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双EMA均线追踪策略Dual-Exponential-Moving-Average-Trend-Following-Strategy.md

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Name

双EMA均线追踪策略Dual-Exponential-Moving-Average-Trend-Following-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

双EMA均线追踪策略(Dual Exponential Moving Average Trend Following Strategy)是一种基于均线交叉的趋势跟踪策略。该策略通过计算快线EMA和慢线EMA,并根据它们的交叉情况来判断当前趋势方向。当快线上穿慢线时,判断为看涨;当快线下穿慢线时,判断为看跌。根据判断出的趋势方向,该策略可以进行看涨或看跌操作。

策略原理

该策略的核心逻辑在于计算两条不同周期的EMA均线,一条作为空头线,一条作为多头线。具体来说,策略通过talib指标计算出一条8周期的快速EMA均线,作为多头线;另外计算出一条21周期的慢速EMA均线,作为空头线。然后判断快速EMA线和慢速EMA线的交叉关系,当快线上穿慢线时,判断为看涨,可以做多;当快线下穿慢线时,判断为看跌,可以做空。

在具体实施交易操作时,该策略既可以只做多,也可以只做空;还可以在快慢线发生交叉时,同时进行双向交易。此外,策略还设置有止损和止盈价格。在开仓后,如果价格运行方向不利,将止损退出;如果价格运行达到预期目标,将止盈收场。

优势分析

双EMA均线追踪策略的最大优势在于使用了均线交叉的强大趋势判断能力。EMA均线作为一种常用的趋势判断工具,通过均线交叉来识别价格变化趋势和转折时机,可以避免被短线市场噪音所迷惑,把握主要的趋势方向。

另外,策略灵活的交易方向设置,既可以适应单向行情,也能捕捉价格在震荡区间的双向机会,增加了策略的实用性。同时设置止损止盈,可以有效控制风险,locking住部分利润。

风险分析

双EMA均线追踪策略最大的风险在于,震荡行情下的多次小幅度交叉造成交叉信号的频繁触发和虚假信号。这将导致策略频繁开仓和损失。这种情况下,可以适当增大EMA周期,减少交叉次数和虚假信号发生概率。

另一方面,止损范围设置过小也会增加策略被击出的概率。这种情况下,可以适当扩大止损范围,但也需要权衡被套利盘的风险。

优化方向

该策略可以从以下几个方面进一步优化:

  1. 动态调整EMA均线周期。可以根据市场波动率和最优参数回测结果,让EMA周期动态变化,避免固定周期下的过拟合问题。

  2. 增加过滤条件过滤虚假信号。例如可以结合交易量,过滤小幅震荡时产生的假交叉。也可以结合其他指标,如MACD、KDJ等,避免在不确定的时段产生信号。

  3. 优化止损止盈策略,结合ATR等指标,可以实现止损止盈的动态跟踪。避免止损过小和止盈过早的问题。

  4. 测试不同的持仓时间。持仓时间过长,容易被突发事件影响;持仓时间过短,则交易成本和滑点成本较高。找到最佳持仓天数,可以提高策略盈利能力。

总结

双EMA均线追踪策略整体来说是一个稳健实用的趋势跟踪策略。它利用EMA均线交叉判断价格趋势,可以有效把握行情方向。同时 Settings灵活的交易方向设置提高了策略适应性;以及止损止盈设置控制了风险。通过进一步优化和完善,该策略可以成为量化交易的有力工具。

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Overview

The Dual Exponential Moving Average Trend Following Strategy is a trend following strategy based on exponential moving average (EMA) crossovers. It judges the current trend direction by calculating fast EMA line and slow EMA line and acts on their crossovers. When the fast EMA line crosses above the slow EMA line, it is determined as a bullish signal. When the fast EMA line crosses below the slow EMA line, it is determined as a bearish signal. Based on the identified trend direction, this strategy can go long or go short accordingly.

Strategy Logic

The core logic of this strategy lies in calculating two EMA lines of different periods - one acts as the bearish line and one acts as the bullish line. Specifically, the strategy calculates an 8-period fast EMA line using talib indicator as the bullish line. And it calculates a 21-period slow EMA line as the bearish line. Then it judges the crossover relationships between the fast EMA line and slow EMA line. When fast line crosses above slow line, it determines a bullish signal to go long. When fast line crosses below slow line, it determines a bearish signal to go short.

