双重趋势追踪量化策略


创建日期: 2024-02-27 15:54:24 最后修改: 2024-02-27 15:54:24
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双重趋势追踪量化策略

概述

本策略的核心思想是结合123反转策略和彩虹振荡器指标,实现双重趋势追踪,以提高策略的胜率。该策略通过追踪短期和中期的价格趋势,动态调整仓位,实现超越大盘的超额收益。

策略原理

该策略由两部分组成:

  1. 123反转策略:如果前两天收盘价下跌而今天收盘价上涨,且9日Slow K线低于50,则做多;如果前两天收盘价上涨而今天收盘价下跌,且9日Fast K线高于50,则做空。

  2. 彩虹振荡器指标:该指标反映价格相对于移动平均线的偏离程度,当指标高于80时,表明市场趋于不稳定;当指标低于20时,表明市场趋于反转。

本策略将两者结合,同时做多做空信号出现时开仓,否则平仓。

优势分析

该策略具有以下优势:

  1. 双重过滤,提高信号质量,降低误判率。
  2. 动态调整仓位,降低单向行情的损失。
  3. 整合短期和中期指标,提高策略稳定性。

风险分析

该策略也存在以下风险:

  1. 参数优化不当可能导致过拟合。
  2. 双重开仓会增加交易成本。
  3. 标的价格剧烈波动时,止损点容易被击穿。

可以通过调整参数、优化仓位管理、合理设置止损来减轻这些风险。

优化方向

该策略可以从以下方面进行优化:

  1. 对参数进行优化,找到最佳参数组合。
  2. 增加仓位管理模块,根据波动率和回撤动态调整仓位。
  3. 增加止损模块,合理设置移动止损。
  4. 增加机器学习算法,辅助判断趋势转折点。

总结

本策略整合123反转策略和彩虹振荡器指标,实现双重趋势追踪,在保持较高稳定性的同时,具有一定的超额收益空间。通过持续优化,有望进一步提升策略收益率。

策略源码
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 25/05/2021
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Ever since the people concluded that stock market price movements are not 
// random or chaotic, but follow specific trends that can be forecasted, they 
// tried to develop different tools or procedures that could help them identify 
// those trends. And one of those financial indicators is the Rainbow Oscillator 
// Indicator. The Rainbow Oscillator Indicator is relatively new, originally 
// introduced in 1997, and it is used to forecast the changes of trend direction.
// As market prices go up and down, the oscillator appears as a direction of the 
// trend, but also as the safety of the market and the depth of that trend. As 
// the rainbow grows in width, the current trend gives signs of continuity, and 
// if the value of the oscillator goes beyond 80, the market becomes more and more 
// unstable, being prone to a sudden reversal. When prices move towards the rainbow 
// and the oscillator becomes more and more flat, the market tends to remain more 
// stable and the bandwidth decreases. Still, if the oscillator value goes below 20, 
// the market is again, prone to sudden reversals. The safest bandwidth value where 
// the market is stable is between 20 and 80, in the Rainbow Oscillator indicator value. 
// The depth a certain price has on a chart and into the rainbow can be used to judge 
// the strength of the move.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos


RO(Length, LengthHHLL) =>
    pos = 0.0
    xMA1 = sma(close, Length)
    xMA2 = sma(xMA1, Length)
    xMA3 = sma(xMA2, Length)
    xMA4 = sma(xMA3, Length)
    xMA5 = sma(xMA4, Length)
    xMA6 = sma(xMA5, Length)
    xMA7 = sma(xMA6, Length)
    xMA8 = sma(xMA7, Length)
    xMA9 = sma(xMA8, Length)
    xMA10 = sma(xMA9, Length)
    xHH = highest(close, LengthHHLL)
    xLL = lowest(close, LengthHHLL)
    xHHMAs = max(xMA1,max(xMA2,max(xMA3,max(xMA4,max(xMA5,max(xMA6,max(xMA7,max(xMA8,max(xMA9,xMA10)))))))))
    xLLMAs = min(xMA1,min(xMA2,min(xMA3,min(xMA4,min(xMA5,min(xMA6,min(xMA7,min(xMA8,min(xMA9,xMA10)))))))))
    xRBO = 100 * ((close - ((xMA1+xMA2+xMA3+xMA4+xMA5+xMA6+xMA7+xMA8+xMA9+xMA10) / 10)) / (xHH - xLL))
    xRB = 100 * ((xHHMAs - xLLMAs) / (xHH - xLL))
    pos:= iff(xRBO > 0, 1,
           iff(xRBO < 0, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Rainbow Oscillator", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Rainbow Oscillator ----")
LengthRO = input(2, minval=1)
LengthHHLL = input(10, minval=2, title="HHV/LLV Lookback")
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posRO = RO(LengthRO, LengthHHLL)
pos = iff(posReversal123 == 1 and posRO == 1 , 1,
	   iff(posReversal123 == -1 and posRO == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1 ) 
    strategy.entry("Long", strategy.long)
if (possig == -1 )
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )