Name

动量平滑移动平均线与移动平均线交叉策略Momentum-Smooth-Moving-Average-Line-and-Moving-Average-Line-Crossover-Strategy

Author

ChaoZhang

Strategy Description

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概述

该策略运用动量平滑移动平均线(ALMA)与两条不同参数设置的指数移动平均线(EMA)的交叉来产生交易信号。同时,策略还结合随机指数平滑移动平均线(Stochastic RSI)来避免过度买入卖出。

策略原理

动量ALMA线

策略使用ALMA作为主要判断价格趋势的指标。ALMA具有平滑价格数据的功能,可以过滤掉价格的随机波动。通过调整ALMA的周期、偏移值和sigma参数,可以使其更加灵敏或稳定。当价格上涨时,ALMA会呈现绿色,价格下跌时会呈现红色。

快慢EMA线交叉

策略使用长度不同的两条EMA线。当快速EMA线向上穿过慢速EMA线时,产生买入信号;当快速EMA线向下穿过慢速EMA时,产生卖出信号。EMA交叉具有比较好的趋势判断能力。快慢EMA的周期可以通过参数调整,以适应不同的交易品种和周期。

Stochastic RSI

Stochastic RSI指标的作用是避免在超买超卖区域发出交易信号。它结合RSI和Stochastic两个指标的优点,可以更好判断巅峰和低谷区域。在Stochastic RSI指标超买或超卖时,该策略会取消原有的多头或空头订单。

策略优势分析

顺势操作,抓住趋势

策略充分利用EMA交叉判定价格趋势方向的优势,配合ALMA指标来定位主要的多头和空头机会,实现顺势交易。

参数可调整,适应性强

EMA周期、ALMA参数等都提供了可调整的空间,用户可以根据自己的需要优化参数,使策略更好适应不同市场环境。

有止损停利机制

策略内置了止损停利设定。采用浮动止损可以减少止损被追杀的概率;有利润取得设置可以锁定盈利,避免把利润吐出。

风险分析

趋势判断错误

在复杂的行情中,EMA和ALMA线可能会发出错误信号。这时就要依赖止损来控制损失。

参数不当

如果参数设置不当,EMA和ALMA线就不能正确发挥作用,会增加交易风险。需要测试和优化来选择最佳参数组合。

策略优化方向

测试优化EMA和ALMA的参数设置,选择最优参数。
结合其他指标过滤信号,避免错误信号带来损失。例如MACD,KDJ等。
优化止损幅度,在控制风险和获利之间找到平衡。
测试不同的品种和周期参数,使策略适用于更多市场。

总结

该策略整体来说是一个简单实用的趋势跟踪策略。它利用EMA交叉判定趋势方向,ALMA指标定位加仓点位,Stochastic RSI避免超买超卖的风险,同时设置了止损和止盈来控制风险。通过参数调整和指标优化,该策略可以获得较好的效果。它既容易理解和使用,也有一定的自适应能力。

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Overview

This strategy uses the crossover of the Momentum Smooth Moving Average Line (ALMA) and two Exponential Moving Average Lines (EMA) with different parameter settings to generate trading signals. At the same time, the strategy also incorporates the Stochastic RSI to avoid excessive buying and selling.

Strategy Principle

Momentum ALMA Line

The strategy uses ALMA as the main indicator to judge the price trend. ALMA has the function of smoothing price data and can filter out random fluctuations in prices. By adjusting the period, offset value and sigma parameters of ALMA, it can be made more sensitive or stable. When prices rise, ALMA will show green, and when prices fall, ALMA will show red.

Fast and Slow EMA Crossover

The strategy uses two EMA lines with different lengths. When the fast EMA line crosses above the slow EMA line, a buy signal is generated. When the fast EMA line crosses below the slow EMA, a sell signal is generated. The EMA crossover has good trend judgment ability. The periods of the fast and slow EMAs can be adjusted through parameters to adapt to different trading varieties and cycles.

Stochastic RSI

The role of the Stochastic RSI indicator is to avoid issuing trading signals in overbought and oversold areas. It combines the advantages of both the RSI and Stochastic indicators, and can better determine peak and trough areas. When the Stochastic RSI indicator is overbought or oversold, the strategy will cancel existing long or short orders.

Advantage Analysis

Trading along trends

The strategy makes full use of the EMA crossover to determine the direction of the price trend, combined with the ALMA indicator to locate major long and short opportunities to implement trend trading.

