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基于均线系统的网格交易策略Grid-Trading-Strategy-Based-on-Moving-Average-System.md

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Name

基于均线系统的网格交易策略Grid-Trading-Strategy-Based-on-Moving-Average-System

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

本策略运用均线理论构建网格交易系统,通过多组不同参数的JMA均线组合判断市场趋势,并在趋势转折点开启网格交易,旨在获取市场中长线趋势转换的利润。

策略原理

  1. 利用1-20周期不等的JMA均线组成均线组合,判断市场趋势。当短周期均线高于长周期均线时判断为上升趋势,反之,下降趋势。

  2. 在趋势转折点,即短均线从上穿下长均线或从下穿上长均线时,开启网格交易。在上升趋势中逐步建立空单;在下降趋势中逐步建立多单。

  3. 可选择是否按K线实体颜色过滤,若启用,只在红K线买入,绿K线卖出,否则不考虑K线颜色,只在趋势转折时交易。

  4. 止损方式为跟踪止损或到期止损。到期止损指策略运行周期结束时,平仓所有头寸。

优势分析

  1. 利用均线系统判断趋势,可有效判断市场中长线走势转折点。

  2. 网格交易可在无明确趋势时获取震荡市场利润。同时可配置止损以控制风险。

  3. JMA均线参数可自定义,可针对不同周期优化,灵活度高。

  4. 可选择是否按K线实体颜色过滤,避免被假突破误导。

风险分析

  1. 大幅震荡且无明显趋势市场中,止损风险较大。

  2. 均线系统判断误差 may lead to 交易信号错误。

  3. 若启用K线过滤,有 may miss 一些trading opportunities 的风险。

  4. 若网格间距设置过大,则无法获取足够利润;若太小,则头寸过多,费用压力大。

优化方向

  1. 可以测试更多组合的参数,找到对不同品种更契合的JMA均线组合。

  2. 可以结合别的指标进行Filter,如BOLL通道,KD等,提高信号质量。

  3. 可以优化网格交易的配置,如网格间距,建仓数量等参数。

  4. 可以考虑更多类型的止损方式,如跳空止损,追踪止损等。

总结

本策略以JMA均线理论判断趋势转折,在转折点开启网格交易。可获取市场中长线行情转换的利润。可通过参数优化获得更好的策略表现。总体来说,该策略适合中长期持有,逐步跟踪趋势行情获利。

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Overview

This strategy uses moving average theory to build a grid trading system by judging the market trend through multiple sets of JMA moving averages with different parameters. It aims to capture profits during long-term trend reversals in the market.

Strategy Logic

  1. Use a combination of 1-20 period JMA moving averages to determine the market trend. When the short period MA is above the long period MA, it is judged as an upward trend, and vice versa as a downward trend.

  2. Open grid trades at trend reversal points, when the short MA crosses below or above the long MA. Establish short positions gradually during uptrends, and long positions during downtrends.

  3. An option to filter based on candlestick color - only buy on red candles and sell on green candles, otherwise disregard color and trade at trend reversal only.

  4. Exits are either tracking stop loss or time-based exit when strategy duration ends.

Advantage Analysis

  1. Using MA system to determine trends can effectively identify long-term trend reversals.

  2. Grid trading can capture profits from range-bound markets without clear trends, with stop loss to control risks.

  3. Customizable JMA parameters, can optimize for different periods, high flexibility.

  4. Candle filter avoids being misled by false breakouts.

Risk Analysis

  1. High whip saw markets without clear trends have higher stop loss risks.

  2. Judgment errors from MA system may lead to incorrect trade signals.

  3. Candle filter risks missing some trading opportunities.

  4. If grid spacing is too wide, insufficient profits; too narrow may result in too many positions and high costs.

Optimization Directions

  1. Test more parameter combinations to find optimal JMA MA combinations for different products.

  2. Incorporate other filters like BOLL bands, KD etc to improve signal quality.

  3. Optimize grid configurations like grid spacing, entry lots etc.

  4. Consider more stop loss methods like gap based, trailing stops etc.

Conclusion

This strategy judges reversals using JMA theory and opens grid trades at turning points to capture profits from long-term trend shifts. Performance can be further improved through parameter optimization. Overall it is suitable for medium-long term holdings to gradually track and profit from trending moves.

