策略

Pair-trading-strategy

ChaoZhang · PineScript · 均值回归 · 2023-09-10 00:17:24

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均值回归震荡横盘 · 推断单边上涨 · 推断单边下跌 · 推断

触发器

SMA推断 RSI推断布林带推断超买推断超卖推断

过滤

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仓位

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风控

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出场

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背景术语

做空回测收盘期货做多

无说明：源文件没有中文正文。

阅读英文版本 →

参数

参数	默认值	说明
v_input_1	20	SMA Length
v_input_2	2	Entry ZScore
v_input_3	2016	Backtest Start Year

源码（39 行）

/*backtest
start: 2022-09-03 00:00:00
end: 2023-09-09 00:00:00
period: 1d
basePeriod: 1h
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/
// © femisapien

//@version=4
strategy("Pair Trade L/S", overlay=true)

source = close
smalength = input(title = "SMA Length", defval = 20, minval=1)
entryzscore = input(title = "Entry ZScore", defval = 2.0, minval=0, maxval = 50)
startYear = input(title="Backtest Start Year", type=input.integer, defval=2016, minval=1980, maxval=2100)

ma = sma(source, smalength)
dev = entryzscore * stdev(source, smalength)

upper = ma + dev
lower = ma - dev

longEntrySignal = cross(source, lower)
shortEntrySignal = cross(source, upper)
exitSignal = cross(source, ma)

afterStartDate = (time >= timestamp(syminfo.timezone, startYear,1,1, 0, 0))

if (longEntrySignal and afterStartDate)
    strategy.entry("le", strategy.long, comment = "Enter Long")

if (shortEntrySignal and afterStartDate)
    strategy.entry("se", strategy.short, comment="Enter Short")

if (exitSignal and afterStartDate)
    strategy.close_all(true)