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MACD趋势追踪短线策略MACD-Trend-Following-Intraday-Strategy.md

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Name

MACD趋势追踪短线策略MACD-Trend-Following-Intraday-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

MACD趋势追踪短线策略是一个结合移动平均线、MACD指标和威廉指标的短线交易策略。该策略运用三种指标的不同组合,形成多空仓位的进入和退出条件,以捕捉短线价格的趋势性特征。

策略原理

该策略的主要交易逻辑基于以下几点:

  1. 当价格上穿Exponential Moving Average(EMA)均线时看多,当价格下穿时看空;

  2. 当MACD的快线高于慢线时看多,当快线低于慢线时看空;

  3. 威廉指标的快速移动平均线高于慢速移动平均线时看多,反之看空;

  4. 结合这三种情况的组合条件判断入场;

  5. 在反向情况下判断出场。

通过EMA判断大趋势方向和MACD判断短期价格动能的组合,该策略可在不错的入场点捕捉价格的趋势特征,从而获利。而威廉指标则可用来进一步验证品种的超买超卖情况,避免假突破。

策略优势

这种多指标组合结构是一个典型的短线趋势追踪策略,主要具有以下几点优势:

  1. 三种指标互相验证,可减少假信号的概率;

  2. EMA判断主趋势方向,MACD判断短线动能强弱;

  3. 威廉指标避免在剧烈波动中追高杀跌;

  4. 反向指标组合判断退出,跟风险控制紧密结合。

策略风险

该策略也存在以下主要风险:

  1. 多指标组合结构复杂,参数调优难度较大;

  2. 短线操作频繁,交易成本可能较高;

  3. 无法正确判断真正趋势反转点,存在亏损风险。

对策主要在参数调优和止损方面,寻找最佳参数组合,并设定合适的止损水平,控制单笔交易最大损失。

策略优化方向

该策略主要可从以下几个方面进行优化:

  1. 测试更多指标参数组合,寻找最优参数;

  2. 加入更多数据源,如成交量等辅助判断;

  3. 设定动态止损或跟踪止损加强风险控制;

  4. 结合机器学习模型判断真正趋势反转点。

总结

MACD趋势追踪短线策略综合运用多种指标的优势,在判断短线趋势的同时控制风险。通过参数优化、止损水平设定以及更多数据源的引入,能进一步提高策略胜率与盈利水平。该策略思路值得进一步拓展与深入研究。

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Overview

The MACD Trend Following Intraday Strategy is an intraday trading strategy that combines moving averages, the MACD indicator and the Williams Indicator. It utilizes different combinations of the three indicators to form entry and exit criteria for long and short positions, aiming to capture the trending characteristics of short-term price movements.

Strategy Logic

The key trading logic of this strategy is based on several aspects:

  1. Go long when price breaks above the Exponential Moving Average (EMA) line, and go short when it breaks below;

  2. Go long when the MACD fast line is above the slow line, and go short when below;

  3. Go long when William Indicator’s fast MA line is above the slow MA line, and vice versa;

  4. Use the combinations of these 3 scenarios as entry conditions;

  5. Exit on reversal signals.

By combining EMA for overall trend direction and MACD for short-term momentum, this strategy can capture price trend moves at decent entry points for profits. Williams Indicator further helps avoid false breakouts by gauging overbought/oversold levels.

Advantages

This multi-indicator combo structure makes a typical short-term trend following strategy, with main edges like:

  1. Triple cross verification to reduce false signals;

  2. EMA for main trend, MACD for short-term momentum;

  3. Williams Indicator avoids chasing tops or bottom fishing during volatile moves;

  4. Reversal combo ensures risk control aligns with exits.

Risks

There are also major risks to note for this strategy:

  1. The complex structure makes parameter tuning challenging;

  2. Frequent short-term trades may lead to higher transaction costs;

  3. Failure to detect true trend reversal points may result in losses.

The main mitigations are parameter optimization and stop loss to maximize profit combos and control max single trade loss.