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Strategy Arguments

Argument Default Description
v_input_1 true Long
v_input_2 true Short
v_input_3 100 Lot
v_input_4 false Use Color-filter
v_input_5 1900 From Year
v_input_6 2100 To Year
v_input_7 true From Month
v_input_8 12 To Month
v_input_9 true From day
v_input_10 31 To day

Source (PineScript)

/*backtest
start: 2022-12-27 00:00:00
end: 2024-01-02 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2019

//@version=3
strategy(title = "Noro's Fishnet Strategy", shorttitle = "Fishnet str", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)

//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot")
usecf = input(false, defval = false, title = "Use Color-filter")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//JMA
jmax(src, len) =>
    beta = 0.45*(len-1)/(0.45*(len-1)+2)
    alpha = pow(beta, 3)
    L0=0.0, L1=0.0, L2=0.0, L3=0.0, L4=0.0
    L0 := (1-alpha)*src + alpha*nz(L0[1])
    L1 := (src - L0[0])*(1-beta) + beta*nz(L1[1])
    L2 := L0[0] + L1[0]
    L3 := (L2[0] - nz(L4[1]))*((1-alpha)*(1-alpha)) + (alpha*alpha)*nz(L3[1])
    L4 := nz(L4[1]) + L3[0]
	L4

ma01 = jmax(close, 10)
ma02 = jmax(close, 20)
ma03 = jmax(close, 30)
ma04 = jmax(close, 40)
ma05 = jmax(close, 50)
ma06 = jmax(close, 60)
ma07 = jmax(close, 70)
ma08 = jmax(close, 80)
ma09 = jmax(close, 90)
ma10 = jmax(close, 100)
ma11 = jmax(close, 110)
ma12 = jmax(close, 120)
ma13 = jmax(close, 130)
ma14 = jmax(close, 140)
ma15 = jmax(close, 150)
ma16 = jmax(close, 160)
ma17 = jmax(close, 170)
ma18 = jmax(close, 180)
ma19 = jmax(close, 190)
ma20 = jmax(close, 200)

trend = 0
trend := ma01 > ma20 ? 1 : ma01 < ma20 ? -1 : trend[1]
col = trend == 1 ? #00FF7F : #DC143C

plot(ma01, transp = 0, color = col)
plot(ma02, transp = 0, color = col)
plot(ma03, transp = 0, color = col)
plot(ma04, transp = 0, color = col)
plot(ma05, transp = 0, color = col)
plot(ma06, transp = 0, color = col)
plot(ma07, transp = 0, color = col)
plot(ma08, transp = 0, color = col)
plot(ma09, transp = 0, color = col)
plot(ma10, transp = 0, color = col)
plot(ma11, transp = 0, color = col)
plot(ma12, transp = 0, color = col)
plot(ma13, transp = 0, color = col)
plot(ma14, transp = 0, color = col)
plot(ma15, transp = 0, color = col)
plot(ma16, transp = 0, color = col)
plot(ma17, transp = 0, color = col)
plot(ma18, transp = 0, color = col)
plot(ma19, transp = 0, color = col)
plot(ma20, transp = 0, color = col)

//Trading
lot = 0.0
lot := strategy.equity / close * capital / 100

if trend == 1 and (close < open or usecf == false)
    strategy.entry("Long", strategy.long, needlong ? lot : na)

if trend == -1 and (close > open or usecf == false)
    strategy.entry("Short", strategy.short, needshort ? lot : na)

Detail

https://www.fmz.com/strategy/437558

Last Modified

2024-01-03 17:18:22