双均线交叉动量策略


创建日期: 2023-11-16 17:25:13 最后修改: 2023-11-16 17:25:13
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双均线交叉动量策略

概述

该策略运用双均线交叉原理,结合MACD指标的趋势判断和背景突出交叉点,辅以形态点进场,目的是捕捉市场中期趋势。主要逻辑是在均线方向发生转换时进场,通过MACD背景色突出交叉点,配合MACD直方图颜色变化判断力度进入。

策略原理

策略使用快速EMA和慢速EMA构建双均线,快慢线交叉判断趋势方向。同时,计算MACD和Signal,其差值作为直方图绘制。

根据代码,快线长度为12,慢线长度为26,表示短期和长期趋势。Signal长度为9,进行额外平滑处理。

交叉逻辑:

  • trend_up = macd > signal:快线上穿慢线,代表短期上升趋势
  • trend_dn = macd < signal:快线下穿慢线,代表短期下降趋势

交叉点判断:

  • cross_UP = signal[1] >= macd[1] and signal < macd:快线从下方上穿慢线
  • cross_DN = signal[1] <= macd[1] and signal > macd:快线从上方下穿慢线

直方图颜色变化判断趋势力度:

  • histA_IsUp = 直方图柱子增长且大于0,代表上升力度增强
  • histA_IsDown = 直方图柱子减小且大于0,代表上升力度减弱
  • 下方同理

策略优势

  1. 使用双均线判断中期趋势方向,避免被短期市场噪音干扰

  2. MACD指标辅助判断短期趋势和力度,提高获利概率

  3. 直方图颜色变化判定力度大小,可把握较好的入场时机

  4. 交叉点背景色标记,一目了然

  5. 可自定义均线周期,适应不同市场环境

  6. 可调整MACD参数,优化指标效果

  7. 提供多种入场确认:均线方向、指标交叉、形态突破

策略风险

  1. 双均线判断中期趋势对短期波动不敏感,可能错过短线机会

  2. MACD参数设置不当,指标效果不佳,发出错误信号

  3. 仅凭均线和MACD信号入场,存在一定盲目性

  4. 未考虑止损退出机制,存在亏损扩大风险

  5. 缺乏严格的资金管理和仓位控制

可能的解决方案:

  1. 结合其他指标限定短期波动范围,控制风险

  2. 优化MACD参数,测试不同市场的效果

  3. 增加形态、Momentum等因素确认信号

  4. 建立止损机制,避免单笔亏损过大

  5. 加入资金管理模块,根据资金规模控制单笔仓位

策略优化方向

  1. 测试优化均线参数组合,适应更多市场情况

  2. 尝试不同类型均线,如VWAP、布林带中线等

  3. 增加成交量的考量,避免假突破

  4. 结合RSI等指标,确认超买超卖情况

  5. 建立完善的止损机制,如移动止损、震荡止损等

  6. 加入仓位管理机制,根据资金大小控制单笔仓位

  7. 可以考虑结合机器学习算法进行参数优化

  8. 扩展策略 Universe,深化组合投资方向

总结

该策略整合双均线趋势判断和MACD动量指标,加入形态特征,构建了一个相对稳定的中期交易策略。核心优势在于把握主要趋势方向,避免被短期市场噪音干扰。但也存在一些可优化空间,如止损机制、风险管理等方面。总体来说,该策略作为概念验证具有很好的参考价值,但实盘落地还需经过全面的测试和优化调整。

