Name
基于多时框架移动平均线和MACD-的长空开仓策略Long-and-Short-Opening-Strategy-Based-on-Multi-Timeframe-Moving-Average-and-MACD
Author
ChaoZhang
Strategy Description
该策略充分利用了多时框架指数移动平均线(MTF EMA)判断趋势方向和MACD指标产生买卖信号的功能,同时结合ATR指标设定止损止盈价格。策略适用于有强势趋势的数字货币和法定货币交易对,在趋势较强的市场中表现较佳。
多时框架指数移动平均线(MTF EMA)可以在同一个图表上显示多个时间周期的移动平均线,从而判断资产的总体多空状态。策略这里采用1小时周期和15分钟周期的MTF EMA。
当价格高于1小时MTF EMA且1小时MTF EMA低于15分钟MTF EMA时,定义为上升趋势;当价格低于1小时MTF EMA且1小时MTF EMA高于15分钟MTF EMA时,定义为下跌趋势。
当MACD线从下方向上突破Signal线时,产生买入信号;当从上方向下跌破时,产生卖出信号。同时设定MACD线和Signal线的交叉限制值,避免虚假信号。
采用ATR指标设置止损止盈价格。ATR能够根据市场波动程度动态设定合理的止损止盈距离。同时根据高低点回测设置止损止盈的倍数,使止损止盈更为灵活。
多头信号:上升趋势且MACD上穿Signal线且交叉值小于限制值 空头信号:下跌趋势且MACD下穿Signal线且交叉值大于限制值
多头止盈:价格突破ATR止盈价 多头止损:价格突破ATR止损价 空头止盈:价格突破ATR止盈价 空头止损:价格突破ATR止损价
该策略最大的优势在于充分利用了MTF EMA判断趋势和MACD产生买卖信号的优势。MTF EMA能清晰判断总体趋势方向,避免在震荡行情频繁交易。MACD指标能较好地捕捉短期价格态势的变化,产生买卖信号。两者配合使用,能在保证捕捉趋势的同时获得较多买卖机会。此外,运用ATR指标动态跟踪止损止盈,能有效控制单笔交易的风险。
该策略主要存在两方面风险:第一是在无明显趋势时,MTF EMA可能会产生错误信号, 导致亏损;第二是MACD指标常在价格变化较大时产生误导信号,可能造成过度交易。针对第一种风险,可以适当调整MTF EMA参数,使其更能匹配价格趋势变化;第二种风险可以通过设定MACD指标的交叉限制来减轻。
该策略可以从以下几个方面进行优化:
-
调整MTF EMA的周期参数,使其更能匹配不同交易品种的价格特征
-
优化MACD指标的快慢均线和Signal均线参数,以获得更好信号
-
测试不同的ATR周期参数和止盈止损倍数,获得最佳回报
-
添加其他辅助指标过滤信号
该长空开仓策略综合运用MTF EMA判断趋势、MACD产生交易信号以及ATR动态止损止盈的方法,在有明显趋势的市场中能获得较好收益。该策略优化空间较大,通过参数调整和优化可以获得更好的表现。但需注意控制风险,避免在震荡行情中盲目交易。
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This strategy takes full advantage of the functions of the multi timeframe exponential moving average (MTF EMA) to determine the trend direction and the MACD indicator to generate trading signals, while setting stop loss and take profit prices with the ATR indicator. The strategy is suitable for digital and fiat currency pairs with strong trends and performs better in markets with strong trends.
The multi timeframe exponential moving average (MTF EMA) can display moving averages of multiple timeframes on the same chart to determine the overall long/short status of an asset. This strategy adopts 1-hour and 15-minute MTF EMAs.
When the price is above the 1-hour MTF EMA and the 1-hour MTF EMA is below the 15-minute MTF EMA, it is defined as an uptrend. When the price is below the 1-hour MTF EMA and the 1-hour MTF EMA is above the 15-minute MTF EMA, it is defined as a downtrend.
When the MACD line crosses above the Signal line from below, a buy signal is generated. When it crosses below from above, a sell signal is generated. At the same time, a crossover limit is set for the MACD line and Signal line to avoid false signals.
