213 lines
6.6 KiB
Markdown
213 lines
6.6 KiB
Markdown
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> Name
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双均线价格跃动策略Dual-Moving-Average-Price-Leaping-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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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。
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### 策略原理
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1. 使用RSI指标判断超买超卖
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- RSI参数设置为14周期
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- 超卖线为30,超买线为70
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2. 使用三条不同周期的SMA均线判断趋势
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- 快线为9周期SMA,代表短期趋势
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- 中线为50周期SMA,代表中期趋势
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- 慢线为200周期SMA,代表长期趋势
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3. 当快线上穿中线,并且RSI指标显示超卖时,做多入场
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4. 当快线下穿中线,并且RSI指标显示超买时,做空入场
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5. 停损设置为入场价格的4%
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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
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### 优势分析
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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
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2. RSI指标的使用避免在非超买超卖区域建仓
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3. 分批止盈增加了策略持仓周期,也增加了持仓平均获利
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### 风险分析
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1. 三条均线发出错误信号的概率
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2. 分批止盈存在未全部成交的风险
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3. 需要选择合适的股票品种,适合价格波动较大的股票
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### 策略优化方向
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1. 可以测试修改均线和RSI的参数,优化入场和出场机会
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2. 可以增加其他指标过滤 candle 形态等,提高策略准确率
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3. 可以通过动态跟踪止损,进一步控制风险
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### 总结
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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
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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.
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### Strategy Principle
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1. Use RSI indicator to determine overbought and oversold conditions
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- RSI parameter is set to 14 periods
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- Oversold line is at 30, overbought line is at 70
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2. Use three SMA lines of different periods to determine the trend
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- Fast line is 9-period SMA, representing short-term trend
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- Medium line is 50-period SMA, representing medium-term trend
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- Slow line is 200-period SMA, representing long-term trend
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3. When fast line crosses above medium line, and RSI indicator shows oversold, go long
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4. When fast line crosses below medium line, and RSI indicator shows overbought, go short
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5. Stop loss is set at 4% of entry price
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6. Profit taking is done in batches, first take profit of 20%, then take 15% as price continues to rise, exiting positions gradually
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### Advantage Analysis
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1. Using three SMA lines of different periods can judge trend changes across different time frames
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2. The use of RSI indicator avoids opening positions outside of overbought/oversold areas
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3. Batch profit taking increases holding period and average profit of the strategy
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### Risk Analysis
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1. Probability of wrong signals from the three moving average lines
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2. Risk of incomplete batch profit taking execution
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3. Need to choose suitable instruments with high price fluctuation
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### Optimization Directions
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1. Can test modifying parameters of moving averages and RSI to optimize entry and exit
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2. Can add other indicators to filter candle patterns etc to improve accuracy
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3. Can dynamically trail stop loss to further control risk
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### Summary
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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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[/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|30|oversold|
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|v_input_2|70|overbought|
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|v_input_3|20|SellPct|
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|v_input_4|15|ExitPct|
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|v_input_5|9|v_input_5|
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|v_input_6|50|v_input_6|
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|v_input_7|200|v_input_7|
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|v_input_8|100|v_input_8|
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|v_input_9|12|Lookback Long Period|
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|v_input_10|2|Lookback Short Period|
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|v_input_11|4|v_input_11|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2023-11-13 00:00:00
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end: 2023-11-20 00:00:00
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period: 1m
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basePeriod: 1m
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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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// © syfuslokust
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//@version=4
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strategy(shorttitle='CoinruleCombinedCryptoStrat',title='CoinruleCombinedCryptoStrat', overlay=true)
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// RSI inputs and calculations
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lengthRSI = 14
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RSI = rsi(close, lengthRSI)
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//Normal
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oversold = input(30)
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overbought = input(70)
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//ALGO
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//oversold= input(26)
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//overbought= input(80)
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//sell pct
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SellPct = input(20)
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ExitPct = input(15)
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//MA inputs and calculations
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movingaverage_signal = sma(close, input(9))
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movingaverage_fast = sma(close, input(50))
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movingaverage_slow = sma(close, input(200))
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movingaverage_mid= sma(close, input(100))
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//Look Back
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inp_lkb = input(12, title='Lookback Long Period')
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inp_lkb_2 = input(2, title='Lookback Short Period')
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perc_change(lkb) =>
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overall_change = ((close[0] - close[lkb]) / close[lkb]) * 100
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//Entry
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//MA
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bullish = crossover(movingaverage_signal, movingaverage_fast)
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//Execute buy
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strategy.entry(id="long", long = true, when = (RSI < oversold and movingaverage_fast < movingaverage_mid))
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//when = crossover(close, movingaverage_signal) and movingaverage_signal < movingaverage_slow and RSI < oversold)
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//Exit
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//RSI
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Stop_loss= ((input (4))/100)
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longStopPrice = strategy.position_avg_price * (1 - Stop_loss)
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//MA
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bearish = crossunder(movingaverage_signal, movingaverage_fast)
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//Execute sell
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strategy.close("long", qty_percent = SellPct, when = RSI > overbought and movingaverage_fast > movingaverage_mid)
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//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))
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//PLOT
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plot(movingaverage_signal, color=color.black, linewidth=2, title="signal")
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plot(movingaverage_fast, color=color.orange, linewidth=2, title="fast")
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plot(movingaverage_slow, color=color.purple, linewidth=2, title="slow")
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plot(movingaverage_mid, color=color.blue, linewidth=2, title="mid")
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```
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> Detail
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https://www.fmz.com/strategy/432781
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> Last Modified
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2023-11-21 14:28:35
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