Adjustable parameters

The periods of EMA and ALMA parameters provide adjustable space. Users can optimize the parameters according to their needs to make the strategy better adapt to different market environments.

Stop loss and take profit mechanism

The strategy has built-in stop loss and take profit settings. Using floating stop loss can reduce the probability of stop loss being chased; profit taking settings can lock in profits and avoid spitting out profits.

Risk Analysis

Wrong trend judgment

In complex markets, EMA and ALMA lines may issue wrong signals. Rely on stop loss to control losses.

Improper parameter settings

If the parameters are set improperly, the EMA and ALMA lines cannot function correctly, which will increase trading risks. Testing and optimization are needed to select the best parameter combination.

Strategy Optimization

Test and optimize the parameter settings of EMA and ALMA to select the optimal parameters.
Incorporate other indicators to filter signals and avoid losses caused by wrong signals. Such as MACD, KDJ, etc.
Optimize the stop loss magnitude to find a balance between risk control and profitability.
Test different varieties and cycle parameters to apply the strategy to more markets.

Summary

Overall, this is a simple and practical trend tracking strategy. It uses EMA crossover to determine the trend direction, ALMA indicator to locate add-on points, Stochastic RSI to avoid risks of overbought and oversold, while setting stop loss and take profit to control risks. Through parameter adjustment and indicator optimization, this strategy can achieve good results. It is easy to understand and use, and also has a certain adaptability.

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Strategy Arguments

Argument	Default	Description
v_input_int_4	3	K
v_input_int_5	15	D
v_input_int_6	14	RSI Length
v_input_int_7	8	Stochastic Length
v_input_1_close	0	RSI Source: close
v_input_source_1_close	0	(?Dominant ALMA)Source: close
v_input_int_1	130	Period
v_input_float_1	0.775	Offset
v_input_float_2	4.5	Sigma
v_input_color_1	#66bb6a	Going Up!
v_input_color_2	#ef5350	Going Down :(
v_input_bool_1	true	(?Strategy Inputs)-----------CHEATC0DE1------------
v_input_int_2	49	Slow Ema Length
v_input_int_3	9	Fast Ema Length
v_input_float_3	3	(?Take Profit and Stop Loss)Take Profit
v_input_float_4	5.49	Stop Loss

Source (PineScript)

/*backtest
start: 2022-11-20 00:00:00
end: 2023-11-26 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5

////Arranged by @ClassicScott
//Strategy Created by @CheatCode1


strategy('ALMA/EMA Strategy', shorttitle='ALMA/EMA Strategy', overlay=true )



////Source Selection & ALMA Variables

//Dominant Momentum ALMA
dsource = input.source(close, title='Source', group='Dominant ALMA')
dperiod = input.int(title='Period', defval=130, group='Dominant ALMA')
doffset = input.float(title='Offset', step=0.025, defval=0.775, group='Dominant ALMA')
dsigma = input.float(title='Sigma', step=0.5, defval=4.5, group='Dominant ALMA')

dalma = ta.alma(dsource, dperiod, doffset, dsigma)

dalma_up_color = input.color(#66bb6a, 'Going Up!', group='Dominant ALMA', inline = '1')
dalma_down_color = input.color(#ef5350, 'Going Down :(', group='Dominant ALMA', inline = '1')
dcolor = close[1] > dalma ? dalma_up_color : dalma_down_color

////ALMA Plots
plot(dalma, color=dcolor, style=plot.style_stepline, linewidth=2, title='Dominant Momentum MA')



//Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1

//Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1 //Strategy by @CheatCode1

cheatcode = input.bool(true, '-----------CHEATC0DE1------------', group = 'Strategy Inputs', confirm = true)

//Variable Declerations/Plot Assingments

inp1 = input.int(49, 'Slow Ema Length', 1, 100, group = 'Strategy Inputs', confirm = true)
inp2 = input.int(9, 'Fast Ema Length', 1, 200, group = 'Strategy Inputs', confirm = true)
inp3 = int(200)
sma1 = ta.sma(close, inp3)
ema1 = ta.ema(close, inp1)
ema2 = ta.ema(close, inp2)

eplot1 = plot(ema1, 'Slow Ema', color.aqua, 1,  plot.style_linebr)
eplot2 = plot(ema2, 'Fast Ema', color.yellow, 1,  plot.style_linebr)
splot1 = plot(sma1, 'Long MA', close[1] < sma1 ? color.red:color.green, 1, plot.style_line, display = display.none)

