strategies/修正动向指数策略Modified-Directional-Movement-Index-Strategy.md

Name

修正动向指数策略Modified-Directional-Movement-Index-Strategy

Author

ChaoZhang

Strategy Description

[trans]

策略原理

该策略基于修正动向指数(DMI)指标进行交易。DMI通过比较正向运动指标(+DI)和负向运动指标(-DI)的差值来判断趋势方向。

具体交易逻辑是:

1. 计算一定周期内的+DI和-DI

2. 将+DI和-DI的值区分映射到100到-100的区间

3. 计算+DI和-DI的差值,绘制修正DMI曲线

4. 当修正DMI上穿0轴时产生买入信号

5. 当修正DMI下穿0轴时产生卖出信号

6. 可平滑DMI曲线以过滤假信号

该策略直接比较+DI和-DI的相对强度,判断趋势方向,避免单一指标判断的局限性。

策略优势

• 修正DMI直观反映+DI和-DI实力对比

• 结合均线可过滤假信号

• 明确的做多做空信号点

策略风险

• DMI指标本身滞后,可能错过时点

• 需要优化参数周期

• 震荡市容易被套

总结

该策略通过修正DMI判断趋势方向变化,为捕捉趋势提供了新视角。但其滞后性问题仍需注意,可以辅以其他指标进行验证。

||

Strategy Logic

This strategy trades based on the Modified Directional Movement Index (DMI). The modified DMI compares the difference between positive directional indicator (+DI) and negative directional indicator (-DI) to judge trend direction.

The trading logic is:

1. Calculate +DI and -DI over a period

2. Map +DI and -DI values to a range from 100 to -100

3. Plot the difference between +DI and -DI as the modified DMI line

4. Go long when modified DMI crosses above 0

5. Go short when modified DMI crosses below 0

6. Optional smoothing of DMI line to filter false signals

The strategy directly compares the relative strength of +DI and -DI to determine trend, overcoming limitations of single indicators.

Advantages

• Modified DMI intuitively reflects +DI/-DI comparison

• Smoothing DMI filters fakeouts

• Clear long/short signal points

Risks

• DMI itself has lag, may miss timing

• Parameter period requires optimization

• Prone to whipsaws in choppy markets

Summary

This strategy judges trend direction change through the modified DMI, providing an alternative view to trend trading. But DMI's lagging nature needs caution, and can be combined with other confirming indicators.

[/trans]

Strategy Arguments

Argument	Default	Description
v_input_1	9	Length
v_input_2	9	Smoothing length
v_input_3	0	Moving Average Type: EMA
v_input_4	true	Allow Short
v_input_5	false	Color bars

Source (PineScript)

/*backtest
start: 2022-09-07 00:00:00
end: 2023-09-13 00:00:00
period: 3d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(shorttitle="DMI Modified Strategy", title="DMI Modified Strategy", overlay=true,default_qty_type=strategy.cash, default_qty_value=10000, initial_capital=10000)
// This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License https://creativecommons.org/licenses/by-sa/4.0/
// © dman103
// As promised a strategy of my DMI Modified indicator! (See link below for indicator).
// === How does it work? ===
// Instead of plotting the positive direction of +DI and negative direction for -DI, we subtract the +DI with the -DI on scales of 100 to -100.
// The result is plotted with a oscillator to identify the current trend.
// DMI Modified supports multiple moving averages (default is EMA with length of 9). You can disable moving averages smoothing in settings.

//== About the Strategy ==
// Buys when the line crosses over the Zero line.
// Sells when the line crosses under the Zero line.
// The DMI modified  strategy is pretty much clean, without any filtering besides the DMI Modified and a moving average to smooth it.
// Works best to catch a trend and more suitable for 1 hour and above time frame. Stay tuned for updates.

// == Oscillator Colors ==
// GREEN : Strong Up Trend as DMI Modified is above zero line and DMI modified is ascending.
// LIGHT GREEN: Still up trend but weakening as DMI modified is above zero but descending. 
// RED: Strong Downtrend as DMI Modified is below zero line and DMI modified is descending.
// LIGHT RED: Still down trending but weakening as DMI modified is below zero but ascending.

