该策略是一个双时间尺度动量策略。它通过在高级别时间周期上使用简单移动平均线(SMA)来判断趋势方向,在低级别时间周期上使用枢轴点(PivotLow和PivotHigh)来识别反转点。当高级别时间周期呈现上升趋势且低级别时间周期出现看涨枢轴点时开多,当高级别时间周期呈现下降趋势且低级别时间周期出现看跌枢轴点时开空。
该策略的主要原理是高级别时间周期的趋势方向会影响低级别时间周期的走势。当高级别时间周期呈现上升趋势时,低级别时间周期的回调更可能是买入机会;当高级别时间周期呈现下降趋势时,低级别时间周期的反弹更可能是做空机会。该策略利用简单移动平均线(SMA)来判断高级别时间周期的趋势方向,利用枢轴点(PivotLow和PivotHigh)来识别低级别时间周期的反转点。
该双时间尺度动量策略利用了高低级别时间周期之间的联系,通过在高级别时间周期判断趋势方向,在低级别时间周期捕捉反转点,以此实现趋势跟随和反转交易。该策略逻辑清晰,优势明显,但同时也存在一些风险。未来可以从趋势变化判断、参数优化、风险控制、多因子融合等方面对该策略进行优化,以提高其适应性和稳健性。
/*backtest
start: 2023-04-19 00:00:00
end: 2024-04-24 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Riester
//@version=5
strategy("Dual Timeframe Momentum", overlay=true, precision=6, pyramiding=0, initial_capital=1000, default_qty_type=strategy.percent_of_equity, default_qty_value=25.0, commission_value=0.05)
n = input.int(20, "Moving Average Period", minval=1)
src = input.source(close, "Source")
high_tf = input.timeframe("240", "Resolution")
pivot_l = input.int(5, "Pivot Let Bars")
pivot_r = input.int(2, "Pivot Right Bars")
//-----------------------------------------------------------------------------------------------------------------------------------------------------------------
// Calculations
//-----------------------------------------------------------------------------------------------------------------------------------------------------------------
// 1. Define low and high timeframe prices
low_src = src
high_src = request.security(syminfo.tickerid, high_tf, src)
// 2. Use simple moving average to determine trend of higher timeframe (up or down)
high_tf_ma = ta.sma(high_src, n)
plot(high_tf_ma, color=color.yellow)
high_tf_trend = high_tf_ma > high_tf_ma[1] ? 1 : -1
// 3. Use pivots to identify reversals on the low timeframe
low_tf_pl = ta.pivotlow(high_src, pivot_l, pivot_r)
plot(low_tf_pl, style=plot.style_line, linewidth=3, color= color.green, offset=-pivot_r)
low_tf_ph = ta.pivothigh(high_src, pivot_l, pivot_r)
plot(low_tf_ph, style=plot.style_line, linewidth=3, color= color.red, offset=-pivot_r)
bool long = low_tf_pl and high_tf_trend == 1
bool short = low_tf_ph and high_tf_trend == -1
//-----------------------------------------------------------------------------------------------------------------------------------------------------------------
// Plots
//-----------------------------------------------------------------------------------------------------------------------------------------------------------------
// this message is an alert that can be sent to a webhook, which allows for simple automation if you have a server that listens to alerts and trades programmatically.
enter_long_alert = '{"side": "Long", "order": "Enter", "price": ' + str.tostring(open) + ', "timestamp": ' + str.tostring(timenow) + '}'
exit_long_alert = '{"side": "Long", "order": "Exit", "price": ' + str.tostring(open) + ', "timestamp": ' + str.tostring(timenow) + '}'
if long
strategy.entry(id="Long", direction=strategy.long, limit=open, alert_message=enter_long_alert)
if short
strategy.close(id="Long", comment="Close Long", alert_message=exit_long_alert)