该策略是一个结合了多重技术指标的趋势跟踪系统,主要整合了五条不同周期的指数移动平均线(EMA)、相对强弱指标(RSI)以及两个不同周期的唐奇安通道(Donchian Channel)。系统通过多重指标的配合来捕捉市场趋势,并利用动态止损和获利目标来管理风险和收益。
策略采用多层技术指标进行信号确认:首先使用5条EMA(9、21、55、89、144周期)构建趋势框架,通过快速EMA与慢速EMA的交叉确定初步趋势方向。其次,使用RSI(14周期)作为趋势过滤器,要求RSI位于超买区(60以上)才允许做多,位于超卖区(40以下)才允许做空,这样可以避免在盘整市场中频繁交易。最后,通过21周期和74周期的唐奇安通道来确定价格波动范围,为交易提供更多的市场结构参考。
该策略通过多重技术指标的组合,构建了一个相对完整的交易系统。虽然存在一定的滞后性,但通过严格的信号过滤和风险管理,能够在趋势市场中获得稳定的收益。建议交易者在实际应用中,根据具体市场特点和自身风险承受能力,对参数进行适当调整。同时,持续监控系统表现,定期评估优化方向,确保策略始终适应市场变化。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-04 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("EMA RSI Donchian Strategy", overlay=true)
// Input parameters
fastEmaLength = input(9, title="Fast EMA Length")
midEmaLength = input(21, title="Mid EMA Length")
slowEmaLength = input(55, title="Slow EMA Length")
ema89Length = input(89, title="89 EMA Length")
ema144Length = input(144, title="144 EMA Length")
rsiPeriod = input(14, title="RSI Period")
rsiOverbought = input(60, title="RSI Overbought Level")
rsiOversold = input(40, title="RSI Oversold Level")
donchianLength1 = input(21, title="Donchian Channel Length 1")
donchianLength2 = input(74, title="Donchian Channel Length 2")
// EMA calculations
fastEma = ta.ema(close, fastEmaLength)
midEma = ta.ema(close, midEmaLength)
slowEma = ta.ema(close, slowEmaLength)
ema89 = ta.ema(close, ema89Length)
ema144 = ta.ema(close, ema144Length)
// RSI calculation
rsi = ta.rsi(close, rsiPeriod)
// Donchian Channel calculations
donchianUpper1 = ta.highest(high, donchianLength1)
donchianLower1 = ta.lowest(low, donchianLength1)
donchianUpper2 = ta.highest(high, donchianLength2)
donchianLower2 = ta.lowest(low, donchianLength2)
donchianMid1 = (donchianUpper1 + donchianLower1) / 2
donchianMid2 = (donchianUpper2 + donchianLower2) / 2
// Plot EMAs
plot(fastEma, color=color.green, linewidth=2, title="Fast EMA")
plot(midEma, color=color.blue, linewidth=2, title="Mid EMA")
plot(slowEma, color=color.orange, linewidth=2, title="Slow EMA")
plot(ema89, color=color.red, linewidth=2, title="89 EMA")
plot(ema144, color=color.purple, linewidth=2, title="144 EMA")
// Plot Donchian Channels
plot(donchianUpper1, color=color.new(color.blue, 0), title="Donchian Upper 1")
plot(donchianLower1, color=color.new(color.blue, 0), title="Donchian Lower 1")
plot(donchianMid1, color=color.new(color.blue, 80), title="Donchian Mid 1")
plot(donchianUpper2, color=color.new(color.red, 0), title="Donchian Upper 2")
plot(donchianLower2, color=color.new(color.red, 0), title="Donchian Lower 2")
plot(donchianMid2, color=color.new(color.red, 80), title="Donchian Mid 2")
// Entry Conditions
longCondition = ta.crossover(fastEma, slowEma) and rsi > rsiOverbought
shortCondition = ta.crossunder(fastEma, slowEma) and rsi < rsiOversold
// Stop Loss and Take Profit
var float longStopLoss = na
var float longTakeProfit1 = na
var float longTakeProfit2 = na
var float shortStopLoss = na
var float shortTakeProfit1 = na
var float shortTakeProfit2 = na
if longCondition
longStopLoss := high * 0.99
longTakeProfit1 := longStopLoss * 1.02618
longTakeProfit2 := longStopLoss * 1.036185
strategy.entry("Long", strategy.long)
if shortCondition
shortStopLoss := low * 1.01
shortTakeProfit1 := shortStopLoss * 0.97382
shortTakeProfit2 := shortTakeProfit1 * 0.96381
strategy.entry("Short", strategy.short)
// Exit Conditions
if not na(longStopLoss)
strategy.exit("Take Profit 1", "Long", limit=longTakeProfit1)
strategy.exit("Take Profit 2", "Long", limit=longTakeProfit2)
strategy.exit("Stop Loss", "Long", stop=longStopLoss)
if not na(shortStopLoss)
strategy.exit("Take Profit 1", "Short", limit= shortTakeProfit1)
strategy.exit("Take Profit 2", "Short", limit=shortTakeProfit2)
strategy.exit("Stop Loss", "Short", stop=shortStopLoss)
// Labels for buy and sell signals
if longCondition
label.new(bar_index, low, "Buy", color=color.green, style=label.style_label_up, textcolor=color.white)
if shortCondition
label.new(bar_index, high, "Sell", color=color.red, style=label.style_label_down, textcolor=color.white)
// Alerts
alertcondition(longCondition, title="Long Entry Alert", message="Long entry signal")
alertcondition(shortCondition, title="Short Entry Alert", message="Short entry signal")