Skip to content

Latest commit

 

History

History
255 lines (176 loc) · 9.45 KB

黄金交叉多头趋势跟踪策略Golden-Cross-Uptrend-Tracking-Strategy.md

File metadata and controls

255 lines (176 loc) · 9.45 KB
Raw

Name

黄金交叉多头趋势跟踪策略Golden-Cross-Uptrend-Tracking-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略基于移动平均线的黄金交叉原理设计。具体来说,它使用两个不同周期的简单移动平均线,即50周期线和200周期线。当50周期线从下方突破200周期线时,产生买入信号;当50周期线从上方跌破200周期线时,产生卖出信号。

策略原理

该策略使用 Pine Script 语言编写,主要逻辑如下:

  1. 计算两个SMA:50周期SMA和200周期SMA
  2. 判断黄金交叉:当50周期SMA上穿200周期SMA时,做多
  3. 判断死亡交叉:当50周期SMA下穿200周期SMA时,平仓

这里使用SMA指标的重要性在于,它能有效滤除行情数据的噪音, Capture长期趋势。快速 SMA 线上穿慢速 SMA 线,表示短期上涨势头打败了长期的下跌趋势,买入信号产生。

策略优势

该策略具有以下几个优势:

  1. 原理简单易懂,容易实现。
  2. PARAMETERS设置合理,可自定义两个SMA周期,适应不同市场。
  3. 采用stable版本Pine语言编写,运行高效。
  4. 可视化设置信息丰富,易于使用。

风险及解决

该策略也存在一些风险:

  1. 可能出现假突破,使策略产生错误信号。可适当调整两个SMA参数,降低假突破概率。

  2. 无法响应短期市场,只适合长线投资者。可适当缩短快速SMA的周期。

  3. 回撤可能较大。可设置止损点,或适当调整仓位管理。

优化思路

该策略可从以下几个维度继续优化:

  1. 增加其他指标过滤,组合多个买入/卖出条件,降低假信号概率。

  2. 增加止损机制。当价格跌破某一水平时,强制止损。

  3. 优化仓位管理。例如随着趋势加仓,跟踪止损等。控制回撤并追求更高收益。

  4. 进行参数优化。评估不同参数对收益风险比的影响。

总结

该策略总的来说是一个典型的趋势跟踪策略。它利用 SMA 的优势,简单高效地 Capture长线趋势。可根据自己的风格和参数调整空间进行定制。同时也需要注意一些已有的不足,进行进一步的优化与改进。

||

Overview

This strategy is designed based on the golden cross principle of moving averages. Specifically, it uses two simple moving averages of different periods, namely the 50-period line and the 200-period line. When the 50-period line breaks through the 200-period line from below, a buy signal is generated. When the 50-period line breaks through the 200-period line from above, a sell signal is generated.

Strategy Logic

The strategy is written in Pine Script language, with main logic as follows:

  1. Calculate two SMAs: 50-period SMA and 200-period SMA
  2. Determine golden cross: when 50-period SMA crosses above 200-period SMA, go long
  3. Determine death cross: when 50-period SMA crosses below 200-period SMA, close position

The importance of using SMA indicator here is that it can effectively filter out market noise and capture long-term trends. When faster SMA line crosses above slower SMA line, it indicates the short-term uptrend momentum defeats the long-term downtrend, generating a buy signal.

Advantages

The strategy has the following advantages:

  1. Simple and easy-to-understand principle, easy to implement.
  2. Reasonable PARAMETERS settings, customizable two SMA periods, adaptable to different markets.
  3. Written in stable Pine language version, runs efficiently.
  4. Rich visual settings, easy to use.

Risks and Solutions

The strategy also has some risks:

  1. False breakout may occur, generating wrong signals. Can adjust two SMA parameters to reduce false breakout probability.

  2. Cannot respond to short-term market, only suitable for long-term investors. Can appropriately shorten fast SMA period.

  3. Drawdown may be large. Can set stop loss, or properly adjust position management.

Optimization Directions

The strategy can be further optimized in following aspects:

  1. Add other indicators for filtering, combining multiple buy/sell conditions to reduce false signals.

  2. Add stop loss mechanism. Mandatory stop loss when price breaks certain level.

  3. Optimize position management. Such as pyramiding along the trend, trailing stop loss etc. To control drawdown and pursue higher return.

