该策略使用两条指数移动平均线(EMA)的交叉作为买卖信号。当较短周期EMA从下向上穿过较长周期EMA时,产生买入信号;反之,当较短周期EMA从上向下穿过较长周期EMA时,产生卖出信号。同时,该策略还会判断交叉点是否是最近10个交易周期内的最高价或最低价,以此来确认趋势的强度。如果交叉点是最高价,则会在背景上显示绿色;如果是最低价,则会显示红色。此外,该策略还会在图表上显示交叉点的价格。
该策略以指数移动平均线交叉作为核心逻辑,同时结合交叉点价格在近期的相对位置,以判断趋势强度。整体而言,策略逻辑清晰,优势明显,但也存在一定局限性和风险。通过引入更多辅助判断指标,设置合理的风控措施,优化关键参数,可以进一步提升该策略的稳定性和盈利能力。
/*backtest
start: 2024-02-01 00:00:00
end: 2024-02-29 23:59:59
period: 1h
basePeriod: 15m
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/
// © ZenAndTheArtOfTrading
// @version=5
strategy("ema giao nhau", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
// Get user input
emaLength1 = input.int(title="EMA #1 Length", defval=5)
emaLength2 = input.int(title="EMA #2 Length", defval=10)
// Get MAs
ema1 = ta.ema(close, emaLength1)
ema2 = ta.ema(close, emaLength2)
// Draw MAs
plot(ema1, color=color.blue, title="EMA 1")
plot(ema2, color=color.red, title="EMA 2")
// Detect crossovers
bool crossOver = ta.crossover(ema1, ema2)
bool crossUnder = ta.crossunder(ema1, ema2)
bool cross = crossOver or crossUnder
//float crossPrice = ta.valuewhen(cross, close, 0)
float crossPrice = cross ? close : na
// Check if the crossover price is the highest price over the past 10 bars
bool highestPrice = crossOver
for i = 1 to 10
if crossPrice <= close[i]
highestPrice := false
break
// Check if the crossover price is the lowest price over the past 10 bars
bool lowestPrice = crossUnder
for i = 1 to 10
if crossPrice >= close[i]
lowestPrice := false
break
// Flag the bar if it is a high/low close
bgcolor(highestPrice ? color.new(color.green, 50) : na)
bgcolor(lowestPrice ? color.new(color.red, 50) : na)
// Display crossover price
if cross
highestEmaPrice = ema1 > ema2 ? ema1 : ema2
label myLabel = label.new(bar_index, highestEmaPrice, "CrossPrice=" + str.tostring(crossPrice), color=color.white)
if highestPrice and strategy.position_size == 0
strategy.entry(id="Buy", direction=strategy.long)
if lowestPrice and strategy.position_size == 0
strategy.entry(id="Sell", direction=strategy.short)
// Exit trades when short-term EMA is breached
if strategy.position_size > 0 and crossUnder
strategy.close("Buy")
if strategy.position_size < 0 and crossOver
strategy.close("Sell")