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多指标组合交易策略Multi-Indicator-Combo-Trading-Strategy.md

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Name

多指标组合交易策略Multi-Indicator-Combo-Trading-Strategy

Author

ChaoZhang

Strategy Description

[trans]

本策略通过组合运用均线系统、RSI指标和Stoch指标等多种技术指标,对价格趋势和超买超卖状态进行判断,形成交易信号。该策略汇集多个指标的优势,追求更稳定和可靠的交易决策。

策略原理:

  1. 计算多组EMA均线,判断价格中长线趋势走向。

  2. 计算RSI和Stoch指标,判断是否处于超买或超卖状态。

  3. 当均线系统发出做多信号、RSI未超买、Stoch未超买时,进行做多操作。

  4. 当均线系统发出做空信号、RSI未超卖、Stoch未超卖时,进行做空操作。

  5. 当任一指标发出反向信号时,进行平仓操作。

该策略的优势:

  1. 多指标组合验证,可减少错误交易概率。

  2. 指标可互相补充,提高对市场的判断力。

  3. 清晰的交易规则,便于回测和实盘。

该策略的风险:

  1. 需谨慎评估指标的重复性,避免过度冗余。

  2. 多指标组合优化参数较为复杂。

  3. 增加指标并不一定能提高策略效果。

总之,该多指标组合策略能在一定程度上提高决策效果,但需注意优化难度及指标重复性问题,保持策略简单可靠。

||

This strategy combines multiple technical indicators like moving averages, RSI and Stochastics to assess price trend and overbought/oversold levels for trade signals. It harnesses the strengths of multiple indicators for more reliable decisions.

Strategy Logic:

  1. Use multiple EMAs to determine overall price trend.

  2. Calculate RSI and Stochastics for overbought/oversold levels.

  3. Enter long when EMAs give bull signal, RSI not overbought and Stoch not overbought.

  4. Enter short when EMAs give bear signal, RSI not oversold and Stoch not oversold.

  5. Exit when any indicator gives opposite signal.

Advantages:

  1. Multi-indicator verification improves accuracy.

  2. Indicators complement each other for better market assessment.

  3. Clear trading rules ease backtesting and execution.

Risks:

  1. Avoid excessive redundancy across indicators.

  2. Complex multi-indicator optimization.

  3. More indicators does not necessarily improve performance.

In summary, the multi-indicator approach can improve decisions to some extent but requires balancing optimization difficulty and redundancy for simple, reliable strategies.

[/trans]

Source (PineScript)

/*backtest
start: 2022-09-06 00:00:00
end: 2023-09-12 00:00:00
period: 3d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// strategy(title='Combined Strategy', default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=.0020, pyramiding=0, slippage=3, overlay=true)

//----------//
// MOMENTUM //
//----------//
ema8 = ta.ema(close, 5)
ema13 = ta.ema(close, 9)
ema21 = ta.ema(close, 13)
ema34 = ta.ema(close, 21)
ema55 = ta.ema(close, 34)

plot(ema8, color=color.new(color.red, 0), style=plot.style_line, title='5', linewidth=1)
plot(ema13, color=color.new(color.orange, 0), style=plot.style_line, title='9', linewidth=1)
plot(ema21, color=color.new(color.yellow, 0), style=plot.style_line, title='13', linewidth=1)
plot(ema34, color=color.new(color.aqua, 0), style=plot.style_line, title='21', linewidth=1)
plot(ema55, color=color.new(color.lime, 0), style=plot.style_line, title='34', linewidth=1)

longEmaCondition = ema8 > ema13 and ema13 > ema21 and ema21 > ema34 and ema34 > ema55
exitLongEmaCondition = ema13 < ema55

shortEmaCondition = ema8 < ema13 and ema13 < ema21 and ema21 < ema34 and ema34 < ema55
exitShortEmaCondition = ema13 > ema55

// ----------  //
// OSCILLATORS //
// ----------- //
rsi = ta.rsi(close, 14)
longRsiCondition = rsi < 70 and rsi > 40
exitLongRsiCondition = rsi > 70

shortRsiCondition = rsi > 30 and rsi < 60
exitShortRsiCondition = rsi < 30

Stochastic
length = 14, smoothK = 3, smoothD = 3
kFast = ta.stoch(close, high, low, 14)
dSlow = ta.sma(kFast, smoothD)

longStochasticCondition = kFast < 80
exitLongStochasticCondition = kFast > 95

shortStochasticCondition = kFast > 20
exitShortStochasticCondition = kFast < 5

//----------//
// STRATEGY //
//----------//

longCondition = longEmaCondition and longRsiCondition and longStochasticCondition and strategy.position_size == 0
exitLongCondition = (exitLongEmaCondition or exitLongRsiCondition or exitLongStochasticCondition) and strategy.position_size > 0

if (longCondition)
  strategy.entry("LONG", strategy.long)
if (exitLongCondition)
  strategy.close("LONG")

shortCondition = shortEmaCondition and shortRsiCondition and shortStochasticCondition and strategy.position_size == 0
exitShortCondition = (exitShortEmaCondition or exitShortRsiCondition or exitShortStochasticCondition) and strategy.position_size < 0

if (shortCondition)
  strategy.entry("SHORT", strategy.short)
if (exitShortCondition)
  strategy.close("SHORT")

Detail

https://www.fmz.com/strategy/426561

Last Modified

2023-09-13 12:18:05