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动量均线破坏策略Momentum-Breakout-Strategy.md

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Name

动量均线破坏策略Momentum-Breakout-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

本策略是基于动量破坏原理,结合RSI和随机指标的趋势跟踪策略。它使用DEMA指标判断价格动量方向,RSI指标判断超买超卖,KDJ指标辅助判断趋势,根据这些指标信号进行 longing和shorting操作。该策略适用于中长线趋势交易。

策略原理

本策略使用DEMA指标来判断价格动量方向。DEMA是双指数移动平均线,它比普通EMA更敏感,可以更早发现趋势变化。策略通过计算价格与DEMA的差额百分比来判断价格动量的方向和力度。

当价格上涨幅度大于设定参数时,认为价格处于上涨趋势;当价格下跌幅度大于设定参数时,认为价格处于下跌趋势。结合RSI指标判断是否处于超买超卖区域,如果RSI低于超卖线,说明处于超卖状态,可以做多;如果RSI高于超买线,说明处于超买状态,可以做空。

此外,策略还使用KDJ指标的随机线K和D线来确认趋势。当随机线K线上穿D线时,做多信号成立;当K线下穿D线时,做空信号成立。

最后,该策略还加入了时间过滤条件,只在指定的年、月、日内生效,从而避免不必要的交易。

优势分析

本策略具有以下优势:

  1. 使用双指数移动平均线DEMA判断价格动量,更敏感,可以提早发现趋势变化。

  2. 结合RSI指标判断超买超卖情况,避免在市场转折点附近乱入场。

  3. 使用随机指标KDJ确认趋势信号,可以过滤掉部分错误信号。

  4. 加入时间过滤条件,只在指定时间内交易,避免不必要的资金占用。

  5. 承上启下,分析流程清晰,易于理解和修改。

  6. 指标参数可调,可以根据不同品种和时间周期进行优化。

风险分析

本策略也存在一些风险需要注意:

  1. DEMA和RSI等指标都可能发出错误信号,导致不必要的亏损。可以适当调整参数或增加过滤条件来降低误判概率。

  2. 双重指标组合并不能完全避免巨大行情的反转,大幅震荡市场中可能出现止损。

  3. 固定的时间区间设置可能错过某些具有交易机会的时间段,建议加入更灵活的交易时间控制。

  4. 趋势交易方式需要承担一定回撤,需要忍受连续亏损的心理准备。

  5. 需要持续关注指标参数的优化,以适应市场的变化。

优化方向

本策略可以从以下几个方面进行优化:

  1. 测试更多指标的组合,寻找更稳定和顺畅的交易策略逻辑。例如MACD,KD,MOVING AVERAGE等。

  2. 对指标参数进行测试和优化,找到参数的最佳取值区间。

  3. 增加止损策略,如移动止损,尾随止损等,降低回撤。

  4. 增加钱管理功能,比如固定交易数量,动态调整仓位等,控制风险。

  5. 优化入场和出场逻辑,确保高概率入场,尽早止损。

  6. 增加更多过滤条件,确保在趋势明确之后才入场。例如量能指标,通道指标等。

  7. 优化时间控制策略,使交易更贴近市场节奏。例如只在美国或亚洲交易时段交易等。

总结

本策略立足于趋势交易,使用DEMA判断趋势方向,RSI判断超买超卖,KDJ确认信号,以控制风险。它操作简单,逻辑清晰,可定制性强,适合中长线持仓。随着参数优化、止损策略和风控措施的不断完善,本策略有望成为跟踪市场主趋势的稳定交易系统。当然,任何策略都不能完全避免市场风险,需要交易者保持耐心和纪律,始终谨记“保本”的原则。

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Overview

This strategy is based on momentum breakout principles and combines RSI and Stochastic indicators for trend following. It uses the DEMA indicator to determine price momentum direction, RSI to judge overbought and oversold levels, and Stochastic KDJ lines to confirm the trend. It performs longing and shorting operations according to these indicator signals. The strategy is suitable for medium-to-long term trend trading.

Strategy Logic

The strategy uses the DEMA indicator to determine the direction of price momentum. DEMA is a double exponential moving average that is more sensitive than regular EMA, allowing earlier detection of trend changes. The strategy calculates the percentage difference between price and DEMA to judge the direction and strength of price momentum.

When the price rise is greater than the set parameter, the price is considered to be in an uptrend. When the price fall is greater than the set parameter, the price is considered to be in a downtrend. Combined with the RSI indicator to determine if it is in overbought or oversold zones, if the RSI is lower than the oversold line, it indicates an oversold state and long positions can be opened. If the RSI is higher than the overbought line, it indicates an overbought state and short positions can be opened.

In addition, the strategy also uses the KDJ indicator's stochastic lines K and D to confirm the trend. When the K line crosses above the D line, a long signal is triggered. When the K line crosses below the D line, a short signal is triggered.

