Name
基于HullMA百分比带的量化交易策略Quant-Trading-Strategy-Based-on-HullMA-Percentage-Bands
Author
ChaoZhang
Strategy Description
该策略通过计算Hull移动平均线及其上下百分比带,实现突破买入和止损卖出的量化交易。策略优势包括参数可调、实现简单、 stopper严格。但也存在追高杀跌、频繁交易等风险。通过优化止损策略、添加短线操作等,可以获得更好的效果。
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计算长度为length的Hull移动平均线hullma。
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根据hullma的百分比绘制上轨xL1、xL3和下轨xL2、xL4。
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当收盘价上穿下轨时,做多;当收盘价下穿上轨时,平仓。
该策略具有以下优势:
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HullMA指标对价格变化敏感,可以有效跟踪趋势。
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百分比带设置自由度高,可以通过调整来适应不同品种。
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通过双轨策略,可以有效过滤错误信号。
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止损策略可以有效控制风险。
该策略也存在一些风险:
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可能存在追高杀跌的情况。
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频繁买卖带来的滑点损耗。
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参数设置不当可能导致交易频繁。
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停损位置设置需要反复测试优化。
该策略可以从以下方向进行优化:
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优化hullMA长度 parameter,适应不同品种。
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优化百分比带parameter,降低错误交易。
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添加短线操作策略,利用回调获取更多利润。
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优化停损策略,确保止损有效。
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测试不同品种参数健壮性。
本策略通过HullMA指标及其百分比带构建了一个较为简单直观的突破交易策略。策略优劣势明确,通过参数调整和功能优化扩展,可以成为一个非常实用的量化策略。
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This strategy implements quantitative trading through calculating Hull moving average and its percentage bands to make entry and stop-loss decisions. Its advantages include adjustable parameters, simple implementation, and strict stop loss. But risks like chasing peaks and killing dips, frequent trading also exist. Further optimizations on stop loss strategy and adding short-term operations could lead to better performance.
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Calculate Hull moving average hullma with length length.
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Plot percentage bands xL1, xL3, xL2, xL4 based on hullma.
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Long when close crosses below xL2 or xL4, close long when close crosses above xL1, xL2 or xL3.
The advantages include:
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HullMA is sensitive to price changes and tracks trends well.
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Percentage bands are highly adjustable for different products.
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Dual bands strategy filters out wrong signals effectively.
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Stop loss strategy controls risks effectively.
Some risks:
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Chasing peaks and killing dips.
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Slippage from frequent trading.
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Improper parameter tuning leads to overtrading.
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Stop loss position needs iterative optimization.
Some optimization directions:
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Optimize hullMA length parameter for different products.
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Optimize percentage bands to reduce wrong trades.
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Add short-term operations to get more profits.
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Optimize stop loss strategy to ensure effectiveness.
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Test robustness across different products.
This strategy builds a relatively simple breakout trading system using HullMA and percentage bands. With clear pros and cons, and further optimizations on parameters and functionalities, it can become a very practical quant strategy.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | 9 | length |
| v_input_2_close | 0 | Source: close |
| v_input_3 | 3 | Uband1 |
| v_input_4 | 3 | Lband1 |
| v_input_5 | 6 | Uband2 |
| v_input_6 | 6 | Lband2 |
Source (PineScript)
/*backtest
start: 2023-03-01 00:00:00
end: 2024-02-29 00:00:00
period: 5d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("hullma percentage lines", overlay=true)
length = input(9, minval=1)
src = input(close, title="Source")
hullma = wma(2*wma(src, length/2)-wma(src, length), round(sqrt(length)))
plot(hullma)
Uband1 = input(3, minval=1, step = .5)
Lband1 = input(3, minval=1, step = .5)
Uband2 = input(6, minval=1, step = .5)
Lband2 = input(6, minval=1, step = .5)
v1 = Uband1+100
v2 = 100 - Lband1
v3 = Uband2+100
v4 = 100 - Lband2
xL1 = (hullma / 100) * v1
xL2 = (hullma / 100) * v2
xL3 = (hullma / 100) * v3
xL4 = (hullma / 100) * v4
plot(xL1, color=yellow, title="H1")
plot(xL2, color=yellow, title="L1")
plot(xL3, color=yellow, title="H2")
plot(xL4, color=yellow, title="L2")
longCondition1 = crossover(close, xL4)
if (longCondition1)
strategy.entry("l1", strategy.long)
longCondition2 = crossover(close, xL2)
if (longCondition2)
strategy.entry("l1", strategy.long)
shortCondition1 = crossover(close, xL1)
if (shortCondition1)
strategy.close("l1", strategy.long)
shortCondition2 = crossover(close, xL2)
if (shortCondition2)
strategy.close("l1", strategy.long)
shortCondition3 = crossover(close, xL3)
if (shortCondition3)
strategy.close("l1", strategy.long)
Detail
https://www.fmz.com/strategy/443243
Last Modified
2024-03-01 12:16:45