The ATR indicator is used to set stop loss and take profit prices. ATR can dynamically set reasonable stop loss and take profit distances based on market volatility. At the same time, the multiples of stop loss and take profit are set based on the backtest of highs and lows to make them more flexible.
Long signal: Uptrend and MACD crossing above Signal line and crossover value less than limit Short signal: Downtrend and MACD crossing below Signal line and crossover value greater than limit
Long take profit: Price breaks through ATR take profit price Long stop loss: Price breaks through ATR stop loss price Short take profit: Price breaks through ATR take profit price Short stop loss: Price breaks through ATR stop loss price
The biggest advantage of this strategy is that it fully utilizes the strengths of the MTF EMA in determining trends and the MACD in generating trading signals. MTF EMA can clearly judge the overall trend direction and avoid frequent trading in choppy markets. The MACD indicator can better capture short-term changes in price patterns and generate trading signals. Using both together ensures capturing the trend while obtaining more trading opportunities. In addition, using the ATR indicator to dynamically track stop loss and take profit can effectively control the risk of individual trades.
There are two main risks to this strategy: First, in the absence of a clear trend, MTF EMA may generate incorrect signals, leading to losses; Second, the MACD indicator often generates misleading signals when prices change dramatically, which can lead to over-trading. For the first risk, the MTF EMA parameters can be adjusted appropriately to better match price trend changes; The second risk can be mitigated by setting crossover limits for the MACD indicator.
The following aspects of the strategy could be optimized:
-
Adjust the cycle parameters of MTF EMA to match the price characteristics of different trading instruments better
-
Optimize the fast and slow moving average and signal line parameters of the MACD indicator for better signals
-
Test different ATR cycle parameters and stop loss/take profit multiples for the best returns
-
Add other auxiliary indicators to filter signals
This long and short opening strategy combines the methods of MTF EMA for trend judgment, MACD for trading signal generation, and ATR for dynamic stop loss and take profit. It can achieve good returns in markets with obvious trends. There is plenty of room for optimizing this strategy's parameters and optimization to achieve better performance. However, it is necessary to control risks and avoid blind trading in choppy markets.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | true | From Day |
| v_input_2 | 4 | From Month |
| v_input_3 | 2022 | From Year |
| v_input_4 | true | To Day |
| v_input_5 | 5 | To Month |
| v_input_6 | 2022 | To Year |
| v_input_7 | false | ═════════════════════ SOURCE ═════════════════════ |
| v_input_8 | true | Source hl2 or (open+close)/2 ? |
| v_input_9 | false | ════════════════════ MTF EMA ════════════════════ |
| v_input_10 | 60 | MTF EMA 1 |
| v_input_11 | 70 | EMA Period 1 |
| v_input_12 | 15 | MTF EMA 2 |
| v_input_13 | 68 | EMA Period 2 |
| v_input_14 | false | ═════════════════════ MACD ══════════════════════ |
| v_input_15 | 13 | MACD fast moving average |
| v_input_16 | 18 | MACD slow moving average |
| v_input_17 | 24 | MACD signal line moving average |
| v_input_18 | 9 | MACD EMA period |
| v_input_19 | true | Use EMA (otherwise SMA) |
| v_input_20 | false | Use normal MACD |
| v_input_21 | 180 | LONG MACD and signal crossover limit |
