strategies/双均线价格跃动策略Dual-Moving-Average-Price-Leaping-Strategy.md

Name

双均线价格跃动策略Dual-Moving-Average-Price-Leaping-Strategy

Author

ChaoZhang

Strategy Description

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概述

该策略通过RSI指标判断超买超卖,结合快线、中线、慢线构建的趋势判断体系,在价格跃动的时候判断机会建仓做多做空。

策略原理

1. 使用RSI指标判断超买超卖

• RSI参数设置为14周期
• 超卖线为30,超买线为70

2. 使用三条不同周期的SMA均线判断趋势

• 快线为9周期SMA,代表短期趋势
• 中线为50周期SMA,代表中期趋势
• 慢线为200周期SMA,代表长期趋势

3. 当快线上穿中线,并且RSI指标显示超卖时,做多入场

4. 当快线下穿中线,并且RSI指标显示超买时,做空入场

5. 停损设置为入场价格的4%

6. 获利方式为分批止盈,首先止盈20%,然后在价格继续上涨时止盈15%,依次退出仓位

优势分析

1. 使用三条不同周期的SMA均线,能对不同时间段的趋势变化做出判断
2. RSI指标的使用避免在非超买超卖区域建仓
3. 分批止盈增加了策略持仓周期,也增加了持仓平均获利

风险分析

1. 三条均线发出错误信号的概率
2. 分批止盈存在未全部成交的风险
3. 需要选择合适的股票品种,适合价格波动较大的股票

策略优化方向

1. 可以测试修改均线和RSI的参数,优化入场和出场机会
2. 可以增加其他指标过滤 candle 形态等,提高策略准确率
3. 可以通过动态跟踪止损,进一步控制风险

总结

本策略结合均线指标和超买超卖指标RSI,在捕捉价格变化趋势的同时对买卖机会进行判断,属于较为常见的跟踪趋势策略。通过参数测试和增加其他辅助判断指标,可以进一步优化和提高策略胜率。

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Overview

This strategy uses the RSI indicator to determine overbought and oversold conditions, combined with a trend judgment system constructed with fast, medium and slow moving average lines, to identify opportunities to open long or short positions when prices are leaping.

Strategy Principle

1. Use RSI indicator to determine overbought and oversold conditions

   • RSI parameter is set to 14 periods
   • Oversold line is at 30, overbought line is at 70

2. Use three SMA lines of different periods to determine the trend

   • Fast line is 9-period SMA, representing short-term trend
   • Medium line is 50-period SMA, representing medium-term trend
   • Slow line is 200-period SMA, representing long-term trend

3. When fast line crosses above medium line, and RSI indicator shows oversold, go long

4. When fast line crosses below medium line, and RSI indicator shows overbought, go short

5. Stop loss is set at 4% of entry price

6. Profit taking is done in batches, first take profit of 20%, then take 15% as price continues to rise, exiting positions gradually

Advantage Analysis

1. Using three SMA lines of different periods can judge trend changes across different time frames
2. The use of RSI indicator avoids opening positions outside of overbought/oversold areas
3. Batch profit taking increases holding period and average profit of the strategy

Risk Analysis

1. Probability of wrong signals from the three moving average lines
2. Risk of incomplete batch profit taking execution
3. Need to choose suitable instruments with high price fluctuation

Optimization Directions

1. Can test modifying parameters of moving averages and RSI to optimize entry and exit
2. Can add other indicators to filter candle patterns etc to improve accuracy
3. Can dynamically trail stop loss to further control risk

Summary

This strategy combines moving average indicators and the overbought/oversold indicator RSI. By capturing price trend changes while judging trading opportunities, it belongs to a commonly used trend tracking strategy. Further optimizations and improved win rate can be achieved through parameter testing and incorporating additional auxiliary judgment indicators.

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Strategy Arguments

Argument	Default	Description
v_input_1	30	oversold
v_input_2	70	overbought
v_input_3	20	SellPct
v_input_4	15	ExitPct
v_input_5	9	v_input_5
v_input_6	50	v_input_6
v_input_7	200	v_input_7
v_input_8	100	v_input_8
v_input_9	12	Lookback Long Period
v_input_10	2	Lookback Short Period
v_input_11	4	v_input_11

Source (PineScript)

/*backtest
start: 2023-11-13 00:00:00
end: 2023-11-20 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © syfuslokust

//@version=4
strategy(shorttitle='CoinruleCombinedCryptoStrat',title='CoinruleCombinedCryptoStrat', overlay=true)


// RSI inputs and calculations
lengthRSI = 14
RSI = rsi(close, lengthRSI)
//Normal
oversold = input(30)
overbought =  input(70)
//ALGO
//oversold= input(26)
//overbought= input(80)

//sell pct
SellPct = input(20)
ExitPct = input(15)

//MA inputs and calculations
movingaverage_signal = sma(close, input(9))
movingaverage_fast = sma(close, input(50))
movingaverage_slow = sma(close, input(200))
movingaverage_mid= sma(close, input(100))

//Look Back
inp_lkb = input(12, title='Lookback Long Period')
inp_lkb_2 = input(2, title='Lookback Short Period')
 
perc_change(lkb) =>
    overall_change = ((close[0] - close[lkb]) / close[lkb]) * 100

//Entry 

//MA
bullish = crossover(movingaverage_signal, movingaverage_fast)
//Execute buy
strategy.entry(id="long", long = true, when = (RSI < oversold and movingaverage_fast < movingaverage_mid))

//when = crossover(close, movingaverage_signal) and movingaverage_signal < movingaverage_slow and RSI < oversold)

//Exit

//RSI
Stop_loss= ((input (4))/100)
longStopPrice  = strategy.position_avg_price * (1 - Stop_loss)
//MA
bearish = crossunder(movingaverage_signal, movingaverage_fast)
//Execute sell
strategy.close("long", qty_percent = SellPct, when = RSI > overbought and movingaverage_fast > movingaverage_mid)
//when = (crossunder(low, movingaverage_signal) and movingaverage_fast > movingaverage_slow and RSI > overbought) or (movingaverage_signal < movingaverage_fast and crossunder(low, movingaverage_fast)) or (low < longStopPrice))


//PLOT
plot(movingaverage_signal, color=color.black, linewidth=2, title="signal")
plot(movingaverage_fast, color=color.orange, linewidth=2, title="fast")
plot(movingaverage_slow, color=color.purple, linewidth=2, title="slow")
plot(movingaverage_mid, color=color.blue, linewidth=2, title="mid")

Detail

https://www.fmz.com/strategy/432781

Last Modified

2023-11-21 14:28:35