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渔夫转身EMA多重止损多重止盈策略Fisher-Turnaround-EMA-Multi-Take-Profit-and-Multi-Stop-Strategy.md

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Name

渔夫转身EMA多重止损多重止盈策略Fisher-Turnaround-EMA-Multi-Take-Profit-and-Multi-Stop-Strategy

Author

ChaoZhang

Strategy Description

IMG

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概述

渔夫转身EMA多重止损多重止盈策略结合了指标EMA和自定义的渔夫转身信号,实现了趋势跟踪交易。当短周期EMA上穿长周期EMA并且渔夫转身信号大于0时产生买入信号。该策略设置了两个止盈点和一个动态止损点来锁定利润和控制风险。第一个止盈点为2倍ATR,第二个止盈点为3倍ATR,止损点为1倍ATR。当第一个止盈点被触发后,止损点会移动到入场价格。该策略适用于寻找潜在趋势交易机会的GDAX交易所。

策略原理

该策略主要基于两个技术指标:

  1. EMA:指数移动平均线。策略中使用12周期和26周期的EMA。
  2. 自定义的渔夫转身信号。该信号基于一定周期内价格的最高点和最低点的差值计算。

当短周期EMA上穿长周期EMA时产生买入信号。此外,渔夫转身信号线也必须大于0,表示当前处于上涨趋势。

止盈和止损规则如下:

  1. 第一个止盈点为2倍ATR
  2. 第二个止盈点为3倍ATR
  3. 止损点为1倍ATR
  4. 当第一个止盈点被触发后,止损点会移动到入场价格

该策略可以通过调整EMA周期、渔夫转身信号周期和ATR周期等参数进行优化。

策略优势

该策略结合趋势跟踪指标和风险管理指标,具有以下优势:

  1. 使用EMA捕捉趋势方向
  2. 自定义渔夫转身信号过滤假突破
  3. 多个止盈点锁定利润
  4. 动态止损控制风险
  5. 可调参数适应不同市场环境

策略风险

该策略也存在一些风险:

  1. 趋势反转造成止损被触发
  2. 参数设置不当导致过于激进入场或前期退出
  3. 自定义渔夫转身信号可能存在效果不佳的市场环境

可以通过优化参数、组合其他指标和人工干预等方式减少这些风险。

优化方向

该策略可以从以下几个方面进行优化:

  1. 优化EMA周期参数,适应更多市场环境
  2. 组合其他趋势指标验证买入信号
  3. 添加整体市场过滤,避免不确定环境的误入场
  4. 优化渔夫转身信号参数或尝试其他自定义指标
  5. 增加止盈档位数量,锁定更多利润
  6. 整合自动止盈移位功能

通过测试不同参数设置和指标组合,可以持续提升策略表现。

总结

渔夫转身EMA多重止损多重止盈策略,整合了趋势跟踪和风险管理的优势,是一个值得长期验证优化的有潜力的策略。参数调整和指标组合还有很大的优化空间,希望您在实盘验证中能取得稳定的超额收益!

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Overview

The Fisher Turnaround EMA Multi-Take Profit and Multi-Stop Strategy combines the EMA indicator and a custom Fisher Turn signal to implement trend tracking trades. It generates buy signals when the short period EMA crosses above the long period EMA and the Fisher Turn signal is greater than 0. The strategy sets two take profit levels and one dynamic stop loss to lock in profits and control risks. The first take profit is 2xATR, the second 3xATR, and the stop loss is 1xATR. After the first take profit is triggered, the stop loss will move to the entry price. This strategy is suitable for the GDAX exchange to find potential trend trading opportunities.

Strategy Logic

The strategy is mainly based on two technical indicators:

  1. EMA: Exponential Moving Average. The strategy uses 12 and 26 period EMAs.
  2. Custom Fisher Turn signal. This signal is calculated based on the difference between the highs and lows over a certain period.

Buy signals are generated when the short period EMA crosses above the long period EMA. In addition, the Fisher Turn signal line must also be greater than 0, indicating the current uptrend.

The take profit and stop loss rules are as follows:

  1. First take profit at 2xATR
  2. Second take profit at 3xATR
  3. Stop loss at 1xATR
  4. After the first take profit is triggered, the stop loss will move to the entry price.

