这是一个结合了多周期均线趋势跟踪和动量分析的量化交易策略。策略主要通过分析20、50、100和200日指数移动平均线(EMA)的排列组合,结合日线和周线的动量指标进行交易。策略采用ATR止损方式,在EMA对齐且动量条件满足时入场,通过设定ATR倍数的止损和获利目标来管理风险。
策略的核心逻辑包括以下几个关键部分: 1. EMA对齐系统:要求20日EMA位于50日EMA之上,50日EMA位于100日EMA之上,100日EMA位于200日EMA之上,形成完美的多头排列。 2. 动量确认系统:分别在日线和周线时间周期计算基于线性回归的自定义动量指标。该动量指标通过对价格与Keltner通道中轴的偏离程度进行线性回归来衡量。 3. 回调入场系统:价格需要回调到20日EMA的指定百分比范围内才允许入场,避免追高。 4. 风险管理系统:使用ATR的倍数设置止损和获利目标,默认止损为1.5倍ATR,获利目标为3倍ATR。
这是一个设计合理、逻辑严谨的趋势跟踪策略。通过多重技术指标的配合使用,既保证了策略的稳健性,又提供了良好的风险管理机制。策略的可定制性强,可以根据不同市场特点进行优化。虽然存在一些固有的风险,但通过建议的优化方向可以进一步提升策略的表现。总的来说,这是一个值得尝试和深入研究的量化交易策略。
/*backtest
start: 2024-10-01 00:00:00
end: 2024-10-31 23:59:59
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Swing Trading with EMA Alignment and Custom Momentum", overlay=true)
// User inputs for customization
atrLength = input.int(14, title="ATR Length", minval=1)
atrMultiplierSL = input.float(1.5, title="Stop-Loss Multiplier (ATR)", minval=0.1) // Stop-loss at 1.5x ATR
atrMultiplierTP = input.float(3.0, title="Take-Profit Multiplier (ATR)", minval=0.1) // Take-profit at 3x ATR
pullbackRangePercent = input.float(1.0, title="Pullback Range (%)", minval=0.1) // 1% range for pullback around 20 EMA
lengthKC = input.int(20, title="Length for Keltner Channels (Momentum Calculation)", minval=1)
// EMA settings
ema20 = ta.ema(close, 20)
ema50 = ta.ema(close, 50)
ema100 = ta.ema(close, 100)
ema200 = ta.ema(close, 200)
// ATR calculation
atrValue = ta.atr(atrLength)
// Custom Momentum Calculation based on Linear Regression for Daily Timeframe
highestHighKC = ta.highest(high, lengthKC)
lowestLowKC = ta.lowest(low, lengthKC)
smaCloseKC = ta.sma(close, lengthKC)
// Manually calculate the average of highest high and lowest low
averageKC = (highestHighKC + lowestLowKC) / 2
// Calculate daily momentum using linear regression
dailyMomentum = ta.linreg(close - (averageKC + smaCloseKC) / 2, lengthKC, 0) // Custom daily momentum calculation
// Fetch weekly data for momentum calculation using request.security()
[weeklyHigh, weeklyLow, weeklyClose] = request.security(syminfo.tickerid, "W", [high, low, close])
// Calculate weekly momentum using linear regression on weekly timeframe
weeklyHighestHighKC = ta.highest(weeklyHigh, lengthKC)
weeklyLowestLowKC = ta.lowest(weeklyLow, lengthKC)
weeklySmaCloseKC = ta.sma(weeklyClose, lengthKC)
weeklyAverageKC = (weeklyHighestHighKC + weeklyLowestLowKC) / 2
weeklyMomentum = ta.linreg(weeklyClose - (weeklyAverageKC + weeklySmaCloseKC) / 2, lengthKC, 0) // Custom weekly momentum calculation
// EMA alignment condition (20 EMA > 50 EMA > 100 EMA > 200 EMA)
emaAligned = ema20 > ema50 and ema50 > ema100 and ema100 > ema200
// Momentum increasing condition (daily and weekly momentum is positive and increasing)
dailyMomentumIncreasing = dailyMomentum > 0 and dailyMomentum > dailyMomentum[1] //and dailyMomentum[1] > dailyMomentum[2]
weeklyMomentumIncreasing = weeklyMomentum > 0 and weeklyMomentum > weeklyMomentum[1] //and weeklyMomentum[1] > weeklyMomentum[2]
// Redefine Pullback condition: price within 1% range of the 20 EMA
upperPullbackRange = ema20 * (1 + pullbackRangePercent / 100)
lowerPullbackRange = ema20 * (1 - pullbackRangePercent / 100)
pullbackToEma20 = (close <= upperPullbackRange) and (close >= lowerPullbackRange)
// Entry condition: EMA alignment and momentum increasing on both daily and weekly timeframes
longCondition = emaAligned and dailyMomentumIncreasing and weeklyMomentumIncreasing and pullbackToEma20
// Initialize stop loss and take profit levels as float variables
var float longStopLevel = na
var float longTakeProfitLevel = na
// Calculate stop loss and take profit levels based on ATR
if (longCondition)
longStopLevel := close - (atrMultiplierSL * atrValue) // Stop loss at 1.5x ATR below the entry price
longTakeProfitLevel := close + (atrMultiplierTP * atrValue) // Take profit at 3x ATR above the entry price
// Strategy execution
if (longCondition)
strategy.entry("Long", strategy.long)
// Exit conditions: Stop-loss at 1.5x ATR and take-profit at 3x ATR
if (strategy.position_size > 0)
strategy.exit("Take Profit/Stop Loss", "Long", stop=longStopLevel, limit=longTakeProfitLevel)