该策略采用了均线交叉和MACD指标作为主要的交易信号。策略以快速均线与多条慢速均线的交叉作为开仓信号,同时结合MACD慢线柱状图的正负作为趋势判断依据。策略在开仓同时设置了多级止盈和止损,并随着持仓时间的增加不断修改止损位置以锁定利润。
该策略利用均线交叉捕捉趋势,同时用MACD指标进行方向确认,增强趋势判断的可靠性。多级止盈止损的设置能够更好地控制风险和利润。
这些风险可以通过优化参数、调整仓位、设置额外条件等方式来控制。但任何策略都无法完全规避风险,需要投资者审慎对待。
通过不断的优化和改进,可以使策略更加稳健和可靠,更好地适应多变的市场环境。但优化需谨慎,避免过度拟合。
该策略通过均线交叉和MACD指标相结合,构建了一个相对完整的交易系统。多级均线和多头操作的设计增强了系统的趋势捕捉能力和风险控制能力。策略逻辑清晰,便于理解和实现,适合进一步优化和改进。但在实际应用中仍需谨慎,注意控制风险。通过合理的优化和配置,该策略有望成为稳健有效的交易工具。
/*backtest
start: 2023-04-06 00:00:00
end: 2024-04-11 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/
// © maxmirus
//@version=5
strategy("My strategy_Cross_SMA(EMA)+Macd,slow3",overlay=true)
// ver 4
// Date Inputs
startDate = input(timestamp('2019-01-01T00:00:00+0300'), '' , inline='time1',
tooltip=' Время первого бара расчета стратегии. Первый ордер может быть выставлен на следующем баре после стартового.')
finishDate = input(timestamp('2044-01-01T00:00:00+0300'), '' , inline='time2',
tooltip=' Время после которого больше не будут размещаться ордера входа в позицию.')
// Calculate start/end date and time condition
time_cond = true
//SMA(EMA) Inputs
fast=input.int(12, title="Fastlength",group="MA")
slow1=input.int(54,title="Slowlength1",group="MA")
slow2=input.int(100, title="Slowlength2",group="MA")
slow3=input.int(365, title="Slowlength3",group="MA")
fastma=input.string(title="Fastlength", defval="EMA",options=["SMA","EMA"],group="MA")
slowma1=input.string(title="Slowlength1", defval="EMA",options=["SMA","EMA"],group="MA")
slowma2=input.string(title="Slowlength2", defval="EMA",options=["SMA","EMA"],group="MA")
slowma3=input.string(title="Slowlength3", defval="EMA",options=["SMA","EMA"],group="MA")
fastlength = fastma == "EMA" ? ta.ema(close, fast) : ta.sma(close, fast)
slowlength1 = slowma1 == "EMA" ? ta.ema(close, slow1) : ta.sma(close, slow1)
slowlength2 = slowma2 == "EMA" ? ta.ema(close, slow2) : ta.sma(close, slow2)
slowlength3 = slowma3 == "EMA" ? ta.ema(close, slow3) : ta.sma(close, slow3)
//Macd Inputs
macdfastline = input.int(12, title="FastMacd",group="MACD")
macdslowline = input.int(26,title="SlowMacd",group="MACD")
macdhistline = input.int(9,title="HistMacd",group="MACD")
src=input(defval=close,title="Source",group="MACD")
sma_source = input.string(title="Oscillator MA Type", defval="EMA", options=["SMA", "EMA"],group="MACD")
sma_signal = input.string(title="Signal Line MA Type", defval="EMA", options=["SMA", "EMA"],group="MACD")
fast_ma = sma_source == "SMA" ? ta.sma(src, macdfastline) : ta.ema(src, macdfastline)
slow_ma = sma_source == "SMA" ? ta.sma(src, macdslowline) : ta.ema(src, macdslowline)
macd = fast_ma - slow_ma
signal = sma_signal == "SMA" ? ta.sma(macd, macdhistline) : ta.ema(macd, macdhistline)
hist = macd - signal
//fastMACD = ta.ema(close, macdline) - ta.ema(close, signalline)
//signalMACD = ta.ema(MACD, histline)
//histMACD = MACD - aMACD
//EMA Plot
plot(fastlength,title="SMAfast",color=color.blue)
plot(slowlength1,title="SMAslow1",color=color.orange)
plot(slowlength2,title="SMAslow2",color=color.red)
