道氏理论趋势自适应动量策略是一种基于经典道氏理论原则的先进交易方法,通过识别市场趋势的关键转折点来指导交易决策。该策略专注于检测和确认价格趋势的基本动态,利用更高高点(Higher Highs)和更高低点(Higher Lows)来定义上升趋势,利用更低高点(Lower Highs)和更低低点(Lower Lows)来定义下降趋势。这种方法旨在提供一种系统化的方法来捕捉市场趋势,并在趋势发生变化时及时做出反应。
该策略的核心原理基于道氏理论的经典趋势识别方法。策略通过使用ta.pivothigh()和ta.pivotlow()函数来检测关键的转折点。具体实现包括以下关键步骤:
道氏理论趋势自适应动量策略是一种强大的趋势跟踪方法,通过创新的转折点分析技术,为交易者提供了一种系统化的趋势识别工具。尽管存在一些固有风险,但其灵活性和动态性使其成为现代量化交易策略中的一个有价值的方法。成功应用该策略需要深入理解其工作原理,并根据具体市场环境不断优化和调整。
The Dow Theory Trend Adaptive Momentum Strategy is an advanced trading approach based on classic Dow Theory principles, designed to guide trading decisions by identifying key turning points in market trends. The strategy focuses on detecting and confirming the fundamental dynamics of price trends, using Higher Highs and Higher Lows to define uptrends, and Lower Highs and Lower Lows to define downtrends. This method aims to provide a systematic approach to capturing market trends and responding promptly when trends change.
The core principle of this strategy is based on the classic Dow Theory trend identification method. The strategy detects key turning points using ta.pivothigh() and ta.pivotlow() functions. Specific implementation includes the following key steps:
The Dow Theory Trend Adaptive Momentum Strategy is a powerful trend-following method that provides traders with a systematic trend identification tool through innovative turning point analysis techniques. Despite some inherent risks, its flexibility and dynamism make it a valuable approach in modern quantitative trading strategies. Successfully applying this strategy requires a deep understanding of its working principles and continuous optimization and adjustment based on specific market environments.
/*backtest
start: 2025-03-29 00:00:00
end: 2025-03-30 09:00:00
period: 2m
basePeriod: 2m
exchanges: [{"eid":"Futures_Binance","currency":"BNB_USDT"}]
*/
//@version=5
// strategy(title="Dow Theory Trend Strategy v3", shorttitle="Dow Trend Strat v3", overlay=true,
// initial_capital=10000, default_qty_type=strategy.percent_of_equity, default_qty_value=10,
// commission_type=strategy.commission.percent, commission_value=0.1, // Example strategy settings with commission
// process_orders_on_close=true) // Consider processing on bar close for more stable backtests
strategy(title="Dow Theory Trend Strategy v3", shorttitle="Dow Trend Strat v3", overlay=true) // Basic strategy settings
// --- 設定 ---
// Calculation Settings
pivotLookback = input.int(10, title="Pivot Lookback Period", minval=1, tooltip="ピボットハイ/ローを検出するための左右のバーの数", group="Calculation Settings")
// Display Settings
showPivotPoints = input.bool(true, title="Show Pivot Points", tooltip="ピボットハイ/ローのポイントを表示します", group="Display Settings")
showTrendChange = input.bool(true, title="Show Trend Change Signals", tooltip="トレンド転換のシグナル(エントリーポイント)を表示します", group="Display Settings")
// Strategy Settings
// --- Manual Trend Override (配列定義を input 内に変更) ---
manualTrendMode = input.string("Auto", title="Manual Trend Mode",
options=["Auto", "Long Only", "Short Only"], // オプションをここで直接定義
tooltip="手動でトレード方向を指定 (Auto: ダウ理論に従う, Long Only: ロングのみ, Short Only: ショートのみ)",
group="Strategy Settings")
// Risk Management Settings
useStopLoss = input.bool(true, title="Use Stop Loss", group="Risk Management")
stopLossTicks = input.float(100, title="Stop Loss (Ticks)", minval=1, group="Risk Management", tooltip="エントリー価格からのストップロスまでのティック(最小値動き)数。例:EURUSDで20 pips (tick=0.00001)なら200。")
useTakeProfit = input.bool(true, title="Use Take Profit", group="Risk Management")
takeProfitTicks = input.float(200, title="Take Profit (Ticks)", minval=1, group="Risk Management", tooltip="エントリー価格からのテイクプロフィットまでのティック(最小値動き)数。例:EURUSDで40 pips (tick=0.00001)なら400。")
