Skip to content

Latest commit

 

History

History
206 lines (158 loc) · 8.98 KB

趋势追踪型EMA突破策略Trend-Tracking-EMA-Breakout-Strategy.md

File metadata and controls

206 lines (158 loc) · 8.98 KB
Raw

Name

趋势追踪型EMA突破策略Trend-Tracking-EMA-Breakout-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略是一个基于指数移动平均线(EMA)的趋势追踪型突破策略。它在月线、周线和日线时间框架上判断趋势方向,并在日线上执行具体的入场和出场操作。

策略原理

趋势判断

  1. 在月线上,价格高于8日EMA,8日EMA高于21日EMA,判断为多头趋势;
  2. 在周线上,价格高于8日EMA,8日EMA高于21日EMA,判断为多头趋势;
  3. 在日线上,价格高于8日EMA,8日EMA高于21日EMA,判断为多头趋势;

入场信号

  1. 在日线上出现向下回调,低点触及昨日8日EMA;
  2. 回调构成Lower High和Lower Low的Ring Low形态;
  3. 收盘价高于前一日的最高价构成趋势反转信号;

出场信号

设置止盈止损标准,达到退出。

优势分析

  1. 在三个时间框架判断趋势,提高判断准确性;
  2. 回调低点触及EMA构成支持,增加入场确定性;
  3. 追踪趋势运行,盈利潜力大;

风险分析

  1. 三个时间框架判断不一致可能引发错误信号;
  2. 回调幅度过大致使策略失效;
  3. 市场出现断头派对可能席卷止损;

优化方向

  1. 增加 MACD、RSI 等指标辅助判断;
  2. 优化EMA参数设置;
  3. 结合波动率指标调整止盈止损幅度;

总结

该策略整体作为一个趋势追踪策略,在正确判断趋势时,盈利潜力非常好。需要注意防止趋势判断错误和回调过度而产生错误信号。同时,优化止盈止损设置也是进一步提高策略优势的关键。

||

Overview

This is a trend tracking breakout strategy based on Exponential Moving Average (EMA). It judges the trend direction on the monthly, weekly and daily time frames, and executes specific entry and exit actions on the daily chart.

Strategy Logic

Trend Judgment

  1. On the monthly chart, price is above 8-day EMA and 8-day EMA is above 21-day EMA, indicating an uptrend;
  2. On the weekly chart, price is above 8-day EMA and 8-day EMA is above 21-day EMA, indicating an uptrend;
  3. On the daily chart, price is above 8-day EMA and 8-day EMA is above 21-day EMA, indicating an uptrend;

Entry Signal

  1. A pullback is seen on the daily chart with the low point touching yesterday's 8-day EMA;
  2. The pullback forms a Ring Low pattern with lower high and lower low;
  3. The closing price is higher than the previous day's high, forming a trend reversal signal.

Exit Signal

Set profit taking and stop loss standards for exiting.

Advantage Analysis

  1. Judging the trend on three time frames improves accuracy;
  2. Pullback to EMA forms support and increases entry certainty;
  3. Tracking trend runs has high profit potential;

Risk Analysis

  1. Inconsistent judgments across time frames may cause false signals;
  2. Excessive pullback magnitude may invalidate the strategy;
  3. Stop loss sweep may occur during flash crashes.

Optimization Directions

  1. Add MACD, RSI for supplementary judgment;
  2. Optimize EMA parameter settings;
  3. Adjust profit taking and stop loss range based on volatility.

Summary

The strategy has very good profit potential when the trend is correctly judged. Need to watch out for inaccurate trend judgment and excessive pullback causing false signals. Meanwhile, optimizing profit taking and stop loss settings is key to further improving the edge.

[/trans]

Strategy Arguments

Argument Default Description
v_input_float_1 10 Profit Target %
v_input_float_2 10 Stop Loss %
v_input_bool_1 false Relaxed Entry Rules

Source (PineScript)

/*backtest
start: 2023-01-11 00:00:00
end: 2024-01-11 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/
// © the_daily_trader

//@version=5
// ---------------------        Start of Code        ---------------------
strategy("Swing Trades Validator", overlay=true, margin_long=100, pyramiding = 0)

// Indicator Display Checks
TakeProfitPercent       = input.float(title="Profit Target %", defval=10, minval=1, step=0.05)
StopLossPercent         = input.float(title="Stop Loss %", defval=10, minval=1, step=0.05)
pullbackchoice          = input.bool(false, "Relaxed Entry Rules")