  4. Parameter optimization. Evaluate the impact of different parameters on return/risk ratio.

Conclusion

In general, this is a typical trend tracking strategy. It utilizes the advantage of SMA to simply and efficiently capture long-term trends. Can customize based on one's style and tuning space. Also need to notice existing deficiencies for further optimization and improvement.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 50 Fast SMA Period
v_input_2 200 Slow SMA Period
v_input_3 2019 Backtest Start Year
v_input_4 true Backtest Start Month
v_input_5 true Backtest Start Day
v_input_6 2099 Backtest Stop Year
v_input_7 12 Backtest Stop Month
v_input_8 31 Backtest Stop Day

Source (PineScript)

/*backtest
start: 2023-12-26 00:00:00
end: 2024-01-02 00:00:00
period: 30m
basePeriod: 15m
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/
// www.tradingview.com/u/TradeFab/
// www.tradefab.com
// ___  __        __   __  __       __
//  |  |__)  /\  |  \ |__ |__  /\  |__)
//  |  |  \ /~~\ |__/ |__ |   /~~\ |__)
//
// DISCLAIMER: Futures, stocks and options trading involves substantial risk of loss 
// and is not suitable for every investor. You are responsible for all the risks and 
// financial resources you use and for the chosen trading system.
// Past performance is not indicative for future results. In making an investment decision,
// traders must rely on their own examination of the entity making the trading decisions!
//
// TradeFab's Golden Cross Strategy.
// The strategy goes long when the faster SMA 50 (the simple moving average of the last 50 bars) crosses
// above the SMA 200. Orders are closed when the SMA 50 crosses below SMA 200. The strategy does not short.
//
VERSION = "1.2"
// 1.2 FB 2020-02-09 converted to Pine version 4
// 1.1 FB 2017-01-15 added short trading
// 1.0 FB 2017-01-13 basic version using SMAs
//
strategy(
   title        = "TFs Golden Cross " + VERSION, 
   shorttitle   = "TFs Golden Cross " + VERSION, 
   overlay      = true
   )


///////////////////////////////////////////////////////////
// === INPUTS ===
///////////////////////////////////////////////////////////
inFastSmaPeriod     = input(title="Fast SMA Period", type=input.integer, defval=50, minval=1)
inSlowSmaPeriod     = input(title="Slow SMA Period", type=input.integer, defval=200, minval=1)

// backtest period
testStartYear       = input(title="Backtest Start Year",    type=input.integer, defval=2019, minval=2000)
testStartMonth      = input(title="Backtest Start Month",   type=input.integer, defval=1, minval=1, maxval=12)
testStartDay        = input(title="Backtest Start Day",     type=input.integer, defval=1, minval=1, maxval=31)
testStopYear        = input(title="Backtest Stop Year",     type=input.integer, defval=2099, minval=2000)
testStopMonth       = input(title="Backtest Stop Month",    type=input.integer, defval=12, minval=1, maxval=12)
testStopDay         = input(title="Backtest Stop Day",      type=input.integer, defval=31, minval=1, maxval=31)


///////////////////////////////////////////////////////////
// === LOGIC ===
///////////////////////////////////////////////////////////
smaFast = sma(close, inFastSmaPeriod)
smaSlow = sma(close, inSlowSmaPeriod)

bullishCross = crossover (smaFast, smaSlow)
bearishCross = crossunder(smaFast, smaSlow)

// detect valid backtest period
isTestPeriod() => true


///////////////////////////////////////////////////////////
// === POSITION EXECUTION ===
///////////////////////////////////////////////////////////
strategy.entry("long",  strategy.long,  when=bullishCross)
strategy.entry("short", strategy.short, when=bearishCross)


///////////////////////////////////////////////////////////
// === PLOTTING ===
///////////////////////////////////////////////////////////
// background color
nopColor = color.new(color.gray, 50)
bgcolor(not isTestPeriod() ? nopColor : na)

bartrendcolor = 
   close > smaFast and 
   close > smaSlow and 
   change(smaSlow) > 0 
       ? color.green 
       : close < smaFast and 
         close < smaSlow and 
         change(smaSlow) < 0 
             ? color.red 
             : color.blue
barcolor(bartrendcolor)
plot(smaFast, color=change(smaFast) > 0 ? color.green : color.red, linewidth=2)
plot(smaSlow, color=change(smaSlow) > 0 ? color.green : color.red, linewidth=2)

// label
posColor = color.new(color.green, 75)
negColor = color.new(color.red, 75)
dftColor = color.new(color.blue, 75)
posProfit= (strategy.position_size != 0) ? (close * 100 / strategy.position_avg_price - 100) : 0.0
posDir   = (strategy.position_size  > 0) ? "long" : strategy.position_size < 0 ? "short" : "flat"
posCol   = (posProfit > 0) ? posColor : (posProfit < 0) ? negColor : dftColor

var label lb = na
label.delete(lb)
lb := label.new(bar_index, max(high, highest(5)[1]),
   color=posCol,
   text="Pos: "+ posDir +
      "\nPnL: "+tostring(posProfit, "#.##")+"%" +
      "\nClose: "+tostring(close, "#.##"))

Detail

https://www.fmz.com/strategy/437499

Last Modified

2024-01-03 11:46:44