“交易权益曲线”作为一种风险管理方法,是根据交易信号采取行动的过程,这取决于系统的性能是否表明战略处于盈利或亏损阶段。
管理权益曲线的目的是,当权益曲线呈下降趋势时,将交易风险降至最低。该策略有两种模式来确定股票曲线的下降趋势:通过创建投资组合股票曲线的两个简单移动平均值(短期和长期),并在其交叉点上进行操作。如果快速SMA低于慢速SMA,则会检测到股票下跌趋势(smafastequity<smaslowequity)。 第二种方法是使用权益本身与较长时期SMA(权益<smasloweequity)的交叉。
当“股票曲线交易”处于活动状态时,如果股票根据所选规则处于“水下”,则头寸规模将减少指定的百分比。如果你是风险寻求者,请选择“规模增加%”——对于一些稳健的系统,这可能有助于更快地克服其小幅回撤。
回测测试
/*backtest start: 2021-12-01 00:00:00 end: 2022-05-11 23:59:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["ContractType","i888",360008]] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © shardison //@version=5 //EXPLANATION //"Trading the equity curve" as a risk management method is the //process of acting on trade signals depending on whether a system’s performance //is indicating the strategy is in a profitable or losing phase. //The point of managing equity curve is to minimize risk in trading when the equity curve is in a downtrend. //This strategy has two modes to determine the equity curve downtrend: //By creating two simple moving averages of a portfolio's equity curve - a short-term //and a longer-term one - and acting on their crossings. If the fast SMA is below //the slow SMA, equity downtrend is detected (smafastequity < smaslowequity). //The second method is by using the crossings of equity itself with the longer-period SMA (equity < smasloweequity). //When "Reduce size by %" is active, the position size will be reduced by a specified percentage //if the equity is "under water" according to a selected rule. If you're a risk seeker, select "Increase size by %" //- for some robust systems, it could help overcome their small drawdowns quicker. //strategy("Use Trading the Equity Curve Postion Sizing", shorttitle="TEC", default_qty_type = strategy.percent_of_equity, default_qty_value = 10, initial_capital = 100000) //TRADING THE EQUITY CURVE INPUTS useTEC = input.bool(true, title="使用交易权益曲线头寸调整") defulttraderule = useTEC ? false: true initialsize = input.float(defval=10.0, title="初始仓位百分比") slowequitylength = input.int(25, title="SMA慢线周期") fastequitylength = input.int(9, title="SMA快线周期") seedequity = 100000 * .10 if strategy.equity == 0 seedequity else strategy.equity slowequityseed = strategy.equity > seedequity ? strategy.equity : seedequity fastequityseed = strategy.equity > seedequity ? strategy.equity : seedequity smaslowequity = ta.sma(slowequityseed, slowequitylength) smafastequity = ta.sma(fastequityseed, fastequitylength) equitycalc = input.bool(true, title="使用快/慢平均", tooltip="Fast Equity Avg is below Slow---otherwise if unchecked uses Slow Equity Avg below Equity") sizeadjstring = input.string("Reduce size by (%)", title="仓位大小调整", options=["Reduce size by (%)","Increase size by (%)"]) sizeadjint = input.int(50, title="权益增加/减少百分比:") equitydowntrendavgs = smafastequity < smaslowequity slowequitylessequity = strategy.equity < smaslowequity equitymethod = equitycalc ? equitydowntrendavgs : slowequitylessequity if sizeadjstring == ("缩小头寸 (%)") sizeadjdown = initialsize * (1 - (sizeadjint/100)) else sizeadjup = initialsize * (1 + (sizeadjint/100)) c = close qty = 100000 * (initialsize / 100) / c if useTEC and equitymethod if sizeadjstring == "Reduce size by (%)" qty := (strategy.equity * (initialsize / 100) * (1 - (sizeadjint/100))) / c else qty := (strategy.equity * (initialsize / 100) * (1 + (sizeadjint/100))) / c //EXAMPLE TRADING STRATEGY INPUTS CMO_Length = input.int(defval=9, minval=1, title='Chande动量长度') CMO_Signal = input.int(defval=10, minval=1, title='Chande动量信号') chandeMO = ta.cmo(close, CMO_Length) cmosignal = ta.sma(chandeMO, CMO_Signal) SuperTrend_atrPeriod = input.int(10, "超级趋势 ATR 周期") SuperTrend_Factor = input.float(3.0, "超级趋势 系数", step = 0.01) Momentum_Length = input.int(12, "动量长度") price = close mom0 = ta.mom(price, Momentum_Length) mom1 = ta.mom( mom0, 1) [supertrend, direction] = ta.supertrend(SuperTrend_Factor, SuperTrend_atrPeriod) stupind = (direction < 0 ? supertrend : na) stdownind = (direction < 0? na : supertrend) //TRADING CONDITIONS longConditiondefault = ta.crossover(chandeMO, cmosignal) and (mom0 > 0 and mom1 > 0 and close > stupind) and defulttraderule if (longConditiondefault) strategy.entry("DefLong", strategy.long) shortConditiondefault = ta.crossunder(chandeMO, cmosignal) and (mom0 < 0 and mom1 < 0 and close < stdownind) and defulttraderule if (shortConditiondefault) strategy.entry("DefShort", strategy.short) longCondition = ta.crossover(chandeMO, cmosignal) and (mom0 > 0 and mom1 > 0 and close > stupind) and useTEC if (longCondition) strategy.entry("AdjLong", strategy.long) shortCondition = ta.crossunder(chandeMO, cmosignal) and (mom0 < 0 and mom1 < 0 and close < stdownind) and useTEC if (shortCondition) strategy.entry("AdjShort", strategy.short) plot(strategy.equity) plot(smaslowequity, color=color.new(color.red, 0)) plot(smafastequity, color=color.new(color.green, 0))template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6