| v_input_22 | false | Show MACD ribbon? |
| v_input_23 | 3 | MACD ribbon multiplier |
| v_input_24 | false | ═══════════════════ STOCHASTIC ════════════════════ |
| v_input_25 | true | Stochastic On? |
| v_input_26 | 10 | K |
| v_input_27 | true | D |
| v_input_28 | 3 | Smooth |
| v_input_29 | 30 | Stoch value crossover |
| v_input_30 | true | avg price length |
| v_input_31 | false | ═════════════════ LONG SL ═════════════════ |
| v_input_32 | 5 | Max Intraday Loss(%) |
| v_input_33 | false | Long Stop Loss when MTF EMA cross? |
| v_input_34 | false | Long Stop Loss (%) on? |
| v_input_35 | 4.7 | Long Stop Loss (%) |
| v_input_36 | true | Long Stop Loss ATR? |
| v_input_37 | true | Look back for High/Lows? |
| v_input_38 | 18 | How far to look back for High/Lows: |
| v_input_39 | 9 | Long ATR Lenghth |
| v_input_40 | 4.3 | Long ATR Stop x ? |
| v_input_41 | false | ═════════════════ LONG TP ═════════════════ |
| v_input_42 | true | Long Take Profit (%) on? |
| v_input_43 | 5.3 | Long Take Profit (%) |
| v_input_44 | true | 1 Long Take Profit On? |
| v_input_45 | true | Look back for High/Lows? |
| v_input_46 | 12 | How far to look back for High/Lows for 1 TP |
| v_input_47 | 24 | Long ATR Lenghth 1 TP |
| v_input_48 | 5.5 | First Long ATR Take Profit x ? |
Source (PineScript)
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
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/
// © Steven A. Zmuda Burke / stevenz17
//@version=4
// From Date Inputs
fromDay = input(defval = 01, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 04, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2022, title = "From Year", minval = 1970)
// To Date Inputs
toDay = input(defval = 01, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 05, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2022, title = "To Year", minval = 1970)
// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
// Input
strategy("LONG", overlay=true, initial_capital=1000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, slippage=1, commission_type=strategy.commission.percent,
commission_value=0.015)
SOURCE = input(title = "═════════════════════ SOURCE ═════════════════════", defval = false, type = input.bool)
sourcehl2 = input(title="Source hl2 or (open+close)/2 ?",type=input.bool,defval=true)
source = sourcehl2 ? hl2 : ((open+close)/2)
//MTF EMA
MTFEMA = input(title = "════════════════════ MTF EMA ════════════════════", defval = false, type = input.bool)
res1=input(title="MTF EMA 1", type=input.resolution, defval="60")
len1 = input(title = "EMA Period 1", type=input.integer, defval=70, minval=1)
ema1 = ema(source, len1)
emaStep1 = security (syminfo.tickerid, res1, ema1, barmerge.gaps_off, barmerge.lookahead_off)
mtf1 = emaStep1
res2=input(title="MTF EMA 2", type=input.resolution, defval="15")
len2 = input(title = "EMA Period 2", type=input.integer, defval=68, minval=1)
ema2 = ema(source, len2)
emaStep2 = security (syminfo.tickerid, res2, ema2, barmerge.gaps_off, barmerge.lookahead_off)
mtf2 = emaStep2
t1 = plot(mtf1, linewidth=4, color= color.aqua, title="EMA")
t2 = plot(mtf2, linewidth=4, color= color.navy, title="EMA")
fill(t1, t2, transp = 70, color = mtf1 > mtf2 ? color.red : color.green)
///MACD
MACD= input(title = "═════════════════════ MACD ══════════════════════", defval = false, type = input.bool)
MACDsource=close
fastLength = input(13, minval=1, title="MACD fast moving average")
slowLength=input(18,minval=1, title="MACD slow moving average")
signalLength=input(24,minval=1, title="MACD signal line moving average")
MacdEmaLength =input(9, title="MACD EMA period", minval=1)
useEma = input(true, title="Use EMA (otherwise SMA)")
