197 lines
7.2 KiB
Markdown
197 lines
7.2 KiB
Markdown
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> Name
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动量指标与移动平均线结合做多策略Momentum-and-Moving-Average-Combination-Long-Strategy
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> Author
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ChaoZhang
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> Strategy Description
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[trans]
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## 概述
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本策略结合MACD动量指标和DMI趋向指标,在符合条件时进行做多操作。其 exits设置了固定止盈和自定义的波动性 trailing stop来锁定收益。
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## 原理
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该策略的 entries 依赖 MACD 和 DMI 指标:
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- MACD 为正(MACD 线高于Signal线)时,表示市场上涨动能增强
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- DMI中的DI+高于DI- 时,表示市场处于趋势向上阶段
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当上述两个条件同时满足时,做多开仓。
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Position exits 则有两个标准:
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- 固定止盈:close 价格涨幅达到设置的百分比时止盈
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- 波动性追踪止损:使用 ATR 和最近最高价计算出一个动态调整的止损位置。这个可以根据市场波动性来 trailing stop loss
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## 优势
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- MACD 和 DMI 的结合可以比较可靠地判断市场的趋势方向,减少错误的操作
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- 止盈条件结合了固定止盈和波动性止损,可以灵活锁定利润
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## 风险
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- MACD 和 DMI 都可能产生假信号,导致不必要的亏损
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- 固定止盈可能让利润无法最大化
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- 波动性止损的 trails 速度可能调整不当,过于激进或保守
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## 优化方向
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- 可以考虑加入其它指标过滤入场信号,例如利用 KDJ 指标判断是否过超买过超卖
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- 可以测试不同的参数以获得更好的止盈止损效果
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- 可以根据具体交易品种调整移动平均线等参数,优化系统
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## 总结
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本策略综合多个指标判断市场趋势和条件,在较大概率利好情况下介入。止盈条件也做了优化设计,在保证一定利润的同时也考虑了收益锁定的灵活性。通过参数调整以及进一步的风险管理,本策略可以成为一个稳定输出的量化交易系统。
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## Overview
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This strategy combines the MACD momentum indicator and the DMI trend indicator to go long when conditions are met. Its exits set a fixed take profit and a custom volatility trailing stop to lock in profits.
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## Principles
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The entries of this strategy rely on the MACD and DMI indicators:
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- When MACD is positive (MACD line above Signal line), it indicates strengthening upside momentum in the market
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- When DI+ is higher than DI- in DMI, it indicates the market is in an uptrend
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When both conditions are met at the same time, go long.
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There are two standards for position exits:
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- Fixed take profit: close price rises to a set percentage for profit taking
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- Volatility trailing stop loss: use ATR and recent highest price to calculate a dynamically adjusted stop loss position. This can trailing stop loss according to market volatility
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## Advantages
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- The combination of MACD and DMI can more reliably determine the trend direction of the market and reduce erroneous operations
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- The profit taking conditions combine fixed take profit and volatility stop loss, which can flexibly lock in profits
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## Risks
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- Both MACD and DMI may produce false signals, leading to unnecessary losses
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- Fixed take profit may prevent profits from being maximized
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- The trailing speed of volatility stops may be improperly adjusted, too aggressive or conservative
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## Optimization Directions
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- Consider adding other indicators to filter entry signals, such as using the KDJ indicator to determine whether it is overbought or oversold
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- Different parameters can be tested for better take profit and stop loss effects
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- Parameters such as moving averages can be adjusted according to specific trading varieties to optimize the system
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## Summary
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This strategy synthesizes multiple indicators to judge market trends and conditions, and intervenes in situations with a relatively large probability of favor. The profit taking conditions have also been optimally designed to ensure a certain profit while considering the flexibility of locking in gains. Through parameter adjustment and further risk management, this strategy can become a stable quantitative trading system.
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[/trans]
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|true|From Month|
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|v_input_2|true|From Day|
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|v_input_3|2021|From Year|
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|v_input_4|true|Thru Month|
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|v_input_5|true|Thru Day|
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|v_input_6|2112|Thru Year|
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|v_input_7|true|Show Date Range|
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|v_input_8|3|v_input_8|
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|v_input_9|20|Length|
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|v_input_10_close|0|Source: close|high|low|open|hl2|hlc3|hlcc4|ohlc4|
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|v_input_11|2|vStop Multiplier|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2024-01-29 00:00:00
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end: 2024-02-28 00:00:00
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period: 2h
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basePeriod: 15m
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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//@version=4
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strategy(shorttitle='(MACD + DMI Scalping with Volatility Stop',title='MACD + DMI Scalping with Volatility Stop by (Coinrule)', overlay=true, initial_capital = 100, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.1)
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// Works better on 3h, 1h, 2h, 4h
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//Backtest dates
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fromMonth = input(defval = 1, title = "From Month", type = input.integer, minval = 1, maxval = 12)
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fromDay = input(defval = 1, title = "From Day", type = input.integer, minval = 1, maxval = 31)
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fromYear = input(defval = 2021, title = "From Year", type = input.integer, minval = 1970)
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thruMonth = input(defval = 1, title = "Thru Month", type = input.integer, minval = 1, maxval = 12)
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thruDay = input(defval = 1, title = "Thru Day", type = input.integer, minval = 1, maxval = 31)
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thruYear = input(defval = 2112, title = "Thru Year", type = input.integer, minval = 1970)
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showDate = input(defval = true, title = "Show Date Range", type = input.bool)
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start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
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finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
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window() => true
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// DMI and MACD inputs and calculations
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[pos_dm, neg_dm, avg_dm] = dmi(14, 14)
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[macd, macd_signal, macd_histogram] = macd(close, 12, 26, 9)
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Take_profit= ((input (3))/100)
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longTakeProfit = strategy.position_avg_price * (1 + Take_profit)
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length = input(20, "Length", minval = 2)
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src = input(close, "Source")
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factor = input(2.0, "vStop Multiplier", minval = 0.25, step = 0.25)
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volStop(src, atrlen, atrfactor) =>
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var max = src
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var min = src
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var uptrend = true
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var stop = 0.0
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atrM = nz(atr(atrlen) * atrfactor, tr)
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max := max(max, src)
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min := min(min, src)
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stop := nz(uptrend ? max(stop, max - atrM) : min(stop, min + atrM), src)
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uptrend := src - stop >= 0.0
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if uptrend != nz(uptrend[1], true)
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max := src
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min := src
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stop := uptrend ? max - atrM : min + atrM
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[stop, uptrend]
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[vStop, uptrend] = volStop(src, length, factor)
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closeLong = close > longTakeProfit or crossunder(close, vStop)
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//Entry
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strategy.entry(id="long", long = true, when = crossover(macd, macd_signal) and pos_dm > neg_dm and window())
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//Exit
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strategy.close("long", when = closeLong and window())
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```
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> Detail
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https://www.fmz.com/strategy/443107
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> Last Modified
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2024-02-29 11:57:18
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