动态MA均线交叉趋势追踪策略


创建日期: 2023-12-19 11:49:30 最后修改: 2023-12-19 11:49:30
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动态MA均线交叉趋势追踪策略

概述

本策略基于动态阻力支撑带和MA均线的交叉作为入场信号,采用趋势追踪止损方式,实现长线追踪获利。

策略原理

  1. 利用百分位统计方法计算动态阻力位和支持位,构建可能的反转区域。

  2. 当价格进入反转区域时,判断MA快线上穿或下穿MA慢线,产生交易信号。

  3. 入场后启动止损追踪机制,采用动态止损方式锁定利润,并跟踪趋势获利。

  4. 当价格触发止损位或止盈位时,平仓离场。

优势分析

  1. 动态阻力支撑带可识别可能的反转区域,提高入场准确率。

  2. MA均线交叉结合百分位通道,避免了虚假信号。

  3. 止损追踪方式可有效锁定利润,防止回撤扩大。

  4. 可配置多种参数,适应不同市场环境。

风险分析

  1. 非趋势性行情下,存在产生虚假信号的风险。

  2. 参数设置不当可能导致过于激进入场,应适当宽松。

  3. 回测数据应覆盖充分行情周期,避免局限性。

  4. 实盘过程中,应适当增加止损幅度,防止跳空。

优化方向

  1. 测试不同MA周期参数的组合效果。

  2. 调整动态阻力支撑参数,优化反转识别效果。

  3. 评估不同止损追踪参数对策略收益曲线的影响。

  4. 尝试結合其他指标过滤信号,提高稳定性。

总结

本策略总体思路清晰,利用动态阻力支撑带识别可能反转区域作为信号过滤器,并采用MA均线判断趋势方向产生交易信号,止损追踪方式有效控制风险,可通过参数优化不断提升策略效果,值得进一步研究与优化。

策略源码
/*backtest
start: 2022-12-12 00:00:00
end: 2023-12-18 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/
// © allanster

//@version=4

strategy("MA-EMA Crossover LT", shorttitle="MA-EMA XO", overlay=true)


//==================== STRATEGY CODE ======================

tradeType = input("BOTH", title="Trade Type ", options=["LONG", "SHORT", "BOTH"])

// === BACKTEST RANGE ===
FromMonth = 01//input(defval=01, title="From Month", minval=1)
FromDay = 01//input(defval=01, title="From Day", minval=1)
FromYear = input(defval=2017, title="From Year", minval=2000)
ToMonth = 12//input(defval=12, title="To Month", minval=1)
ToDay = 31//input(defval=31, title="To Day", minval=1)
ToYear = input(defval=9999, title="To Year", minval=2000)

testPeriod() =>
    time > timestamp(FromYear, FromMonth, FromDay, 00, 00) and 
       time < timestamp(ToYear, ToMonth, ToDay, 23, 59)

stopLossPercent = input(1.00, "Stop Loss Percent")
profitPercent_long = input(3.50, "Profit Percent LONG")
profitPercent_short = input(3.0, "Profit Percent SHORT")

atr_multi_PT = input(1.50, "ATR Multiple for PT")
atr_multi_SL = input(1.50, "ATR Multiple for SL")
//////////////////////////////

isLongOpen = false
isShortOpen = false

//Order open on previous ticker?
isLongOpen := nz(isLongOpen[1])
isShortOpen := nz(isShortOpen[1])

/////////////////////
//Trailing and Profit variables
trigger = 0.0
trigger := na

profitTrigger = 0.0
profitTrigger := na

//obtain values from last ticker
entryPrice = 0.0
entryPrice := nz(entryPrice[1])

stopLossLevel = 0.0
stopLossLevel := nz(stopLossLevel[1])

profitPriceLevel = 0.0
profitPriceLevel := nz(profitPriceLevel[1])


//If in active trade, lets load with current value    
if isLongOpen
    profitTrigger := profitPriceLevel ? high : na
    trigger := stopLossLevel ? ohlc4 : na
    trigger
if isShortOpen
    profitTrigger := profitPriceLevel ? low : na
    trigger := stopLossLevel ? ohlc4 : na
    trigger

isStopLoss = isLongOpen ? trigger < stopLossLevel : 
   isShortOpen ? trigger > stopLossLevel : na
isProfitCatch = isLongOpen ? profitTrigger > profitPriceLevel : 
   isShortOpen ? profitTrigger < profitPriceLevel : na