useOldAlgo = input(false, title="Use normal MACD")
Lmacsig=input(title="LONG MACD and signal crossover limit",type=input.integer,defval=180)
// Fast line
ma1= useEma ? ema(MACDsource, fastLength) : sma(MACDsource, fastLength)
ma2 = useEma ? ema(ma1,fastLength) : sma(ma1,fastLength)
fastMA = ((2 * ma1) - ma2)
// Slow line
mas1= useEma ? ema(MACDsource , slowLength) : sma(MACDsource , slowLength)
mas2 = useEma ? ema(mas1 , slowLength): sma(mas1 , slowLength)
slowMA = ((2 * mas1) - mas2)
// MACD line
macd = fastMA - slowMA
// Signal line
emasig1 = ema(macd, signalLength)
emasig2 = ema(emasig1, signalLength)
signal = useOldAlgo ? sma(macd, signalLength) : (2 * emasig1) - emasig2
hist = macd - signal
histline = hist > 0 ? color.green : color.red
//MACD ribbon
macdribbon=input(title="Show MACD ribbon?",type=input.bool,defval=false)
macdx=input(title="MACD ribbon multiplier", type=input.integer, defval=3, minval=1)
leadLine1 = macdribbon ? macd*macdx + source : na
leadLine2 = macdribbon ? signal*macdx + source : na
leadLine3 = hist + source
//MACD plot
p3 = plot(leadLine1, color= color.green, title="MACD", transp = 100, linewidth = 8)
p4 = plot(leadLine2, color= color.red, title="Signal", transp = 100, linewidth = 8)
fill(p3, p4, transp = 20, color = leadLine1 > leadLine2 ? #53b987 : #eb4d5c)
plot((leadLine3), color = histline, title="Histogram", linewidth = 3)
l="TEst"
upHist = (hist > 0) ? hist : 0
downHist = (hist <= 0) ? hist : 0
p1 = plot(upHist, color=color.green, transp=40, style=plot.style_columns, title='Positive delta')
p2 = plot(downHist, color=color.green, transp=40, style=plot.style_columns, title='Negative delta')
zeroLine = plot(macd, color=color.black, transp=0, linewidth=2, title='MACD line')
signalLine = plot(signal, color=color.gray, transp=0, linewidth=2, title='Signal')
ribbonDiff = color.green
fill(zeroLine, signalLine, color=ribbonDiff)
circleYPosition = signal
plot(ema(macd,MacdEmaLength) , color=color.red, transp=0, linewidth=2, title='EMA on MACD line')
ribbonDiff2 = hist > 0 ? color.green : color.red
plot(crossunder(signal,macd) ? circleYPosition : na,style=plot.style_circles, linewidth=4, color=ribbonDiff, title='Dots')
//STOCHASTIC
stochchch= input(title = "═══════════════════ STOCHASTIC ════════════════════", defval = false, type = input.bool)
StochOn = input(title="Stochastic On?",type=input.bool,defval=true)
periodK = input(10, title="K", minval=1)
periodD = input(1, title="D", minval=1)
smoothK = input(3, title="Smooth", minval=1)
stochlimit = input(30, title="Stoch value crossover", minval=1)
k = sma(stoch(close, high, low, periodK), smoothK)
d = sma(k, periodD)
stochSignal = StochOn ? (d < stochlimit ? true : false) : true
pp= input(1, title="avg price length", minval=1)
p = ema (source, pp)
K = k + p
plot(k, title="%K", color=#0094FF)
plot(d, title="%D", color=#FF6A00)
h0 = hline(72, "Upper Band", color=#606060)
h1 = hline(20, "Lower Band", color=#606060)
fill(h0, h1, color=#9915FF, transp=80, title="Background")
//Long
LS= "════════════════════════════════ LONG CONDITIONS ═══════════════════════════"
uptrend = close > mtf1 and mtf1 < mtf2
downtrend = close < mtf1 and mtf1 > mtf2
crossMACD = crossunder(macd,signal)
LongBuy = uptrend and stochSignal? crossMACD and signal < Lmacsig and macd < Lmacsig : na
LONG = strategy.position_size > 0
SHORT = strategy.position_size < 0
FLAT = strategy.position_size == 0
plotshape(LongBuy, style=shape.xcross, text="LONG", color=color.green)
//ATR & TP/SL
ATRTPSLX= input(title = "═════════════════ LONG SL ═════════════════", defval = false, type = input.bool)
