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strategies/多级移势均线交易策略Multi-level-Shift-Moving-Average-Trading-Strategy.md
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Name

多级移势均线交易策略Multi-level-Shift-Moving-Average-Trading-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

多级移势均线交易策略通过设置多个不同参数的移势均线,实现多级进场和止损。策略首先计算出3条长线和3条短线,长线低于短线时做多,短线低于长线时做空。策略可以设置移动均线计算周期长度、离差比例、可交易时间范围等参数,适用于中长线趋势交易。

策略原理

  1. 计算参数中的 src 源价格的 len 周期的简单移动均线,作为基准均线。

  2. 根据 long 和 short 参数设置对应的长线和短线的数量。

  3. longline1等长线为基准均线按 longlevel1等参数设置的比例进行偏移。shortline1等短线同理。

  4. 在可交易时间内,判断价格与均线的关系,实现多级进场。

  5. 当价格触及基准均线时,执行止损。

  6. 在结束时间强制平仓。

优势分析

该策略具有以下优势:

  1. 多级进场,可以不同阶段获取趋势进行获利。

  2. 可自定义的参数较多,可以根据不同品种和交易风格进行调整。

  3. 基于均线系统,对突破判断比较可靠。

  4. 设置可交易时间范围,可以避开重大数据发布等影响大的时段。

  5. 有止损机制,可以控制单笔损失。

风险分析

该策略也存在一些风险:

  1. 多次加仓的风险比较大,需要充足的资金支持。

  2. 参数设置不当可能导致超短线操作,应适当设置参数。

  3. 固定离场时间可能错过最后阶段的趋势获利。可以设置追踪止损来优化。

  4. 没有考虑夜盘和隔夜持仓的情况。可以加入持仓成本控制。

  5. 没有考虑仓位数控制,可能导致单向持仓过大。

优化方向

该策略可以从以下几个方面进行优化:

  1. 增加移动止损来代替固定离场时间。

  2. 考虑隔夜持仓情况,加入持仓手续费和滑点控制。

  3. 加入追踪止损来获取最后阶段的获利。

  4. 根据仓位情况调整下单手数,控制单向仓位。

  5. 测试不同参数对不同品种的效果,建立参数优化机制。

  6. 测试止损点位的最优化,减少不必要的止损。

总结

多级移势均线策略通过均线多级进场,实现趋势跟踪获利。设置的可交易时间和止损点较好控制了风险。通过持仓成本控制、参数优化、止损优化等方式可以进一步增强策略效果,值得进一步研究和优化。

||

Overview

The multi-level shift moving average trading strategy enters and stops loss at multiple levels by setting several shift moving average lines with different parameters. The strategy first calculates 3 long lines and 3 short lines. It goes long when the long lines are below the short lines, and goes short when the short lines are below the long lines. The strategy allows customization of parameters like the moving average period, shift ratio, tradable time range, etc. It is suitable for medium-long term trend trading.

Strategy Logic

  1. Calculate the len period simple moving average of the src price as the base line.

  2. Set the number of long and short lines based on the long and short parameters.

  3. The longline1 etc are set by shifting the base line according to the longlevel1 etc ratios. The shortlines are set similarly.

  4. Enter trades at multiple levels when price crosses the lines within tradable times.

  5. Stop loss when price touches the base line.

  6. Force close all positions after the end time.

Advantage Analysis

The strategy has the following advantages:

  1. Multi-level entry allows profiting at different stages of the trend.

  2. Highly customizable with parameters for different products and trading styles.

  3. Reliable breakout system based on moving averages.

  4. Avoid major events by setting tradable time range.

  5. Contained losses through stop loss.

Risk Analysis

Some risks of the strategy:

  1. High risk from pyramiding positions, sufficient capital needed.

  2. Improper parameters may lead to over-trading.

  3. Fixed exit time may miss late trend profit.

  4. No consideration for overnight positions and carry cost.

  5. No control over position sizing.

Optimization Directions

The strategy can be improved in the following aspects:

  1. Add trailing stop loss instead of fixed exit time.

  2. Consider carry cost for overnight positions.

  3. Add trailing stop loss to capture late profits.

  4. Dynamically size positions based on current exposure.

  5. Test parameters on different products and build optimization methods.

  6. Optimize stop loss levels to avoid unnecessary stops.

Summary

The multi-level shift moving average strategy profits from trends through multi-level entry based on moving averages. The tradable times and stop loss controls risk well. Further improvements on carry cost control, parameter optimization, stop loss optimization etc. can enhance the strategy and are worth researching.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 3 Lines for long
v_input_2 3 Lines for short
v_input_3 100 Lot
v_input_4 3 MA Length
v_input_5_ohlc4 0 MA Source: ohlc4
v_input_6 15 Short line 3
v_input_7 10 Short line 2
v_input_8 5 Short line 1
v_input_9 -5 Long line 1
v_input_10 -10 Long line 2
v_input_11 -15 Long line 3
v_input_12 true Offset
v_input_13 1900 From Year
v_input_14 2100 To Year
v_input_15 true From Month
v_input_16 12 To Month
v_input_17 true From day
v_input_18 31 To day

