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动态趋势跟踪优化策略-Dynamic-Trend-Tracking-Optimized-Strategy.md

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Name

动态趋势跟踪优化策略-Dynamic-Trend-Tracking-Optimized-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略通过计算CMO指标和变化率,动态绘制支持线。当价格突破支持线时产生交易信号。同时,策略还通过优化支持线附近的止损范围来锁定更多利润。

策略原理

  1. 计算CMO指标,用于判断价格趋势
  2. 计算变化率Var,反映价格变化趋势
  3. 根据变化率绘制支持线
  4. 计算优化后的止损线longStop和shortStop
  5. 当价格突破支持线时产生交易信号

优势分析

  1. 利用CMO指标判断价格趋势,避免假突破
  2. 支持线能清晰判断趋势方向
  3. 优化后的止损线能锁定更多利润
  4. 交易信号简单清晰,容易跟单

风险分析

  1. CMO指标存在滞后,可能错过价格转折点
  2. 支持线被突破可能形成假信号
  3. 止损范围优化不当可能带来更大亏损

风险解决方法:

  1. 适当调整CMO参数,降低滞后
  2. 结合其他指标过滤假信号
  3. 测试确定适合的止损优化比例

优化方向

  1. 更多指标结合,过滤假信号
  2. AI自动优化止损范围
  3. 自动调整交易量

总结

该策略整体来说效果不错,利用支持线清晰判断趋势方向。同时结合CMO指标和优化止损能获得不错效果。但是存在一定假信号风险,可以通过多指标组合来优化。

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Overview

This strategy calculates the CMO indicator and rate of change to dynamically plot support lines. Trading signals are generated when price breaks through the support lines. Meanwhile, the strategy also optimizes the stop loss range around support lines to lock in more profits.

Strategy Logic

  1. Calculate the CMO indicator to determine price trend
  2. Calculate rate of change Var to reflect price change trend
  3. Plot support line based on rate of change
  4. Calculate optimized stop loss lines longStop and shortStop
  5. Generate trading signals when price breaks support line

Advantage Analysis

  1. Use CMO indicator to determine price trend and avoid false breakouts
  2. Support line clearly indicates trend direction
  3. Optimized stop loss locks in more profits
  4. Clear and simple trading signals, easy to follow

Risk Analysis

  1. CMO indicator has lagging effect, may miss price turning points
  2. Breaks of support line may generate false signals
  3. Improper stop loss optimization may lead to larger losses

Risk Solutions:

  1. Adjust CMO parameters properly to reduce lagging
  2. Add more filters with other indicators to avoid false signals
  3. Test to determine suitable stop loss optimization ratio

Optimization Directions

  1. Add more indicators to filter out false signals
  2. AI automated optimization of stop loss range
  3. Auto adjust trading size

Summary

Overall this strategy works well, using support line to clearly determine trend direction. Combined with CMO indicator and optimized stop loss it achieves good results. But there are some risks of false signals, which can be improved by combining more indicators.

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Strategy Arguments

Argument Default Description
v_input_1_close 0 Source: close
v_input_2 true OTT Period
v_input_3 0.1 OTT Percent
v_input_4 0 Condition: Support Line Crossing Signals
v_input_5 true Show Support Line?
v_input_6 true Show OTT Color Changes?
v_input_7 true Highlighter On/Off ?
v_input_8 true Barcolor On/Off ?
v_input_9 false Show OTT BUY/SELl Labels?
v_input_10 true From Month
v_input_11 true From Day
v_input_12 2020 From Year
v_input_13 true To Month
v_input_14 true To Day
v_input_15 9999 To Year

Source (PineScript)

/*backtest
start: 2024-01-04 00:00:00
end: 2024-01-11 00:00:00
period: 45m
basePeriod: 5m
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

//@version=4
strategy("Optimized Trend Tracker - Strategy Version", shorttitle="OTT-Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, initial_capital=10000, currency=currency.USD, commission_value=0.1, commission_type=strategy.commission.percent)

src = input(close, title="Source")
pds=input(1, "OTT Period", minval=1)
percent=input(0.1, "OTT Percent", type=input.float, step=0.1, minval=0)
condition = input(title="Condition", defval="Support Line Crossing Signals", options=["Price/OTT Crossing Signals", "Support Line Crossing Signals"])
showsupport = input(title="Show Support Line?", type=input.bool, defval=true)
highlight = input(title="Show OTT Color Changes?", type=input.bool, defval=true)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
barcoloing = input(title="Barcolor On/Off ?", type=input.bool, defval=true)
showlabels = input(title="Show OTT BUY/SELl Labels?", type=input.bool, defval=false)

// === 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 = 2020, title = "From Year", minval = 2017)
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)

// === FUNCTION EXAMPLE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false // create function "within window of time"

alpha=2/(pds+1)
ud1=src>src[1] ? src-src[1] : src
dd1=src<src[1] ? src[1]-src : src
UD=sum(ud1,9)
DD=sum(dd1,9)
CMO=(UD-DD)/(UD+DD)
k= abs(CMO)
Var=0.0
Var:=(alpha*k*src)+(1-alpha*k)*nz(Var[1])
fark=Var*percent*0.01
longStop = Var - fark
longStopPrev = nz(longStop[1], longStop)
longStop := Var > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop =  Var + fark
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := Var < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and Var > shortStopPrev ? 1 : dir == 1 and Var < longStopPrev ? -1 : dir
MT = dir==1 ? longStop: shortStop
OTT=Var>MT ? MT*(200+percent)/200 : MT*(200-percent)/200 
plot(showsupport ? Var : na, color=#0585E1, linewidth=2, title="Support Line")
OTTC = highlight ? OTT[2] > OTT[3] ? color.green : color.red : #B800D9 
pALL=plot(nz(OTT[2]), color=OTTC, linewidth=2, title="OTT", transp=0)

buySignalk = window() and crossover(Var, OTT[2])
sellSignallk = window() and crossunder(Var, OTT[2])
buySignalc = window() and crossover(src, OTT[2])
sellSignallc = window() and crossunder(src, OTT[2])

plotshape(condition == "Support Line Crossing Signals" ? showlabels and buySignalk ? OTT*0.995 : na : showlabels and buySignalc ? OTT*0.995 : na, title="BUY", text="BUY", location=location.belowbar, style=shape.labelup, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
plotshape(condition == "Support Line Crossing Signals" ? showlabels and sellSignallk ? OTT*1.005 : na : showlabels and sellSignallc ? OTT*1.005 : na, title="SELL", text="SELL", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
  
ottBuyColor=#77DD77
ottSellColor=#FF0000
vColor = strategy.position_size > 0 ? ottBuyColor : ottSellColor

if condition == "Support Line Crossing Signals"
    strategy.entry("BUY", true, 1, when = buySignalk)
    strategy.entry("SELL", false, 1, when = sellSignallk)
else
    strategy.entry("BUY", true, 1, when = buySignalc)
    strategy.entry("SELL", false, 1, when = sellSignallc)

mPlot = plot(close, title="", style=plot.style_circles, linewidth=0,display=display.none)

longFillColor = highlighting ? (Var>OTT ? color.green : na) : na
shortFillColor = highlighting ? (Var<OTT ? color.red : na) : na
fill(mPlot, pALL, title="UpTrend Highligter", color=longFillColor)
fill(mPlot, pALL, title="DownTrend Highligter", color=shortFillColor)

barcolor(barcoloing ? vColor : na)

Detail

https://www.fmz.com/strategy/438458

Last Modified

2024-01-12 11:20:04