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坚实踏实的SMA均线持仓策略Solid-and-Steady-SMA-Position-Holding-Strategy

ChaoZhang · PineScript · Trend Following · 2023-12-18 17:44:16

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Context terms

ShortLong TermLongCloseHolding TimeBacktestEMAFutures

Overview

This strategy is a simple position holding strategy based on SMA lines. It goes long when the short term SMA line crosses over the long term SMA line, and closes position when the short term SMA line crosses below the long term SMA line.

Principle

Expand full text (664 chars)

The strategy uses two SMA lines, one short term 20-day line and one long term 50-day line. The short term line can catch price trend changes faster, while the long term line filters out short term noise. When the short term line rises quickly above the long term line, it indicates the trend may have started a long term upturn, so we go long here. When the short term line drops below the long term line, it suggests the uptrend may have ended, so we close position here. In summary, this strategy utilizes the curve features of SMA lines to determine price movement trends on two time dimensions, and makes stable profits with relatively steady position holding.

Advantages

The advantages of this strategy include:

  1. Simple to operate, easy to understand, low barrier to use
  2. Relatively stable by leveraging the strengths of SMA lines
  3. Long holding periods, less impacted by short term market noise
  4. Few configurable parameters, easy to find optimal parameter combinations

Risks

The risks of this strategy include:

  1. More stop losses possible when prolonged range-bound markets
  2. SMA lines have lagging effect, cannot catch immediate price changes
  3. Unable to capitalize on short term spike pullback patterns
  4. Unable to control single trade loss size

Optimization

This strategy can be further optimized in the following aspects:

  1. Add MACD indicator to identify bottom rebound timing for less losses during range-bound markets
  2. Test different SMA line parameter combinations to find optimal
  3. Incorporate domestic indicators for spotting trend divergence, improving entry accuracy
  4. Add profit taking and stop loss mechanisms to control per trade profit/loss

Summary

In summary, this SMA position holding strategy is stable, simple and easy to operate, suitable for beginner live trading. As algo trading keeps evolving, this strategy can incorporate more indicators and techniques for better performance. [/trans]

Parameters

ParametersDefaultDescription
v_input_114Length
v_input_2trueHighlight Movements ?
v_input_3_close0Source: close
v_input_float_1trueLong Take Profit 1 %
v_input_int_110Long Take Profit 1 Qty
v_input_float_25Long Take Profit 2%
v_input_int_250Long Take Profit 2 Qty
v_input_float_32.2SL Mutiplier
v_input_int_317ATR period
v_input_42022Backtest Start Year
v_input_5trueBacktest Start Month
v_input_6trueBacktest Start Day
v_input_79999Backtest Stop Year
v_input_812Backtest Stop Month
v_input_931Backtest Stop Day
Source code (87 lines)
/*backtest
start: 2022-12-11 00:00:00
end: 2023-12-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy('Zlema Strateg Long 5m', overlay=true )

// FUNCTIONS

Atr(p) =>
    atr = 0.
    Tr = math.max(high - low, math.max(math.abs(high - close[1]), math.abs(low - close[1])))
    atr := nz(atr[1] + (Tr - atr[1]) / p, Tr)
    atr

// ZLEMA
length = input(title='Length', defval=14)
highlightMovements = input(title='Highlight Movements ?', defval=true)
src = input(title='Source', defval=close)

lag = math.floor((length - 1) / 2)

zlema = ta.ema(src + src - src[lag], length)

zlemaColor = highlightMovements ? zlema > zlema[1] ? color.green : color.red : #6d1e7f
plot(zlema, title='ZLEMA', linewidth=2, color=zlemaColor, transp=0)


// TAKE PROFIT AND STOP LOSS
long_tp1_inp = input.float(1, title='Long Take Profit 1 %', step=0.1) / 100
long_tp1_qty = input.int(10, title='Long Take Profit 1 Qty', step=1)

long_tp2_inp = input.float(5, title='Long Take Profit 2%', step=0.1) / 100
long_tp2_qty = input.int(50, title='Long Take Profit 2 Qty', step=1)

long_take_level_1 = strategy.position_avg_price * (1 + long_tp1_inp)
long_take_level_2 = strategy.position_avg_price * (1 + long_tp2_inp)




// Stop Loss
multiplier = input.float(2.2, 'SL Mutiplier', minval=1, step=0.1)
ATR_period = input.int(17, 'ATR period', minval=1, step=1)

// Strategy
entry_long = zlema > zlema[1]
entry_price_long = ta.valuewhen(entry_long, close, 0)
SL_floating_long = entry_price_long - multiplier * Atr(ATR_period)
exit_long = zlema < zlema[1]

///// BACKTEST PERIOD ///////
testStartYear = input(2022, 'Backtest Start Year')
testStartMonth = input(1, 'Backtest Start Month')
testStartDay = input(1, 'Backtest Start Day')
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)

testStopYear = input(9999, 'Backtest Stop Year')
testStopMonth = input(12, 'Backtest Stop Month')
testStopDay = input(31, 'Backtest Stop Day')
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)

testPeriod() =>
    time >= testPeriodStart and time <= testPeriodStop ? true : false

if testPeriod()
    strategy.entry('long', strategy.long, comment='Long', when=entry_long)
    strategy.exit('TP1', 'long', qty_percent=long_tp1_qty, limit=long_take_level_1)  //, trail_points=entry_price_long * long_trailing / syminfo.mintick, trail_offset=entry_price_long * long_trailing / syminfo.mintick)
    strategy.exit('TP2', qty_percent=long_tp2_qty, limit=long_take_level_2)  //, trail_points=entry_price_long * long_trailing / syminfo.mintick, trail_offset=entry_price_long * long_trailing / syminfo.mintick)
    strategy.close('long', when=exit_long, comment='exit long')


// LONG POSITION
plot(strategy.position_size > 0 ? long_take_level_1 : na, style=plot.style_linebr, color=color.new(color.green, 0), linewidth=1, title='1st Long Take Profit')
plot(strategy.position_size > 0 ? long_take_level_2 : na, style=plot.style_linebr, color=color.new(color.green, 0), linewidth=1, title='2nd Long Take Profit')
plot(strategy.position_size > 0 ? SL_floating_long : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Stop Loss')


if testPeriod()
    strategy.entry('long', strategy.long, comment='Long', when=entry_long)


// LONG POSITIONplot(strategy.position_size > 0 ? SL_floating_long : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Stop Loss')