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动态MA均线交叉趋势追踪策略Dynamic-MA-Crossover-Trend-Following-Strategy.md

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Name

动态MA均线交叉趋势追踪策略Dynamic-MA-Crossover-Trend-Following-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

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。

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Overview

This strategy uses the crossover of dynamic resistance/support bands and MA lines as entry signals, and adopts trend following stops to lock in profits.

Strategy Logic

  1. Calculate dynamic resistance and support levels using percentile statistics to identify potential reversal zones.

  2. When price enters the reversal zone, check if fast MA crosses over/under slow MA to generate trading signals.

  3. After entry, start trailing stop mechanism to lock in profits dynamically and follow the trend.

  4. When price hits predefined stop loss or take profit levels, close positions.

Advantages

  1. Dynamic bands help identify potential reversal areas and improve entry accuracy.

  2. Combining MA crossover and percentile channel avoids false signals.

  3. Trailing stop locks in profits effectively and prevents excessive drawdowns.

  4. Customizable parameters suit different market environments.

Risks

  1. False signals may occur in non-trending markets.

  2. Overly aggressive entries due to improper parameter tuning.

  3. Backtest data should cover sufficient market cycles.

  4. Consider wider stops in live trading to prevent gaps.

Enhancement

  1. Test different MA periods combinations.

  2. Optimize reversal identification by adjusting dynamic bands parameters.

  3. Evaluate impacts on equity curve from different trailing stop parameters.

  4. Try adding filters to improve reliability.

Conclusion

The overall logic of this strategy is clear. It uses dynamic bands to filter signals, judges trend direction by MA crossover, and effectively controls risk with trailing stop mechanism. Further optimization through parameter tuning can continuously improve strategy performance for production.

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Strategy Arguments

Argument Default Description
v_input_1 0 Trade Type : BOTH
v_input_2 2017 From Year
v_input_3 9999 To Year
v_input_4 true Stop Loss Percent
v_input_5 3.5 Profit Percent LONG
v_input_6 3 Profit Percent SHORT
v_input_7 1.5 ATR Multiple for PT
v_input_8 1.5 ATR Multiple for SL
v_input_9 128 DZ Length
v_input_10 40 Hi is Above X% of Sample
v_input_11 60 Lo is Below X% of Sample
v_input_12 5D MA16 Resolution
v_input_13 true Use DZ SL

Source (PineScript)

/*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)

Detail

https://www.fmz.com/strategy/435850

Last Modified

2023-12-19 11:49:30