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DEMA与EMA交叉结合ATR波动率的短期策略Momentum-Strategy-Based-on-DEMA-and-EMA-Crossover-with-ATR-Volatility-Filter.md

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Name

DEMA与EMA交叉结合ATR波动率的短期策略Momentum-Strategy-Based-on-DEMA-and-EMA-Crossover-with-ATR-Volatility-Filter

Author

ChaoZhang

Strategy Description

IMG [trans]

一、策略概述

本策略名称为“DEMA与EMA短期交叉结合ATR波动率策略”。该策略通过计算DEMA与EMA的交叉信号,结合ATR波动率指标,实现高效的短线交易策略。当DEMA下穿EMA,并且ATR波动率上升时,做空;当DEMA重新上穿EMA时,平仓。

二、策略原理

  1. 计算DEMA指标。DEMA为双EMA移动平均线,通过计算一定周期内的双EMA,可以有效过滤短期市场噪音,提高信号准确率。

  2. 计算EMA指标。EMA为指数移动平均线,可以更快地反应价格变化。

  3. 计算ATR波动率。ATR为真实波动幅度指标,可以反映市场波动性和风险水平。当ATR上升时,代表市场波动加大,容易形成短线调整。

  4. 当DEMA下穿EMA,并且ATR波动率大于设置的参数时,表明股价开始下跌,市场 risk off,此时做空。

  5. 当DEMA重新上穿EMA时,表明价格形成支撑,开始反弹上涨,此时平仓。

三、策略优势

  1. 双EMA结合EMA,可以有效提高信号的准确性。

  2. ATR波动率指标可以排除低风险的whipsaw信号。

  3. 短期操作,适合短线追踪,可以避免长时间对冲。

  4. 交易逻辑简单清晰,容易理解和实现。

四、策略风险

  1. ATR参数设置不当可能错过交易机会。

  2. 需同时关注多空两侧信号,操作难度较大。

  3. ffected by short-term market volatility.

解决方法:参数优化测试,调整参数;简化交易逻辑,只关注单边信号;适当放宽止损范围。

五、策略优化方向

  1. 优化DEMA和EMA的参数,寻找最佳参数组合。

  2. 优化ATR的周期参数,确定最佳市场波动性衡量指标。

  3. 添加其他辅助指标,如BOLL通道,提高信号准确率。

  4. 增加止损和止盈规则,锁定更稳定的收益。

六、总结

本策略通过DEMA、EMA交叉和ATR波动率指标,构建了一个简单高效的短期交易策略。策略交易逻辑清晰,容易操作,可适应高频短线交易。下一步通过参数优化和规则优化,可望获得更稳定的超额收益。

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I. Strategy Overview

This strategy is named "Momentum Strategy Based on DEMA and EMA Crossover with ATR Volatility Filter". It generates short-term trading signals by detecting DEMA and EMA crossovers combined with the ATR volatility index. When DEMA crosses below EMA while ATR rises, it shorts the security. When DEMA re-crosses above EMA, it closes the position.

II. Strategy Logic

  1. Calculate the DEMA indicator. DEMA is the Double Exponential Moving Average using dual EMAs, which can filter out short-term market noise and improve signal accuracy.

  2. Calculate the EMA indicator. EMA is the Exponential Moving Average which reacts faster to price changes.

  3. Calculate the ATR volatility index. ATR measures market volatility and risk levels. Rising ATR represents increasing volatility and higher likelihood of short-term pullbacks.

  4. When DEMA crosses below EMA and ATR rises above the threshold, it signals the start of a short-term downtrend and increased market risk. The strategy shorts the security.

  5. When DEMA re-crosses above EMA, it signals a price support and upside bounce. The strategy closes the short position.

III. Advantages

  1. The combination of dual EMA and EMA can effectively improve signal accuracy.

  2. The ATR volatility filter eliminates low risk whipsaw trades.

  3. Short holding period fits short-term momentum tracking and avoids prolonged hedging.

  4. Simple and clear logic, easy to understand and implement.

IV. Risks

  1. Improper ATR parameters may miss trading opportunities.

  2. Need to monitor both long and short signals simultaneously, increasing operation difficulty.

  3. Affected by short-term market volatility.

Solutions: Parameter optimization through backtesting. Simplify logic to focus on one side. Relax stop loss levels appropriately.

V. Optimization Directions

  1. Optimize parameters for DEMA and EMA to find best combinations.

  2. Optimize ATR lookback period to determine optimal volatility benchmark.

  3. Add other indicators like BOLL Bands to improve signal accuracy.

  4. Introduce stop loss and take profit rules to lock in more consistent profits.

VI. Conclusion

This strategy constructs a simple yet effective short-term trading system using DEMA, EMA crossovers and the ATR volatility index. The clean logic and ease of operation make it suitable for high-frequency momentum trading. Further parameter and logic optimization can potentially yield more steady outperformance.

