Skip to content

Latest commit

 

History

History
226 lines (163 loc) · 8.06 KB

基于格林美分析指标的短期跟踪策略Short-term-Trend-Tracking-Strategy-Based-on-Gann-Me-Analysis-Indicator.md

File metadata and controls

226 lines (163 loc) · 8.06 KB

Name

基于格林美分析指标的短期跟踪策略Short-term-Trend-Tracking-Strategy-Based-on-Gann-Me-Analysis-Indicator

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

本策略通过构建多个不同周期的EMA指标,并计算其差值,形成格林美指标,用于判断价格趋势和发出交易信号。该策略适用于短期趋势跟踪,可以有效捕捉价格变化趋势。

策略原理

该策略首先构建6个短周期EMA指标和6个长周期EMA指标。短周期EMA包括3日线、5日线、8日线、10日线、12日线和15日线。长周期EMA包括30日线、35日线、40日线、45日线、50日线和60日线。

然后计算短周期EMA之和(g)和长周期EMA之和(mae)。通过长短周期EMA之差(gmae = mae - g)形成格林美差值指标。该差值指标可以判断价格趋势。

当差值上穿0轴时,表示短期均线上升速度快于长期均线,属于多头信号,做多;当差值下穿0轴时,表示短期均线下降速度快于长期均线,属于空头信号,做空。

策略优势

  1. 使用双EMA均线策略,可以有效跟踪短期趋势
  2. 构建多组EMA,避免假突破,提高信号准确率
  3. 差值指标直观判断长短期趋势关系
  4. 简单参数设置,容易实盘操作

策略风险

  1. 短周期操作,存在一定止损风险
  2. 多组EMA参数设置需要测试优化
  3. 只适合短线操作,不适合持续长线

策略优化

  1. 测试优化EMA参数,提高交易效率
  2. 增加止损策略,控制单笔损失
  3. 结合其他指标过滤入场信号
  4. 优化资金管理,调整仓位管理

总结

本策略通过构建格林美差值指标,捕捉短期价格趋势变化,属于短线跟踪策略。优点是反应灵敏,适合高频交易。缺点是对市场变量敏感,止损风险较大。整体而言,该策略表现出色,值得在实盘中测试和应用。

||

Overview

This strategy constructs multiple EMA indicators with different cycles and calculates their difference to form the Gann Me indicator for judging price trends and generating trading signals. It is suitable for short-term trend tracking and can effectively capture price change trends.

Principles

The strategy first constructs 6 short-cycle EMA indicators and 6 long-cycle EMA indicators. The short-cycle EMA includes 3-day, 5-day, 8-day, 10-day, 12-day and 15-day lines. The long-cycle EMA includes 30-day, 35-day, 40-day, 45-day, 50-day and 60-day lines.

Then calculate the sum of short-cycle EMAs (g) and the sum of long-cycle EMAs (mae). The difference between long and short cycle EMAs (gmae = mae - g) forms the Gann Me difference indicator. This difference indicator can judge price trends.

When the difference crosses above the 0 axis, it means that the short-term moving average rises faster than the long-term one, which is a bullish signal to go long. When the difference crosses below the 0 axis, it means that the short-term moving average falls faster than the long-term one, which is a bearish signal to go short.

Advantages

  1. Using dual EMA lines strategy can effectively track short-term trends
  2. Building multiple EMAs avoids false breakthroughs and improves signal accuracy
  3. Difference indicator intuitively judges long and short term trends
  4. Simple parameter settings, easy for live trading

Risks

  1. Short-term operations have certain stop-loss risks
  2. Multi-EMA parameter settings need testing and optimization
  3. Only suitable for short-term operations, not suitable for long-term holds

Optimization

  1. Test and optimize EMA parameters to improve trading efficiency
  2. Increase stop loss strategy to control single loss
  3. Combine with other indicators to filter entry signals
  4. Optimize capital management, adjust position management

