strategies/趋势震荡转折点系统Trend-Reversal-System.md

Name

趋势震荡转折点系统Trend-Reversal-System

Author

ChaoZhang

Strategy Description

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概述

趋势震荡转折点系统是一个利用移动平均线、CCI指标和超级趋势指标来识别趋势,在回调时入场的趋势跟踪策略。它可以确认趋势方向,并在拉回时提供入场信号。

策略原理

该策略使用21个周期的EMA作为短期移动平均线,55个周期的EMA作为长期移动平均线。21日EMA在55日EMA之上表明目前处于上升趋势,21日EMA在55日EMA之下表明目前处于下降趋势。

CCI指标可以显示价格是否已达到极端水平。当CCI达到默认的100或-100时为第一级别信号,140/-140为第二级别信号,180/-180为第三级别信号。这表示目前可能处于超买或超卖状态。

超级趋势指标则可以判断具体的趋势方向。它结合平均真实波动幅度来判断上升趋势和下降趋势的止损位和入场位。

当出现21日EMA在55日EMA之上,且CCI达到低位时(表明目前处于超卖区域),就可以做多入场。当出现21日EMA在55日EMA之下,且CCI达到高位时(表明目前处于超卖区域),就可以做空入场。入场后止损位设置为超级趋势指标的止损位,止盈设置为固定的400点利润。

优势分析

该策略结合多种指标判断趋势和超买超卖情况,可以有效过滤假突破。采用固定止盈可以获得稳定的风险回报比。遵循趋势交易可以获得较高胜率。利用CCI指标的超买超卖信号,可以在趋势震荡阶段获得较好入场时机。

风险分析

该策略对交易品种参数需要优化,不同品种参数设置会影响策略效果。止损设置比较粗放,无法针对不同市场调整。固定止盈无法根据市场波动程度调整盈亏比。CCI指标可能产生假信号。需要进一步判断趋势波动的力度,避免在震荡趋势中反复交易。

优化方向

可以测试不同交易品种的参数设置,优化移动平均线周期、ATR周期、ATR乘数等参数。可以考虑将止损改为ATR止损或 trailing stop,以适应市场波动。可以测试将止盈改为波动止盈,根据ATR值来设置目标利润。可以增加过滤条件,判断CCI信号出现时的趋势力度,避免在震荡市场中被套。可以增加量化的趋势力度判断指标,避免错误的趋势判断。

总结

趋势震荡转折点系统综合了移动平均线、CCI指标和超级趋势来识别趋势方向和超买超卖情况,以在趋势回调时入场。它有较高的稳定性和胜率,但需要进一步优化止损、止盈和趋势判断机制,使策略参数可适应不同品种和市场环境。总体来说,该策略以简单直接的方式结合多种指标来捕捉趋势机会,值得进一步研究和应用。

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Overview

The Trend Reversal System is a trend following strategy that utilizes moving averages, CCI indicator and Supertrend indicator to identify the trend and enter on pullbacks. It can confirm the trend direction and provide entry signals during retracements.

Strategy Logic

The strategy uses 21-period EMA as the short term moving average and 55-period EMA as the long term moving average. 21 EMA above 55 EMA indicates an upward trend, while 21 EMA below 55 EMA indicates a downward trend.

The CCI indicator shows when the price has reached extreme levels. Level 1 signal is when CCI reaches 100/-100 by default, level 2 is 140/-140 and level 3 is 180/-180. This suggests overbought or oversold conditions.

The Supertrend indicator determines the specific trend direction. It incorporates ATR to identify the stop loss and entry levels for uptrends and downtrends.

When 21 EMA is above 55 EMA and CCI reaches low level (oversold area), it can signal long entry. When 21 EMA is below 55 EMA and CCI reaches high level (overbought area), it can signal short entry. The stop loss is set at Supertrend's stop level, and take profit is fixed at 400 pips.

Advantage Analysis

The strategy combines multiple indicators to identify trends and overbought/oversold situations, which helps filter false breakouts. The fixed take profit allows stable risk-reward ratio. Trading with the trend provides higher win rate. CCI overbought/oversold signals offer good entry timing during trend retracements.

Risk Analysis

The parameters need to be optimized for different symbols as the current settings may not be ideal. The stop loss method is crude and unable to adapt to different market conditions. Fixed take profit fails to adjust based on market volatility. CCI can generate false signals sometimes. Need further judgment on the momentum of the trend to avoid whipsaws.

