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strategies/震荡K线量化交易策略Oscillator-Candles-Momentum-Trading-Strategy.md
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2023-10-31 12:29:56 +08:00

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Name

震荡K线量化交易策略Oscillator-Candles-Momentum-Trading-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

该策略是一个基于指标的动量策略,使用RSI、Stoch、MACD等 oscillators 指标构造策略交易信号。策略的主要思路是当价格出现震荡时,利用指标识别趋势方向,根据指标信号进行入场。同时,策略还会利用延迟超趋指标进行止损。

策略原理

该策略首先调用自定义函数f_getOscilatorValues获取不同的oscillators指标的值,包括RSI、Stoch、MACD等。然后,通过f_getSupertrend函数计算延迟超趋指标的值,用于追踪止损。

在计算指标后,策略会调用f_getBuySellStops函数,根据指标值计算入场止损位和止盈位。具体来说,它会计算ATR指标,并以ATR乘以一个止损系数作为入场止损位,以ATR乘以一个止盈系数作为止盈位。在趋势发生反转时,止损位和止盈位会进行调整。

之后,策略会判断K线的实体方向,如果是上涨K线,则以绿色绘制,下跌K线则以红色绘制。 在绘制K线和指标后,策略会判断是否符合入场条件。入场条件为当指标显示超买时,价格突破上轨时做多;当指标显示超卖时,价格突破下轨时做空。此外,策略还引入了高周期均线过滤条件,价格需要突破均线才能入场。

在入场后,止损位会进行追踪,追踪止损位是上轨或下轨 whichever is closer. 当止损位被触发后平仓。当价格达到止盈位时,部分止盈。

策略优势分析

该策略具有以下优势:

  1. 使用oscillators指标识别趋势的方向性,可以及时捕捉市场的短线反转机会。

  2. 应用延迟超趋止损策略,可以在亏损扩大前止损出场,限制单笔损失。

  3. 根据ATR计算风险度量的止损位和止盈位,可以动态调整仓位规模。

  4. 结合高周期均线进行过滤,避免被套。

  5. 部分止盈策略,让利润继续运行且锁定部分利润。

  6. 策略思路简单清晰,容易理解实现,适合量化交易初学者。

策略风险分析

该策略也存在一些风险:

  1. oscillators指标存在滞后问题,可能导致入场信号偏迟、出场信号偏早。可以通过调整指标参数优化,或者加入趋势 following 指标辅助判断。

  2. 停损点靠近,可能会被突破止损。可以适当放宽止损范围,或使用 Chandelier Stop 等动态止损策略。

  3. 部分止盈后,剩余头寸可能会被追盘止损。可将部分止盈比例降低,留足余地。

  4. 回测数据拟合风险。应该在不同市场中多次验证,避免过拟合。

  5. 高周期均线作为过滤条件也可能发生失效。应采用趋势分类等方法辅助判断大周期走势。

策略优化方向

该策略可以从以下几个方面进行优化:

  1. 测试不同的oscillators指标的参数组合,选择能够提供较好质量信号的组合,如快速K线的Stoch指标等。

  2. 尝试将部分止盈改为移动止盈,根据ATR或移动平均线设置止盈位置。

  3. 对大周期趋势判断加入机器学习算法,取代高周期均线过滤法,提高判断准确率。

  4. 增加量能指标等做为入场过滤条件,避免不必要的反转交易。

  5. 对指标进行集成和权重优化,筛选出对当前品种最适合的指标组合。

  6. 增加机器学习风控模块,对止损位、止盈位、仓位等进行动态优化。

  7. 添加三角套利或期现套利的交易信号,利用期货和现货之间的价差获利。

总结

该策略整体是一个非常适合量化交易初学者学习的策略,思路清晰,关键点立足于指标分析与风险控制。但仍需要针对实盘进行参数优化与风险规避,才能获得稳定的回报。此外,可以从趋势判断、止损优化、集成学习等方面进行策略提升,使策略更具鲁棒性。总体来说,该策略作为一个可以运行与优化的策略模板还是非常有参考价值的。

||

Overview

This is a momentum-based strategy that uses oscillators indicators like RSI, Stoch, MACD to generate trading signals. The main idea is to identify trend direction when price oscillates by using indicators and enter trades based on indicator signals. The strategy also uses delayed supertrend for stop loss.

Strategy Logic

The strategy first calls custom function f_getOscilatorValues to get values of different oscillator indicators including RSI, Stoch, MACD etc. Then it calculates delayed supertrend values with f_getSupertrend to track stop loss.

After calculating the indicators, the strategy calls f_getBuySellStops to compute entry stops and profit targets based on indicator values. Specifically, it calculates ATR and uses ATR multiplied by a stop loss coefficient as entry stop, and ATR multiplied by a take profit coefficient as profit target. The stops and targets will adjust when trend reverses.