plot(slowlength3,title="SMAslow3",color=color.black)
//Macd plot
//col_macd = input(#2962FF, "MACD Line ", group="Color Settings", inline="MACD")
//col_signal = input(#FF6D00, "Signal Line ", group="Color Settings", inline="Signal")
//col_grow_above = input(#26A69A, "Above Grow", group="Histogram", inline="Above")
//col_fall_above = input(#B2DFDB, "Fall", group="Histogram", inline="Above")
//col_grow_below = input(#FFCDD2, "Below Grow", group="Histogram", inline="Below")
//col_fall_below = input(#FF5252, "Fall", group="Histogram", inline="Below")
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below)))
//plot(macd, title="MACD", color=col_macd)
//plot(signal, title="Signal", color=col_signal)
//Take profit
tp1=input.float(5.1,title="Take Profit1_%",step=0.1)/100
tp2=input.float(10.1,title="Take Profit2_%",step=0.1)/100
//Stop loss
sl1=input.float(5.1,title="Stop loss1_%",step=0.1)/100
sl2=input.float(0.1,title="Stop loss2_%",step=0.1)/100
sl3=input.float(-5.5,title="Stop loss3_%", step=0.1)/100
//Qty closing position
Qty1 = input.float(0.5, title="QtyClosingPosition1",step=0.01)
Qty2 = input.float(0.25, title="QtyClosingPosition2",step=0.01)
//Take profit Long and Short
LongTake1=strategy.position_avg_price*(1+tp1)
LongTake2=strategy.position_avg_price*(1+tp2)
ShortTake1=strategy.position_avg_price*(1-tp1)
ShortTake2=strategy.position_avg_price*(1-tp2)
//Plot Levels Take
plot(strategy.position_size > 0 ? LongTake1 : na,color=color.green,style=plot.style_linebr)
plot(strategy.position_size > 0 ? LongTake2 : na,color=color.green,style=plot.style_linebr)
plot(strategy.position_size < 0 ? ShortTake1 : na,color=color.green,style=plot.style_linebr)
plot(strategy.position_size < 0 ? ShortTake2 : na,color=color.green,style=plot.style_linebr)
//Stop loss long and short
LongStop1=strategy.position_avg_price*(1-sl1)
LongStop2=strategy.position_avg_price*(1-sl2)
LongStop3=strategy.position_avg_price*(1-sl3)
ShortStop1=strategy.position_avg_price*(1+sl1)
ShortStop2=strategy.position_avg_price*(1+sl2)
ShortStop3=strategy.position_avg_price*(1+sl3)
//Stop=strategy.position_avg_price
//Plot Levels Stop
plot(strategy.position_size > 0 ? LongStop1 : na,color=color.red,style=plot.style_linebr)
plot(strategy.position_size > 0 ? LongStop2 : na,color=color.red,style=plot.style_linebr)
plot(strategy.position_size > 0 ? LongStop3 : na,color=color.red,style=plot.style_linebr)
plot(strategy.position_size < 0 ? ShortStop1 : na,color=color.red,style=plot.style_linebr)
plot(strategy.position_size < 0 ? ShortStop2 : na,color=color.red,style=plot.style_linebr)
plot(strategy.position_size < 0 ? ShortStop3 : na,color=color.red,style=plot.style_linebr)
//Entry condition
LongCondition1 = ta.crossover(fastlength, slowlength1)
LongCondition2 = close>slowlength2
LongCondition3 = time_cond
LongCondition4=close>slowlength3
//LongCondition5=slowlength100>slowlength3
LongCondition6 = hist > 0
buy=(LongCondition1 and LongCondition2 and LongCondition3 and LongCondition4 and LongCondition6 ) and strategy.position_size<=0