Enhancement Opportunities

Main aspects to enhance the strategy:

  1. Test more parameter combinations for optimum set;

  2. Add more data feeds like volume for entry validation;

  3. Employ dynamic or trailing stop loss to strengthen risk control;

  4. Incorporate machine learning for detecting true reversals.

Conclusion

This MACD trend following intraday strategy effectively combines indicators for identifying short-term trends and managing risks. Further improvements on tuning parameters, setting stop loss levels and incorporating more data feeds can lift strategy win rate and profitability. The concepts are worth researching for strategy advancement.

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Strategy Arguments

Argument Default Description
v_input_3_close 0 Source: close
v_input_4 50 Volume MA Period
v_input_5 12 Fast Length
v_input_6 26 Slow Length
v_input_int_7 9 Signal Smoothing
v_input_string_1 0 Oscillator MA Type: EMA
v_input_string_2 0 Signal Line MA Type: EMA
v_input_int_8 34 w_length
v_input_13 5 Smoothed %R Length
v_input_14 13 Slow EMA Length
v_input_1 2011 (?Trading window)Start Year
v_input_int_1 true Start Month
v_input_int_2 true Start Day
v_input_2 2050 Finish Year
v_input_int_3 12 Finish Month
v_input_int_4 31 Finish Day
v_input_float_1 true (?Trading Options)Leverage (if applicable)
v_input_bool_1 false Reinvest profit
v_input_float_2 20 Reinvest percentage
v_input_int_5 14 (?Daily ATR)ATR period
v_input_float_3 5 % ATR to use for SL / PT
v_input_float_4 20 (?VIX Volatility Index)VIX Threshold for entry
v_input_int_6 200 (?Moving Averages)EMA
v_input_7 #2962FF (?Color Settings)MACD Line  
v_input_8 #FF6D00 Signal Line  
v_input_9 #26A69A (?Histogram)Above   Grow
v_input_10 #B2DFDB Fall
v_input_11 #FFCDD2 Below Grow
v_input_12 #FF5252 Fall

Source (PineScript)

/*backtest
start: 2023-11-18 00:00:00
end: 2023-12-18 00:00:00
period: 1h
basePeriod: 15m
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/
// © platsn

//@version=5
strategy("MACD Willy Strategy", overlay=true, pyramiding=1, initial_capital=10000) 

// ******************** Trade Period **************************************
startY = input(title='Start Year', defval=2011, group = "Trading window")
startM = input.int(title='Start Month', defval=1, minval=1, maxval=12, group = "Trading window")
startD = input.int(title='Start Day', defval=1, minval=1, maxval=31, group = "Trading window")
finishY = input(title='Finish Year', defval=2050, group = "Trading window")
finishM = input.int(title='Finish Month', defval=12, minval=1, maxval=12, group = "Trading window")
finishD = input.int(title='Finish Day', defval=31, minval=1, maxval=31, group = "Trading window")
timestart = timestamp(startY, startM, startD, 00, 00)
timefinish = timestamp(finishY, finishM, finishD, 23, 59)
// t1 = time(timeframe.period, "0945-1545:23456") 
// window = time >= timestart and time <= timefinish and t1 ? true : false 
// t2 = time(timeframe.period, "0930-1555:23456")
// window2 = time >= timestart and time <= timefinish and t2 ? true : false 

leverage = input.float(1, title="Leverage (if applicable)", step=0.1, group = "Trading Options")
reinvest = input.bool(defval=false,title="Reinvest profit", group = "Trading Options")
reinvest_percent = input.float(defval=20, title = "Reinvest percentage", group="Trading Options")
// entry_lookback = input.int(defval=10, title="Lookback period for entry condition", group = "Trading Options")

// -------------------------------------------- Data Source --------------------------------------------

src = input(title="Source", defval=close)

// ***************************************************************************************************** Daily ATR *****************************************************
atrlen = input.int(14, minval=1, title="ATR period", group = "Daily ATR")
iPercent = input.float(5, minval=1, maxval=100, step=0.1, title="% ATR to use for SL / PT", group = "Daily ATR")
 
percentage = iPercent * 0.01
datr = request.security(syminfo.tickerid, "1D", ta.rma(ta.tr, atrlen))
datrp = datr * percentage

