该策略是一个基于5周期和15周期指数移动平均线(EMA)交叉的量化交易系统。通过设置合理的止损和止盈水平,在保护资金安全的同时追求稳定收益。策略采用经典的均线交叉信号来识别市场趋势变化,并结合风险管理机制来控制每笔交易的盈亏比。
策略核心是监测快速移动平均线(5周期EMA)与慢速移动平均线(15周期EMA)的交叉情况。当5周期EMA向上穿越15周期EMA时,系统产生做多信号;当5周期EMA向下穿越15周期EMA时,系统产生做空信号。对于每个交易信号,系统会自动设置1.5%的止损点位和3%的止盈点位,这种设置保证了良好的风险收益比。止损止盈的设置基于入场价格计算,可以有效地控制风险敞口。
这是一个结构完整、逻辑清晰的量化交易策略。通过均线交叉捕捉趋势转折点,配合固定止损止盈进行风险控制。策略简单易用,适合初学者入门,也为进一步优化提供了良好基础。建议交易者在实盘使用前进行充分的回测,并根据具体市场特征进行参数优化。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-26 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("5 EMA and 15 EMA Crossover with Stop Loss and Target", overlay=true)
// Define EMAs
ema5 = ta.ema(close, 5)
ema15 = ta.ema(close, 15)
// Plot EMAs on the chart
plot(ema5, title="5 EMA", color=color.blue)
plot(ema15, title="15 EMA", color=color.red)
// Crossover conditions
longCondition = ta.crossover(ema5, ema15)
shortCondition = ta.crossunder(ema5, ema15)
// Stop-loss and take-profit percentage
stopLossPercent = 1.5 // Stop-loss at 1.5%
takeProfitPercent = 3.0 // Take-profit at 3%
// Calculate stop-loss and take-profit levels for long and short positions
longStopLoss = strategy.position_avg_price * (1 - stopLossPercent / 100)
longTakeProfit = strategy.position_avg_price * (1 + takeProfitPercent / 100)
shortStopLoss = strategy.position_avg_price * (1 + stopLossPercent / 100)
shortTakeProfit = strategy.position_avg_price * (1 - takeProfitPercent / 100)
// Enter long position with stop-loss and take-profit
if (longCondition)
strategy.entry("Long", strategy.long)
strategy.exit("Take Profit/Stop Loss", "Long", stop=longStopLoss, limit=longTakeProfit)
// Enter short position with stop-loss and take-profit
if (shortCondition)
strategy.entry("Short", strategy.short)
strategy.exit("Take Profit/Stop Loss", "Short", stop=shortStopLoss, limit=shortTakeProfit)
// Plot stop-loss and take-profit levels
plot(longStopLoss, title="Long Stop Loss", color=color.red, linewidth=1, style=plot.style_linebr)
plot(longTakeProfit, title="Long Take Profit", color=color.green, linewidth=1, style=plot.style_linebr)
plot(shortStopLoss, title="Short Stop Loss", color=color.red, linewidth=1, style=plot.style_linebr)
plot(shortTakeProfit, title="Short Take Profit", color=color.green, linewidth=1, style=plot.style_linebr)