The strategy can be optimized by adjusting parameters like EMA periods, Fisher Turn signal periods, and ATR periods.

Advantages

By combining trend tracking indicators and risk management indicators, this strategy has the following advantages:

  1. Using EMA to capture trend direction
  2. Custom Fisher Turn signal filters fake breakouts
  3. Multiple take profit levels to lock in profits
  4. Dynamic stop loss to control risks
  5. Adjustable parameters adapt to different market environments

Risks

There are also some risks to this strategy:

  1. Trend reversal triggers stop loss
  2. Improper parameter settings cause over-aggressive entries or premature exits
  3. Custom Fisher Turn signal may fail in certain market environments

These risks can be reduced through parameter optimization, combining other indicators, manual intervention etc.

Optimization Directions

The strategy can be optimized in the following aspects:

  1. Optimize EMA period parameters to adapt more market environments
  2. Add other trend indicators to verify buy signals
  3. Incorporate overall market filters to avoid uncertain environments
  4. Optimize Fisher Turn signal parameters or try other custom indicators
  5. Add more take profit levels to lock in more profits
  6. Integrate auto trailing stop loss function

By testing different parameter settings and indicator combinations, the strategy performance can be continuously improved.

Conclusion

The Fisher Turnaround EMA Multi-Take Profit and Multi-Stop Strategy integrates the strengths of trend tracking and risk management. With great potential for long-term verification and optimization, it is a promising strategy. There is still ample room for optimizing parameters and combining indicators to achieve steady outperformance in live trading.

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Strategy Arguments

Argument Default Description
v_input_1 14 Blackflag FTS Length
v_input_2 14 ATR Length

Source (PineScript)

/*backtest
start: 2022-12-29 00:00:00
end: 2024-01-04 00:00:00
period: 1d
basePeriod: 1h
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/
// © Eliebf13
//@version=4
strategy("GDAX EMA & Blackflag FTS Strategy with Multiple Take Profits and Dynamic Stop Loss", overlay=true)

// Input parameters for Blackflag FTS
fts_length = input(14, title="Blackflag FTS Length")
atr_length = input(14, title="ATR Length")

// GDAX EMA calculation
short = ema(close, 12)
long = ema(close, 26)

// Calculate Blackflag FTS signal line manually
up = 0.0
down = 0.0
for i = 0 to fts_length - 1
    up := up + (high[i] - low[i])
    down := down + (high[i] - low[i])

fts_value = down == 0 ? 100 : 100 - (100 / (1 + (up / down)))

// Buy condition: GDAX EMA crossover and Blackflag FTS signal above zero
buy_condition = crossover(short, long) and fts_value > 0

// ATR calculation
atr_value = atr(atr_length)

// Calculate Stop Loss and Take Profit levels
stop_loss_level = close - atr_value
take_profit_level1 = close + 2 * atr_value
take_profit_level2 = close + 3 * atr_value

// Sell condition: GDAX EMA crossunder or Blackflag FTS signal below zero
sell_condition = crossunder(short, long) or fts_value < 0

// Strategy orders with Multiple Take Profits and Dynamic Stop Loss
strategy.entry("Buy", strategy.long, when = buy_condition)

// Calculate position size for 50% closure at each take profit level
position_size = strategy.position_size
target_position_size1 = position_size * 0.5
target_position_size2 = position_size * 1

strategy.exit("Take Profit 1", from_entry="Buy", loss=close, profit=take_profit_level1, qty=target_position_size1)
strategy.exit("Take Profit 2/Move Stop Loss", from_entry="Buy", loss=close, profit=take_profit_level2, qty=target_position_size2)

// Plot GDAX EMA lines
plot(short, color=#6f92ce, linewidth=2, title="Ema 12")
plot(long, color=#e08937, linewidth=2, title="Ema 26")

// Plot Blackflag FTS signal
plot(fts_value, color=color.blue, title="Blackflag FTS Signal")

// Plot buy and sell signals on the chart
plotshape(series=buy_condition, location=location.belowbar, color=color.green, style=shape.triangleup, title="Buy Signal")
plotshape(series=sell_condition, location=location.abovebar, color=color.red, style=shape.triangledown, title="Sell Signal")

Detail

https://www.fmz.com/strategy/437787

Last Modified

2024-01-05 15:40:28