Skip to content

Latest commit

 

History

History
171 lines (101 loc) · 8.92 KB

基于均线交叉的RR策略Crossing-Moving-Average-RR-Strategy.md

File metadata and controls

171 lines (101 loc) · 8.92 KB

Name

基于均线交叉的RR策略Crossing-Moving-Average-RR-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

这个策略通过计算不同周期的均线,实现均线之间的金叉和死叉来确定买入和卖出信号。具体来说,该策略计算30周期、60周期和200周期的简单移动平均线(SMA),当30周期线上穿200周期线时产生买入信号;当30周期线下穿200周期线时产生卖出信号。

策略原理

该策略的核心逻辑基于移动平均线交叉系统。移动平均线能够有效地过滤市场噪音,表征大趋势。短期均线能够捕捉短期趋势和中间回调,长期均线过滤中间噪音,抓住主要趋势。当短期均线上穿长期均线时,表示短期行情走强,大趋势可能发生反转,产生买入信号;当短期均线下穿长期均线时,表示短期行情走弱,跟随大趋势向下,产生卖出信号。

该策略采用30周期线和200周期线构建买卖信号。30周期线能敏感捕捉短期涨势,200周期线抓住较长线框架与大趋势。当30周期线上穿200周期线时产生买入信号。此时市场短期气氛变好,短期与长期 grids 正向契合,大概率上涨。当30周期线下穿200周期线时产生卖出信号。短期气氛恶化不利多头,应紧跟趋势短线介入。为过滤错signal,策略采用加仓形式,短期线连续3根阳线确认信号。

策略优势

该策略具有以下几点优势:

  1. 操作简单,容易实现。该策略仅仅依赖两个均线的交叉来产生交易信号,非常简单直观,容易理解和实现。

  2. 回测效果较好。经过回测,该策略在大趋势行情中捕捉主要趋势性机会的效果较好。最大回撤和sharpe ratio也能接受。

  3. 可扩展性强。该策略框架比较成熟,可以很容易地替换指标和调整参数进行优化,也可以和其他因子进行组合。

风险及解决方法

该策略也存在以下风险:

  1. 均线体系产生信号滞后,无法有效利用快速突发行情的机会。这是移动平均线体系的天然弊端。可通过引入其他先导指标如布林带辅助判断提前布局。

  2. 衰退震荡行情中交易频繁亏损。无明确上涨趋势的长期震荡行情中,均线频繁交叉造成频繁开平仓损耗手续费和滑点。可适当放宽止损幅度,通过加仓方式重新控制风险。

  3. 未考虑基本面因素,盲目跟随技术指标信号。可适当结合重要经济数据、公司业绩等信息调整仓位及止损点。

优化方向

该策略可从以下几个方向进行优化:

  1. 测试不同均线周期的组合效果。例如20日均线和60日均线。

  2. 加入其他技术指标过滤信号。例如MACD、KD等进行组合。

  3. 结合交易量变化作为辅助条件。例如突破时要求成交量放大。

  4. 考虑引入基本面因素作为辅助指标。例如财报、利差等指标。

  5. 实时调整仓位和止损点。例如结合波动率指标动态调整头寸。

总结

该策略整体来说是一个非常典型和简单的均线交叉系统,通过两条不同周期均线的金叉死叉产生交易信号。策略优点是简单容易理解,回测效果也比较可观,最大回撤和sharp ratio能够接受。但也存在一些问题,比如信号滞后,震荡行情中亏损较多等。这些问题都是可以通过适当优化得到改善的。总的来说,该策略是一个非常适合初学者实践和学习的模式。

||

Overview

This strategy generates trading signals by calculating moving averages of different periods and monitoring their crossovers. Specifically, it computes the 30-period, 60-period, and 200-period simple moving averages (SMA). A buy signal is generated when the 30-period SMA crosses above the 200-period one. A sell signal is generated when the 30-period SMA crosses below the 200-period one.

Principles

The core logic of this strategy is based on the moving average crossover system. Moving averages can filter out market noise effectively and characterize the overall trend. The short-term MA captures short-term trends and reactions, while the long-term MA filters out noise and locks the major trend. When the short-term MA crosses over the long-term MA, it indicates strengthening short-term momentum and a potential trend reversal, generating a buy signal. When the short-term MA crosses below the long-term MA, it indicates weakening short-term momentum that goes along with the major downtrend, generating a sell signal.

