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ADX动量趋势策略ADX-Momentum-Trend-Strategy.md

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Name

ADX动量趋势策略ADX-Momentum-Trend-Strategy

Author

ChaoZhang

Strategy Description

IMG

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概述

该策略基于ADX指标判断市场趋势,结合DMI指标判断多空方向,利用ADX斜率判断趋势力度,设定ADX关键值过滤非趋势市场,辅助移动平均线过滤交易信号。

策略原理

  1. 计算ADX、DI+、DI-指标。
  2. ADX斜率>0,表明趋势递增;关键值设定为23,用于过滤非趋势市场。
  3. DI+高于DI-,表明多头力量大于空头力量,为看多信号。
  4. 启用移动平均线过滤时,只有收盘价高于移动平均线时,才产生多头信号。
  5. 当ADX斜率<0时平仓,表明趋势消退。

优势分析

  1. 辅助MA过滤,可减少非趋势市场的噪声交易。
  2. ADX斜率判断力度,可准确判断趋势的发展。
  3. DI判断方向配合ADX判断力度,形成比较完整的趋势交易决策体系。
  4. 回撤和盈亏比有望优于简单的移动平均线策略。

风险分析

  1. ADX指标设定不同参数,结果会有较大差异。
  2. DMI尚未完全确定多空方向前,可能发出错误信号。
  3. 存在一定的滞后,降低策略效率。

优化方向

  1. 优化ADX参数组合,寻找最佳参数。
  2. 增加止损策略,避免单笔亏损扩大。
  3. 尝试结合其他指标过滤信号。例如RSI、布林带。

总结

该策略充分利用ADX判断趋势和趋势力度的优势,配合DMI指标判断方向,形成完整的趋势跟踪体系。同时辅助移动平均线可有效过滤非趋势市场的噪声。参数优化和指标组合还可进一步提高策略稳定性和效率。总体而言,该策略结合趋势判断和方向判断的特点,可望获得良好的回报。

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Overview

This strategy uses the ADX indicator to determine the market trend, combines with the DMI indicator to determine direction, utilizes the ADX slope to gauge trend strength, sets the ADX key level to filter non-trending markets, and uses a moving average to filter trade signals.

Strategy Logic

  1. Calculate the ADX, DI+, and DI- indicators.
  2. ADX slope > 0 indicates an increasing trend; key level is set to 23 to filter non-trending markets.
  3. DI+ above DI- signifies bullish momentum overrides bearish momentum, giving a buy signal.
  4. When moving average filter is enabled, only generate buy signals when close is above the moving average.
  5. Close positions when ADX slope < 0, indicating fading trend.

Advantage Analysis

  1. MA filter reduces noise trades in non-trending markets.
  2. ADX slope accurately determines trend strength.
  3. DI indicates direction combined with ADX for strength forms a robust trend trading system.
  4. Expect lower drawdown and higher profit factor than simple MA strategies.

Risk Analysis

  1. ADX results vary significantly with different input parameters.
  2. DMI may give false signals before direction is clearly determined.
  3. Some lag exists, reducing strategy efficiency.

Optimization Directions

  1. Optimize ADX parameters for best results.
  2. Add stop loss to limit loss on single trades.
  3. Try combining other indicators to filter signals, e.g. RSI, Bollinger Bands.

Summary

This strategy fully utilizes ADX’s strength in determining trend and momentum, combined with DMI for direction analysis, forming a complete trend following system. The MA filter effectively reduces noise. Further parameter tuning and indicator combinations may improve robustness and efficiency. In summary, by incorporating trend, momentum and direction analysis, this strategy has the potential to achieve strong returns.