// plot(datr,"Daily ATR")
// plot(datrp, "Daily % ATR")

//*********************************************************** VIX volatility index ****************************************

VIX = request.security("BTC_USDT:swap", timeframe.period, close)
vix_thres = input.float(20.0, "VIX Threshold for entry", step=0.5, group="VIX Volatility Index")

// ************************************************ Volume ******************************************************

vol_len = input(50, 'Volume MA Period')
avg_vol = ta.sma(volume, vol_len)

//-------------------------------------------------------- Moving Average ------------------------------------

emalen1 = input.int(200, minval=1, title='EMA', group= "Moving Averages")
ema1 = ta.ema(src, emalen1)

// ------------------------------------------ MACD ------------------------------------------
// Getting inputs
fast_length = input(title="Fast Length", defval=12)
slow_length = input(title="Slow Length", defval=26)
signal_length = input.int(title="Signal Smoothing",  minval = 1, maxval = 50, defval = 9)
sma_source = input.string(title="Oscillator MA Type",  defval="EMA", options=["SMA", "EMA"])
sma_signal = input.string(title="Signal Line MA Type", defval="EMA", options=["SMA", "EMA"])
// Plot colors
col_macd = input(#2962FF, "MACD Line  ", group="Color Settings", inline="MACD")
col_signal = input(#FF6D00, "Signal Line  ", group="Color Settings", inline="Signal")
col_grow_above = input(#26A69A, "Above   Grow", group="Histogram", inline="Above")
col_fall_above = input(#B2DFDB, "Fall", group="Histogram", inline="Above")
col_grow_below = input(#FFCDD2, "Below Grow", group="Histogram", inline="Below")
col_fall_below = input(#FF5252, "Fall", group="Histogram", inline="Below")
// Calculating
fast_ma = sma_source == "SMA" ? ta.sma(src, fast_length) : ta.ema(src, fast_length)
slow_ma = sma_source == "SMA" ? ta.sma(src, slow_length) : ta.ema(src, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal == "SMA" ? ta.sma(macd, signal_length) : ta.ema(macd, signal_length)
hist = macd - signal

// ---------------------------------------- William %R --------------------------------------
w_length = input.int(defval=34, minval=1)
w_upper = ta.highest(w_length)
w_lower = ta.lowest(w_length)

w_output = 100 * (close - w_upper) / (w_upper - w_lower)

fast_period = input(defval=5, title='Smoothed %R Length')
slow_period = input(defval=13, title='Slow EMA Length')

w_fast_ma = ta.wma(w_output,fast_period)
w_slow_ma = ta.ema(w_output,slow_period)



// ------------------------------------------------ Entry Conditions ----------------------------------------

L_entry1 = close > ema1 and hist > 0 and w_fast_ma > w_slow_ma 
S_entry1 = close < ema1 and hist < 0 and w_fast_ma < w_slow_ma 

// -------------------------------------------------- Entry -----------------------------------------------
strategy.initial_capital = 50000
profit = strategy.netprofit
trade_amount = math.floor(strategy.initial_capital*leverage / close) 

if strategy.netprofit > 0 and reinvest
    trade_amount := math.floor((strategy.initial_capital+(profit*reinvest_percent*0.01))*leverage / close) 
else
    trade_amount := math.floor(strategy.initial_capital*leverage/ close) 


if L_entry1 //and window
    strategy.entry("Long", strategy.long, trade_amount)

if S_entry1 //and window
    strategy.entry("Short", strategy.short, trade_amount)

// --------------------------------------------------- Exit Conditions -------------------------------------

L_exit1 = hist < 0 and w_fast_ma < w_slow_ma and w_fast_ma < -20
S_exit1 = hist > 0 and w_fast_ma > w_slow_ma and w_fast_ma > -80

// ----------------------------------------------------- Exit ---------------------------------------------

if L_exit1 //and window2
    strategy.close("Long")
    
if S_exit1 //and window2
    strategy.close("Short")

// if time(timeframe.period, "1530-1600:23456")
//     strategy.close_all()

Detail

https://www.fmz.com/strategy/435838

Last Modified

2023-12-19 11:16:44