Finally, the strategy also includes time filter conditions that are only effective within specified years, months and days, thus avoiding unnecessary trades.

Advantage Analysis

This strategy has the following advantages:

  1. Using DEMA to judge price momentum is more sensitive and can detect trend changes earlier.

  2. Combining RSI to determine overbought and oversold prevents wrongly entering at market turning points.

  3. Using Stochastic KDJ to confirm signals can filter out some wrong signals.

  4. Adding time filters only allows trading within specified periods, avoiding unnecessary capital occupation.

  5. Clear and easy-to-understand logic flow for analysis.

  6. Adjustable indicator parameters can be optimized for different products and timeframes.

Risk Analysis

There are also some risks to note for this strategy:

  1. DEMA, RSI and other indicators can give false signals, leading to unnecessary losses. Parameters can be adjusted or more filters added to reduce misjudgement probability.

  2. Dual indicator combos cannot fully avoid reversals in huge market moves. Stop losses may be triggered in high volatility markets.

  3. Fixed time intervals may miss some trading opportunities, more flexible trade time controls are recommended.

  4. Trend trading methods require tolerating drawdowns and consecutive losses psychologically.

  5. Continuous monitoring of parameter optimization is needed to adapt to changing market conditions.

Improvement Directions

The strategy can be optimized in the following aspects:

  1. Test combinations of more indicators to find more stable and smooth trading logic. Such as MACD, KD, MOVING AVERAGE etc.

  2. Test and optimize indicator parameters to find optimal value ranges.

  3. Add stop loss strategies like moving stop loss, trailing stop loss etc. to reduce drawdowns.

  4. Add money management functions like fixed trade size, dynamic position adjustment to control risk.

  5. Optimize entry and exit logic to ensure high-probability entry and early stop loss.

  6. Add more filters to ensure entry only after a clear trend. Such as volume indicators, channel indicators etc.

  7. Optimize time controls to fit market rhythms. For example, only trade during US or Asia sessions.

Conclusion

This strategy focuses on trend trading, using DEMA for trend direction, RSI for overbought/oversold levels, and KDJ for confirmation to control risk. It has simple logic, high customizability, and is suitable for medium-to-long term holding. With continuous improvements in parameter optimization, stop loss strategies and risk control, this strategy has the potential to become a stable system for following the major market trend. Of course, no strategy can fully avoid market risks. Traders need patience and discipline, always remembering the "capital preservation" principle.

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Strategy Arguments

Argument Default Description
v_input_1 -1 buyper
v_input_2 true sellper
v_input_3 50 Dema Length
v_input_4 true Band for OverBought
v_input_5 -1 Band for OverSold
v_input_6 10 lengthrsi
v_input_7 30 overSold
v_input_8 55 overBought
v_input_9 3 smoothK
v_input_10 3 smoothD
v_input_11 14 lengthRSI
v_input_12 14 lengthStoch
v_input_13_close 0 RSI Source: close
v_input_14 20 srsilow
v_input_15 80 srsiup
v_input_16 2018 yearfrom
v_input_17 2019 yearuntil
v_input_18 6 monthfrom
v_input_19 12 monthuntil
v_input_20 true dayfrom
v_input_21 31 dayuntil

Source (PineScript)

/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version= 2
strategy("DPD+STOCH+RSI ", overlay=false)

buyper =input(-1,step=0.1)
sellper=input(1,step=0.1)

demalen = input(50,title="Dema Length")

e1= ema(close,demalen)
e2=ema(e1,demalen)
demaprice  =   2 * e1 - e2

price=close

demadifper =  ((price-demaprice)/price)*100



plot(demadifper, color=red)
OverDemaPer = input(1, title="Band for OverBought")
UnderDemaPer= input(-1,title="Band for OverSold")




band1 = hline(OverDemaPer)
band0 = hline(UnderDemaPer)
zeroline=0
fill(band1, band0, color=green, transp=90)


lengthrsi = input(10)
overSold = input( 30 )
overBought = input( 55 )
vrsi = rsi(price, lengthrsi)


smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
src = input(close, title="RSI Source")

rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
srsilow=input(20)
srsiup=input(80)







yearfrom = input(2018)
yearuntil =input(2019)
monthfrom =input(6)
monthuntil =input(12)
dayfrom=input(1)
dayuntil=input(31)



if ( ( (demadifper<buyper) or crossover(demadifper,buyper)) and (vrsi<overSold) ) 
    strategy.entry("BUY", strategy.long, stop=close, oca_name="TREND",  comment="BUY")
    
else
    strategy.cancel(id="BUY")


if ( vrsi>overBought  and ( crossunder(k,d) ) and ( demadifper>sellper  or crossunder(demadifper,sellper)  )  ) 

    strategy.entry("SELL", strategy.short,stop=close, oca_name="TREND",  comment="SELL")
else
    strategy.cancel(id="SELL")

Detail

https://www.fmz.com/strategy/428972

Last Modified

2023-10-11 15:01:12