Optimization Directions

Test parameter settings on different symbols, optimize MA periods, ATR period, ATR multiplier etc. Consider trailing stop or ATR stop for adaptive stop loss. Test ATR-based take profit for dynamic profit target. Add filters to check trend momentum when taking CCI signals to avoid choppy markets. Add quantifiable trend strength indicators for better trend validation.

Summary

The Trend Reversal System combines moving averages, CCI and Supertrend to identify trends and overbought/oversold for retracement entries. It has relatively high stability and win rate, but the stop loss, take profit and trend validation mechanisms need further optimization for robustness across symbols and market conditions. Overall it uses a simple and direct approach to combine indicators for catching trend opportunities, and is worth researching more into and applying.

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Strategy Arguments

Argument	Default	Description
v_input_1	21	Short EMA
v_input_2	55	Long EMA
v_input_3	20	Overbought/sold detector period
v_input_4_close	0	Overbought/sold detector source: close
v_input_5	100	Overbought level 1
v_input_6	140	Overbought level 2
v_input_7	180	Overbought level 3
v_input_8	-100	Oversold level 1
v_input_9	-140	Oversold level 2
v_input_10	-180	Oversold level 3
v_input_11	55	ATR Period
v_input_12	5	ATR Multiplier
v_input_13	true	Take Wicks into Account ?
v_input_14	false	Illuminate Trend
v_input_15	0.0002	Spread
v_input_16	true	Test longs
v_input_17	true	Test shorts
v_input_18	true	Test level 1 overbought/sold levels
v_input_19	false	Test level 2 overbought/sold levels
v_input_20	false	Test level 3 overbought/sold levels
v_input_21	true	Use static target
v_input_22	400	Static target in pips

Source (PineScript)

/*backtest
start: 2022-10-16 00:00:00
end: 2023-01-08 00:00:00
period: 1d
basePeriod: 1h
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/
// © greenmask9

//@version=4
strategy("Oath", overlay=true)

// 21 EMA
emalength = input(21, title="Short EMA")
emashort = ema(close, emalength)

// 55 EMA
emalength2 = input(55, title="Long EMA")
ema = ema(close, emalength2)

//CCI calculation and inputs
lengthcci = input(20, minval=1, title="Overbought/sold detector period")
src = input(close, title="Overbought/sold detector source")
ma = sma(src, lengthcci)
ccivalue = (src - ma) / (0.015 * dev(src, lengthcci))


//CCI plotting
ccioverbought = input(defval=100, title="Overbought level 1")
ccioverbought2 = input(defval=140, title="Overbought level 2")
ccioverbought3 = input(defval=180, title="Overbought level 3")

ccioversold = input(defval=-100, title="Oversold level 1")
ccioversold2 = input(defval=-140, title="Oversold level 2")
ccioversold3 = input(defval=-180, title="Oversold level 3")

//cciOB = (ccivalue >= ccioverbought and ccivalue < ccioverbought2)
//cciOS = (ccivalue <= ccioversold and ccivalue > ccioversold2)

//cciOB2 = (ccivalue >= ccioverbought2 and ccivalue < ccioverbought3)
//cciOS2 = (ccivalue <= ccioversold and ccivalue > ccioversold3)

//cciOB3 = (ccivalue >= ccioverbought3)
//cciOS3 = (ccivalue <= ccioversold3)

//Supertrend

length = input(title="ATR Period", type=input.integer, defval=55)
mult = input(title="ATR Multiplier", type=input.float, step=0.1, defval=5.0)
wicks = input(title="Take Wicks into Account ?", type=input.bool, defval=true)
illuminate = input(title="Illuminate Trend", type=input.bool, defval=false)

atr = mult * atr(length)

longStop = hl2 - atr
longStopPrev = nz(longStop[1], longStop)
longStop := (wicks ? low[1] : close[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop

shortStop = hl2 + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := (wicks ? high[1] : close[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop

dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and (wicks ? high : close) > shortStopPrev ? 1 : dir == 1 and (wicks ? low : close) < longStopPrev ? -1 : dir

//entries
uptrend = emashort>ema and dir == 1
upsignal = ccivalue<=ccioversold and ccivalue>ccioversold2
upsignal2 = ccivalue<=ccioversold2 and ccivalue>ccioversold3
upsignal3 = ccivalue<=ccioversold3
downtrend = emashort<ema and dir == -1
downsignal = ccivalue>=ccioverbought and ccivalue<ccioverbought2
downsignal2 = ccivalue>=ccioverbought2 and ccivalue<ccioverbought3
downsignal3 = ccivalue>=ccioverbought3