Next, the strategy determines the candle direction. Uptrend candles are colored green and downtrend candles are colored red. After plotting candles and indicators, the strategy checks if entry conditions are met. The entry conditions are buying when indicator shows overbought and price breaks above upper band, and selling when indicator shows oversold and price breaks below lower band. There is also a filtering condition requiring price to break higher timeframe moving average.

After entry, stop loss is trailed by upper/lower band whichever is closer. When stop loss is triggered, the position is closed. When price reaches profit target, partial profit is taken.

Advantage Analysis

The advantages of this strategy are:

  1. Using oscillators to identify trend direction can capture short-term reversal opportunities timely.

  2. Applying delayed supertrend stop loss can stop out before loss increases, limiting single trade loss.

  3. Calculating stop loss and profit target based on dynamic ATR helps adjust position sizing.

  4. Filtering with higher timeframe moving average avoids being trapped in consolidations.

  5. Partial profit taking lets profits run while locking some profit.

  6. The logic is simple and easy to understand for quant trading beginners.

Risk Analysis

Some risks of this strategy include:

  1. Oscillators may have lagging issues, causing delayed entry and premature exit signals. This can be improved by optimizing parameters or adding trend following indicators.

  2. Tight stop loss may get hit. Stop loss range could be widened or dynamic stops like Chandelier can be used.

  3. Remaining position after partial profit taking may be stopped out. The partial profit ratio could be lowered.

  4. Backtest overfitting risk. The strategy should be validated across different markets.

  5. Failure of higher timeframe moving average filter. Trend classification methods should be used together.

Enhancement Directions

The strategy can be optimized in the following aspects:

  1. Test different combinations of oscillators parameters and find the ones that provide quality signals.

  2. Try replacing partial profit taking with trailing profit stop based on ATR or moving averages.

  3. Add machine learning algorithms to replace moving average for trend analysis and improve accuracy.

  4. Add volume indicators as filtering conditions to avoid unnecessary reversals.

  5. Ensemble and weight optimize indicators to find the optimal combination for the asset.

  6. Add machine learning risk control modules to dynamically optimize stops, targets and position sizing.

  7. Incorporate triangular arbitrage or basis trading signals using price spreads between futures and spot.

Conclusion

Overall this is a great strategy for quant trading beginners with clear logic focusing on indicators and risk management. But parameter optimization and risk reduction are still needed for live trading. It can also be enhanced in aspects like trend analysis, stop loss optimization, ensemble models etc to improve robustness. As a trading strategy template, it provides valuable reference. [/trans]

Strategy Arguments

Argument Default Description
v_input_1 0 Oscliator Type: stoch
v_input_2 3 length
v_input_3 3 shortlength
v_input_4 9 longlength
v_input_5 true showSupertrend
v_input_6 0 Moving Average Type: rma
v_input_7 30 AtrLength
v_input_8 4 stopMultiplier
v_input_9 3 targetMultiplier
v_input_10 true wicks
v_input_11 false considerWicksForDelayByStep
v_input_12 true colorByPreviousClose
v_input_13 false useHTFPivot
v_input_14 12M resolution
v_input_15 4 Higher Timeframe multiplier (Used when resolution is set to Same as Symbol)
v_input_16 2 PivotLength
v_input_17 0 Trade Direction: strategy.direction.long
v_input_18 timestamp(01 Jan 2010 00:00 +0000) Backtest Start Time
v_input_19 timestamp(01 Jan 2099 00:00 +0000) Backtest End Time

Source (PineScript)

/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 1h
basePeriod: 15m
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/
// © HeWhoMustNotBeNamed

//@version=4
strategy("Oscilator candles - strategy", overlay=false, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01, calc_on_order_fills = true)

oscilatorType = input(title="Oscliator Type", defval="stoch", options=["rsi", "stoch", "cog", "macd", "tsi", "cci", "cmo", "mfi"])
length = input(3)
shortlength = input(3)
longlength = input(9)

showSupertrend = input(true)
AtrMAType = input(title="Moving Average Type", defval="rma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
AtrLength = input(30, step=10)
stopMultiplier  = input(4)
targetMultiplier  = input(3)
wicks = input(true)
considerWicksForDelayByStep = input(false)
colorByPreviousClose = input(true)

useHTFPivot = input(false)
resolution = input("12M", type=input.resolution)
HTFMultiplier = input(4, title="Higher Timeframe multiplier (Used when resolution is set to Same as Symbol)", minval=2, step=1)
PivotLength = input(2, step=1)