In terms of actual trade execution, this strategy can go long only, go short only, or go both ways when crossover happens between fast and slow lines. Also, stop loss and take profit prices are configured in the strategy. After opening positions, if price goes in unfavorable direction, stop loss will be triggered to exit positions. If price reaches the expected target level, take profit will realize and close positions.

Advantage Analysis

The biggest advantage of the Dual EMA Trend Following strategy lies in the powerful trend identification capability of moving average crossovers. As a common tool for trend analysis, EMA lines can identify trend shifts and turning points through crossovers, avoiding being misled by market noises in short term and catching the main trend direction.

Also, the flexible settings on trade directions make the strategy adaptable to both one-way trends and two-way oscillations, thus enhances the strategy's applicability. The configured stop loss and take profit controls risk and locks in partial profit.

Risk Analysis

The biggest risk of this strategy is the false signals triggered by frequent small crossovers under range-bound markets. This would lead to excessive position opening and losses. To tackle this, we can increase EMA periods to reduce crossover times and false signal probabilities.

On the other hand, a too tight stop loss setting also increases the chance of getting stopped out. In this case, we need to expand the stop loss range carefully balancing the risk of being trapped.

Optimization Directions

This strategy can be further optimized in the following aspects:

  1. Adaptive adjustment on EMA periods based on market volatility and backtest results, avoiding overfitting under fixed periods.

  2. Adding filter conditions to filter out false signals, e.g. combine with trading volumes to filter insignificant crossovers; or combine other indicators like MACD and KDJ to avoid signals in uncertainty.

  3. Optimizing stop loss and take profit strategies, e.g. combining ATR to realize dynamic trailing on SL/TP, preventing over-tight SL and premature TP.

  4. Testing different holding periods. Too long holding periods can be impacted by incidents, while too short periods lead to high trading costs and slippage costs. Finding the optimum holding days can improve strategy profitability.

Summary

In general, the Dual EMA Trend Following Strategy is a robust and practical trend trading system. It catches trend directions effectively through EMA crossover system. Meanwhile, the flexible settings on trade directions make it adaptable; the configured stop loss and take profit control risks. With further optimizations and enhancements, this strategy can become a powerful tool for quantitative trading.

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Strategy Arguments

Argument Default Description
v_input_int_1 8 Fast EMA Length
v_input_int_2 21 Slow EMA Length
v_input_string_1 0 Sides: Both
v_input_string_2 0 Percent or Pips: Percent
v_input_float_1 false Stop Loss Long
v_input_float_2 false Stop Loss Short
v_input_float_3 false Target Profit Long
v_input_float_4 false Target Profit Short
v_input_1 timestamp(01 Jan 2021 00:00 +0000) (?Date Range)Start Time
v_input_2 timestamp(31 Dec 2023 23:59 +0000) End Time

Source (PineScript)

/*backtest
start: 2024-01-02 00:00:00
end: 2024-02-01 00:00:00
period: 2h
basePeriod: 15m
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/
// © TradersPostInc

//@version=5
strategy('TradersPost Example MOMO Strategy', overlay=true, default_qty_value=100, initial_capital=100000, default_qty_type=strategy.percent_of_equity, pyramiding=0)

startTime = input(defval = timestamp('01 Jan 2021 00:00 +0000'), title = 'Start Time', group = 'Date Range')
endTime = input(defval = timestamp('31 Dec 2023 23:59 +0000'), title = 'End Time', group = 'Date Range')
timeCondition = true
timeConditionEnd = timeCondition[1] and not timeCondition

fastEmaLength = input.int(defval = 8, title = 'Fast EMA Length')
slowEmaLength = input.int(defval = 21, title = 'Slow EMA Length')
sides = input.string(defval = 'Both', title = 'Sides', options = ['Long', 'Short', 'Both', 'None'])

fastEma = ta.ema(close, fastEmaLength)
slowEma = ta.ema(close, slowEmaLength)

isUptrend = fastEma >= slowEma
isDowntrend = fastEma <= slowEma
trendChanging = ta.cross(fastEma, slowEma)

ema105 = request.security(syminfo.tickerid, '30', ta.ema(close, 105)[1], barmerge.gaps_off, barmerge.lookahead_on)
ema205 = request.security(syminfo.tickerid, '30', ta.ema(close, 20)[1], barmerge.gaps_off, barmerge.lookahead_on)
plot(ema105, linewidth=4, color=color.new(color.purple, 0), editable=true)
plot(ema205, linewidth=2, color=color.new(color.purple, 0), editable=true)