cross1 = ta.crossover(ema1, ema2)
cross2 = ta.crossunder(ema1, ema2)

plotchar(cross1, '', '↑', location.belowbar,  close[1] > dalma and dalma > sma1 ? na:color.green, size = size.normal, editable = false)
plotchar(cross2, '', '↓', location.abovebar, close[1] < dalma and dalma < sma1 ? na:color.red, size = size.normal, editable = false)
bgcolor(cross1 and close[1] > dalma ? color.new(color.green, 80):cross2 and close[1] < dalma ? color.new(color.red, 80):na)

valueL = ta.valuewhen(cross1 and close[1] > dalma, close, 0)
valueS = ta.valuewhen(cross2 and close[1] < dalma, close, 0)

//Entries

if cross1 and close[2] > dalma[2] and close[1] > dalma[1]
    strategy.entry('Long', strategy.long)
if cross2 and close[2] < dalma[2] and close[1] < dalma[1]
    strategy.entry('Short', strategy.short)
    
//StochRsi
    
smoothK = input.int(3, "K", minval=1)
smoothD = input.int(15, "D", minval=1)
lengthRSI = input.int(14, "RSI Length", minval=1)
lengthStoch = input.int(8, "Stochastic Length", minval=1)
src = input(close, title="RSI Source")
rsi1 = ta.rsi(src, lengthRSI)
k = ta.sma(ta.stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = ta.sma(k, smoothD)

//Cancellations

if k > 75
    strategy.cancel('Long')
if k < 25
    strategy.cancel('Short')
    
//Closures

if ta.crossunder(k, d) and k > 92
    strategy.close('Long')
if ta.crossover(k,d) and k < 8
    strategy.close('Short')

//Exit Percents

takeP = input.float(3, title='Take Profit', group = 'Take Profit and Stop Loss') / 100
stopL = input.float(5.49, title = 'Stop Loss', group = 'Take Profit and Stop Loss')/100
// Pre Directionality

Stop_L = strategy.position_avg_price * (1 - stopL)

Stop_S = strategy.position_avg_price * (1 + stopL)

Take_S= strategy.position_avg_price * (1 - takeP)

Take_L = strategy.position_avg_price * (1 + takeP)
     
     
//Post Excecution
if strategy.position_size > 0
    strategy.exit("Flat", limit=Take_L, stop = Stop_L)

if strategy.position_size < 0
    strategy.exit("Flat", limit=Take_S, stop = Stop_S)

Detail

https://www.fmz.com/strategy/433447

Last Modified

2023-11-27 17:35:09

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动量平滑移动平均线与移动平均线交叉策略Momentum-Smooth-Moving-Average-Line-and-Moving-Average-Line-Crossover-Strategy.md

动量平滑移动平均线与移动平均线交叉策略Momentum-Smooth-Moving-Average-Line-and-Moving-Average-Line-Crossover-Strategy.md

概述

策略原理

动量ALMA线

快慢EMA线交叉

Stochastic RSI

策略优势分析

顺势操作,抓住趋势

参数可调整,适应性强

有止损停利机制

风险分析

趋势判断错误

参数不当

策略优化方向

总结

Overview

Strategy Principle

Momentum ALMA Line

Fast and Slow EMA Crossover

Stochastic RSI

Advantage Analysis

Trading along trends

Adjustable parameters

Stop loss and take profit mechanism

Risk Analysis

Wrong trend judgment

Improper parameter settings

Strategy Optimization

Summary

Files

动量平滑移动平均线与移动平均线交叉策略Momentum-Smooth-Moving-Average-Line-and-Moving-Average-Line-Crossover-Strategy.md

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History

动量平滑移动平均线与移动平均线交叉策略Momentum-Smooth-Moving-Average-Line-and-Moving-Average-Line-Crossover-Strategy.md

File metadata and controls

概述

策略原理

动量ALMA线

快慢EMA线交叉

Stochastic RSI

策略优势分析

顺势操作,抓住趋势

参数可调整,适应性强

有止损停利机制

风险分析

趋势判断错误

参数不当

策略优化方向

总结

Overview

Strategy Principle

Momentum ALMA Line

Fast and Slow EMA Crossover

Stochastic RSI

Advantage Analysis

Trading along trends

Adjustable parameters

Stop loss and take profit mechanism

Risk Analysis

Wrong trend judgment

Improper parameter settings

Strategy Optimization

Summary