本策略是一个基于指数移动平均线(EMA)的创新性交易系统,通过在不同时间周期设置两条独立的交易链条来捕捉市场机会。策略整合了长期趋势跟踪和短期动量交易的优势,通过在周线、日线、12小时和9小时等多个时间周期上的EMA交叉来产生交易信号,实现了对市场多维度的分析和把握。
策略采用双链条设计,每个链条都有其独特的进出场逻辑:
链条1(长期趋势)采用周线和日线周期: - 入场信号:当收盘价在周线周期上穿EMA时产生做多信号 - 出场信号:当收盘价在日线周期下穿EMA时产生平仓信号 - 默认EMA周期为10,可根据需要调整
链条2(短期动量)采用12小时和9小时周期: - 入场信号:当收盘价在12小时周期上穿EMA时产生做多信号 - 出场信号:当收盘价在9小时周期下穿EMA时产生平仓信号 - 默认EMA周期为9,可根据需要调整
风险控制建议: - 设置合理的止损位 - 根据市场特征调整参数 - 实盘前进行充分的回测验证 - 控制每次交易的资金比例
双重链条混合动量均线跟踪交易系统通过创新性地结合长短期均线策略,实现了对市场的多维度分析和把握。系统设计灵活,可根据不同市场状况和交易者风格进行调整,具有较强的实用性。通过合理的风险控制和持续优化,该策略有望在实际交易中取得稳定收益。建议交易者在实盘使用前,充分进行回测验证和参数优化,以达到最佳交易效果。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-28 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title='Dual Chain Strategy', shorttitle='DualChain', overlay=true)
// User inputs for enabling/disabling chains
enableChain1 = input.bool(true, title='Enable Chain 1')
enableChain2 = input.bool(true, title='Enable Chain 2')
// User inputs for the first chain
len1 = input.int(10, minval=1, title='Length Chain 1 EMA', group="Chain 1")
src1 = input(close, title='Source Chain 1', group="Chain 1")
tf1_entry = input.timeframe("W", title='Chain 1 Entry Timeframe', group="Chain 1")
tf1_exit = input.timeframe("D", title='Chain 1 Exit Timeframe', group="Chain 1")
// Weekly timeframe EMA for Chain 1
entryEMA1 = request.security(syminfo.tickerid, tf1_entry, ta.ema(src1, len1))
// Daily timeframe EMA for Chain 1
exitEMA1 = request.security(syminfo.tickerid, tf1_exit, ta.ema(src1, len1))
// User inputs for the second chain
len2 = input.int(9, minval=1, title='Length Chain 2 EMA', group="Chain 2")
src2 = input(close, title='Source Chain 2', group="Chain 2")
tf2_entry = input.timeframe("720", title='Chain 2 Entry Timeframe (12H)', group="Chain 2") // 12 hours
tf2_exit = input.timeframe("540", title='Chain 2 Exit Timeframe (9H)', group="Chain 2") // 9 hours
// Entry timeframe EMA for Chain 2
entryEMA2 = request.security(syminfo.tickerid, tf2_entry, ta.ema(src2, len2))
// Exit timeframe EMA for Chain 2
exitEMA2 = request.security(syminfo.tickerid, tf2_exit, ta.ema(src2, len2))
// Plotting Chain 1 EMAs
plot(enableChain1 ? entryEMA1 : na, title='Chain 1 Entry EMA', color=color.new(color.blue, 0))
plot(enableChain1 ? exitEMA1 : na, title='Chain 1 Exit EMA', color=color.new(color.yellow, 0))
// Plotting Chain 2 EMAs
plot(enableChain2 ? entryEMA2 : na, title='Chain 2 Entry EMA', color=color.new(color.green, 0))
plot(enableChain2 ? exitEMA2 : na, title='Chain 2 Exit EMA', color=color.new(color.red, 0))
// Backtesting period
startDate = input(timestamp('2015-07-27'), title="StartDate")
finishDate = input(timestamp('2026-01-01'), title="FinishDate")
time_cond = true
// Entry Condition (Chain 1)
bullishChain1 = enableChain1 and ta.crossover(src1, entryEMA1)
bearishChain1 = enableChain1 and ta.crossunder(src1, entryEMA1)
// Exit Condition (Chain 1)
exitLongChain1 = enableChain1 and ta.crossunder(src1, exitEMA1)
exitShortChain1 = enableChain1 and ta.crossover(src1, exitEMA1)
// Entry Condition (Chain 2)
bullishChain2 = enableChain2 and ta.crossover(src2, entryEMA2)
bearishChain2 = enableChain2 and ta.crossunder(src2, entryEMA2)
// Exit Condition (Chain 2)
exitLongChain2 = enableChain2 and ta.crossunder(src2, exitEMA2)
exitShortChain2 = enableChain2 and ta.crossover(src2, exitEMA2)
// Debugging: Plot entry signals for Chain 1
plotshape(bullishChain1, color=color.new(color.green, 0), style=shape.labelup, text='BUY C1', location=location.belowbar)
plotshape(bearishChain1, color=color.new(color.red, 0), style=shape.labeldown, text='SELL C1', location=location.abovebar)
// Debugging: Plot entry signals for Chain 2
plotshape(bullishChain2, color=color.new(color.green, 0), style=shape.labelup, text='BUY C2', location=location.belowbar)
plotshape(bearishChain2, color=color.new(color.red, 0), style=shape.labeldown, text='SELL C2', location=location.abovebar)
// Trade Execution for Chain 1
if bullishChain1 and time_cond
strategy.entry('BUY_Chain_1', strategy.long)
if bearishChain1 and time_cond
strategy.entry('SELL_Chain_1', strategy.short)
// Exit trades based on daily conditions for Chain 1
if exitLongChain1 and strategy.opentrades > 0
strategy.close(id='BUY_Chain_1', when=exitLongChain1)
if exitShortChain1 and strategy.opentrades > 0
strategy.close(id='SELL_Chain_1', when=exitShortChain1)
// Trade Execution for Chain 2
if bullishChain2 and time_cond
strategy.entry('BUY_Chain_2', strategy.long)
if bearishChain2 and time_cond
strategy.entry('SELL_Chain_2', strategy.short)
// Exit trades based on daily conditions for Chain 2
if exitLongChain2 and strategy.opentrades > 0
strategy.close(id='BUY_Chain_2', when=exitLongChain2)
if exitShortChain2 and strategy.opentrades > 0
strategy.close(id='SELL_Chain_2', when=exitShortChain2)
// Close all positions outside the backtesting period
if not time_cond
strategy.close_all()