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融合双重趋势信号的反转指数量化策略Quantitative-Reversal-Index-Strategy-Integrating-Dual-Trend-Signals.md

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Name

融合双重趋势信号的反转指数量化策略Quantitative-Reversal-Index-Strategy-Integrating-Dual-Trend-Signals

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略名称为“融合双重趋势信号的反转指数量化策略”。它融合了两种不同的策略信号,一种是基于随机指标的短期反转信号,另一种是基于成交量的长期趋势信号,两者结合形成稳定的入场信号。

策略原理

该策略由两部分组成。第一部分使用9日Stoch指标生成短期反转信号。具体来说,如果收盘价较前一日收高,同时9日快线低于50而慢线高于50时做多;如果收盘价较前一日收低,同时9日快线高于50而慢线低于50时做空。这样利用Stoch指标的金叉死叉形成短期反转信号。

第二部分使用负成交量指数(NVI)形成长期趋势信号。NVI的计算公式是,如果当日成交量少于前一日,则将当日的收盘价变动率累加;如果当日成交量大于或等于前一日,则维持前一日的值不变。通过NVI指标的移动均线形成长期趋势信号。

最后,该策略将两种信号结合。只有当短期反转信号和长期趋势信号同向时,才会形成入场信号。这有助于过滤假信号,增强稳定性。

优势分析

该策略最大的优势在于信号稳定。短期反转信号能捕捉市场的短期调整,长期趋势信号确保了大趋势不变。两者的结合大大增强了信号的稳定性,能有效过滤误报率较高的短期信号。

另外,该策略参数较少,容易优化。用户只需要调整NVI的参数就可以适应不同市场的特征。

风险分析

该策略最大的风险在于两种信号之间可能存在时间差。短期反转信号和长期趋势信号之间可能存在一定的滞后,这会导致一段时间内两种信号不一致,无法形成稳定的入场信号。

另外,NVI指标对异常巨量的成交量变化也较敏感,这可能导致错误的长期趋势判断。

为降低这些风险,可以适当调整NVI指标参数,或者增加止损来控制单笔损失。

优化方向

该策略主要可以从以下几个方面进行优化:

  1. 优化Stoch指标的参数,提高反转捕捉能力。

  2. 优化NVI指标的长度周期,增强识别长期趋势的能力。

  3. 增加成交量过滤条件,排除成交量异常的假信号。

  4. 增加止损策略,控制单笔损失。

总结

该策略基于短期反转和长期趋势的思路设计稳定的入场机制,能有效控制误报率,增强信号的稳定性。下一步可以从调整参数、增加过滤条件等方面进行优化,进一步提高策略的稳定性。

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Overview

The strategy is named "Quantitative Reversal Index Strategy Integrating Dual Trend Signals". It integrates signals from two different strategies - a short-term reversal signal based on the Stochastic indicator and a long-term trend signal based on volume, combining them into a stable entry signal.

Principles

The strategy consists of two parts. The first part uses the 9-day Stoch to generate short-term reversal signals. Specifically, it goes long when the close is higher than the previous close and the Stoch 9-day fast line is below 50 while the slow line is above 50; it goes short when the close is lower than the previous close and the Stoch 9-day fast line is above 50 while the slow line is below 50. This way, the Stoch's golden cross and death cross form short-term reversal signals.

The second part uses the Negative Volume Index (NVI) to form long-term trend signals. The NVI calculation formula is that if the volume of the day is less than the previous day, the rate of change of the closing price of the day is accumulated; if the volume of the day is greater than or equal to the previous day, the previous day's value remains unchanged. Long-term trend signals are formed through the moving average of the NVI indicator.

Finally, the strategy combines the two types of signals. Only when the short-term reversal signal and long-term trend signal are in the same direction will an entry signal be formed. This helps filter out false signals and enhance stability.

Advantage Analysis

The biggest advantage of this strategy is the stability of signals. The short-term reversal signal captures short-term market adjustments, while the long-term trend signal ensures the big trend remains unchanged. The combination of the two greatly enhances the stability of the signals and can effectively filter out false signals that have a higher rate from the short-term ones.

In addition, the strategy has few parameters and is easy to optimize. Users only need to adjust the parameters of the NVI to adapt to the characteristics of different markets.

Risk Analysis

The biggest risk of this strategy is that there may be a time lag between the two types of signals. There may be some lag between the short-term reversal signal and long-term trend signal, which will lead to inconsistent signals for a period of time, unable to form a stable entry signal.

In addition, the NVI indicator is also sensitive to abnormal surges in trading volume, which can lead to wrong judgments of long-term trends.

To mitigate these risks, the parameters of the NVI indicator can be adjusted accordingly, or stop loss can be added to control the loss per trade.

Optimization

The main aspects for optimizing this strategy include:

  1. Optimize the parameters of the Stoch indicator to improve reversal capturing capability.

  2. Optimize the cycle length of the NVI indicator to enhance long-term trend identification capability.

  3. Add trading volume filters to eliminate false signals from abnormal trading volumes.

  4. Add stop loss strategies to control per trade loss.

Conclusion

The strategy is designed with a stable entry mechanism based on the idea of short-term reversal and long-term trend to effectively control the false positive rate and enhance signal stability. Next steps for optimization include adjusting parameters, adding filter conditions, etc. to further improve the stability of the strategy.
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Strategy Arguments

Argument Default Description
v_input_1 true ---- 123 Reversal ----
v_input_2 14 Length
v_input_3 true KSmoothing
v_input_4 3 DLength
v_input_5 50 Level
v_input_6 true ---- Negative Volume Index ----
v_input_7 50 EMA_Len
v_input_8 false Trade reverse

Source (PineScript)

/*backtest
start: 2023-12-18 00:00:00
end: 2023-12-21 05:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 29/03/2021
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// The theory behind the indexes is as follows: On days of increasing 
// volume, you can expect prices to increase, and on days of decreasing 
// volume, you can expect prices to decrease. This goes with the idea of 
// the market being in-gear and out-of-gear. Both PVI and NVI work in similar 
// fashions: Both are a running cumulative of values, which means you either 
// keep adding or subtracting price rate of change each day to the previous day`s 
// sum. In the case of PVI, if today`s volume is less than yesterday`s, don`t add 
// anything; if today`s volume is greater, then add today`s price rate of change. 
// For NVI, add today`s price rate of change only if today`s volume is less than 
// yesterday`s.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos


NVI(EMA_Len) =>
    pos = 0.0
    nRes = 0.0
    xROC = roc(close, EMA_Len)
    nRes := iff(volume < volume[1], nz(nRes[1], 0) + xROC, nz(nRes[1], 0))
    nResEMA = ema(nRes, EMA_Len)
    pos := iff(nRes > nResEMA, 1,
    	     iff(nRes < nResEMA, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Negative Volume Index", shorttitle="Combo", overlay = true)
line1 = input(true, "---- 123 Reversal ----")
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
line2 = input(true, "---- Negative Volume Index ----")
EMA_Len = input(50, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posNVI = NVI(EMA_Len)
pos = iff(posReversal123 == 1 and posNVI == 1 , 1,
	   iff(posReversal123 == -1 and posNVI == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1 ) 
    strategy.entry("Long", strategy.long)
if (possig == -1 )
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

Detail

https://www.fmz.com/strategy/436645

Last Modified

2023-12-26 15:47:36