Summary

This strategy captures short-term price trend changes by constructing the Gann Me difference indicator. It belongs to a short-term tracking strategy. The advantages are sensitive reaction and suitability for high-frequency trading. The disadvantages are sensitivity to market variables and higher stop loss risks. Overall, the strategy performs well and is worth testing and applying in real trading.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 3 Length
v_input_2_close 0 Source: close
v_input_3 5 Length
v_input_4_close 0 Source: close
v_input_5 8 Length
v_input_6_close 0 Source: close
v_input_7 10 Length
v_input_8_close 0 Source: close
v_input_9 12 Length
v_input_10_close 0 Source: close
v_input_11 15 Length
v_input_12_close 0 Source: close
v_input_13 30 Length
v_input_14_close 0 Source: close
v_input_15 35 Length
v_input_16_close 0 Source: close
v_input_17 40 Length
v_input_18_close 0 Source: close
v_input_19 45 Length
v_input_20_close 0 Source: close
v_input_21 50 Length
v_input_22_close 0 Source: close
v_input_23 60 Length
v_input_24_close 0 Source: close

Source (PineScript)

/*backtest
start: 2023-12-03 00:00:00
end: 2024-01-02 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy(title="GMAE Original (By Kevin Manrrique)", overlay=false)
/// This indicator was built and scripted by Kevin Manrrique. Please leave this copyright to the script at all times, if rebuilt please add your name onto the script.
/// If you have any questions, please message me directly. Thank you.
/// Sincerely,
///
/// Kevin Manrrique

            ///ONE///
len = input(3, minval=1, title="Length")
src = input(close, title="Source")
out = ema(src, len)
//plot(out, title="EMA", color=blue)

len2 = input(5, minval=1, title="Length")
src2 = input(close, title="Source")
out2 = ema(src2, len2)
//plot(out2, title="EMA", color=blue)

len3 = input(8, minval=1, title="Length")
src3 = input(close, title="Source")
out3 = ema(src3, len3)
//plot(out3, title="EMA", color=blue)

len4 = input(10, minval=1, title="Length")
src4 = input(close, title="Source")
out4 = ema(src4, len4)
//plot(out4, title="EMA", color=blue)

len5 = input(12, minval=1, title="Length")
src5 = input(close, title="Source")
out5 = ema(src5, len5)
//plot(out5, title="EMA", color=blue)

len6 = input(15, minval=1, title="Length")
src6 = input(close, title="Source")
out6 = ema(src6, len6)
//plot(out6, title="EMA", color=blue)
        ///TWO///
len7 = input(30, minval=1, title="Length")
src7 = input(close, title="Source")
out7 = ema(src7, len7)
//plot(out7, title="EMA", color=red)

len8 = input(35, minval=1, title="Length")
src8 = input(close, title="Source")
out8 = ema(src8, len8)
//plot(out8, title="EMA", color=red)

len9 = input(40, minval=1, title="Length")
src9 = input(close, title="Source")
out9 = ema(src9, len9)
//plot(out9, title="EMA", color=red)

len10 = input(45, minval=1, title="Length")
src10 = input(close, title="Source")
out10 = ema(src10, len10)
//plot(out10, title="EMA", color=red)

len11 = input(50, minval=1, title="Length")
src11 = input(close, title="Source")
out11 = ema(src11, len11)
//plot(out11, title="EMA", color=red)

len12 = input(60, minval=1, title="Length")
src12 = input(close, title="Source")
out12 = ema(src12, len12)
//plot(out12, title="EMA", color=red)

g=out+out2+out3+out4+out5+out6
mae=out7+out8+out9+out10+out11+out12
gmae=mae-g
plot(gmae, style=columns, color=green)
baseline=0
plot(baseline, style=line, color=black)

longCondition = crossover(gmae, baseline)
if (longCondition)
    strategy.entry("long", strategy.long)

shortCondition = crossunder(gmae, baseline)
if (shortCondition)
    strategy.entry("short", strategy.short)

Detail

https://www.fmz.com/strategy/437542

Last Modified

2024-01-03 16:10:08