ChaoZhang
概述
动态价格摆荡器(Dynamic Price Swing)是一个用于识别价格趋势的策略。它结合了移动平均线、价格通道和费波那契回撤来实现动态的入场和出场。该策略的优点在于能够识别价格趋势的变化,实现灵活的操作。
策略原理
该策略主要基于以下几点原理构建:
使用快速EMA和慢速EMA来判断价格趋势方向,以防止逆势交易
使用价格上下限通道来判断突破信号,当价格突破上限通道时做空,突破下限通道时做多
使用移动平均线交叉做判断信号,金叉做多,死叉做空
使用费波那契回撤线做判断信号,价格突破费波那契上限线时做空,突破费波那契下限线时做多
根据这些指标判断后进入场内,并设置止损、止盈退出机制。
优势分析
该策略结合了多种指标判断,能够识别价格趋势的变化,这是它的最大优势。主要优势如下:
- 使用快慢EMA判断大趋势,防止逆势交易,可以减少损失
- 价格通道判断可以获取价格突破的机会,获利潜力较大
- 移动平均线交叉判断简单实用,容易实现
- 费波那契回撤又增加了一种判断方式,使策略更加立体化
风险分析
该策略也存在一些风险需要注意:
- 快速EMA和慢速EMA参数设置不当可能导致判断错误
- 突破价格上下限通道的时间点选择不当可能引发亏损单
- 移动平均线交叉的选择也需要谨慎
- 费波那契回撤带宽度设置不当也会影响判断效果
这些风险都可以通过参数优化来降低。
优化方向
该策略还有一些可以优化的方向:
- 对EMA周期、通道宽度、移动平均线周期等参数进行测试和优化
- 增加其他技术指标判断,如RSI、布林带等判断规则
- 结合交易量能量指标如OBV来判断突破的可靠性
- 利用机器学习等技术自动寻找最优参数
总结
动态价格摆荡器是一个非常灵活多变的策略。它能够动态适应价格变化,通过多种指标判断突破并交易。虽然也存在一些风险,但可以通过不断优化来降低风险,提高策略的稳定性和盈利能力。该策略值得深入研究。
策略源码
/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 00:00:00
period: 1m
basePeriod: 1m
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/
//@version=4
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//╚══════╝ ╚═════╝ ╚══════╝ ╚═════╝ ╚═╝ ╚═╝ ╚═════╝ ╚═╝ ╚═══╝╚══════╝ ╚═╝ ╚════╝ ╚═╝ ╚════╝
strategy(shorttitle='DPS',title='Dynamic Price Swing', overlay=true, scale=scale.left, initial_capital = 1000, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.18, calc_on_every_tick=true)
// ----------------- Strategy Inputs -------------------------------------------------------------
//Backtest dates with auto finish date of today
start = input(defval = timestamp("22 June 2021 00:00 -0500"), title = "Start Time")
finish = input(defval = timestamp("31 December 2021 00:00 -0600"), title = "End Time")
window() => true // create function "within window of time"
// Strategy Selection - Long, Short, or Both
stratinfo = input(true, "Long/Short for Mixed Market, Long for Bull, Short for Bear")
strat = input(title="Trade Types", defval="Long/Short", options=["Long Only", "Long/Short", "Short Only"])
strat_val = strat == "Long Only" ? 1 : strat == "Long/Short" ? 0 : -1
// Risk Management Inputs
sl= input(10.0, "Stop Loss %", minval = 0, maxval = 100, step = 0.01)
stoploss = sl/100
tp = input(20.0, "Target Profit %", minval = 0, maxval = 100, step = 0.01)
TargetProfit = tp/100
ld = input(2, "Stop Trading After This Many Losing Days", type=input.integer, minval=0, maxval=100, step=1)
// strategy.risk.max_cons_loss_days(count=ld)
ml = input(10, "Maximum % of Equity Lost to Halt Trading", type=input.integer, minval=1, maxval=100, step=1)
// strategy.risk.max_drawdown(value=ml, type=strategy.percent_of_equity)
// Price Movement Inputs
PriceInfo = input(true, "Number of bars to look back on to calculate price swings.")