// == Notes ==
// Short is enabled by default.
// Can also be used to find divergences.
// Bar coloring is disabled by default

// == Links ==
// DMI modified indicator: https://www.tradingview.com/script/CbDXEyDN-DMI-Modified/
// Like if you like and Enjoy! Follow for more upcoming indicators/strategies: https://www.tradingview.com/u/dman103/#published-scripts

length = input(9, title="Length", minval=0)
smoothing_length=input(9, title="Smoothing length")
ma_select = input(title="Moving Average Type", defval="EMA", options=["NONE","SMA","SMMA" ,"EMA", "WMA", "HMA", "JMA"])
allow_short = input(true,title="Allow Short")
MA_selector(src, length) =>
    ma = 0.0
    if ma_select == "NONE"
        ma:=src
        ma
    if ma_select == "SMA"
        ma := sma(src, length)
        ma
    if ma_select == "SMMA"
        smma = float (0.0)
        smaval=sma(src, length)
        smma := na(smma[1]) ? smaval : (smma[1] * (length - 1) + src) / length
        ma := smma
    if ma_select == "EMA"
        ma := ema(src, length)
        ma

    if ma_select == "WMA"
        ma := wma(src, length)
        ma
    if ma_select == "HMA"
        ma := hma(src,length)
        ma
    if ma_select == "JMA"
        beta = 0.45*(length-1)/(0.45*(length-1)+2)
        alpha = beta
        tmp0 = 0.0, tmp1 = 0.0, tmp2 = 0.0, tmp3 = 0.0, tmp4 = 0.0
        tmp0 := (1-alpha)*src + alpha*nz(tmp0[1])
        tmp1 := (src - tmp0[0])*(1-beta) + beta*nz(tmp1[1])
        tmp2 := tmp0[0] + tmp1[0]
        tmp3 := (tmp2[0] - nz(tmp4[1]))*((1-alpha)*(1-alpha)) + (alpha*alpha)*nz(tmp3[1])
        tmp4 := nz(tmp4[1]) + tmp3[0]
        ma := tmp4
        ma
    
    ma
color_bars=input(false,title="Color bars")
//  Colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #AAFFDB
col_fall_below = #EF5350

dirmov(len,up_band,low_band) =>
	up = change(highest(up_band,len)) 
	down = -change(lowest(low_band,len))
	truerange = rma(tr, len)
	plus = fixnan(100 * rma(up > down and up > 0 ? up : 0, len) / truerange)
	minus = fixnan(100 * rma(down > up and down > 0 ? down : 0, len) / truerange)
	[plus, minus]

[plus, minus]= dirmov(length,high,low)
result= plus-minus
result:=MA_selector(result,smoothing_length)
closeStatus =  strategy.openprofit > 0 ? "win" : "lose"
colors= result > 0 and result>result[1] ? col_grow_above : result > 0 and result<result[1] ? col_fall_above : result<0 and result>result[1] ? col_grow_below : result<0 and result<result[1] ? col_fall_below : color.white
dmi=plot(result, style=plot.style_line, color=colors, linewidth=2, title="DI+-")
barcolor(color_bars ? colors : na)
zero_line=plot(0, color=color.white, title="0-Line",transp=60)
fill (dmi,zero_line,color=colors)
long =  result > 0 and result>result[1]
short = result< 0 and result<result[1]
// strategy.entry("B", true,when=long)
// strategy.entry("S",false,when=short)


//, comment=strategy.position_size<0 ? closeStatus : na)
strategy.close("short",when=long,comment=closeStatus)
strategy.close("long",when=short,comment=closeStatus)
strategy.entry("long", true, when = long)
if (allow_short)
    strategy.entry("short",false, when = short)

plotshape(crossover(result,0) ? result : na, style=shape.circle, color=color.lime,location=location.absolute,size=size.tiny,transp=65)
plotshape(crossunder(result,0) ? result : na, style=shape.circle, color=color.red,location=location.absolute,size=size.tiny,transp=65)

Detail

https://www.fmz.com/strategy/426806

Last Modified

2023-09-14 16:41:00