tradeDirection = input(title="Trade Direction", defval=strategy.direction.long, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
i_startTime = input(defval = timestamp("01 Jan 2010 00:00 +0000"), title = "Backtest Start Time", type = input.time)
i_endTime = input(defval = timestamp("01 Jan 2099 00:00 +0000"), title = "Backtest End Time", type = input.time)
inDateRange = true

f_getOscilatorValues(oscilatorType, length, shortlength, longlength)=>
    oOpen = rsi(open, length)
    oClose = rsi(close, length)
    oHigh = rsi(high, length)
    oLow = rsi(low, length)
    if(oscilatorType == "tsi")
        oOpen := tsi(open, shortlength, longlength)
        oClose := tsi(close, shortlength, longlength)
        oHigh := tsi(high, shortlength, longlength)
        oLow := tsi(low, shortlength, longlength)
    if(oscilatorType == "stoch")
        oOpen := stoch(open, longlength, shortlength, length)
        oClose := stoch(close, longlength, shortlength, length)
        oHigh := stoch(high, longlength, shortlength, length)
        oLow := stoch(low, longlength, shortlength, length)
    if(oscilatorType == "cci")
        oOpen := cci(open, length)
        oClose := cci(close, length)
        oHigh := cci(high, length)
        oLow := cci(low, length)
    if(oscilatorType == "cog")
        oOpen := cog(open, length)
        oClose := cog(close, length)
        oHigh := cog(high, length)
        oLow := cog(low, length)
    if(oscilatorType == "cmo")
        oOpen := cmo(open, length)
        oClose := cmo(close, length)
        oHigh := cmo(high, length)
        oLow := cmo(low, length)
    if(oscilatorType == "mfi")
        oOpen := mfi(open, length)
        oClose := mfi(close, length)
        oHigh := mfi(high, length)
        oLow := mfi(low, length)
    if(oscilatorType == "macd")
        [macdLineOpen, signalLineOpen, histLineOpen] = macd(open, shortlength, longlength, length)
        [macdLineClose, signalLineClose, histLineClose] = macd(close, shortlength, longlength, length)
        [macdLineHigh, signalLineHigh, histLineHigh] = macd(high, shortlength, longlength, length)
        [macdLineLow, signalLineLow, histLineLow] = macd(low, shortlength, longlength, length)
        oOpen := macdLineOpen
        oClose := macdLineClose
        oHigh := macdLineHigh
        oLow := macdLineLow
    [oOpen, oClose, oHigh, oLow]

f_getMovingAverage(source, MAType, length)=>
    ma = sma(source, length)
    if(MAType == "ema")
        ma := ema(source,length)
    if(MAType == "hma")
        ma := hma(source,length)
    if(MAType == "rma")
        ma := rma(source,length)
    if(MAType == "vwma")
        ma := vwma(source,length)
    if(MAType == "wma")
        ma := wma(source,length)
    ma

f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, stopMultiplier, wicks)=>
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    averagetruerange = f_getMovingAverage(truerange, AtrMAType, AtrLength)
    atr = averagetruerange * stopMultiplier

    longStop = oClose - atr
    longStopPrev = nz(longStop[1], longStop)
    longStop := (wicks ? oLow[1] : oClose[1]) > longStopPrev ? max(longStop, longStopPrev) : longStop
    
    shortStop = oClose + atr
    shortStopPrev = nz(shortStop[1], shortStop)
    shortStop := (wicks ? oHigh[1] : oClose[1]) < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
    
    dir = 1
    dir := nz(dir[1], dir)
    dir := dir == -1 and (wicks ? oHigh : oClose) > shortStopPrev ? 1 : dir == 1 and (wicks ? oLow : oClose) < longStopPrev ? -1 : dir
    
    trailingStop = dir == 1? longStop : shortStop
    
    [dir, trailingStop]


f_getBuySellStops(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, considerWicks, considerWicksForDelayByStep, stopMultiplier, targetMultiplier)=>
    barState = 0
    source = oClose
    
    truerange = max(oHigh, oClose[1]) - min(oLow, oClose[1])
    
    atr = f_getMovingAverage(truerange, AtrMAType, AtrLength)

    buyStop = source - atr * stopMultiplier
    sellStop = source + atr * stopMultiplier
    buyStopDerived = buyStop
    sellStopDerived = sellStop
    highTarget = considerWicks ? oHigh : source
    lowTarget = considerWicks ? oLow : source
    
    highTargetDelayByStep = considerWicksForDelayByStep ? oHigh : source
    lowTargetDelayByStep = considerWicksForDelayByStep ? oLow : source
    
    barState := highTarget > sellStopDerived[1] ? 1 : lowTarget < buyStopDerived[1] ? -1 : nz(barState[1],0)
    