//===================      Optional Entry Condition    ============
src    = close
len = input(defval = 128, title = "DZ Length", type = input.integer, minval = 1)
// use_dz = input(false, title="Use Dynamic Zone")
pcntAbove = input(defval = 40, title = "Hi is Above X% of Sample", type = input.float, minval = 0, maxval = 100, step = 1.0)
pcntBelow = input(defval = 60, title = "Lo is Below X% of Sample", type = input.float, minval = 0, maxval = 100, step = 1.0)

smplAbove = percentile_nearest_rank(src, len, pcntAbove)
smplBelow = percentile_nearest_rank(src, len, 100 - pcntBelow)

above     = plot(src > smplAbove ? src : smplAbove, title = "Above Line", color = na)
probOB    = plot(smplAbove, title = "OB", color = color.green)
probOS    = plot(smplBelow, title = "OS", color = color.red)
below     = plot(src < smplBelow ? src : smplBelow, title = "Below Line", color = na)
fill(above,  probOB, color = #00FF00, transp = 80)
fill(below,  probOS, color = #FF0000, transp = 80)

// long_dz = close > smplAbove
// short_dz = close < smplBelow


//==============           Entry Conditions        =====================
timeframe = input("5D", title="MA16 Resolution", type=input.resolution)
_ma = sma(hlc3, 16)
ma=security(syminfo.tickerid, timeframe, _ma, barmerge.gaps_off, barmerge.lookahead_on)

_ema=ema(hlc3,7)
ema=security(syminfo.tickerid, timeframe, _ema, barmerge.gaps_off, barmerge.lookahead_on)


long = ma[1] > ema[1] ? crossover(ema, ma) : abs(ma - ema)/ma > 0.025 ? crossover(close, ema) : false
short = ma[1] < ema[1] ? crossunder(ema,ma) : abs(ma - ema)/ma > 0.025 ? crossunder(close, ema): false //:crossunder(close, ema) 

longEntry = (tradeType == "LONG" or tradeType == "BOTH") and long
shortEntry = (tradeType == "SHORT" or tradeType == "BOTH") and short

//Upon Entry, do this.
if longEntry or shortEntry
    entryPrice := ohlc4
    entryPrice

//set price points for new orders
use_dz_sl = input(true, title="Use DZ SL")
if isLongOpen 
    stopLossLevel := use_dz_sl? max(smplAbove, ma) : ema - 0.25*atr_multi_PT* atr(32) //ma
    profitTrail = ma + atr_multi_PT* atr(32)
    profitPriceLevel :=  max( (1 + 0.01 * profitPercent_long) * entryPrice, profitTrail)
    profitPriceLevel
if isShortOpen 
    stopLossLevel :=  use_dz_sl? min(smplBelow, ma) : ema + 0.25*atr_multi_PT* atr(32) //ma
    profitTrail = ma - atr_multi_PT* atr(32)
    profitPriceLevel := min( (1 - 0.01 * profitPercent_short) * entryPrice, profitTrail)
    profitPriceLevel

shortExit = isShortOpen[1] and (isStopLoss or isProfitCatch or longEntry)
longExit = isLongOpen[1] and (isStopLoss or isProfitCatch or shortEntry)


if (longExit or shortExit) and not(longEntry or shortEntry)
    trigger := na
    profitTrigger := na
    entryPrice := na
    stopLossLevel := na
    profitPriceLevel := na
    // highest := na
    // lowest := na
    // lowest

if testPeriod() and (tradeType == "LONG" or tradeType == "BOTH")
    strategy.entry("long", strategy.long, when=longEntry)
    strategy.close("long", when=longExit)

if testPeriod() and (tradeType == "SHORT" or tradeType == "BOTH")
    strategy.entry("short", strategy.short, when=shortEntry)
    strategy.close("short", when=shortExit)


//If the value changed to invoke a buy, lets set it before we leave
isLongOpen := longEntry ? true : longExit == true ? false : isLongOpen
isShortOpen := shortEntry ? true : shortExit == true ? false : isShortOpen


plotshape(isShortOpen, title="Short Open", color=color.red, style=shape.triangledown, location=location.bottom)
plotshape(isLongOpen, title="Long Open", color=color.green, style=shape.triangleup, location=location.bottom)

plotshape(entryPrice ? entryPrice : na, title="Entry Level", color=color.black, style=shape.cross, location=location.absolute)
plotshape(stopLossLevel ? stopLossLevel : na, title="Stop Loss Level", color=color.orange, style=shape.xcross, location=location.absolute)
plotshape(profitPriceLevel ? profitPriceLevel : na, title="Profit Level", color=color.blue, style=shape.xcross, location=location.absolute)
plotshape(profitTrigger[1] ? isProfitCatch : na, title="Profit Exit Triggered", style=shape.diamond, location=location.abovebar, color=color.blue, size=size.small)
plotshape(trigger[1] ? isStopLoss : na, title="Stop Loss Triggered", style=shape.diamond, location=location.belowbar, color=color.orange, size=size.small)

plot(ma, title="MA 16", color=color.yellow)
plot(ema, title="EMA 7", color=color.blue)