lkbk = input(5,"Max Lookback Period")
high_source = input(high,"High Source")
low_source= input(low,"Low Source")
// Trend Inputs
TrendInfo = input(true, "Trend uses Fast and Slow EMA to prevent going the wrong direction")
length = input(14, "RSI Length", minval=1)
fastLength = input(12, minval=1, title="EMA Fast Length")
slowLength = input(26, minval=1, title="EMA Slow Length")
// Trigger Selection
usePrice = input(true, "Use Average Price Channel Only")
useMA = input(false, "Use Price Moving Average Only")
useFib = input(false, "Use Price Fibonacci Average Only")
// Trend Direction Calculation
rsi_ema = ema(rsi(close, length), length)
emaA = ema(rsi_ema, fastLength)
emaFast = 2 * emaA - ema(emaA, fastLength)
emaB = ema(rsi_ema, slowLength)
emaSlow = 2 * emaB - ema(emaB, slowLength)
bullishRule =emaFast > emaSlow and rsi_ema >=rsi_ema[1]
bearishRule =emaFast < emaSlow and rsi_ema <= rsi_ema[1]
// Price Channel
lasthigh = highest(high_source, lkbk)
lastlow = lowest(low_source, lkbk)
// Fibonacci and Moving Average
MA1 = sma(close,5),HA1 = sma(high,5),LA1 = sma(low,5),
MA2 = sma(close,8),HA2 = sma(high,8),LA2 = sma(low,8),
MA3 = sma(close,13),HA3 = sma(high,13),LA3 = sma(low,13),
MA4 = sma(close,21),HA4 = sma(high,21),LA4 = sma(low,21),
MA5 = sma(close,34),HA5 = sma(high,34),LA5 = sma(low,34),
MA6 = sma(close,55),HA6 = sma(high,55),LA6 = sma(low,55),
MA7 = sma(close,89),HA7 = sma(high,89),LA7 = sma(low,89),
CMA = (MA1+MA2+MA3+MA4+MA5+MA6+MA7)/7,
HMA = (HA1+HA2+HA3+HA4+HA5+HA6+HA7)/7,
HMA2 = CMA + (atr(lkbk)*1.618)
LMA = (LA1+LA2+LA3+LA4+LA5+LA6+LA7)/7,
LMA2 = CMA - (atr(lkbk)*1.618)
plot(CMA, title="CMA", color=color.new(#00ffaa, 70), linewidth=2)
plot(HMA, title="HMA", color=color.maroon, linewidth=2)
plot(HMA2, title="HMA Fib", color=color.red, linewidth=3)
plot(LMA, title="LMA", color=color.green, linewidth=2)
plot(LMA2, title="LMA Fib", color=color.teal, linewidth=3)
// -------------------------------- Entry and Exit Logic ------------------------------------
// Entry Logic
Channel_Sell = close >= lasthigh[1] and bearishRule and window()
Channel_Buy = close <= lastlow[1] and bullishRule and window()
MA_Sell = high>HMA and window()
MA_Buy = low<LMA and window()
Fib_Sell = high>HMA2 and window()
Fib_Buy = low<LMA2 and window()
qty = strategy.equity/close
// Strategy Entry and Exit with built in Risk Management
if(strategy.opentrades==0 and strat_val>-1)
GoLong = usePrice ? Channel_Buy : useMA ? MA_Buy : useFib ? Fib_Buy : false
if (GoLong)
strategy.entry("LONG", strategy.long, qty)
if(strategy.opentrades==0 and strat_val<1)
GoShort = usePrice ? Channel_Sell : useMA ? MA_Sell : useFib ? Fib_Sell : false
if (GoShort)
strategy.entry("SHORT", strategy.short, qty)
longStopPrice = strategy.position_avg_price * (1 - stoploss)
longTakePrice = strategy.position_avg_price * (1 + TargetProfit)
shortStopPrice = strategy.position_avg_price * (1 + stoploss)
shortTakePrice = strategy.position_avg_price * (1 - TargetProfit)
if (strategy.position_size > 0)
strategy.exit(id="Exit Long", from_entry = "LONG", stop = longStopPrice, limit = longTakePrice)
if (strategy.position_size < 0)
strategy.exit(id="Exit Short", from_entry = "SHORT", stop = shortStopPrice, limit = shortTakePrice)
CloseShort= usePrice ? Channel_Buy : useMA ? MA_Buy : useFib ? Fib_Buy : false
CloseLong = usePrice ? Channel_Sell : useMA ? MA_Sell : useFib ? Fib_Sell : false
if(CloseLong and strategy.position_size > 0)
strategy.close("LONG")
if(CloseShort and strategy.position_size < 0)
strategy.close("SHORT")