//adapts to the current bar, I need to save the bars number when the condition for buy was true, static number is spread
spread = input (0.00020, title="Spread")
upstoploss = longStop - spread
downstoploss = shortStop + spread
strategy.initial_capital = 50000
ordersize=floor(strategy.initial_capital/close)
testlong = input(title="Test longs", type=input.bool, defval=true)
testshort = input(title="Test shorts", type=input.bool, defval=true)
//new
degree = input(title="Test level 1 overbought/sold levels", type=input.bool, defval=true)
degree2 = input(title="Test level 2 overbought/sold levels", type=input.bool, defval=false)
degree3 = input(title="Test level 3 overbought/sold levels", type=input.bool, defval=false)

statictarget = input(title="Use static target", type=input.bool, defval=true)
statictargetvalue = input(title="Static target in pips", type=input.integer, defval=400)

//timetrade = input(title="Open trades only withing specified time", type=input.bool, defval=true)
//timtrade = input()

//přidat možnost TP podle ATR a sl podle ATR
buy1 = uptrend and upsignal and strategy.opentrades==0 and testlong and degree
x1 = barssince (buy1)
if (buy1)
//bodlo by zakázat atrtarget v tomto případě
    if (statictarget)
        strategy.entry("Oath1", strategy.long, ordersize)
        strategy.exit( "Oath1 Close", from_entry="Oath1" , profit=statictargetvalue,stop=upstoploss[x1])
 
buy2 = uptrend and upsignal2 and strategy.opentrades==0 and testlong and degree2
x2 = barssince (buy2)
if (buy2)
//bodlo by zakázat atrtarget v tomto případě
    if (statictarget)
        strategy.entry("Oath2", strategy.long, ordersize)
        strategy.exit( "Oath2 Close", from_entry="Oath2" , profit=statictargetvalue,stop=upstoploss[x2])
  
buy3 = uptrend and upsignal3 and strategy.opentrades==0 and testlong and degree3
x3 = barssince (buy3)
if (buy3)
//bodlo by zakázat atrtarget v tomto případě
    if (statictarget)
        strategy.entry("Oath3", strategy.long, ordersize)
        strategy.exit( "Oath3 Close", from_entry="Oath3" , profit=statictargetvalue,stop=upstoploss[x3])

sell1 = downtrend and downsignal and strategy.opentrades==0 and testshort and degree
y1 = barssince (sell1)
if (sell1)
    if (statictarget)
        strategy.entry("Oath1.s", strategy.short, ordersize)
        strategy.exit( "Oath1 Close", from_entry="Oath1.s" , profit=statictargetvalue,stop=downstoploss[y1])

sell2 = downtrend and downsignal2 and strategy.opentrades==0 and testshort and degree2
y2 = barssince (sell2)
if (sell2)
    if (statictarget)
        strategy.entry("Oath2.s", strategy.short, ordersize)
        strategy.exit( "Oath2 Close", from_entry="Oath2.s" , profit=statictargetvalue,stop=downstoploss[y2])

sell3 = downtrend and downsignal3 and strategy.opentrades==0 and testshort and degree3
y3 = barssince (sell3)
if (sell3)
    if (statictarget)
        strategy.entry("Oath3.s", strategy.short, ordersize)
        strategy.exit( "Oath3 Close", from_entry="Oath3.s" , profit=statictargetvalue,stop=downstoploss[y3])

plotshape(uptrend and upsignal and degree, location=location.belowbar, color=color.green, transp=0, style=shape.triangleup, size=size.tiny, text="Oath up")
plotshape(downtrend and downsignal and degree, location=location.abovebar, color=color.red, transp=0, style=shape.triangledown, size=size.tiny, text="Oath down")
plotshape(uptrend and upsignal2 and degree2, location=location.belowbar, color=color.green, transp=0, style=shape.triangleup, size=size.tiny, text="Oath up+")
plotshape(downtrend and downsignal2 and degree2, location=location.abovebar, color=color.red, transp=0, style=shape.triangledown, size=size.tiny, text="Oath down+")
plotshape(uptrend and upsignal3 and degree3, location=location.belowbar, color=color.green, transp=0, style=shape.triangleup, size=size.tiny, text="Oath up++")
plotshape(downtrend and downsignal3 and degree3, location=location.abovebar, color=color.red, transp=0, style=shape.triangledown, size=size.tiny, text="Oath down++")

Detail

https://www.fmz.com/strategy/429967

Last Modified

2023-10-23 17:18:28