// --- ピボットハイ/ローの検出 ---
pivotHighPrice = ta.pivothigh(high, pivotLookback, pivotLookback)
pivotLowPrice = ta.pivotlow(low, pivotLookback, pivotLookback)
// --- ピボットポイントの値を保持するための変数 ---
var float lastPivotHigh = na
var float prevPivotHigh = na
var float lastPivotLow = na
var float prevPivotLow = na
var int lastPivotHighBar = na
var int prevPivotHighBar = na
var int lastPivotLowBar = na
var int prevPivotLowBar = na
// --- 新しいピボットが確定したかどうかの検出と値の更新 ---
if not na(pivotHighPrice)
if na(lastPivotHigh) or pivotHighPrice != lastPivotHigh
prevPivotHigh := lastPivotHigh
prevPivotHighBar := lastPivotHighBar
lastPivotHigh := pivotHighPrice
lastPivotHighBar := bar_index - pivotLookback
if not na(pivotLowPrice)
if na(lastPivotLow) or pivotLowPrice != lastPivotLow
prevPivotLow := lastPivotLow
prevPivotLowBar := lastPivotLowBar
lastPivotLow := pivotLowPrice
lastPivotLowBar := bar_index - pivotLookback
// --- ダウ理論に基づくトレンド判定 (改良版) ---
var int trendDirection = 0
bool hasEnoughPivots = not na(lastPivotHigh) and not na(prevPivotHigh) and not na(lastPivotLow) and not na(prevPivotLow)
if hasEnoughPivots
isHigherHigh = lastPivotHigh > prevPivotHigh
isHigherLow = lastPivotLow > prevPivotLow
isUptrendConfirmed = isHigherHigh and isHigherLow
isLowerHigh = lastPivotHigh < prevPivotHigh
isLowerLow = lastPivotLow < prevPivotLow
isDowntrendConfirmed = isLowerHigh and isLowerLow
if isUptrendConfirmed
trendDirection := 1
else if isDowntrendConfirmed
trendDirection := -1
else
trendDirection := trendDirection[1]
// --- トレンド転換の検出 ---
bool trendChanged = ta.change(trendDirection) != 0
bool changedToUp = trendChanged and trendDirection == 1
bool changedToDown = trendChanged and trendDirection == -1
// --- 描画処理 ---
bgcolor(trendDirection == 1 ? color.new(color.blue, 85) : trendDirection == -1 ? color.new(color.red, 85) : color.new(color.gray, 90), title="Trend Background")
plotshape(showPivotPoints and not na(pivotHighPrice), title="Pivot High", location=location.abovebar, color=color.new(color.maroon, 20), style=shape.triangledown, size=size.tiny, offset=-pivotLookback)
plotshape(showPivotPoints and not na(pivotLowPrice), title="Pivot Low", location=location.belowbar, color=color.new(color.navy, 20), style=shape.triangleup, size=size.tiny, offset=-pivotLookback)
plotshape(showTrendChange and changedToUp, title="Uptrend Start Signal", location=location.belowbar, color=color.new(color.green, 0), style=shape.labelup, text="▲ UP", textcolor=color.white, size=size.small)
plotshape(showTrendChange and changedToDown, title="Downtrend Start Signal", location=location.abovebar, color=color.new(color.red, 0), style=shape.labeldown, text="▼ DOWN", textcolor=color.white, size=size.small)
// --- ストラテジーロジック ---
bool allowLong = manualTrendMode == "Auto" or manualTrendMode == "Long Only"
bool allowShort = manualTrendMode == "Auto" or manualTrendMode == "Short Only"
if (changedToUp and allowLong)
strategy.entry("L", strategy.long, comment="Go Long")
if (useStopLoss or useTakeProfit)
float slValue = useStopLoss and stopLossTicks > 0 ? stopLossTicks : na
float tpValue = useTakeProfit and takeProfitTicks > 0 ? takeProfitTicks : na
strategy.exit("LX", from_entry="L", loss=slValue, profit=tpValue, comment_loss="SL Long", comment_profit="TP Long")
if (changedToDown and allowShort)
strategy.entry("S", strategy.short, comment="Go Short")
if (useStopLoss or useTakeProfit)
float slValue = useStopLoss and stopLossTicks > 0 ? stopLossTicks : na
float tpValue = useTakeProfit and takeProfitTicks > 0 ? takeProfitTicks : na
strategy.exit("SX", from_entry="S", loss=slValue, profit=tpValue, comment_loss="SL Short", comment_profit="TP Short")
// --- デバッグ用 ---
// plot(trendDirection, title="Trend Direction Value")