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ADXRSISMA多指标组合交易策略ADXRSISMA-Multi-Indicator-Combined-Trading-Strategy.md

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Name

ADXRSISMA多指标组合交易策略ADXRSISMA-Multi-Indicator-Combined-Trading-Strategy

Author

ChaoZhang

Strategy Description

[trans]

策略原理

该策略综合运用多种技术指标来识别趋势方向和超买超卖区域,以产生交易信号。

主要指标包括:

  1. 平均方向指数(ADX):判断趋势力度

  2. 相对强弱指标(RSI):判断超买超卖

  3. 松密平均线(SMA):判断短期趋势

  4. 极速SAR指标:判断长短期趋势

  5. 通道突破:趋势突破入场

具体交易逻辑:

  1. ADX判断趋势存在且足够强势

  2. SAR判断长短期趋势一致方向

  3. RSI识别超买超卖区间

  4. 价格突破SMA均线时入场

  5. 价格突破通道时入场

多种指标相互验证提高判断准确率,不同策略组合形成系统交易体系。

策略优势

  • 多指标组合,提高信号质量

  • 不同策略组合,系统性入场

  • ADX识别趋势,RSI判断超买超卖

  • SAR抓取趋势,SMA和通道突破入场

策略风险

  • 多参数设定,需要反复测试优化

  • 组合条件出现的频率较低

  • 指标产生冲突信号时难以处理

总结

该策略充分利用各类指标的优势,构建稳健的交易体系。但需优化参数设定,确保交易频率合理。整体而言,策略集强势趋势识别与高效入场为一体。

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Strategy Logic

This strategy combines various technical indicators to identify trend direction and overbought/oversold levels for trade signals.

The main indicators used are:

  1. Average Directional Index (ADX): Trend strength

  2. Relative Strength Index (RSI): Overbought/oversold

  3. Simple Moving Average (SMA): Short-term trend

  4. SuperTrend: Long/short term trend

  5. Channel Breakout: Trend breakout entry

The trading logic is:

  1. ADX shows trend presence and strength

  2. SuperTrend confirms alignment of long/short term trends

  3. RSI identifies overbought/oversold regions

  4. Enter on SMA crossover

  5. Enter on channel breakout

The multi-indicator combo improves signal accuracy. Different strategies combine into a systematic approach.

Advantages

  • Multiple indicators improve quality

  • Strategies combine for systematic entry

  • ADX identifies trend, RSI overbought/oversold

  • SuperTrend catches trends, SMA & channel breakout entry

Risks

  • Multi-parameter tuning requires optimization

  • Combination conditions occur less frequently

  • Conflicting indicator signals hard to resolve

Summary

This strategy fully utilizes the strengths of various indicators to build a robust system. But parameter optimization is key for ideal trade frequency. Overall it combines strong trend identification with efficient entries.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 7 ADX Smoothing
v_input_2 7 DI Length
v_input_3 70 OB
v_input_4 30 OS
v_input_int_1 5 Length

Source (PineScript)

/*backtest
start: 2023-09-12 00:00:00
end: 2023-09-13 00:00:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
// strategy("Combined Strategy", overlay=true, default_qty_value=100, initial_capital=1000, margin_long=0.1)

adxlen = input(7, title="ADX Smoothing")
dilen = input(7, title="DI Length")
dirmov(len) =>
    up = ta.change(high)
    down = -ta.change(low)
    plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
    minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
    truerange = ta.rma(ta.tr, len)
    plus = fixnan(100 * ta.rma(plusDM, len) / truerange)
    minus = fixnan(100 * ta.rma(minusDM, len) / truerange)
    [plus, minus]

adx(dilen, adxlen) =>
    [plus, minus] = dirmov(dilen)
    sum = plus + minus
    adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
sig = adx(dilen, adxlen)

// The same on Pine Script™
pine_supertrend(factor, atrPeriod) =>
    src = hl2
    atr = ta.atr(atrPeriod)
    upperBand = src + factor * atr
    lowerBand = src - factor * atr
    prevLowerBand = nz(lowerBand[1])
    prevUpperBand = nz(upperBand[1])

    lowerBand := lowerBand > prevLowerBand or close[1] < prevLowerBand ? lowerBand : prevLowerBand
    upperBand := upperBand < prevUpperBand or close[1] > prevUpperBand ? upperBand : prevUpperBand
    int direction = na
    float superTrend = na
    prevSuperTrend = superTrend[1]
    if na(atr[1]) and ta.rsi(close, 21) < 66 and ta.rsi(close,3) > 80 and ta.rsi(close, 28) > 49 and sig > 20
        direction := 1
    else if prevSuperTrend == prevUpperBand
        direction := close > upperBand ? -1 : 1
    else
        direction := close < lowerBand ? 1 : -1
    superTrend := direction == -1 ? lowerBand : upperBand
    [superTrend, direction]

[pineSupertrend, pineDirection] = pine_supertrend(3, 10)
upTrend = pineDirection < 0
downTrend = pineDirection > 0

// Define the 20-period SMA
sma20 = ta.sma(close, 20)

a = ta.rsi(close,14)
OB = input(70)
OS = input(30)
os = a > OB
ob = a < OS

if upTrend and close > pineSupertrend and close > sma20 and os
    strategy.entry("Buy", strategy.long)

if ta.crossunder(close, sma20) or ob
    strategy.close_all()

//define when to breakout of channel 
//("ChannelBreakOutStrategy", overlay=true)
length = input.int(title="Length", minval=1, maxval=1000, defval=5)
upBound = ta.highest(high, length)
downBound = ta.lowest(low, length)
if (not na(close[length]))
	strategy.entry("ChBrkLE", strategy.long, stop=upBound + syminfo.mintick, comment="ChBrkLE")
strategy.entry("ChBrkSE", strategy.short, stop=downBound - syminfo.mintick, comment="ChBrkSE")

Detail

https://www.fmz.com/strategy/426800

Last Modified

2023-09-14 16:19:46