本文介绍了一种灵活且强大的移动平均线交叉交易策略,该策略允许交易者根据不同市场条件自定义移动平均线参数和类型。策略的核心是利用不同周期和类型的移动平均线进行趋势跟踪和信号生成。
策略通过计算三个不同周期的移动平均线(快线、慢线和退出线)来生成交易信号。主要原理包括:
可配置移动平均线交叉策略(MA-X)提供了一个灵活的趋势跟踪框架。通过合理配置和持续优化,该策略可以成为量化交易工具箱中的有力工具。交易者需要根据具体市场特征进行个性化调整,并进行充分的回测和验证。
/*backtest
start: 2024-04-03 00:00:00
end: 2025-04-02 00:00:00
period: 2d
basePeriod: 2d
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © YetAnotherTA
//@version=6
strategy("Configurable MA Cross (MA-X) Strategy", "MA-X", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10, commission_type = strategy.commission.percent, commission_value = 0.06)
// === Inputs ===
// Moving Average Periods
maPeriodA = input.int(13, title="Fast MA")
maPeriodB = input.int(55, title="Slow MA")
maPeriodC = input.int(34, title="Exit MA")
// MA Type Selection
maType = input.string("EMA", title="MA Type", options=["SMA", "EMA", "WMA", "HMA"])
// Toggle for Short Trades (Disabled by Default)
enableShorts = input.bool(false, title="Enable Short Trades", tooltip="Enable or disable short positions")
// === Function to Select MA Type ===
getMA(src, length) =>
maType == "SMA" ? ta.sma(src, length) : maType == "EMA" ? ta.ema(src, length) : maType == "WMA" ? ta.wma(src, length) : ta.hma(src, length)
// === MA Calculation ===
maA = getMA(close, maPeriodA)
maB = getMA(close, maPeriodB)
maC = getMA(close, maPeriodC)
// === Global Variables for Crossover Signals ===
var bool crossAboveA = false
var bool crossBelowA = false
crossAboveA := ta.crossover(close, maA)
crossBelowA := ta.crossunder(close, maA)
// === Bar Counter for Exit Control ===
var int barSinceEntry = na
// Reset the counter on new entries
if (strategy.opentrades == 0)
barSinceEntry := na
// Increment the counter on each bar
if (strategy.opentrades > 0)
barSinceEntry := (na(barSinceEntry) ? 1 : barSinceEntry + 1)
// === Entry Conditions ===
goLong = close > maA and maA > maB and close > maC and crossAboveA
goShort = enableShorts and close < maA and maA < maB and close < maC and crossBelowA // Shorts only when toggle is enabled
// === Exit Conditions (only after 1+ bar since entry) ===
exitLong = (strategy.position_size > 0) and (barSinceEntry >= 2) and (close < maC)
exitShort = enableShorts and (strategy.position_size < 0) and (barSinceEntry >= 2) and (close > maC)
// === Strategy Execution ===
// Long entry logic
if (goLong)
strategy.close("Short") // Close any short position
strategy.entry("Long", strategy.long)
alert("[MA-X] Go Long")
barSinceEntry := 1 // Reset the bar counter
// Short entry logic (only if enabled)
if (enableShorts and goShort)
strategy.close("Long") // Close any long position
strategy.entry("Short", strategy.short)
alert("[MA-X] Go Short")
barSinceEntry := 1 // Reset the bar counter
// Exit logic (only after at least 1 bar has passed)
if (exitLong)
strategy.close("Long")
alert("[MA-X] Exit Long")
if (enableShorts and exitShort)
strategy.close("Short")
alert("[MA-X] Exit Short")
// === Plotting ===
plot(maA, color=color.green, linewidth=2, title="Fast MA")
plot(maB, color=color.blue, linewidth=2, title="Slow MA")
plot(maC, color=color.red, linewidth=2, title="Exit MA")