    buyMultiplier = (barState == 1)? stopMultiplier : targetMultiplier
    sellMultiplier = (barState == -1)? stopMultiplier : targetMultiplier
    buyStop := source - atr * buyMultiplier
    sellStop := source + atr * sellMultiplier
    buyStop := barState == 1? max(buyStop, buyStop[1]) : barState == -1? min(buyStop, buyStop[1]) : buyStop
    sellStop := barState == 1? max(sellStop, sellStop[1]) : barState == -1? min(sellStop, sellStop[1]) : sellStop
    
    buyStopDerived := buyStop
    sellStopDerived := sellStop
    
    buyStopDerived := highTargetDelayByStep < sellStopDerived[1] and lowTargetDelayByStep > buyStopDerived[1] ? buyStopDerived[1] : buyStopDerived
    sellStopDerived := highTargetDelayByStep < sellStopDerived[1] and lowTargetDelayByStep > buyStopDerived[1] ? sellStopDerived[1] : sellStopDerived

    [buyStopDerived, sellStopDerived, barState]


f_secureSecurity(_symbol, _res, _src) => security(_symbol, _res, _src[1], lookahead = barmerge.lookahead_on, gaps=barmerge.gaps_off)

f_multiple_resolution(HTFMultiplier) => 
    target_Res_In_Min = timeframe.multiplier * HTFMultiplier * (
      timeframe.isseconds   ? 1. / 60. :
      timeframe.isminutes   ? 1. :
      timeframe.isdaily     ? 1440. :
      timeframe.isweekly    ? 7. * 24. * 60. :
      timeframe.ismonthly   ? 30.417 * 24. * 60. : na)

    target_Res_In_Min     <= 0.0417       ? "1S"  :
      target_Res_In_Min   <= 0.167        ? "5S"  :
      target_Res_In_Min   <= 0.376        ? "15S" :
      target_Res_In_Min   <= 0.751        ? "30S" :
      target_Res_In_Min   <= 1440         ? tostring(round(target_Res_In_Min)) :
      tostring(round(min(target_Res_In_Min / 1440, 365))) + "D"
    
f_getPivotHighLow(oOpen, oClose, oHigh, oLow, HTFMultiplier, resolution, PivotLength)=>
    derivedResolution = resolution == ""? f_multiple_resolution(HTFMultiplier) : resolution
    HTFHigh = f_secureSecurity(syminfo.tickerid, derivedResolution, oHigh)
    HTFLow = f_secureSecurity(syminfo.tickerid, derivedResolution, oLow)
    CLOSEprev = f_secureSecurity(syminfo.tickerid, derivedResolution, oClose)
    pivothi = pivothigh(HTFHigh, PivotLength, PivotLength)
    pivotlo = pivotlow(HTFLow, PivotLength, PivotLength)
    pivothi := na(pivothi)? nz(pivothi[1]) : pivothi
    pivotlo := na(pivotlo)? nz(pivotlo[1]) : pivotlo
    [pivothi, pivotlo]
    
[oOpen, oClose, oHigh, oLow] = f_getOscilatorValues(oscilatorType, length, shortlength, longlength)
[dir, trailingStop] = f_getSupertrend(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, stopMultiplier, wicks)

candleColor = colorByPreviousClose ?
                 (oClose[1] < oClose ? color.green : oClose[1] > oClose ? color.red : color.silver) : 
                 (oOpen < oClose ? color.green : oOpen > oClose ? color.red : color.silver)
plotcandle(oOpen, oHigh, oLow, oClose, 'Oscilator Candles', color = candleColor)

[buyStopDerived, sellStopDerived, barState] = f_getBuySellStops(oOpen, oClose, oHigh, oLow, AtrMAType, AtrLength, wicks, considerWicksForDelayByStep, stopMultiplier, targetMultiplier)

trailingStopDerived = barState == 1? buyStopDerived : sellStopDerived

plot(showSupertrend?trailingStopDerived:na, title="TrailingStop", style=plot.style_linebr, linewidth=1, color= barState == 1 ? color.green : color.red)

[pivotHigh, pivotLow] = f_getPivotHighLow(open, close, high, low, HTFMultiplier, resolution, PivotLength)

buyCondition = (barState == 1) and (close > pivotHigh or not useHTFPivot)
exitBuyConditin = (barState == -1)
sellCondition = (barState == -1) and (close < pivotLow or not useHTFPivot)
exitSellCondition = (barState == 1)

// strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyCondition and inDateRange, oca_name="oca")
strategy.entry("Sell", strategy.short, when=sellCondition and inDateRange, oca_name="oca")
strategy.close("Buy", when = exitBuyConditin)
strategy.close( "Sell", when = exitSellCondition)

Detail

https://www.fmz.com/strategy/427922

Last Modified

2023-09-26 20:05:55

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