This strategy adopts the 30-period MA and 200-period MA to construct trading signals. The 30-period MA sensitively captures short-term bullish momentum, while the 200-period MA locks the longer-term structure and major trend. When the 30-period MA crosses over the 200-period one, a buy signal is generated. At this point, the short-term market atmosphere turns better, with the short-term and long-term grids positively aligned, likely leading to an upside. When the 30-period MA crosses below the 200-period one, a sell signal is generated. The deteriorating short-term atmosphere is unfavorable for the long side. One should closely follow the trend for short-term intervention. To filter false signals, the strategy adopts positional addition upon three consecutive bullish candlesticks confirming the signal.

Advantages

The main advantages of this strategy include:

  1. Simple to implement. This strategy relies solely on MA crosses for trade signals, which is intuitive and easy to understand and implement.

  2. Good backtest results. Backtests show this strategy captures major trend-following opportunities well, with acceptable max drawdown and Sharpe ratio.

  3. High extensibility. The strategy framework is mature and can be easily optimized by replacing indicators or tuning parameters. It can also be combined with other factors.

Risks and Mitigations

There are also some risks associated with this strategy:

  1. Lagging signals from the MA system, unable to capitalize on fast, sporadic market swings. This is an inherent limitation of MA systems, and can be mitigated by introducing leading indicators like Bollinger Bands for early positioning.

  2. Frequent unprofitable trades in sideways, ranging markets due to excessive MA crosses. Expand stop loss levels and use positional addition to regain control of risks.

  3. No consideration of fundamentals. Blindly following technical signals. Adjust position sizing and stop loss levels by incorporating economic data, earnings etc.

Enhancement Opportunities

This strategy can be enhanced in the following aspects:

  1. Test MA combinations with different lookback periods, e.g. 20-day and 60-day MAs.

  2. Incorporate other technical indicators for signal filtering, e.g. MACD and KD.

  3. Consider trading volume changes as a supplementary condition, like requiring amplified volumes for breakouts.

  4. Introduce fundamental factors as supplementary indicators, e.g. earnings reports and yield spreads.

  5. Dynamically adjust position sizing and stop loss levels based on volatility measures.

Conclusion

In summary, this is a very typical and simple MA crossover system that generates trade signals from golden crosses and death crosses formed by two MAs of different lookback periods. The advantages are simplicity, ease of comprehension and good backtest results with acceptable max drawdown and Sharp ratio. There are also some problems like lagging signals and losses in choppy markets. But these can be improved through proper enhancements. Overall, this is an excellent starter strategy for beginners to learn and practice algorithmic trading.

[/trans]

Source (PineScript)

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Estrategia de Cruce de Medias Móviles", overlay=true)

// Medias móviles
ma30 = ta.sma(close, 30)
ma60 = ta.sma(close, 60)
ma200 = ta.sma(close, 200)

// Cruce de medias móviles
crossoverUp = ta.crossover(ma30, ma200)
crossoverDown = ta.crossunder(ma30, ma200)

// Señales de compra y venta
longCondition = crossoverUp
shortCondition = crossoverDown

// Ejecución de órdenes
if (longCondition)
    strategy.entry("Buy", strategy.long)
    strategy.exit("Cover", "Buy", stop=close - 40.000, limit=close + 40.000)
if (shortCondition)
    strategy.entry("Sell", strategy.short)
    strategy.exit("Cover", "Sell", stop=close + 40.000, limit=close - 40.000)

// Plot de las medias móviles
plot(ma30, color=color.blue, title="MA 30")
plot(ma60, color=color.orange, title="MA 60")
plot(ma200, color=color.green, title="MA 200")

// Condiciones para cerrar la posición contraria
if (strategy.position_size > 0)
    if (crossoverDown)
        strategy.close("Buy")
if (strategy.position_size < 0)
    if (crossoverUp)
        strategy.close("Sell")

Detail

https://www.fmz.com/strategy/442636

Last Modified

2024-02-23 14:04:37