策略源码 
/*backtest
start: 2022-11-15 00:00:00
end: 2023-11-15 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy(title="Histogram MacD MVP_V2.1", shorttitle="Histogram MacD MVP_2.1")
//Plot Inputs
res           = input.timeframe("",  "Indicator TimeFrame")
fast_length   = input.int(title="Fast Length", defval=12)
slow_length   = input.int(title="Slow Length", defval=26)
src           = input.source(title="Source", defval=close)
signal_length = input.int(title="Signal Smoothing", minval = 1, maxval = 999, defval = 9)
sma_source    = input.string(title="Oscillator MA Type", defval="EMA", options=["SMA", "EMA"])
sma_signal    = input.string(title="Signal Line MA Type", defval="EMA", options=["SMA", "EMA"])
// Show Plots T/F
show_macd     = input.bool(true, title="Show MACD Lines", group="Show Plots?", inline="SP10")
show_macd_LW  = input.int(3, minval=0, maxval=5, title = "MACD Width", group="Show Plots?", inline="SP11")
show_signal_LW= input.int(2, minval=0, maxval=5, title = "Signal Width", group="Show Plots?", inline="SP11")
show_Hist     = input.bool(true, title="Show Histogram", group="Show Plots?", inline="SP20")
show_hist_LW  = input.int(5, minval=0, maxval=5, title = "-- Width", group="Show Plots?", inline="SP20")
show_trend    = input.bool(true, title = "Show MACD Lines w/ Trend Color", group="Show Plots?", inline="SP30")
show_HB       = input.bool(false, title="Show Highlight Price Bars", group="Show Plots?", inline="SP40")
show_cross    = input.bool(false, title = "Show BackGround on Cross", group="Show Plots?", inline="SP50")
show_dots     = input.bool(true, title = "Show Circle on Cross", group="Show Plots?", inline="SP60")
show_dots_LW  = input.int(5, minval=0, maxval=5, title = "-- Width", group="Show Plots?", inline="SP60")

//show_trend    = input(true, title = "Colors MACD Lines w/ Trend Color", group="Show Plots?", inline="SP5")
// MACD Lines colors
col_macd      = input.color(#FF6D00, "MACD Line  ",  group="Color Settings", inline="CS1")
col_signal    = input.color(#2962FF, "Signal Line  ",  group="Color Settings", inline="CS1")
col_trnd_Up   = input.color(#4BAF4F, "Trend Up      ",  group="Color Settings", inline="CS2")
col_trnd_Dn   = input.color(#B71D1C, "Trend Down    ",  group="Color Settings", inline="CS2")
// Histogram Colors
col_grow_above = input.color(#26A69A, "Above   Grow",  group="Histogram Colors", inline="Hist10")
col_fall_above = input.color(#FF5252, "Fall",  group="Histogram Colors", inline="Hist10")
col_grow_below = input.color(#FF5252, "Below Grow",  group="Histogram Colors", inline="Hist20")
col_fall_below = input.color(#f8f524, "Fall",  group="Histogram Colors", inline="Hist20")
// Alerts T/F Inputs
alert_Long    = input.bool(true, title = "MACD Cross Up", group = "Alerts", inline="Alert10")
alert_Short   = input.bool(true, title = "MACD Cross Dn", group = "Alerts", inline="Alert10")
alert_Long_A  = input.bool(false, title = "MACD Cross Up & > 0", group = "Alerts", inline="Alert20")
alert_Short_B = input.bool(false, title = "MACD Cross Dn & < 0", group = "Alerts", inline="Alert20")
// Calculating
fast_ma = request.security(syminfo.tickerid, res, sma_source == "SMA" ? ta.sma(src, fast_length) : ta.ema(src, fast_length))
slow_ma = request.security(syminfo.tickerid, res, sma_source == "SMA" ? ta.sma(src, slow_length) : ta.ema(src, slow_length))
macd = fast_ma - slow_ma
signal = request.security(syminfo.tickerid, res, sma_signal == "SMA" ? ta.sma(macd, signal_length) : ta.ema(macd, signal_length))
hist = macd - signal
// MACD Trend and Cross Up/Down conditions
trend_up   = macd > signal
trend_dn   = macd < signal
cross_UP   = signal[1] >= macd[1] and signal < macd
cross_DN   = signal[1] <= macd[1] and signal > macd
cross_UP_A = (signal[1] >= macd[1] and signal < macd) and macd > 0
cross_DN_B = (signal[1] <= macd[1] and signal > macd) and macd < 0
// Condition that changes Color of MACD Line if Show Trend is turned on..
trend_col = show_trend  and trend_up ? col_trnd_Up : trend_up ? col_macd : show_trend  and trend_dn ? col_trnd_Dn: trend_dn ? col_macd : na 

