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双基指标跟随策略Multiple-Indicators-Follow-Strategy.md

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Name

双基指标跟随策略Multiple-Indicators-Follow-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

双基指标跟随策略是一种数字货币量化交易策略。该策略通过结合123反转指标和Qstick指标两个基础指标的信号,产生交易信号,根据两个指标的一致性决定是否入场。

策略原理

该策略由两部分组成:

  1. 123反转指标

该指标的交易信号来自最后两个K线的收盘价。如果最后两个K线的收盘价出现反转(即收盘价从上涨转为下跌或从下跌转为上涨),且同时满足随机指标的条件,则产生交易信号。

具体来说,如果前两日收盘价下跌,今日收盘价上涨,同时9日随机慢线低于50,产生买入信号;如果前两日收盘价上涨,今日收盘价下跌,同时9日随机快线高于50,产生卖出信号。

  1. Qstick指标

该指标通过计算开盘价与收盘价的差值的简单移动平均,判断多头和空头的力量。其通过零轴的穿越产生交易信号。

如果Qstick上穿零轴,表示多头力量增加,产生买入信号;如果Qstick下穿零轴,表示空头力量增加,产生卖出信号。

双基指标跟随策略则综合考虑123反转指标和Qstick指标的交易信号,当两者信号一致时,采取相应的交易行动。

优势分析

双基指标跟随策略结合两个不同类型指标的信号,可以提高交易信号的准确性。相比单一指标,能够有效减少错误信号并获取更高胜率。

另外,该策略仅在两种指标信号一致时才入场,可以有效控制风险,防止双基差异常。

风险及解决方法

  1. 指标信号产生时间存在差异,无法完美配合

可以通过参数优化,调整两个指标的参数,使其信号产生的频率和节奏更加协调。

  1. 双基差异常导致超短线运行

可以设置最小持仓周期,避免频繁撤销委托和建立委托。

优化方向

  1. 对两个指标的长度参数进行优化,找到最佳参数组合

  2. 测试不同的随机指标参数配置

3.加入止损策略

总结

双基指标跟随策略通过组合多个基础指标的优势,能够提高信号质量,在控制风险的同时获取较高收益。该策略有进一步参数优化和策略优化的空间,通过测试可以使策略更加稳定可靠。

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Overview

The Multiple Indicators Follow strategy is a quantitative trading strategy for cryptocurrencies. This strategy generates trading signals by combining the signals from two basic indicators, the 123 Reversal indicator and the Qstick indicator, and decides whether to enter the market based on the consistency of the two indicators.

Strategy Logic

The strategy consists of two parts:

  1. 123 Reversal Indicator

The trading signals of this indicator come from the closing prices of the last two candlesticks. If the closing prices of the last two candlesticks reverse (i.e. closing price switches from rising to falling or vice versa), while satisfying the condition of the Stochastic Oscillator, it will generate trading signals.

Specifically, if the closing prices of the previous two days fall and today's closing price rises, while the 9-day Stochastic Slow line is lower than 50, it generates a buy signal; if the closing prices of the previous two days rise and today's closing price falls, while the 9-day Stochastic Fast line is higher than 50, it generates a sell signal.

  1. Qstick Indicator

This indicator judges the strength of bulls and bears by calculating the simple moving average of the difference between the opening price and closing price. It generates trading signals when crossing the zero line.

If Qstick crosses above the zero line, it indicates increasing bullish momentum and generates a buy signal. If Qstick crosses below the zero line, it indicates increasing bearish momentum and generates a sell signal.

The Multiple Indicators Follow strategy then comprehensively considers the trading signals from both the 123 Reversal indicator and the Qstick indicator. It will take relevant trading actions only when the signals from both indicators are consistent.

Advantage Analysis

The Multiple Indicators Follow strategy combines the signals of two different types of indicators, which can improve the accuracy of trading signals. Compared with a single indicator, it can effectively reduce false signals and achieve higher win rates.

In addition, this strategy only enters the market when the signals of both indicators are consistent, which can effectively control risks and prevent abnormalities in the difference between the two indicators.

Risks and Solutions

  1. Time difference in signal generation between indicators, cannot perfectly match

This can be solved by parameter optimization, adjusting parameters of the two indicators to coordinate the frequency and rhythm of their signal generation.

  1. Abnormal difference between indicators causing over-trading

Can set minimum holding period to avoid frequently canceling and creating orders.

Optimization Directions

  1. Optimize length parameters of both indicators to find optimal parameter combinations

  2. Test Stochastic Oscillator configurations with different parameters

  3. Add stop loss strategy

Conclusion

By combining the advantages of multiple basic indicators, the Multiple Indicators Follow strategy can improve signal quality. While controlling risks, it can achieve relatively higher returns. There is room for further parameter and strategy optimization for this strategy. Through testing, the strategy can be made more stable and reliable.

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Strategy Arguments

Argument Default Description
v_input_1 true ---- 123 Reversal ----
v_input_2 14 Length
v_input_3 true KSmoothing
v_input_4 3 DLength
v_input_5 50 Level
v_input_6 true ---- Qstick Indicator ----
v_input_7 14 LengthQ
v_input_8 false Trade reverse

Source (PineScript)

/*backtest
start: 2023-12-26 00:00:00
end: 2024-01-25 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 24/05/2021
// This is combo strategies for get a cumulative signal. 
//
// 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
// A technical indicator developed by Tushar Chande to numerically identify 
// trends in candlestick charting. It is calculated by taking an 'n' period 
// moving average of the difference between the open and closing prices. A 
// Qstick value greater than zero means that the majority of the last 'n' days 
// have been up, indicating that buying pressure has been increasing. 
// Transaction signals come from when the Qstick indicator crosses through the 
// zero line. Crossing above zero is used as the entry signal because it is indicating 
// that buying pressure is increasing, while sell signals come from the indicator 
// crossing down through zero. In addition, an 'n' period moving average of the Qstick 
// values can be drawn to act as a signal line. Transaction signals are then generated 
// when the Qstick value crosses through the trigger line.
//
// 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


Qstick(Length) =>
    pos = 0.0
    xR = close - open
    xQstick = sma(xR, Length)
    pos:= iff(xQstick > 0, 1,
           iff(xQstick < 0, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Qstick Indicator", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Qstick Indicator ----")
LengthQ = input(14, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posQstick = Qstick(LengthQ)
pos = iff(posReversal123 == 1 and posQstick == 1 , 1,
	   iff(posReversal123 == -1 and posQstick == -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 ? #b50404: possig == 1 ? #079605 : #0536b3 )

Detail

https://www.fmz.com/strategy/440094

Last Modified

2024-01-26 15:42:36