Name
基于PMax指标的趋势跟踪策略Trend-Following-Strategy-Based-on-PMax-Indicator
Author
ChaoZhang
Strategy Description
[trans] 本策略名称为“基于PMax指标的趋势跟踪策略”。该策略利用PMax指标判定价格趋势方向,并以其移动平均线作为关键参考,产生买入和卖出信号。
PMax指标综合了支撑阻力指标SuperTrend和趋势变化指标MOST的优势。它使用平均真实波幅ATR构建价格通道,同时结合移动平均线判断趋势方向。
当价格上穿PMax线时,代表短期趋势转涨;当价格下穿PMax线时,代表短期趋势转跌。当移动平均线上穿PMax线时产生买入信号;移动平均线下穿PMax线时产生卖出信号。
移动平均线参数直接影响对趋势敏感性。周期短,对细微变动更敏感;周期长,只捕捉主要趋势。所以需要根据市场调整移动平均线参数。
该策略的优势在于PMax指标对趋势变化较为敏感,配合移动平均线进行filtration,可以有效识别中长期趋势的主要反转点位。但需要注意防止过度交易造成不必要损失。
总之,PMax指标与移动平均线的结合,形成了一套较为成熟的趋势跟踪策略。通过参数优化,可以适应不同市场的特点,捕捉主要的方向性机会。但交易者仍需要保持灵活性,根据实际情况调整策略参数。
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This strategy is named “Trend Following Strategy Based on PMax Indicator”. It uses the PMax indicator to determine price trend direction and its moving average line as key reference to generate trading signals.
The PMax indicator combines the strengths of the support/resistance indicator SuperTrend and trend change indicator MOST. It builds price channels using the Average True Range (ATR), together with moving averages to judge trend direction.
When price crosses above the PMax line, it signals an upside trend reversal. When price crosses below PMax, it flags a downtrend reversal. Moving average crossover above PMax generates buy signals, while crossover below produces sell signals.
Moving average parameters directly affect trend sensitivity. Shorter periods are more sensitive to minor moves. Longer periods only capture major trends. So parameters need market-adjusted optimization.
The advantage of this strategy is PMax is sensitive in detecting trend changes. Combining with moving averages helps filtering to identify major reversal points of mid-to-long term trends. But overtrading should be avoided.
In conclusion, the combination of PMax and moving averages forms a relatively mature trend following strategy. Through parameter optimization it can adapt to different market characteristics and capture significant directional opportunities. But traders still need flexibility in adjusting strategy parameters according to actual conditions.
[/trans]
Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1_hl2 | 0 | Source: hl2 |
| v_input_2 | 10 | ATR Length |
| v_input_3 | 3 | ATR Multiplier |
| v_input_4 | 0 | Moving Average Type: EMA |
| v_input_5 | 10 | Moving Average Length |
| v_input_6 | true | Change ATR Calculation Method ? |
| v_input_7 | true | Show Moving Average? |
| v_input_8 | true | Show Crossing Signals? |
| v_input_9 | false | Show Price/Pmax Crossing Signals? |
| v_input_10 | true | Highlighter On/Off ? |
Source (PineScript)
/*backtest
start: 2023-09-05 00:00:00
end: 2023-09-12 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic
//developer: @KivancOzbilgic
//author: @KivancOzbilgic
strategy("Profit Maximizer Strategy","PMax strat", overlay=true)
src = input(hl2, title="Source")
Periods = input(title="ATR Length", type=input.integer, defval=10)
Multiplier = input(title="ATR Multiplier", type=input.float, step=0.1, defval=3.0)
mav = input(title="Moving Average Type", defval="EMA", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"])
length =input(10, "Moving Average Length", minval=1)
changeATR= input(title="Change ATR Calculation Method ?", type=input.bool, defval=true)
showsupport = input(title="Show Moving Average?", type=input.bool, defval=true)
showsignalsk = input(title="Show Crossing Signals?", type=input.bool, defval=true)
showsignalsc = input(title="Show Price/Pmax Crossing Signals?", type=input.bool, defval=false)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
atr2 = sma(tr, Periods)
atr= changeATR ? atr(Periods) : atr2
valpha=2/(length+1)
vud1=src>src[1] ? src-src[1] : 0
vdd1=src<src[1] ? src[1]-src : 0
vUD=sum(vud1,9)
vDD=sum(vdd1,9)
vCMO=nz((vUD-vDD)/(vUD+vDD))
VAR=0.0
VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2
zxEMAData = (src + (src - src[zxLag]))
ZLEMA = ema(zxEMAData, length)
lrc = linreg(src, length, 0)
lrc1 = linreg(src,length,1)
lrs = (lrc-lrc1)
TSF = linreg(src, length, 0)+lrs
getMA(src, length) =>
ma = 0.0
if mav == "SMA"
ma := sma(src, length)
ma
if mav == "EMA"
ma := ema(src, length)
ma
if mav == "WMA"
ma := wma(src, length)
ma
if mav == "TMA"
ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
ma
if mav == "VAR"
ma := VAR
ma
if mav == "WWMA"
ma := WWMA
ma
if mav == "ZLEMA"
ma := ZLEMA
ma
if mav == "TSF"
ma := TSF
ma
ma
MAvg=getMA(src, length)
longStop = MAvg - Multiplier*atr
longStopPrev = nz(longStop[1], longStop)
longStop := MAvg > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = MAvg + Multiplier*atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := MAvg < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and MAvg > shortStopPrev ? 1 : dir == 1 and MAvg < longStopPrev ? -1 : dir
PMax = dir==1 ? longStop: shortStop
plot(showsupport ? MAvg : na, color=#0585E1, linewidth=2, title="Moving Avg Line")
pALL=plot(PMax, color=color.red, linewidth=2, title="PMax", transp=0)
alertcondition(cross(MAvg, PMax), title="Cross Alert", message="PMax - Moving Avg Crossing!")
alertcondition(crossover(MAvg, PMax), title="Crossover Alarm", message="Moving Avg BUY SIGNAL!")
alertcondition(crossunder(MAvg, PMax), title="Crossunder Alarm", message="Moving Avg SELL SIGNAL!")
alertcondition(cross(src, PMax), title="Price Cross Alert", message="PMax - Price Crossing!")
alertcondition(crossover(src, PMax), title="Price Crossover Alarm", message="PRICE OVER PMax - BUY SIGNAL!")
alertcondition(crossunder(src, PMax), title="Price Crossunder Alarm", message="PRICE UNDER PMax - SELL SIGNAL!")
buySignalk = crossover(MAvg, PMax)
plotshape(buySignalk and showsignalsk ? PMax*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
sellSignallk = crossunder(MAvg, PMax)
plotshape(sellSignallk and showsignalsk ? PMax*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
buySignalc = crossover(src, PMax)
// plotshape(buySignalc and showsignalsc ? PMax*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
sellSignallc = crossunder(src, PMax)
// plotshape(sellSignallc and showsignalsc ? PMax*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0,display=display.none)
longFillColor = highlighting ? (MAvg>PMax ? color.green : na) : na
shortFillColor = highlighting ? (MAvg<PMax ? color.red : na) : na
fill(mPlot, pALL, title="UpTrend Highligter", color=longFillColor)
fill(mPlot, pALL, title="DownTrend Highligter", color=shortFillColor)
strategy.entry("long",1,when = buySignalk )
strategy.entry("short",0, when = sellSignallk)
Detail
https://www.fmz.com/strategy/426590
Last Modified
2023-09-13 15:21:31