ChaoZhang
概述
该策略是一个基于多重平滑移动平均线的趋势跟踪系统,通过三重平滑处理来过滤市场噪音,同时结合RSI动量指标、ATR波动率指标和200周期EMA趋势过滤器来确认交易信号。策略采用1小时时间周期,这个时间框架能够有效平衡交易频率和趋势可靠性,同时与机构交易行为相匹配。
策略原理
策略的核心是通过对价格进行三次平滑处理来构建主要趋势线,并使用较短周期的信号线与之交叉产生交易信号。交易信号需要同时满足以下条件才会执行: 1. 价格位置与200EMA的关系确认主趋势方向 2. RSI指标位置确认动量 3. ATR指标确认足够的波动性 4. 信号线与三重平滑均线的交叉确认具体入场点 止损采用基于ATR的动态止损,止盈采用2倍ATR设置,确保良好的风险收益比。
策略优势
- 三重平滑处理显著降低了虚假信号,提高了趋势判断的可靠性
- 多重确认机制确保交易方向与主要趋势保持一致
- 动态的止损和止盈设置适应不同的市场波动环境
- 策略在1小时周期上运行,能够有效避免更低时间周期的震荡
- 无重绘特性保证了回测结果的可靠性
策略风险
- 在横盘市场可能产生连续的小幅亏损
- 多重确认机制可能导致错过一些交易机会
- 信号滞后性可能影响入场点位的优化程度
- 需要足够的波动率才能产生有效信号
- 在极端市场环境下动态止损可能不够及时
策略优化方向
- 可以增加成交量指标作为辅助确认
- 考虑引入自适应的参数优化机制
- 可以增加趋势强度的量化判断
- 优化止损止盈的倍数设置
- 考虑加入震荡指标以优化横盘市场表现
总结
这是一个结构完整、逻辑严密的趋势跟踪策略。通过多重平滑处理和多重确认机制,有效地提高了交易信号的可靠性。动态的风险管理机制使其具有良好的适应性。虽然存在一定的滞后性,但通过参数优化和增加辅助指标,策略仍有较大的改进空间。
策略源码
/*backtest
start: 2024-12-17 00:00:00
end: 2025-01-16 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/
//@version=6
strategy("Optimized Triple Smoothed MA Crossover Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=200)
// === Input Settings ===
slength = input.int(7, "Main Smoothing Length", group="Moving Average Settings")
siglen = input.int(12, "Signal Length", group="Moving Average Settings")
src = input.source(close, "Data Source", group="Moving Average Settings")
mat = input.string("EMA", "Triple Smoothed MA Type", ["EMA", "SMA", "RMA", "WMA"], group="Moving Average Settings")
mat1 = input.string("EMA", "Signal Type", ["EMA", "SMA", "RMA", "WMA"], group="Moving Average Settings")
// === Trend Confirmation (Higher Timeframe Filter) ===
useTrendFilter = input.bool(true, "Enable Trend Filter (200 EMA)", group="Trend Confirmation")
trendMA = ta.ema(close, 200)
// === Momentum Filter (RSI Confirmation) ===
useRSIFilter = input.bool(true, "Enable RSI Confirmation", group="Momentum Confirmation")
rsi = ta.rsi(close, 14)
rsiThreshold = input.int(50, "RSI Threshold", group="Momentum Confirmation")
// === Volatility Filter (ATR) ===
useATRFilter = input.bool(true, "Enable ATR Filter", group="Volatility Filtering")
atr = ta.atr(14)
atrMa = ta.sma(atr, 14)
// === Risk Management (ATR-Based Stop Loss) ===
useAdaptiveSL = input.bool(true, "Use ATR-Based Stop Loss", group="Risk Management")
atrMultiplier = input.float(1.5, "ATR Multiplier for SL", minval=0.5, maxval=5, group="Risk Management")
takeProfitMultiplier = input.float(2, "Take Profit Multiplier", group="Risk Management")
// === Moving Average Function ===
ma(source, length, MAtype) =>
switch MAtype
"SMA" => ta.sma(source, length)
"EMA" => ta.ema(source, length)
"RMA" => ta.rma(source, length)
"WMA" => ta.wma(source, length)
// === Triple Smoothed Calculation ===
tripleSmoothedMA = ma(ma(ma(src, slength, mat), slength, mat), slength, mat)
signalLine = ma(tripleSmoothedMA, siglen, mat1)
// === Crossovers (Entry Signals) ===
bullishCrossover = ta.crossunder(signalLine, tripleSmoothedMA)
bearishCrossover = ta.crossover(signalLine, tripleSmoothedMA)
// === Additional Confirmation Conditions ===
trendLongCondition = not useTrendFilter or (close > trendMA) // Only long if price is above 200 EMA
trendShortCondition = not useTrendFilter or (close < trendMA) // Only short if price is below 200 EMA
rsiLongCondition = not useRSIFilter or (rsi > rsiThreshold) // RSI above 50 for longs
rsiShortCondition = not useRSIFilter or (rsi < rsiThreshold) // RSI below 50 for shorts
atrCondition = not useATRFilter or (atr > atrMa) // ATR must be above its MA for volatility confirmation
// === Final Trade Entry Conditions ===
longCondition = bullishCrossover and trendLongCondition and rsiLongCondition and atrCondition
shortCondition = bearishCrossover and trendShortCondition and rsiShortCondition and atrCondition
// === ATR-Based Stop Loss & Take Profit ===
longSL = close - (atr * atrMultiplier)
longTP = close + (atr * takeProfitMultiplier)
shortSL = close + (atr * atrMultiplier)
shortTP = close - (atr * takeProfitMultiplier)
// === Strategy Execution ===
if longCondition
strategy.entry("Long", strategy.long)
strategy.exit("Long Exit", from_entry="Long", stop=longSL, limit=longTP)
if shortCondition
strategy.entry("Short", strategy.short)
strategy.exit("Short Exit", from_entry="Short", stop=shortSL, limit=shortTP)
// === Plots ===
plot(tripleSmoothedMA, title="Triple Smoothed MA", color=color.blue)
plot(signalLine, title="Signal Line", color=color.red)
plot(trendMA, title="200 EMA", color=color.gray)
// === Alerts ===
alertcondition(longCondition, title="Bullish Signal", message="Triple Smoothed MA Bullish Crossover Confirmed")
alertcondition(shortCondition, title="Bearish Signal", message="Triple Smoothed MA Bearish Crossover Confirmed")
相关推荐