该策略是一个结合动量和均值回归理论的混合交易系统。它通过价格变化率(ROC)指标和布林带(Bollinger Bands)来识别市场的超买和超卖状态,在特定阈值交叉时触发交易信号。策略的核心是通过检测动量转换点并利用价格向均值回归的特性来获取收益。
策略采用2周期ROC指标计算短期价格变化,同时使用两组不同参数的布林带:短期布林带(18周期,1.7标准差)用于判断超卖条件和入场信号,长期布林带(21周期,2.1标准差)用于判断超买条件和出场信号。当ROC向上穿越下布林带时,表明价格动量由弱转强,系统开仓做多;当ROC向下穿越上布林带时,表明动量减弱,系统平仓出场。策略还通过背景颜色标注超买超卖区域,绿色表示超卖(可能上涨),红色表示超买(可能下跌)。
自适应动量均值回归交叉策略通过结合ROC指标和双重布林带,构建了一个能够适应不同市场环境的交易系统。策略在保持灵活性的同时也注重风险控制,具有较好的实用价值。通过持续优化和改进,该策略有望在实际交易中取得更好的表现。
/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-08 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=6
strategy("Adaptive Momentum Reversion Strategy ", overlay=false, initial_capital=50000, pyramiding=0, commission_type=strategy.commission.cash_per_contract, commission_value=0.05, slippage=1)
// Input: ROC Period
rocPeriod = input.int(2, title="ROC Period", minval=1)
// Input: Bollinger Bands Settings (Lower Band)
bbLowerLength = input.int(18, title="Lower Bollinger Band Length", minval=1)
bbLowerStdDev = input.float(1.7, title="Lower Bollinger Band StdDev", minval=0.1, step=0.1)
// Input: Bollinger Bands Settings (Upper Band)
bbUpperLength = input.int(21, title="Upper Bollinger Band Length", minval=1)
bbUpperStdDev = input.float(2.1, title="Upper Bollinger Band StdDev", minval=0.1, step=0.1)
// ROC Calculation
rocValue = (close - close[rocPeriod]) / close[rocPeriod] * 100
// Bollinger Bands Calculation
bbLowerBasis = ta.sma(rocValue, bbLowerLength) // Basis for Lower Band
bbLower = bbLowerBasis - bbLowerStdDev * ta.stdev(rocValue, bbLowerLength) // Lower Band
bbUpperBasis = ta.sma(rocValue, bbUpperLength) // Basis for Upper Band
bbUpper = bbUpperBasis + bbUpperStdDev * ta.stdev(rocValue, bbUpperLength) // Upper Band
// Plot ROC
plot(rocValue, color=color.blue, linewidth=2, title="ROC Value")
// Plot Bollinger Bands
plot(bbLowerBasis, color=color.gray, linewidth=1, title="Lower BB Basis (SMA)")
plot(bbLower, color=color.green, linewidth=1, title="Lower Bollinger Band")
plot(bbUpperBasis, color=color.gray, linewidth=1, title="Upper BB Basis (SMA)")
plot(bbUpper, color=color.red, linewidth=1, title="Upper Bollinger Band")
// Add Zero Line for Reference
hline(0, "Zero Line", color=color.gray, linestyle=hline.style_dotted)
// Entry Condition: Long when ROC crosses above the lower Bollinger Band
longCondition = ta.crossover(rocValue, bbLower)
if (longCondition)
strategy.entry("Long", strategy.long)
// Exit Condition: Exit on Upper Bollinger Band Cross or ROC drops below Lower Band again
exitCondition = ta.crossunder(rocValue, bbUpper)
if (exitCondition)
strategy.close("Long")
// Background Color for Extreme Conditions
bgcolor(rocValue > bbUpper ? color.new(color.red, 80) : na, title="Overbought (ROC above Upper BB)")
bgcolor(rocValue < bbLower ? color.new(color.green, 80) : na, title="Oversold (ROC below Lower BB)")