该策略基于MACD(移动平均线聚散)指标的零滞后版本,通过快速响应价格变化,捕捉短期趋势,实现高频交易。策略使用两条不同周期的移动平均线(快线和慢线)构建MACD指标,并引入零滞后算法,消除指标与价格的延迟,提高信号的及时性。同时,使用信号线与MACD线的交叉作为买卖信号,并设置警报,方便交易者及时把握交易机会。
MACD双转换零滞后交易策略通过快速响应价格变化,捕捉短期趋势,实现高频交易。零滞后算法和双重移动平均线的设计提高了信号的及时性和准确性。策略具有一定的优势,如信号直观、操作便捷等,但同时也存在过度交易、参数敏感等风险。未来可以通过引入趋势确认指标、参数优化、多因子模型等方式对策略进行优化,提高策略的稳健性和收益水平。
/*backtest
start: 2024-04-23 00:00:00
end: 2024-05-23 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("BNM INTRADAY SETUP MACD 3M - Version 1.2", shorttitle="Zero Lag MACD Enhanced 1.2")
source = close
fastLength = input(12, title="Fast MM period", minval=1)
slowLength = input(26,title="Slow MM period", minval=1)
signalLength =input(9,title="Signal MM period", minval=1)
useEma = input(true, title="Use EMA (otherwise SMA)")
useOldAlgo = input(false, title="Use Glaz algo (otherwise 'real' original zero lag)")
showDots = input(true, title="Show symbols to indicate crossing")
dotsDistance = input(1.5, title="Symbols distance factor", minval=0.1)
// Fast line
ma1 = useEma ? ema(source, fastLength) : sma(source, fastLength)
ma2 = useEma ? ema(ma1, fastLength) : sma(ma1, fastLength)
zerolagEMA = ((2 * ma1) - ma2)
// Slow line
mas1 = useEma ? ema(source, slowLength) : sma(source, slowLength)
mas2 = useEma ? ema(mas1, slowLength) : sma(mas1, slowLength)
zerolagslowMA = ((2 * mas1) - mas2)
// MACD line
ZeroLagMACD = zerolagEMA - zerolagslowMA
// Signal line
emasig1 = ema(ZeroLagMACD, signalLength)
emasig2 = ema(emasig1, signalLength)
signal = useOldAlgo ? sma(ZeroLagMACD, signalLength) : (2 * emasig1) - emasig2
hist = ZeroLagMACD - signal
upHist = (hist > 0) ? hist : 0
downHist = (hist <= 0) ? hist : 0
p1 = plot(upHist, color=color.blue, transp=40, style=plot.style_columns, title='Positive delta')
p2 = plot(downHist, color=color.red, transp=40, style=plot.style_columns, title='Negative delta')
zeroLine = plot(ZeroLagMACD, color=color.red, transp=0, linewidth=2, title='MACD line')
signalLine = plot(signal, color=color.blue, transp=0, linewidth=2, title='Signal')
ribbonDiff = hist > 0 ? color.blue : color.red
fill(zeroLine, signalLine, color=ribbonDiff)
circleYPosition = signal * dotsDistance
ribbonDiff2 = hist > 0 ? color.blue : color.red
// Generate dots for cross signals
plot(showDots and cross(ZeroLagMACD, signal) ? circleYPosition : na, style=plot.style_circles, linewidth=4, color=ribbonDiff2, title='Dots')
// Alerts for buy and sell signals
buySignal = cross(ZeroLagMACD, signal) and (ribbonDiff2 == color.blue) and (ZeroLagMACD < 0)
sellSignal = cross(ZeroLagMACD, signal) and (ribbonDiff2 == color.red) and (ZeroLagMACD > 0)
// Use 'strategy.entry' for placing orders in strategy context
if (buySignal)
strategy.entry("Buy", strategy.long)
alert("Buy Signal: Blue dot below zero line", alert.freq_once_per_bar_close)
if (sellSignal)
strategy.entry("Sell", strategy.short)
alert("Sell Signal: Red dot above zero line", alert.freq_once_per_bar_close)