ChaoZhang
概述
本策略是一种双重趋势反转移动平均线组合策略。它结合了123反转策略和比尔威廉姆斯平均线策略,利用两种策略的信号进行组合,以获取更准确的交易信号。
策略原理
该策略由两部分组成:
123反转策略:当收盘价连续两天高于上一天的收盘价,且9日慢速K线低于50时做多;当收盘价连续两天低于上一天的收盘价,且9日快速K线高于50时做空。
比尔威廉姆斯平均线策略:计算13日、8日和5日的中价移动平均线,当短期移动平均线上穿中长期移动平均线时做多;当短期移动平均线下穿中长期移动平均线时做空。
最后,如果两种策略的信号方向一致则产生实际的交易信号,如果不一致则不交易。
优势分析
该策略结合双重趋势判断,可以减少假信号,提高信号准确性。另外,移动平均线的加入也可以过滤掉部分噪音。
风险分析
该策略存在以下风险:
- 双重筛选信号可能导致错过较好的交易机会
- 移动平均线组合设置不当可能误判市场趋势
- 反转策略本身即具有亏损风险
可以通过调整移动平均线参数或优化入场退出逻辑来降低风险。
优化方向
该策略可以从以下几个方面进行优化:
- 测试不同参数的移动平均线组合,找到最佳参数
- 增加止损策略避免大额亏损
- 结合成交量指标识别信号质量
- 利用机器学习方法自动优化参数
总结
本策略整合双重趋势判断与移动平均线指标,可以有效过滤噪音信号,提高交易决策准确性。但也存在一定风险,需要不断测试与优化入场退出逻辑,才能在实盘中稳定盈利。
策略源码
/*backtest
start: 2023-10-28 00:00:00
end: 2023-11-27 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 18/06/2019
// This is combo strategies for get
// a cumulative signal. Result signal will return 1 if two strategies
// is long, -1 if all strategies is short and 0 if signals of strategies is not equal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This indicator calculates 3 Moving Averages for default values of
// 13, 8 and 5 days, with displacement 8, 5 and 3 days: Median Price (High+Low/2).
// The most popular method of interpreting a moving average is to compare
// the relationship between a moving average of the security's price with
// the security's price itself (or between several moving averages).
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
BillWilliamsAverages(LLength, MLength,SLength, LOffset,MOffset, SOffset ) =>
xLSma = sma(hl2, LLength)[LOffset]
xMSma = sma(hl2, MLength)[MOffset]
xSSma = sma(hl2, SLength)[SOffset]
pos = 0
pos := iff(close < xSSma and xSSma < xMSma and xMSma < xLSma, -1,
iff(close > xSSma and xSSma > xMSma and xMSma > xLSma, 1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Bill Williams Averages. 3Lines", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LLength = input(13, minval=1)
MLength = input(8,minval=1)
SLength = input(5,minval=1)
LOffset = input(8,minval=1)
MOffset = input(5,minval=1)
SOffset = input(3,minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posBillWilliamsAverages = BillWilliamsAverages(LLength, MLength,SLength, LOffset, MOffset, SOffset)
pos = iff(posReversal123 == 1 and posBillWilliamsAverages == 1 , 1,
iff(posReversal123 == -1 and posBillWilliamsAverages == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1, 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? red: possig == 1 ? green : blue )