting
// plotshape(MACD_crs_signal ? macd_crsovr : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="MACD", textcolor=color.white, location=location.bottom)
// plotshape(MACD_crs_signal ? macd_crsndr : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="MACD-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////
// Stgy №2:👉 MACD + OverBought CONDITION //////////////////////////////////////
only_Trade_when = MACD < MACD_OB_LVL and Signal < MACD_OB_LVL ////
macd_ob_buy = macd_crsovr and only_Trade_when ////
macd_ob_sell = macd_crsndr ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + ZONE )) ////
if macd_ob_buy and MACD_OB and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#2") ////
if macd_ob_sell and MACD_OB and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
// plotshape(MACD_OB ? macd_ob_buy : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="M+OB", textcolor=color.white, location=location.bottom)
// plotshape(MACD_OB ? macd_ob_sell : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="M+OB-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////
// Stgy №3:👉 MACD + CLOSE CONDITION ///////////////////////////////////////////
macd_close_buy = macd_crsovr and ( ( close > MA_signal or (close[1] > MA_signal[1]) or (close[2] > MA_signal[2]) or (close[3] > MA_signal[3]) ) or ( close > dema or (close[1] > dema[1]) or (close[2] > dema[2]) or (close[3] > dema[3]) ) or ( close > tema or (close[1] > tema[1]) or (close[2] > tema[2]) or (close[3] > tema[3]) ) )
macd_close_sell = macd_crsndr and ( ( close > MA_signal or (close[1] < MA_signal[1]) or (close[2] < MA_signal[2]) or (close[3] < MA_signal[3]) ) or ( close < dema or (close[1] < dema[1]) or (close[2] < dema[2]) or (close[3] < dema[3]) ) or ( close < tema or (close[1] < tema[1]) or (close[2] < tema[2]) or (close[3] < tema[3]) ) ) ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + CLOSE )) ////
if macd_close_buy and MACD_close and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#3") ////
if macd_close_sell and MACD_close and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
// // Stgy №3 Ploting
// plotshape(MACD_close ? macd_close_buy : na, title="Stgy Sign", color=color.blue, style=shape.labelup, text="MACD", textcolor=color.white, location=location.bottom)
// plotshape(MACD_close ? macd_close_sell : na, title="Stgy Sign", color=color.maroon, style=shape.labeldown, text="MACD-x", textcolor=color.white, location=location.top)
// ////////////////////////////////////////////////////////////////////////////////
// Stgy №3:👉 MACD + MA-ZONE MACD + ZONE CONDITION /////////////////////////////
macd_zone_buy = macd_crsovr and ( ( close > MA_zone_srcHi or (close[1] > MA_zone_srcHi[1]) or (close[2] > MA_zone_srcHi[2]) or (close[3] > MA_zone_srcHi[3]) ) or ( close > dema2 or (close[1] > dema2[1]) or (close[2] > dema2[2]) or (close[3] > dema2[3]) ) or ( close > tema2 or (close[1] > tema2[1]) or (close[2] > tema2[2]) or (close[3] > tema2[3]) ) ) ////
macd_zone_sell = macd_crsndr and ( ( close < MA_zone_srcHi or (close[1] < MA_zone_srcHi[1]) or (close[2] < MA_zone_srcHi[2]) or (close[3] < MA_zone_srcHi[3]) ) or ( close < dema2 or (close[1] < dema2[1]) or (close[2] < dema2[2]) or (close[3] < dema2[3]) ) or ( close < tema2 or (close[1] < tema2[1]) or (close[2] < tema2[2]) or (close[3] < tema2[3]) ) ) ////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// (( MACD + ZONE )) ////
if macd_zone_buy and MACD_ZONE and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#4") ////
if macd_zone_sell and MACD_ZONE and inDateRange ////
strategy.close_all() ////
////////////////////////////////////////////////////////////////////////////////
// Stgy №5:👉 MACD + RSI-OB CONDITION //////////////////////////////////////////
MACD_rsi_EnBuy = RSI > rsi_ent_value and RSI < rsi_ob_value ////
MACD_rsi_EnSell = RSI < rsi_ent_value ////
MACD_rsi_Ex = crossunder(RSI , rsi_ob_value) or crossunder(RSI[1] , rsi_ob_value[1]) or crossunder(RSI[2] , rsi_ob_value[2]) or crossunder(RSI[3] , rsi_ob_value[3]) or crossunder(RSI[4] , rsi_ob_value[4]) or crossunder(RSI[5] , rsi_ob_value[5]) or crossunder(RSI[6] , rsi_ob_value[6]) ////
////
////////////////////////////////////////////////////////////////////////////////
// ENTRY EXIT SECTION //////////////////////////////////////////////////////////
// ((MACD + RSI-OB )) ////
if macd_crsovr and MACD_rsi_EnBuy and MACD_wid_rsiOB and inDateRange ////