// EMAs
emaH            = ta.ema(close, 8)
emaHyest        = ta.ema(close[1], 8)
emaHyest1       = ta.ema(close[2], 8)
emaHyest2       = ta.ema(close[3], 8)
emaL            = ta.ema(close, 21)
emaLyest        = ta.ema(close[1], 21)
emaLyest1       = ta.ema(close[2], 21)
emaLyest2       = ta.ema(close[3], 21)
emaf            = ta.ema(close, 50)
emath           = ta.ema(close, 200)
emathhigh       = ta.ema(high, 200)
emathlow        = ta.ema(low, 200)
emaslowmonthly  = request.security(syminfo.tickerid, "M", emaL) // Monthly 21ema
emafastmonthly  = request.security(syminfo.tickerid, "M", emaH) // Monthly 8ema
emaslowweekly   = request.security(syminfo.tickerid, "W", emaL) // Weekly 21ema
emafastweekly   = request.security(syminfo.tickerid, "W", emaH) // Weekly 8ema
emaslowdaily    = request.security(syminfo.tickerid, "D", emaL) // Daily 21ema
emafastdaily    = request.security(syminfo.tickerid, "D", emaH) // Daily 8ema
emafdaily       = request.security(syminfo.tickerid, "D", emaf) // Daily 50ema
emathdaily      = request.security(syminfo.tickerid, "D", emath) // Daily ema
emathdailyhigh  = request.security(syminfo.tickerid, "D", emathhigh) // Daily ema High
emathdailylow   = request.security(syminfo.tickerid, "D", emathlow) // Daily ema Low
ema21yest       = request.security(syminfo.tickerid, "D", emaLyest) // Daily 21ema 1 day ago
ema21yest1      = request.security(syminfo.tickerid, "D", emaLyest1) // Daily 21ema 2 days ago
ema21yest2      = request.security(syminfo.tickerid, "D", emaLyest2) // Daily 21ema 3 days ago
ema8yest        = request.security(syminfo.tickerid, "D", emaHyest) // Daily 8ema 1 day ago
ema8yest1       = request.security(syminfo.tickerid, "D", emaHyest1) // Daily 8ema 2 days ago
ema8yest2       = request.security(syminfo.tickerid, "D", emaHyest2) // Daily 8ema 3 days ago


// Prices
monthopen       = request.security(syminfo.tickerid, 'M', open, barmerge.gaps_off, barmerge.lookahead_on)
monthclose      = request.security(syminfo.tickerid, 'M', close, barmerge.gaps_off, barmerge.lookahead_on)
weekopen        = request.security(syminfo.tickerid, 'W', open, barmerge.gaps_off, barmerge.lookahead_on)
weekclose       = request.security(syminfo.tickerid, 'W', close, barmerge.gaps_off, barmerge.lookahead_on)
dayopen         = request.security(syminfo.tickerid, 'D', open, barmerge.gaps_off, barmerge.lookahead_on)
dayclose        = request.security(syminfo.tickerid, 'D', close, barmerge.gaps_off, barmerge.lookahead_on)
threedayhigh    = request.security(syminfo.tickerid, 'D', high[3], barmerge.gaps_off, barmerge.lookahead_on)
twodayhigh      = request.security(syminfo.tickerid, 'D', high[2], barmerge.gaps_off, barmerge.lookahead_on)
yesthigh        = request.security(syminfo.tickerid, 'D', high[1], barmerge.gaps_off, barmerge.lookahead_on)
yestlow         = request.security(syminfo.tickerid, 'D', low[1], barmerge.gaps_off, barmerge.lookahead_on)

// Conditions 
monthlybullish          = emafastmonthly > emaslowmonthly
monthlybullishprice     = close > emafastmonthly
monthlybullishcandle    = monthclose > monthopen
weeklybullish           = emafastweekly > emaslowweekly
weeklybullishprice      = close > emafastweekly
weeklybullishcandle     = weekclose > weekopen
dailybullish1           = emafdaily > emathdaily
dailybullish2           = emafastdaily > emaslowdaily
dailybullishprice       = close > emafastdaily
dailybullishcandle      = dayclose > dayopen
ringlow                 = yestlow <= ema8yest
aggropullback           = twodayhigh < threedayhigh
pullback                = (pullbackchoice ? aggropullback : 0)
pullbackfailure         = dayclose > yesthigh and yesthigh < twodayhigh or pullback
emasetup                = ema8yest > ema21yest and ema8yest1 > ema21yest1 and ema8yest2 > ema21yest2

// Target Profit and Stop Loss Inputs
// Input parameters can be found at the beginning of the code
ProfitTarget        = (close * (TakeProfitPercent / 100)) / syminfo.mintick
StopLoss            = (close * (StopLossPercent / 100)) / syminfo.mintick

longCondition = monthlybullish and monthlybullishprice and weeklybullish and weeklybullishprice and dailybullish1 and dailybullish2 and dailybullishprice and monthlybullishcandle and weeklybullishcandle and dailybullishcandle and ringlow and pullbackfailure and emasetup

if (longCondition)
    strategy.entry("Long", strategy.long)
    strategy.exit ("Exit", "Long", profit = ProfitTarget, loss = StopLoss)
    // strategy.close("Long", qty_percent = 100)


// -----------xxxxxxxxxxx-------------    End of Code     -----------xxxxxxxxxxx---------------

Detail

https://www.fmz.com/strategy/438495

Last Modified

2024-01-12 14:23:11