maxIdLossPcnt = input(5, "Max Intraday Loss(%)", type=input.float, minval=0.0, step=0.1)
// strategy.risk.max_intraday_loss(maxIdLossPcnt, strategy.percent_of_equity)
SSL2=input(title="Long Stop Loss when MTF EMA cross?",type=input.bool,defval=false)
SSLOP = LONG and crossunder(source, mtf1)
SlossPercOn = input(title="Long Stop Loss (%) on?",type=input.bool,defval=false)
SlossPerc = input(title="Long Stop Loss (%)", type=input.float, minval=0.0, step=0.1, defval=4.7) * 0.01
SSpricePerc = LONG and SlossPercOn? strategy.position_avg_price * (-1 - SlossPerc) : na
plot(series = SSpricePerc, linewidth=2, color= color.maroon,style=plot.style_linebr, title="Long Stop Loss %")
SSLX = LONG and crossunder(source, SSpricePerc)
SSLatr= input(title="Long Stop Loss ATR?",type=input.bool,defval=true)
useStructure=input(title="Look back for High/Lows?",type=input.bool,defval=true)
Slookback=input(title="How far to look back for High/Lows:",type=input.integer,defval=18,minval=1)
SatrLenghth=input(title="Long ATR Lenghth",type=input.integer,defval=9,minval=1)
SatrStopMultiplier=input(title="Long ATR Stop x ?", type=input.float,defval=4.3, minval=0.1,step=0.1)
Satr = atr(SatrLenghth)
LongStop = SSLatr ? ((useStructure ? lowest(low, Slookback) : source) - Satr * SatrStopMultiplier) : na
SStop = crossunder(source,LongStop)
plot(Satr, color=color.blue, title="ATR", transp=100)
plot(series = uptrend ? LongStop : na, color=color.red, style=plot.style_linebr, title="Long Trailing Stop", transp=0)
ATRTPSLXX= input(title = "═════════════════ LONG TP ═════════════════", defval = false, type = input.bool)
TpPercOn = input(title="Long Take Profit (%) on?",type=input.bool,defval=true)
TpPerc = input(title="Long Take Profit (%)", type=input.float, minval=0.0, step=0.1, defval=5.3) * 0.01
TppricePerc = LONG and TpPercOn? strategy.position_avg_price * (-1 + TpPerc) : na
plot(series = TppricePerc, linewidth=2, color= color.lime,style=plot.style_linebr, title="Long Take Profit %")
TPLX = LONG and crossunder(source, TppricePerc)
TP1=input(title="1 Long Take Profit On?",type=input.bool,defval=true)
useStructure1=input(title="Look back for High/Lows?",type=input.bool,defval=true)
STplookback=input(title="How far to look back for High/Lows for 1 TP",type=input.integer,defval=12,minval=1)
STpatrLenghth=input(title="Long ATR Lenghth 1 TP",type=input.integer,defval=24,minval=1)
SatrProfitMultiplier = input(title="First Long ATR Take Profit x ?", type=input.float,defval=5.5, minval=0.1,step=0.1)
STpatr = atr(STpatrLenghth)
LongTakeProfit = (useStructure1 ? highest(high, STplookback) : source) + STpatr * SatrProfitMultiplier
LongTP = TP1 ? crossover(source, LongTakeProfit): false
plot(series = uptrend ? LongTakeProfit: na , color=color.green, style=plot.style_linebr, title="Long Trailing Take Profit", transp=0)
// Bar color
barcolor(cross(macd, signal) ? (macd - signal > 0 ? (uptrend and macd < 0 and signal < 0 ? color.yellow : na) : (downtrend and macd > 0 and signal > 0 ? color.blue : na)) : na)
// Strategy ATR
GOLONG = LongBuy and SSLatr and FLAT
if GOLONG and TP1
strategy.entry(id="Entry LONG 1TP", long=true,comment="Entry Long")
strategy.exit("Long Profit or Loss 1TP","Entry LONG 1TP", limit=LongTakeProfit, stop=LongStop)
if SSLX
strategy.close(id="Entry LONG 1TP", comment="% Long SL EXIT")
if TPLX
strategy.close(id="Entry LONG 1TP", comment="% Long TP EXIT")
if SSLOP and SSL2
strategy.close(id="Entry LONG 1TP", comment="MTF EMA cross EXIT")
if (not time_cond)
strategy.close_all()
strategy.cancel_all()
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)
//@version=4
Detail
https://www.fmz.com/strategy/437507
Last Modified
2024-01-03 12:15:46