strategies/动量反转双轨配对策略Combo-Momentum-Reversal-Dual-Rail-Matching-Strategy.md

> Name

动量反转双轨配对策略Combo-Momentum-Reversal-Dual-Rail-Matching-Strategy

> Author

ChaoZhang

> Strategy Description

![IMG](https://www.fmz.com/upload/asset/c673feb61bc6c01e2b.png)
[trans]

## 概述

本策略综合运用多种技术指标,实现动量反转与双轨配对,形成交易信号。策略运用123形态判断反转点,与ergodic CSI指标形成配对信号,实现趋势跟踪。该策略旨在捕捉中短线趋势,获得较高盈利。

## 策略原理

该策略包含两部分:

1. 123形态判断反转点
2. ergodic CSI指标生成配对信号

123形态判断是通过最近3根K线的收盘价关系来判断价格反转。具体判断逻辑是:
如果前两根K线后一根收盘价上涨,且当前快慢stoch指标都低于50,则为买入信号。
如果前两根K线后一根收盘价下跌,且当前快慢stoch指标都高于50,则为卖出信号。

ergodic CSI指标考虑了价格、真实波幅、趋势指标等多因素,综合判断行情走势,生成买入卖出区域。
当指标高于买入区域时产生买入信号,低于卖出区域时产生卖出信号。

最后,123形态的反转信号与ergodic CSI的轨道信号进行“与”运算,得到最终策略信号。

## 策略优势

1. 捕捉中短线趋势,盈利潜力较大
2. 反转形态判断,可有效抓住转折点
3. 双轨配对,可减少假信号

## 策略风险 

1. 个股行情可能出现背离,导致止损
2. 反转形态容易受震荡市的影响
3. 参数优化空间有限,效果波动大

## 优化方向

1. 优化参数,提高策略盈利效果
2. 增加止损逻辑,降低单笔亏损
3. 结合多因子模型,提升选股质量

## 总结

本策略通过反转形态与双轨配对,实现了对中短线趋势的有效跟踪。相比单一技术指标,具有更高的稳定性和盈利水平。下一步将进一步优化参数,并增加止损与选股模块,以减少回撤和提高整体效果。


|| 

## Overview

This strategy combines multiple technical indicators to implement momentum reversal and dual-rail matching to generate trading signals. The strategy uses 123 pattern to determine reversal points and matches signals with the ergodic CSI indicator to track trends. It aims to capture medium-short term trends and achieve high profits.

## Principles  

The strategy contains two parts:

1. 123 pattern to determine reversal points
2. Ergodic CSI indicator to generate matching signals

The 123 pattern judges price reversal based on the close prices of the recent 3 bars. Specifically: 
If the close price of the 3rd bar rises compared to the previous 2 bars, and both fast and slow stoch are below 50, it is a buy signal.
If the close price of the 3rd bar falls compared to the previous 2 bars, and both fast and slow stoch are above 50, it is a sell signal.

The ergodic CSI indicator considers multiple factors like price, true range, trend indicators to comprehensively determine market conditions and generate buy/sell zones. 
When indicator rises above buy zone, it generates a buy signal. When indicator falls below sell zone, it generates a sell signal.

Finally, the reversal signals from 123 pattern and zone signals from ergodic CSI are "ANDed" to produce the final strategy signal.

## Advantages

1. Captures medium-short term trends, high profit potential
2. Reversal pattern determination effectively catches turning points
3. Dual-rail matching reduces false signals  

## Risks

1. Individual stocks may diverge, leading to stop loss
2. Reversal patterns susceptible to impact from range-bound markets
3. Limited parameter optimization space, performance fluctuation high

## Optimization Directions 

1. Optimize parameters to improve strategy profitability 
2. Add stop loss logic to reduce single trade loss
3. Incorporate multi-factor models to improve stock selection  

## Conclusion

This strategy effectively tracks medium-short term trends by combining reversal patterns and dual-rail matching. Compared to single technical indicators, it has higher stability and profit levels. Next steps are to further optimize parameters, add stop loss and stock selection modules to reduce drawdowns and improve overall performance.

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> Strategy Arguments



|Argument|Default|Description|
|----|----|----|
|v_input_1|14|Length|
|v_input_2|true|KSmoothing|
|v_input_3|3|DLength|
|v_input_4|50|Level|
|v_input_5|32|r|
|v_input_6|true|LengthECSI|
|v_input_7|true|BigPointValue|
|v_input_8|5|SmthLen|
|v_input_9|0.06|SellZone|
|v_input_10|0.02|BuyZone|
|v_input_11|false|Trade reverse|


> Source (PineScript)

``` pinescript
/*backtest
start: 2023-10-24 00:00:00
end: 2023-11-23 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 22/07/2020
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This is one of the techniques described by William Blau in his book 
// "Momentum, Direction and Divergence" (1995). If you like to learn more, 
// we advise you to read this book. His book focuses on three key aspects 
// of trading: momentum, direction and divergence. Blau, who was an electrical 
// engineer before becoming a trader, thoroughly examines the relationship between 
// price and momentum in step-by-step examples. From this grounding, he then looks 
// at the deficiencies in other oscillators and introduces some innovative techniques, 
// including a fresh twist on Stochastics. On directional issues, he analyzes the 
// intricacies of ADX and offers a unique approach to help define trending and 
// non-trending periods.
// This indicator plots Ergotic CSI and smoothed Ergotic CSI to filter out noise. 
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

fADX(Len) =>
    up = change(high)
    down = -change(low)
    trur = rma(tr, Len)
    plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, Len) / trur)
    minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, Len) / trur)
    sum = plus + minus 
    100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), Len)

ECSI(r,Length,BigPointValue,SmthLen,SellZone,BuyZone) =>
    pos = 0
    source = close
    K = 100 * (BigPointValue / sqrt(r) / (150 + 5))
    xTrueRange = atr(1) 
    xADX = fADX(Length)
    xADXR = (xADX + xADX[1]) * 0.5
    nRes = iff(Length + xTrueRange > 0, K * xADXR * xTrueRange / Length,0)
    xCSI = iff(close > 0,  nRes / close, 0)
    xSMA_CSI = sma(xCSI, SmthLen)
    pos := iff(xSMA_CSI > BuyZone, 1,
             iff(xSMA_CSI <= SellZone, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Ergodic CSI", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
r = input(32, minval=1)
LengthECSI = input(1, minval=1)
BigPointValue = input(1.0, minval=0.00001)
SmthLen = input(5, minval=1)
SellZone = input(0.06, minval=0.00001)
BuyZone = input(0.02, minval=0.001)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posECSI = ECSI(r,LengthECSI,BigPointValue,SmthLen,SellZone,BuyZone)
pos = iff(posReversal123 == 1 and posECSI == 1 , 1,
	   iff(posReversal123 == -1 and posECSI == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )
```

> Detail

https://www.fmz.com/strategy/433069

> Last Modified

2023-11-24 10:17:15