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Strategy Arguments

Argument Default Description
v_input_1 2019 From Year
v_input_2 true From Month
v_input_3 true From Day
v_input_4 9999 To Year
v_input_5 true To Month
v_input_6 true To Day
v_input_7 14 ADX Smoothing
v_input_8 14 DI Period
v_input_9 23 Keylevel for ADX
v_input_10 3 Lookback Period for Slope
v_input_11 true Use MA for Filtering?
v_input_12 0 MA Type For Filtering: EMA
v_input_13 200 MA Period for Filtering

Source (PineScript)

/*backtest
start: 2024-01-08 00:00:00
end: 2024-01-15 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © millerrh with inspiration from @9e52f12edd034d28bdd5544e7ff92e 
//The intent behind this study is to look at ADX when it has an increasing slope and is above a user-defined key level (23 default). 
//This is to identify when it is trending.
//It then looks at the DMI levels.  If D+ is above D- and the ADX is sloping upwards and above the key level, it triggers a buy condition.  Opposite for short.
//Can use a user-defined moving average to filter long/short if desried.
// NOTE: THIS IS MEANT TO BE USED IN CONJUNCTION WITH MY "ATX TRIGGER" INDICATOR FOR VISUALIZATION. MAKE SURE SETTINGS ARE THE SAME FOR BOTH.

strategy("ADX | DMI Trend", overlay=true, initial_capital=10000, currency='USD', 
   default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.04)

// === BACKTEST RANGE ===
From_Year  = input(defval = 2019, title = "From Year")
From_Month = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
From_Day   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
To_Year    = input(defval = 9999, title = "To Year")
To_Month   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
To_Day     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
Start  = timestamp(From_Year, From_Month, From_Day, 00, 00)  // backtest start window
Finish = timestamp(To_Year, To_Month, To_Day, 23, 59)        // backtest finish window

// == INPUTS ==
// ADX Info
adxlen = input(14, title="ADX Smoothing")
dilen = input(14, title="DI Period")
keyLevel = input(23, title="Keylevel for ADX")
adxLookback = input(3, title="Lookback Period for Slope")

// == FILTERING ==
// Inputs
useMaFilter = input(title = "Use MA for Filtering?", type = input.bool, defval = true)
maType = input(defval="EMA", options=["EMA", "SMA"], title = "MA Type For Filtering")
maLength   = input(defval = 200, title = "MA Period for Filtering", minval = 1)

// Declare function to be able to swap out EMA/SMA
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 = ma(maType, close, maLength)
plot(maFilter, title = "Trend Filter MA", color = color.green, linewidth = 3, style = plot.style_line, transp = 50)

// Check to see if the useMaFilter check box is checked, this then inputs this conditional "maFilterCheck" variable into the strategy entry 
maFilterCheck = if useMaFilter == true
    maFilter
else
    close

// == USE BUILT-IN DMI FUNCTION TO DETERMINE ADX AND BULL/BEAR STRENGTH
[diplus, diminus, adx] = dmi(dilen, adxlen)

buySignal = (adx[0]-adx[adxLookback] > 0) and adx > keyLevel and diplus > diminus  and close >= maFilterCheck
// buySignalValue = valuewhen(buySignal, close, 0)
shortSignal = (adx[0]-adx[adxLookback] > 0) and adx > keyLevel and diplus < diminus  and close <= maFilterCheck
// shortSignalValue = valuewhen(shortSignal, close, 0)
sellCoverSignal = adx[0]-adx[adxLookback] < 0

// == ENTRY & EXIT CRITERIA
// Triggers to be TRUE for it to fire of the BUY Signal : (opposite for the SELL signal).
// (1): Price is over the 200 EMA line. (EMA level configurable by the user)
// (2): "D+" is OVER the "D-" line
// (3): RSI 7 is under 30 (for SELL, RSI 7 is over 70)
// 1* = The ultimate is to have a combination line of 3 EMA values, EMA 14, EMA 50 and EMA 200 - And if price is over this "combo" line, then it's a strong signal

// == STRATEGY ENTRIES/EXITS == 
strategy.entry("Long", strategy.long, when = buySignal)
strategy.close("Long", when = sellCoverSignal)
strategy.entry("Short", strategy.short, when = shortSignal)
strategy.close("Short", when = sellCoverSignal)
    
// == ALERTS == 
// alertcondition(buySignal, title='ADX Trigger Buy', message='ADX Trigger Buy')
// alertcondition(sellSignal, title='ADX Trigger Sell', message='ADX Trigger Sell')

Detail

https://www.fmz.com/strategy/438952

Last Modified

2024-01-16 15:57:17