ChaoZhang
概述
本策略结合使用Aroon指标和绝对力度指标(ASH),旨在识别市场趋势和潜在交易机会。Aroon有助于识别趋势的强度和方向,而ASH提供动量实力的洞察。通过组合这些指标,策略试图捕捉以太坊市场中的可盈利交易机会。
策略原理
该策略使用两个Aroon指标参数组:
- 多头仓位:Aroon周期为56(上轨)和20(下轨)
- 空头仓位:Aroon周期为17(上轨)和55(下轨)
ASH的长度为9根K线,使用收盘价作为数据源。
策略包含特定的进入和退出交易条件:
- 多头仓位进入:当Aroon指标上穿下轨时,表示潜在上涨趋势,因此开多仓。
- 多头仓位退出:当Aroon指标下穿下轨时,平多仓。
- 空头仓位进入:当Aroon指标下穿上轨时,表示潜在下跌趋势,因此开空仓。
- 空头仓位退出:当Aroon指标上穿上轨时,平空仓。
优势分析
本策略最大的优势在于结合运用两个指标的优势。Aroon指标可以有效判断趋势方向和强度,ASH指标提供额外的动量洞察,有助于判断进入和退出时机。
此外,使用两个不同参数组的Aroon指标进行多空判断,可以灵活适应市场态势的变化。
风险分析
该策略主要的风险在于指标本身的局限性。Aroon指标对于震荡盘整市较弱,容易产生错误信号。ASH指标对于短期过度反转也较为敏感。
此外,参数设置如果不当,也会影响策略表现。需要对Aroon指标的长短周期以及ASH指标的长度进行优化和测试,找到最佳参数组合。
优化方向
可以考虑添加过滤器,如价格突破、交易量增加等,避免在震荡行情中产生错误信号。
可以测试不同的指标参数组合和权重,找到最优参数。也可以尝试结合其他指标,如RSI、KD等,形成更强大的指标组合,提高策略表现。
总结
本策略整合运用Aroon和ASH两个指标的优势,通过双指标确认,在判断趋势和捕捉转折点时效果较好。但参数设置和指标本身局限仍需优化。总体来说,思路新颖,值得进一步改进和验证。
策略源码
/*backtest
start: 2023-03-05 00:00:00
end: 2024-03-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// © IkkeOmar
//@version=5
strategy("Aroon and ASH strategy - ETHERIUM [IkkeOmar]", overlay=true, initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, pyramiding=1, commission_value=0, slippage=2)
// AROON SETTINGS ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
// Inputs for longs
length_upper_long = input.int(56, minval=15)
length_lower_long = input.int(20, minval=5)
// Inputs for shorts
//Aroon Short Side Inputs
length_upper_short = input.int(17, minval=10)
length_lower_short = input.int(55)
// ABSOLUTE STRENGTH HISTOGRAM SETTINGS ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
length = input(title='Length', defval=9)
src = input(title='Source', defval=close)
// CALCULATIONS: ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
// Aroon
upper_long = 100 * (ta.highestbars(high, length_upper_long + 1) + length_upper_long) / length_upper_long
lower_long = 100 * (ta.lowestbars(low, length_lower_long + 1) + length_lower_long) / length_lower_long
upper_short = 100 * (ta.highestbars(high, length_upper_short + 1) + length_upper_short) / length_upper_short
lower_short = 100 * (ta.lowestbars(low, length_lower_short + 1) + length_lower_short) / length_lower_short
// Ahrens Moving Average
ahma = 0.0
ahma := nz(ahma[1]) + (src - (nz(ahma[1]) + nz(ahma[length])) / 2) / length
// CONDITIONS: ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
// Options that configure the backtest start date
startDate = input(title='Start Date', defval=timestamp('01 Jan 2018 00:00'))
// Option to select trade directions
tradeDirection = input.string(title='Trade Direction', options=['Long', 'Short', 'Both'], defval='Long')
// Translate input into trading conditions
longOK = tradeDirection == 'Long' or tradeDirection == 'Both'
shortOK = tradeDirection == 'Short' or tradeDirection == 'Both'
// Check if the close time of the current bar falls inside the date range
inDateRange = true
longCondition = ta.crossover(upper_long, lower_long) and inDateRange and lower_long >= 5 and longOK
longCloseCondition = ta.crossunder(upper_long, lower_long) and inDateRange
shortCondition = ta.crossunder(upper_short, lower_short) and inDateRange and shortOK
shortCloseCondition = ta.crossover(upper_short, lower_short) and inDateRange
// Start off with the initial states for the longs and shorts
var in_short_trade = false
var in_long_trade = false
var long_signal = false
var short_signal = false
if longCondition
long_signal := true
if longCloseCondition
long_signal := false
if shortCondition
short_signal := true
if shortCloseCondition
short_signal := false
// While no trades active and short condition is met, OPEN short
if true and in_short_trade == false and in_long_trade == false and shortCondition
strategy.entry("short", strategy.short, when = shortCondition)
in_short_trade := true
in_long_trade := false
// While no trades and long condition is met, OPEN LONG
if true and in_short_trade == false and in_long_trade == false and longCondition
strategy.entry("long", strategy.long, when = longCondition)
in_long_trade := true
in_short_trade := false
// WHILE short trade and long condition is met, CLOSE SHORT and OPEN LONG
if true and in_short_trade == true and in_long_trade == false and longCondition
// strategy.close("short", when = longCondition)
strategy.entry("long", strategy.long, when = longCondition)
in_short_trade := false
in_long_trade := true
// WHILE long trade and short condition is met, CLOSE LONG and OPEN SHORT
if true and in_short_trade == false and in_long_trade == true and shortCondition
// strategy.close("long", when = shortCondition)
strategy.entry("short", strategy.short, when = shortCondition)
in_short_trade := true
in_long_trade := false
// WHILE long trade and exit long condition is met, CLOSE LONG
// if short signal is active, OPEN SHORT
if true and in_short_trade == false and in_long_trade == true and longCloseCondition
if short_signal
strategy.entry("short", strategy.short, when = short_signal)
in_long_trade := false
in_short_trade := true
else
strategy.close("long", when = longCloseCondition)
in_long_trade := false
in_short_trade := false
// if in short trade only and exit short condition is met, close the short
// if long signal still active, OPEN LONG
if true and in_short_trade == true and in_long_trade == false and shortCloseCondition
if long_signal
strategy.entry("long", strategy.long, when = long_signal)
in_short_trade := false
in_long_trade := true
else
strategy.close("short", when = shortCloseCondition)
in_short_trade := false
in_long_trade := false
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