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基于量化指标的反转交易策略Volume-Ratio-Reversal-Trading-Strategy.md

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Name

基于量化指标的反转交易策略Volume-Ratio-Reversal-Trading-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

Volume Ratio反转交易策略(VR反转策略)是一个 based on volume indicator 的短周期反转交易策略。它通过计算某一时间段内的成交量与均量的比值,来判断市场主力是否进入,从而产生交易信号。该策略主要适用于短线范围内反转性较强的品种。

策略原理

VR反转策略的核心指标是 Volume Ratio(简称VR),它代表了当前周期的成交量相对于一段时间内的平均成交量的比值。具体计算方法是:

VR = Current Volume / SMA(Volume, N)

其中N代表参数Length,当前周期成交量除以Length周期内成交量的简单移动平均。

当VR > 阈值时,认为是主力进入的信号。此时结合价格的向上或向下突破,产生买入和卖出信号。

该策略同时引入方向辅助判断指标dir。它通过当前周期收盘价与N周期前收盘价比较,大于1为多头方向,小于1为空头方向。

在VR大于指定阈值时,如果dir=1,产生买入信号,如果dir=-1,产生卖出信号。

优势

VR反转策略最大的优势在于捕捉突发性的价格反转机会。当出现主力介入的信号时,策略可以快速做出判断,及时捕捉反弹或回落的机会。

其他优势还有:

  • 使用成交量指标,对市场主力的判断相对可靠
  • 算法简单,容易理解和实施
  • 可配置参数灵活,适应性较好

风险

尽管VR反转策略有一定的优势,但也存在一些风险需要注意:

  • 作为短线策略,存在一定的随机性,收益曲线可能比较起伏
  • VR指标可能出现失效的情况,无法准确判断主力
  • 需选择参数恰当的品种,如果波动平缓则效果不佳

此外,也需要注意防止过度交易、设置止损以控制单笔损失等。

优化建议

VR反转策略还有进一步优化的空间,主要建议如下:

  • 结合更多指标进行判断,避免VR指标的失效情况
  • 添加止损逻辑,可以参考ATR指标设定止损幅度
  • 优化参数,特别是Length周期参数,针对不同周期和品种调整
  • 根据回测结果,调整正反向的VR阈值,确保其稳健性

总结

VR反转交易策略是一个简单直接、容易实施的短线量化策略。它通过捕捉主力出现的信号,抓住反转机会。该策略特别适合波动比较剧烈、反转明显的品种,但也需要注意风险控制。通过进一步优化,可以使策略更稳健,过滤掉更多假信号。

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Overview

The Volume Ratio Reversal Trading Strategy (VR Reversal Strategy) is a short-term reversal trading strategy based on volume indicator. It judges the market participation of major players by calculating the ratio between volume and mean volume over a period of time to generate trading signals. This strategy is mainly suitable for short-term strongly mean-reverting assets.

Strategy Logic

The core indicator of the VR reversal strategy is Volume Ratio (referred to as VR for short), which represents the ratio between the current period's trading volume and the average trading volume over a period of time. The specific calculation method is:

VR = Current Volume / SMA(Volume, N)

Where N stands for the parameter Length, the trading volume of the current cycle divided by the simple moving average of the trading volume over the Length cycle.

When VR > threshold, it is considered as a signal of major players' participation. At this time, combined with the breakthrough of the price up or down, buy and sell signals are generated.

The strategy also introduces an auxiliary directional judgment indicator dir. It compares the closing price of the current cycle with that of N cycles ago. Greater than 1 is a bullish direction and less than 1 is a bearish direction.

When VR is greater than the specified threshold, if dir=1, a buy signal is generated. If dir=-1, a sell signal is generated.

Advantages

The biggest advantage of VR reversal strategy is to capture the chance of sudden price reversal. When there is a signal of major players' intervention, the strategy can make judgments quickly and capture the opportunity of rebound or retracement in a timely manner.

Other advantages include:

  • Using volume indicator, the judgment on major players is relatively reliable
  • Simple algorithm, easy to understand and implement
  • Flexible configurable parameters, better adaptability

Risks

Although the VR reversal strategy has some advantages, there are still some risks to note:

  • As a short-term strategy, there is some randomness with fluctuating return curve
  • VR indicator may fail to accurately determine the major players
  • Proper underlying products need to be selected. Less effective if fluctuation is mild

In addition, over trading should be avoided, stop loss should be set to control single loss, etc.

Optimization Suggestions

There is room for further optimization of the VR reversal strategy. The main suggestions are:

  • Combine more indicators for judgment to avoid VR failure
  • Add stop loss logic, can refer to ATR indicator to set stop loss range
  • Optimize parameters, especially the Length cycle parameter for different cycles and products
  • Adjust the threshold of positive and negative VR based on backtest results to ensure robustness

Conclusion

The VR reversal trading strategy is a simple, easy-to-implement short-term quantitative strategy. It captures reversal opportunities by catching major players' signals. The strategy is particularly suitable for volatile products with obvious reversal, but risk control is also needed. Further optimization can make the strategy more robust and filter out more false signals.

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Strategy Arguments

Argument Default Description
v_input_1 20 Length
v_input_2 3 閾値
v_input_3 true direction picker # bars
v_input_4 2019 Start Year
v_input_5 true Start Month
v_input_6 true Start Day
v_input_7 9999 End Year
v_input_8 true End Month
v_input_9 true End Day

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"}]
*/

//@version=4

strategy(title="Volume Ratio_30min", shorttitle="VR_30min")//,initial_capital=1000)

// User Input ------------------------------------------------------------------
len = input(20, title="Length", minval=1)
threshold  = input(3,step=0.05, title="閾値")

// Volume Caliculetion ---------------------------------------------------------
vol = volume
sma=sma(volume,len)
vrs = vol / sma

// Direction -------------------------------------------------------------------
dirtime=input(1,"direction picker # bars")
dir=if close/close[dirtime] > 1
    1
else
    -1

// Plot ------------------------------------------------------------------------
plot(vrs, title="VRS",  color=color.green, transp=0)
hline(1, title="baseline")
plot(threshold, color=color.white)

// ️⚠️⚠️Logic　-----------------------------------------------------------------

long    = vrs > threshold  and dir == 1
short   = vrs > threshold  and dir ==-1

// Back Test Fnction -----------------------------------------------------------
start = timestamp(input(2019, "Start Year"), input(1, "Start Month"), input(1, "Start Day"), 0, 0)
end = timestamp(input(9999, "End Year"), input(1, "End Month"), input(1, "End Day"), 0, 0)
_testPeriod() => true

// Order -----------------------------------------------------------------------
if _testPeriod()
    if long
        strategy.entry("Long", strategy.long)
    if short
        strategy.entry("Short", strategy.short)

Detail

https://www.fmz.com/strategy/438469

Last Modified

2024-01-12 12:08:05