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Strategy Arguments

Argument Default Description
v_input_1 10 DEMA LENGTH
v_input_2_close 0 Source: close
v_input_3 25 EMA Length
v_input_4_close 0 Source: close
v_input_5 false Offset
v_input_6 D ATR Timeframe
v_input_7 14 ATR Lookback Period
v_input_8 true Show Moving Average?
v_input_9 0 Moving Average Type: EMA
v_input_10 20 Moving Average Period
v_input_11 5 Stop Loss ATR / %
v_input_12 true SL Multiplier
v_input_13 20 Minimum profit %

Source (PineScript)

/*backtest
start: 2023-12-08 00:00:00
end: 2024-01-07 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Qorbanjf

//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Qorbanjf

//@version=4
strategy("Qorban: DEMA/EMA & VOL Short ONLY", shorttitle="DEMA/EMA & VOL SHORT", overlay=true)

// DEMA
length = input(10, minval=1, title="DEMA LENGTH")
src = input(close, title="Source")
e1 = ema(src, length)
e2 = ema(e1, length)
dema1 = 2 * e1 - e2
plot(dema1, "DEMA", color=color.yellow)

//EMA
len = input(25, minval=1, title="EMA Length")
srb = input(close, title="Source")
offset = input(title="Offset", type=input.integer, defval=0, minval=-500, maxval=500)
ema1 = ema(srb, len)
plot(ema1, title="EMA", color=color.blue, offset=offset)

// get ATR VALUE
atr = atr(14)

//ATRP (Average True Price in precentage)

// Inputs
atrTimeFrame = input("D", title="ATR Timeframe", type=input.resolution)
atrLookback = input(defval=14,title="ATR Lookback Period",type=input.integer)
useMA = input(title = "Show Moving Average?", type = input.bool, defval = true)
maType = input(defval="EMA", options=["EMA", "SMA"], title = "Moving Average Type")
maLength = input(defval = 20, title = "Moving Average Period", minval = 1)
slType = input(title="Stop Loss ATR / %", type=input.float, defval=5.0, step=0.1)
slMulti = input(title="SL Multiplier", type=input.float, defval=1.0, step=0.1)
minimumProfitPercent = input(title="Minimum profit %", type=input.float, defval=20.00)

// ATR Logic
// atrValue = atr(atrLookback)
// atrp = (atrValue/close)*100
// plot(atrp, color=color.white, linewidth=2, transp = 30)

atrValue = security(syminfo.tickerid, atrTimeFrame, atr(atrLookback))
atrp = (atrValue/close)*100

// Moving Average Logic
ma(maType, src, length) =>
    maType == "EMA" ? ema(src, length) : sma(src, length) //Ternary Operator (if maType equals EMA, then do ema calc, else do sma calc)
maFilter = security(syminfo.tickerid, atrTimeFrame, ma(maType, atrp, maLength))


// Determine percentage of open profit
var entry = 0.0
distanceProfit = low - entry
distanceProfitPercent = distanceProfit / entry

//Determin if we have a long entry signal OR a sell position signal
profitSignal = minimumProfitPercent == 0.0 or distanceProfitPercent >= minimumProfitPercent
shortSignal = crossunder(dema1, ema1) and atrp > maFilter and strategy.position_size == 0 and not na(atr)
exitSignal = profitSignal and strategy.position_size !=0 and  crossover(dema1, ema1)


// === INPUT BACKTEST RANGE ===
//FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
//FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
//FromYear  = input(defval = 2017, title = "From Year", minval = 2000)
//ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
//ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
//ToYear    = input(defval = 9999, title = "To Year", minval = 2017)

//Invert trade direction & flipping 
//tradInvert = input(defval = false, title = "invert trade direction")
//MOM_MR = input(defval=1, title = "MOM = 1 / MR = -1", minval=-1, maxval=1)
//plots=input(false, title="Show plots?")

// Get stop loss (in pips AND percentage distance)
shortStop = highest(high, 4) - (atr * slMulti)
shortStopPercent = close - (close * slMulti)

// Save long stop & target prices (used for drawing data to the chart & deetermining profit)
var shortStopSaved = 0.0
var shortTargetSaved = 0.0
enterShort = false
if shortSignal
    shortStopSaved := slType ? shortStop : shortStopPercent
    enterShort:= true
    entry := close


// long conditions 
//enterLong = crossover(dema1, ema1) and atrp < maFilter
//exitSignal => crossunder(dema1, ema1)

//Enter trades when conditions are met
strategy.entry("short", strategy.short, when=enterShort, comment="SHORT")

//place exit orders (only executed after trades are active)
strategy.exit(id="Short exit",
 from_entry="short",
 limit=exitSignal ? close : na,
 stop=shortStopSaved,
 when=strategy.position_size > 0,
 comment="end short")
 

//short strategy
//goShort() => crossunder(dema1, ema1) and atrp > maFilter
//KillShort() => crossover(dema1, ema1) 
//strategy.entry("SHORT", strategy.short, when = goShort())
//strategy.close("COVER", when = KillShort())

Detail

https://www.fmz.com/strategy/438032

Last Modified

2024-01-08 14:14:57