Skip to content

Latest commit

 

History

History
186 lines (132 loc) · 6.03 KB

多因子组合交易策略Multi-factor-Combined-Trading-Strategy.md

File metadata and controls

186 lines (132 loc) · 6.03 KB
Raw

Name

多因子组合交易策略Multi-factor-Combined-Trading-Strategy

Author

ChaoZhang

Strategy Description

[trans]

本策略通过结合使用多种不同类型的技术指标,形成一个综合的量化交易策略。该策略汇集多个因子的优势,提高交易决策的准确性。

策略原理:

  1. 计算123反转指标,判断价格是否出现了三日反转形态。

  2. 计算Elder熊力指标,判断价格是否出现了超卖现象。

  3. 当两者同时发出买入信号时,进行做多操作。当两者同时发出卖出信号时,进行做空操作。

  4. 通过指标因子的验证,可有效过滤掉部分噪音交易信号。

  5. 不同类型指标的组合,可提高对市场情况的判断力。

该策略的优势:

  1. 多因子组合验证,可减少错误交易的概率。

  2. 提高了对复杂市场情况的识别能力。

  3. 组合策略参数优化难度较大,具有一定优势。

该策略的风险:

  1. 多指标组合需要费时优化参数,以达到最佳匹配。

  2. 不同指标间可能存在信号不一致情况。

  3. 组合策略整体稳定性可能低于单一指标策略。

总之,该策略通过汇集多个因子的优势进行交易,可在一定程度上提高决策的准确性。但需要注意不同指标间的匹配问题,通过严格的参数优化以获得稳定的超额回报。

||

This strategy combines multiple technical indicators into an integrated quantitative system, harnessing the strengths of different factors to improve trade decision accuracy.

Strategy Logic:

  1. Calculate 123 Reversal indicator to identify potential 3-day reversals.

  2. Calculate Elder Bear Power for oversold conditions.

  3. Go long when both indicators give buy signals, and short when both give sell signals.

  4. Requiring factor verification reduces false signal trades.

  5. Combining different indicator types improves situational awareness.

Advantages:

  1. Multi-factor verification reduces probability of bad trades.

  2. Improves recognition of complex market conditions.

  3. Optimization difficulty gives advantage over single strategies.

Risks:

  1. Time-consuming to optimize parameters for ideal combination.

  2. Potential for signal conflicts between indicators.

  3. Overall stability lower than single indicator strategies.

In summary, this strategy aims to improve accuracy by combining multiple factors, but requires tuning to match indicators appropriately for steady outperformance.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 14 Length
v_input_2 true KSmoothing
v_input_3 3 DLength
v_input_4 50 Level
v_input_5 13 LengthBP
v_input_6 false Trigger
v_input_7 false Trade reverse

Source (PineScript)

/*backtest
start: 2022-09-05 00:00:00
end: 2023-02-03 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 27/05/2020
// 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
// Developed by Dr Alexander Elder, the Elder-ray indicator measures buying 
// and selling pressure in the market. The Elder-ray is often used as part 
// of the Triple Screen trading system but may also be used on its own.
// Dr Elder uses a 13-day exponential moving average (EMA) to indicate the 
// market consensus of value. Bull Power measures the ability of buyers to 
// drive prices above the consensus of value. Bear Power reflects the ability 
// of sellers to drive prices below the average consensus of value.
// Bull Power is calculated by subtracting the 13-day EMA from the day's High. 
// Bear power subtracts the 13-day EMA from the day's Low.
// You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect...
//
// 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

BP(Trigger,Length) =>
    pos = 0
    DayHigh = 0.0
    xPrice = close
    xMA = ema(xPrice,Length)
    DayHigh := iff(dayofmonth != dayofmonth[1], high, max(high, nz(DayHigh[1])))
    nRes = DayHigh - xMA
    pos := iff(nRes > Trigger, 1,
    	     iff(nRes < Trigger, -1, nz(pos[1], 0))) 
    pos

strategy(title="Combo Backtest 123 Reversal & Elder Ray (Bear Power) ", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthBP = input(13, minval=1)
Trigger = input(0)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posBP = BP(Trigger,LengthBP)
pos = iff(posReversal123 == 1 and posBP == 1 , 1,
	   iff(posReversal123 == -1 and posBP == -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/426498

Last Modified

2023-09-12 16:05:10