strategy.entry("BUY", strategy.long, comment="S#5") ////
if macd_crsndr and MACD_wid_rsiOB and inDateRange ////
strategy.close("BUY", comment="x") ////
////////////////////////////////////////////////////////////////////////////////
if (not inDateRange) ///
strategy.close_all() ///
//////////////////////////////////
// MACD COLORS SECTION /////////////////////////////////////////////////////////
// ( Colors of [MACD and Signal-Line] )
MACD_width = input(title="MACD Line ", defval=2, minval=1, type=input.integer, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
MACD_color_High = input(#11ff00, title="", type=input.color, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
MACD_color_Low = input(#e91e63, title="", type=input.color, group="🚦🚦macd Width & Colors setting🚦🚦", inline="macdColor")
signal_width = input(title="Signal Line ", defval=2, minval=1, type=input.integer, group="🚦🚦macd Width & Colors setting🚦🚦", inline="signal")
signalLine_col_hi = input(#ffeb3b, title="", type=input.color, inline="signal", group="🚦🚦macd Width & Colors setting🚦🚦")
signalLine_col_lo = input(#ffeb3b, title="", type=input.color, inline="signal", group="🚦🚦macd Width & Colors setting🚦🚦")
// ((Histogram Color)) /////////////////////////////////////////////////////////
macd_hist_on = input(true, "Histogram ", inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
BuyStrongHist = input(#26A69A, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
BuyWeakHist = input(#B2DFDB, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
SellWeakHist = input(#FFCDD2, title="✨", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
SellStrongHist = input(#FF5252, title="", type=input.color, inline="hist", group="🚦🚦macd Width & Colors setting🚦🚦")
// ((FOR HISTOGRAM COLOR CONDITION))
hist_col = (histogram >= 0 ? (histogram[1] < histogram ? BuyStrongHist : BuyWeakHist) : histogram[1] < histogram ? SellWeakHist : SellStrongHist)
// (( CROSSOVER DOT) ///////////////////////////////////////////////////////////
macd_crsovr_dot_on = input(true, "Cross ", inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
macd_cross_width = input(defval=5, title="", inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
dot_crsovr_col = input(#ffffff, title="", type=input.color, inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
dot_crsndr_col = input(color.new(#e91e63, 0), title="", type=input.color, inline="dot", group="🚦🚦macd Width & Colors setting🚦🚦")
// (( MACD ZONE COLOR ))
zone_on = input(true, "Zone Color ", inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
zone_crsovr_col = input(color.new(color.lime, 70), title="", type=input.color, inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
zone_crsndr_col = input(color.new(#e91e63, 70), title="", type=input.color, inline="zone", group="🚦🚦macd Width & Colors setting🚦🚦")
///////////////////////////////////////// ((FOR MACD LINE COLOR CONDITION))
MACD_line_col = if macd_grtr_signal //
MACD_color_High //
else //
if macd_less_signal //
MACD_color_Low //
///////////////////////////////////////// ((FOR SIGNAL LINE COLOR CONDITION))
signal_line_col = if macd_grtr_signal //
signalLine_col_hi //
else //
if macd_less_signal //
signalLine_col_lo //
///////////////////////////////////////// ((FOR MACD CROSS DOTs COLOR CONDITION))
MACD_Dot_col = if macd_crsovr_signal //
dot_crsovr_col //
else //
if macd_crsndr_signal //
dot_crsndr_col //
/////////////////////////////////////////////////////////////////////////////////////////////////
zone_crsovr_plot = if macd_grtr_signal and zone_on // ((For Zone Color Comdition + On/Off)) ///
zone_crsovr_col ///////////////////////////////////////////
else //
if macd_less_signal and zone_on //
zone_crsndr_col //
//////////////////////////////////////////////////////
// MACD PLOTING //////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
histplot = plot(macd_hist_on ? histogram : na, title="Histogram", color=hist_col, style=plot.style_columns)
macdplot = plot(MACD, title="MACD", color=MACD_line_col, linewidth=MACD_width)
signalplot = plot(Signal, title="Signal", color=signal_line_col, linewidth=signal_width)
fill(macdplot , signalplot, color=zone_crsovr_plot)
plot(macd_crsovr_dot_on ? macd_crsovr_signal : na, title="c-over", style=plot.style_circles, color=MACD_Dot_col, linewidth=macd_cross_width)
plot(macd_crsovr_dot_on ? macd_crsndr_signal : na, title="c-under", style=plot.style_circles, color=MACD_Dot_col, linewidth=macd_cross_width)