aa = plot(fastEma, linewidth=3, color=color.new(color.green, 0), editable=true)
bb = plot(slowEma, linewidth=3, color=color.new(color.red, 0), editable=true)
fill(aa, bb, color=isUptrend ? color.green : color.red, transp=90)

tradersPostBuy = trendChanging and isUptrend and timeCondition
tradersPostSell = trendChanging and isDowntrend and timeCondition

pips = syminfo.pointvalue / syminfo.mintick

percentOrPipsInput = input.string('Percent', title='Percent or Pips', options=['Percent', 'Pips'])

stopLossLongInput = input.float(defval=0, step=0.01, title='Stop Loss Long', minval=0)
stopLossShortInput = input.float(defval=0, step=0.01, title='Stop Loss Short', minval=0)

takeProfitLongInput = input.float(defval=0, step=0.01, title='Target Profit Long', minval=0)
takeProfitShortInput = input.float(defval=0, step=0.01, title='Target Profit Short', minval=0)

stopLossPriceLong = ta.valuewhen(tradersPostBuy, close, 0) * (stopLossLongInput / 100) * pips
stopLossPriceShort = ta.valuewhen(tradersPostSell, close, 0) * (stopLossShortInput / 100) * pips

takeProfitPriceLong = ta.valuewhen(tradersPostBuy, close, 0) * (takeProfitLongInput / 100) * pips
takeProfitPriceShort = ta.valuewhen(tradersPostSell, close, 0) * (takeProfitShortInput / 100) * pips

takeProfitALong = takeProfitLongInput > 0 ? takeProfitLongInput : na
takeProfitBLong = takeProfitPriceLong > 0 ? takeProfitPriceLong : na

takeProfitAShort = takeProfitShortInput > 0 ? takeProfitShortInput : na
takeProfitBShort = takeProfitPriceShort > 0 ? takeProfitPriceShort : na

stopLossALong = stopLossLongInput > 0 ? stopLossLongInput : na
stopLossBLong = stopLossPriceLong > 0 ? stopLossPriceLong : na

stopLossAShort = stopLossShortInput > 0 ? stopLossShortInput : na
stopLossBShort = stopLossPriceShort > 0 ? stopLossPriceShort : na

takeProfitLong = percentOrPipsInput == 'Pips' ? takeProfitALong : takeProfitBLong
stopLossLong = percentOrPipsInput == 'Pips' ? stopLossALong : stopLossBLong
takeProfitShort = percentOrPipsInput == 'Pips' ? takeProfitAShort : takeProfitBShort
stopLossShort = percentOrPipsInput == 'Pips' ? stopLossAShort : stopLossBShort

buyAlertMessage = '{"ticker": "' + syminfo.ticker + '", "action": "buy", "price": ' + str.tostring(close) + '}'
sellAlertMessage = '{"ticker": "' + syminfo.ticker + '", "action": "sell", "price": ' + str.tostring(close) + '}'

exitLongAlertMessage = '{"ticker": "' + syminfo.ticker + '", "action": "exit", "price": ' + str.tostring(close) + '}'
exitShortAlertMessage = '{"ticker": "' + syminfo.ticker + '", "action": "exit", "price": ' + str.tostring(close) + '}'

if (sides != "None")
    if tradersPostBuy
        strategy.entry('Long', strategy.long, when = sides != 'Short', alert_message = buyAlertMessage)
        strategy.close('Short', when = sides == "Short" and timeCondition, alert_message = exitShortAlertMessage)

    if tradersPostSell
        strategy.entry('Short', strategy.short, when = sides != 'Long', alert_message = sellAlertMessage)
        strategy.close('Long', when = sides == 'Long', alert_message = exitLongAlertMessage)

exitAlertMessage = '{"ticker": "' + syminfo.ticker + '", "action": "exit"}'

strategy.exit('Exit Long', from_entry = "Long", profit = takeProfitLong, loss = stopLossLong, alert_message = exitAlertMessage)
strategy.exit('Exit Short', from_entry = "Short", profit = takeProfitShort, loss = stopLossShort, alert_message = exitAlertMessage)

strategy.close_all(when = timeConditionEnd)

Detail

https://www.fmz.com/strategy/440854

Last Modified

2024-02-02 17:11:29