Source (PineScript)

/*backtest
start: 2022-09-16 00:00:00
end: 2023-09-22 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2019

//@version=4
strategy(title = "Noro's ShiftMA-multi Strategy v1.1", shorttitle = "ShiftMA-multi", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 3)

//Settings
long = input(3, defval = 3, minval = 0, maxval = 3, title = "Lines for long")
short = input(3, defval = 3, minval = 0, maxval = 3, title = "Lines for short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot")
len = input(3, minval = 1, title = "MA Length")
src = input(ohlc4, title = "MA Source")
shortlevel3 = input(15.0, title = "Short line 3")
shortlevel2 = input(10.0, title = "Short line 2")
shortlevel1 = input(5.0, title = "Short line 1")
longlevel1 = input(-5.0, title = "Long line 1")
longlevel2 = input(-10.0, title = "Long line 2")
longlevel3 = input(-15.0, title = "Long line 3")
needoffset = input(true, title = "Offset")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//Variables
size = strategy.position_size
mult = 1 / syminfo.mintick

//MA
ma = sma(src, len)
longline1 = long >= 1 ? round(ma * ((100 + longlevel1) / 100) * mult) / mult : close
longline2 = long >= 2 ? round(ma * ((100 + longlevel2) / 100) * mult) / mult : close
longline3 = long >= 3 ? round(ma * ((100 + longlevel3) / 100) * mult) / mult : close
shortline1 = short >= 1 ? round(ma * ((100 + shortlevel1) / 100) * mult) / mult : close
shortline2 = short >= 2 ? round(ma * ((100 + shortlevel2) / 100) * mult) / mult : close
shortline3 = short >= 3 ? round(ma * ((100 + shortlevel3) / 100) * mult) / mult : close

//Lines
colorlong1 = long >= 1 ? color.lime : na
colorlong2 = long >= 2 ? color.lime : na
colorlong3 = long >= 3 ? color.lime : na
colorshort1 = short >= 1 ? color.red : na
colorshort2 = short >= 2 ? color.red : na
colorshort3 = short >= 3 ? color.red : na
offset = needoffset ? 1 : 0
plot(shortline3, offset = offset, color = colorshort1)
plot(shortline2, offset = offset, color = colorshort2)
plot(shortline1, offset = offset, color = colorshort3)
plot(ma, offset = offset, color = color.blue)
plot(longline1, offset = offset, color = colorlong1)
plot(longline2, offset = offset, color = colorlong2)
plot(longline3, offset = offset, color = colorlong3)

//Trading
lot = 0.0
lot := size == 0 ? strategy.equity / close * capital / 100 : lot[1]
lots = 0.0
needtime = time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)
if ma > 0
    lots := round(size / lot)
    strategy.entry("L1", strategy.long, lot, limit = longline1, when = (lots == 0 and long >= 1 and needtime))
    lots := round(size / lot)
    strategy.entry("L2", strategy.long, lot, limit = longline2, when = (lots <= 1 and long >= 2 and needtime))
    lots := round(size / lot)
    strategy.entry("L3", strategy.long, lot, limit = longline3, when = (lots <= 2 and long >= 3 and needtime))
    
    lots := round(size / lot)
    strategy.entry("S1", strategy.short, lot, limit = shortline1, when = (lots == 0 and short >= 1 and needtime))
    lots := round(size / lot)
    strategy.entry("S2", strategy.short, lot, limit = shortline2, when = (lots >= -1 and short >= 2 and needtime))
    lots := round(size / lot)
    strategy.entry("S3", strategy.short, lot, limit = shortline3, when = (lots >= -2 and short >= 3 and needtime))
if size > 0
    strategy.entry("TPL", strategy.short, 0, limit = ma)
if size < 0
    strategy.entry("TPS", strategy.long, 0, limit = ma)
if time > timestamp(toyear, tomonth, today, 23, 59)
    strategy.close_all()

Detail

https://www.fmz.com/strategy/427681

Last Modified

2023-09-23 15:55:20

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