//Var Statements for Histogram Color Change
var bool histA_IsUp = false
var bool histA_IsDown = false
var bool histB_IsDown = false
var bool histB_IsUp = false
histA_IsUp   := hist == hist[1] ? histA_IsUp[1] : hist > hist[1] and hist > 0
histA_IsDown := hist == hist[1] ? histA_IsDown[1] : hist < hist[1] and hist > 0
histB_IsDown := hist == hist[1] ? histB_IsDown[1] : hist < hist[1] and hist <= 0
histB_IsUp   := hist == hist[1] ? histB_IsUp[1] : hist > hist[1] and hist <= 0

hist_col =  histA_IsUp ? col_grow_above : histA_IsDown ? col_fall_above : histB_IsDown ? col_grow_below : histB_IsUp ? col_fall_below :color.silver 

// Plot Statements
//Background Color
bgcolor(show_cross and cross_UP ? col_trnd_Up : na, editable=false)
bgcolor(show_cross and cross_DN ? col_trnd_Dn : na, editable=false)
//Highlight Price Bars
barcolor(show_HB and trend_up ? col_trnd_Up : na, title="Trend Up", offset = 0, editable=false)
barcolor(show_HB and trend_dn ? col_trnd_Dn : na, title="Trend Dn", offset = 0, editable=false)
//Regular Plots
plot(show_Hist and hist ? hist : na, title="Histogram", style=plot.style_columns, color=color.new(hist_col ,0),linewidth=show_hist_LW)
plot(show_macd  and signal ? signal : na, title="Signal", color=color.new(col_signal, 0),  style=plot.style_line ,linewidth=show_signal_LW)
plot(show_macd  and macd ? macd : na, title="MACD", color=color.new(trend_col, 0),  style=plot.style_line ,linewidth=show_macd_LW)
hline(0, title="0 Line", color=color.new(color.gray, 0), linestyle=hline.style_dashed, linewidth=1, editable=false)
plot(show_dots and cross_UP ? macd : na, title="Dots", color=color.new(trend_col ,0), style=plot.style_circles, linewidth=show_dots_LW, editable=false)
plot(show_dots and cross_DN ? macd : na, title="Dots", color=color.new(trend_col ,0), style=plot.style_circles, linewidth=show_dots_LW, editable=false)

//Alerts
if alert_Long and cross_UP
    alert("Symbol = (" + syminfo.tickerid + ") TimeFrame = (" + timeframe.period + ") Current Price (" + str.tostring(close) + ") MACD Crosses Up.", alert.freq_once_per_bar_close)

if alert_Short and cross_DN
    alert("Symbol = (" + syminfo.tickerid + ") TimeFrame = (" + timeframe.period + ") Current Price (" + str.tostring(close) + ") MACD Crosses Down.", alert.freq_once_per_bar_close)
//Alerts - Stricter Condition - Only Alerts When MACD Crosses UP & MACD > 0 -- Crosses Down & MACD < 0
if alert_Long_A and cross_UP_A
    alert("Symbol = (" + syminfo.tickerid + ") TimeFrame = (" + timeframe.period + ") Current Price (" + str.tostring(close) + ") MACD > 0 And Crosses Up.", alert.freq_once_per_bar_close)

if alert_Short_B and cross_DN_B
    alert("Symbol = (" + syminfo.tickerid + ") TimeFrame = (" + timeframe.period + ") Current Price (" + str.tostring(close) + ") MACD < 0 And Crosses Down.", alert.freq_once_per_bar_close)


if (histA_IsUp)
	strategy.entry("buy", strategy.long, comment="buy")
if (histA_IsDown)
	strategy.entry("sell", strategy.short, comment="sell")
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