//longCondition3 = nz(strategy.position_size) == 0//если отсутствует открытая позиция
ShortCondition1 = ta.crossunder(fastlength, slowlength1)
ShortCondition2 = close<slowlength2
ShortCondition3 = time_cond
ShortCondition4=close<slowlength3
//ShortCondition5=slowlength100<slowlength3
ShortCondition6=hist < 0
sell=(ShortCondition1 and ShortCondition2 and ShortCondition3 and ShortCondition4 and ShortCondition6 ) and strategy.position_size>=0
//Strategy entry
strategy.cancel_all(not strategy.position_size)
if(buy)
strategy.cancel_all()
strategy.entry("Buy",strategy.long)
if(sell)
strategy.cancel_all()
strategy.entry("Sell",strategy.short)
//Strategy Long exit
var int exitCounter=0
exitCounter := not strategy.position_size or strategy.position_size > 0 and strategy.position_size[1] < 0 or strategy.position_size < 0 and strategy.position_size[1] > 0 ? 0:
strategy.position_size > 0 and strategy.position_size[1]>strategy.position_size? exitCounter[1] + 1:
strategy.position_size < 0 and strategy.position_size[1]<strategy.position_size? exitCounter[1] - 1:
exitCounter[1]
if strategy.position_size > 0 and strategy.position_size[1]<=0
strategy.order("Take Long1",strategy.short, qty=math.abs(strategy.position_size*Qty1), limit=LongTake1, oca_name='Long1', oca_type=strategy.oca.cancel)
if strategy.position_size > 0 and strategy.position_size[1]<=0
strategy.order("Take Long2",strategy.short, qty=math.abs(strategy.position_size*Qty2), limit=LongTake2, oca_name='Long2', oca_type=strategy.oca.cancel)
if strategy.position_size > 0 and strategy.position_size[1]<=0
strategy.order("Stop Long1",strategy.short, qty=math.abs(strategy.position_size),stop=LongStop1,oca_name='Long1',oca_type=strategy.oca.cancel)
if ta.change(exitCounter) and exitCounter==1
strategy.order("Stop Long2",strategy.short, qty=math.abs(strategy.position_size),stop=LongStop2,oca_name='Long2',oca_type=strategy.oca.cancel)
if ta.change(exitCounter) and exitCounter==2
strategy.order("Stop Long3",strategy.short, qty=math.abs(strategy.position_size),stop=LongStop3)
// Strategy Short exit
if strategy.position_size < 0 and strategy.position_size[1]>=0
strategy.order("Take Short1", strategy.long, qty=math.abs(strategy.position_size*Qty1), limit=ShortTake1, oca_name='Short1', oca_type=strategy.oca.cancel)
if strategy.position_size < 0 and strategy.position_size[1]>=0
strategy.order("Take Short2", strategy.long, qty=math.abs(strategy.position_size*Qty2), limit=ShortTake2, oca_name='Short2', oca_type=strategy.oca.cancel)
if strategy.position_size < 0 and strategy.position_size[1]>=0
strategy.order("Stop Short1",strategy.long, qty=math.abs(strategy.position_size),stop=ShortStop1,oca_name='Short1',oca_type=strategy.oca.cancel)
if ta.change(exitCounter) and exitCounter==-1
strategy.order("Stop Short2",strategy.long, qty=math.abs(strategy.position_size),stop=ShortStop2,oca_name='Short2',oca_type=strategy.oca.cancel)
if ta.change(exitCounter) and exitCounter==-2
strategy.order("Stop Short3",strategy.long,qty=math.abs(strategy.position_size),stop=ShortStop3)