ChaoZhang
概述
该策略运用移动平均线差值法判断股价与均线偏离度,并结合零轴交叉系统发出交易信号。基本思路是,当价格从上方接近均线时看跌,当价格从下方接近均线时看涨。
策略原理
- 计算8日指数移动平均线ema和过去8日中的最低移动平均线lowestEMA
- 计算价格与当前移动平均线ema的差值diff
- 判断diff小于0为看跌信号,diff上穿0为底背离,看涨信号
- 结合diff的数值大小比较过去一周最大跌幅,发出交易信号
优势分析
- 利用双均线系统,能够有效过滤假突破
- 运用最小价格理论,发现底部信号
- 结合数值比较判断超跌超买,避免追高杀跌
风险分析
- 双均线策略容易产生 whipsaw effect
- 需关注交易频率过高的问题
- 合理设置移动平均线参数很关键
优化方向
- 调整移动平均线周期参数,适应不同周期
- 增加成交量指标过滤假突破信号
- 结合 stochastic 指标避免超跌超买
总结
本策略整合均线差值法和零轴交叉判断系统,旨在提高买卖点探测准确性。但仍需进一步优化参数设置,并配合其他指标过滤信号。总的来说,该策略利用简单指标判断效果尚可,可作为基础策略之一运用于实盘。
策略源码
/*backtest
start: 2023-01-19 00:00:00
end: 2024-01-25 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title = "Estratégia diferença menor preço de 8")
// Configuração da Média Móvel
emaPeriod = 8
ema= ema(close, emaPeriod)
ema1= ema(close[1], emaPeriod)
lowestEMA = lowest(ema, 8)
// Calcula a diferença entre o preço e a média móvel
diff = close - ema
diff1 = close[1] - ema1
diffLow = ema - lowestEMA
//Condições
diffZero = diff < 0
diffUnder = diff < diffLow
diffUm = diff > 0
Low0 = diffLow == 0
// Sinais de entrada
buy_signal = diffUnder and crossover(diff, diff1)
sell_signal = diffUm and diffUnder and crossunder(diff, diff1)
// Executa as operações de compra/venda
if buy_signal
strategy.entry("Buy", strategy.long)
if sell_signal
strategy.exit("Buy")
// Plota as linhas
plot(0, title="Linha Zero", color=color.gray)
plot(diff, title="Diferença", color=color.blue, linewidth=2)
plot(diffLow, title="Diferença", color=color.red, linewidth=2)