Name

乘法移动平均线双向交易策略Multiplicative-Moving-Average-Dual-direction-Trading-Strategy

Author

ChaoZhang

Strategy Description

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概述

该策略通过计算乘法移动平均线,结合价格和PMax指标的交叉来判断趋势方向,采用长空双向交易方式,在趋势向上时做多,趋势向下时做空,实时评估持仓风险,以获利退出。

策略原理

该策略的核心指标是乘法移动平均线。指标参数包括:ATR周期长度、ATR倍数、移动平均线类型和长度。ATR值代表期间波动幅度。乘法移动平均线等于期间价格平均值加/减ATR倍数与ATR的乘积。当价格高于乘法移动平均线时为看涨信号;当价格低于乘法移动平均线时为看跌信号。

PMax指标代表止损或止盈价格。指标结合ATR值和趋势方向计算得到。在看涨市场中,PMax等于乘法移动平均线减去ATR值与倍数的乘积,作为止损线。在看跌市场中,PMax等于乘法移动平均线加上ATR值与倍数的乘积,作为止盈线。

当价格与PMax指标发生向上交叉时为做多信号;当价格与PMax指标发生向下交叉时为做空信号。策略以此进出场,在趋势向上做多,在趋势向下做空,动态跟踪止损止盈。

优势分析

该策略具有以下优势:

采用长空双向交易方式,能够全市场交易,包容性强。
应用乘法移动平均线指标,交易信号稳定可靠。
结合PMax指标进行止盈止损,有效控制风险。
计算周期和倍数参数可调,适应性广。

风险分析

该策略也存在一定的风险:

参数设置不当可能导致 whipsaw 交易亏损。
空头交易需要注意杠杆限制的风险。
突发事件造成市场剧烈波动的风险难以规避。

对应解决方法:

优化参数,降低 whipsaw 出现概率。
适当控制杠杆限额,分散头寸风险。
增大ATR倍数,扩大止损范围。

优化方向

该策略可从以下方面进行优化:

测试不同市场及周期参数的稳定性。
应用机器学习算法自动优化参数。
结合深度学习等技术判断市场结构。
整合更多数据源提高决策效果。

总结

本策略整体运行稳健,具有较强的包容性。采用长空双向交易和动态止损止盈方式,能够有效控制风险。通过参数优化和模型迭代,可望获得更好的拟合性和交易效果。总体来说,该策略值得长期关注与应用。

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Overview

This strategy calculates the multiplicative moving average line and combines the crossings of price and PMax indicator to determine the trend direction. It adopts dual-direction trading to long when trend goes up and short when trend goes down, evaluating position risk in real time to exit with profit.

Strategy Principle

The core indicator of this strategy is the multiplicative moving average line. Indicator parameters include: ATR period, ATR multiplier, moving average type and length. The ATR value represents volatility over the period. The multiplicative moving average line equals average price plus/minus the product of ATR multiplier and ATR over the period. When price is above the line there is a long signal. When price is below the line there is a short signal.

The PMax indicator represents stop loss or take profit price. It is calculated from ATR value and trend direction. In uptrend, PMax equals moving average minus ATR multiplier times ATR, acting as a stop loss line. In downtrend, PMax equals moving average plus ATR multiplier times ATR, acting as a take profit line.

When price crosses PMax indicator upwards there is a long signal. When price crosses PMax indicator downwards there is a short signal. The strategy enters and exits based on the signals, going long in uptrend and short in downtrend, with dynamic trailing stop loss and take profit.

Advantage Analysis

The advantages of this strategy:

Adopting dual-direction trading makes it highly inclusive of all market conditions.
Applying multiplicative moving average produces stable and reliable trading signals.
With PMax for stop loss/take profit, it effectively controls risk.
The adjustable cycle and multiplier parameters make it highly adaptable.

Risk Analysis

There are also some risks:

Improper parameter settings may lead to whipsaw losses.
Pay attention to leverage limits when shorting.
Black swan events are hard to avoid.

Solutions:

Optimize parameters to reduce whipsaws.
Control leverage prudently and diversify.
Increase ATR multiplier to widen stop range.

Optimization Directions

The strategy can be upgraded in ways like:

Test stability across different markets and cycles.
Apply machine learning to auto optimize parameters.
Judge market regimes with deep learning techniques.
Integrate more data sources to empower decisions.

Summary

The overall performance of this strategy is stable with strong inclusiveness. By adopting dual-direction trade and dynamic stop loss/take profit, it effectively controls risks. Through parameter tuning and model iteration, strategy fitness and efficacy can be further improved. In general this is a strategy worth long-term attention and application.

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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	0	Signal Type: Only Crossing Signals
v_input_7	true	Change ATR Calculation Method ?
v_input_8	true	Show Moving Average?
v_input_9	true	Highlighter On/Off ?
v_input_10	false	Long-Short

Source (PineScript)

/*backtest
start: 2023-01-08 00:00:00
end: 2024-01-14 00:00:00
period: 1d
basePeriod: 1h
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/
// © melihtuna
//developer: @KivancOzbilgic
//author: @KivancOzbilgic
//stretegy converter: @crypto_melih
//@version=4

strategy("Profit Maximizer Strategy Long-Short", shorttitle="PMax-Strategy", overlay=true, default_qty_type=strategy.cash, default_qty_value=10000, initial_capital=10000, currency=currency.USD, commission_value=0, commission_type=strategy.commission.percent)

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)
condition = input(title="Signal Type", defval="Only Crossing Signals", options=["Only Crossing Signals", "Only Price/Pmax Crossing Signals"])
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)
long_short = input(defval = false, title = "Long-Short", type=input.bool)
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)

if(condition=="Only Crossing Signals")
    strategy.entry("BUY", strategy.long, when = buySignalk)
else
    strategy.entry("BUY", strategy.long, when = buySignalc)

if(long_short)
    if(condition=="Only Crossing Signals")
        strategy.entry("SELL", strategy.short, when = sellSignallk)
    else
        strategy.entry("SELL", strategy.short, when = sellSignallc)
else
    if(condition=="Only Crossing Signals")
        strategy.close("BUY", when = sellSignallk)
    else
        strategy.close("BUY", when = sellSignallc)

Detail

https://www.fmz.com/strategy/438816

Last Modified

2024-01-15 14:50:32

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乘法移动平均线双向交易策略Multiplicative-Moving-Average-Dual-direction-Trading-Strategy.md

乘法移动平均线双向交易策略Multiplicative-Moving-Average-Dual-direction-Trading-Strategy.md

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Principle

Advantage Analysis

Risk Analysis

Optimization Directions

Summary

Files

乘法移动平均线双向交易策略Multiplicative-Moving-Average-Dual-direction-Trading-Strategy.md

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乘法移动平均线双向交易策略Multiplicative-Moving-Average-Dual-direction-Trading-Strategy.md

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概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Principle

Advantage Analysis

Risk Analysis

Optimization Directions

Summary