该策略使用CCI+2 RSI+2 EMA生成交易信号。交易仅在正常交易日进行,所有未平仓交易均在当前交易日结束前15分钟关闭。使用尾部止损,并且可以自定义。
非交易建议,使用风险自负。
回测测试
/*backtest start: 2022-01-01 00:00:00 end: 2022-04-06 23:59:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["ContractType","rb2210",360008]] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © rwestbrookjr //@version=5 strategy("CCI + EMA with RSI Cross Strategy", overlay=true, margin_long=100, margin_short=100, process_orders_on_close=true) //EMA fastLen = input(title='EMA快线周期', defval=9, group='EMA Settings') slowLen = input(title='EMA慢线周期', defval=20, group='EMA Settings') fastEMA = ta.ema(close, fastLen) slowEMA = ta.ema(close, slowLen) fema = plot(fastEMA, title='FastEMA', color=color.new(color.green, 0), linewidth=1, style=plot.style_line) sema = plot(slowEMA, title='SlowEMA', color=color.new(color.red, 0), linewidth=1, style=plot.style_line) //fill(fema, sema, color=fastEMA > slowEMA ? color.new(#417505, 50) : color.new(#890101, 50), title='Cloud') // Bull and Bear Alerts //Bull = ta.crossover(fastEMA, slowEMA) Bull = fastEMA > slowEMA //Bear = ta.crossunder(fastEMA, slowEMA) Bear = fastEMA < slowEMA //RSIs rsiLength1Input = input.int(9, minval=1, title="快线 RSI 周期", group="RSI Settings") rsiSource1Input = input.source(close, "快线 RSI 数据源", group="RSI Settings") rsiLength2Input = input.int(20, minval=1, title="慢线 RSI 周期", group="RSI Settings") rsiSource2Input = input.source(close, "慢线 RSI 数据源", group="RSI Settings") up1 = ta.rma(math.max(ta.change(rsiSource1Input), 0), rsiLength1Input) down1 = ta.rma(-math.min(ta.change(rsiSource1Input), 0), rsiLength1Input) rsi = down1 == 0 ? 100 : up1 == 0 ? 0 : 100 - (100 / (1 + up1 / down1)) up2 = ta.rma(math.max(ta.change(rsiSource2Input), 0), rsiLength2Input) down2 = ta.rma(-math.min(ta.change(rsiSource2Input), 0), rsiLength2Input) rsi2 = down2 == 0 ? 100 : up2 == 0 ? 0 : 100 - (100 / (1 + up2 / down2)) rsiBull = rsi > rsi2 and rsi > rsi[1] rsiBear = rsi < rsi2 and rsi < rsi[1] //CCI cciLength = input.int(title='CCI 周期', group='CCI Settings', defval=20, minval=1) src = input(hlc3, title='CCI 数据源', group='CCI Settings') ma = ta.sma(src, cciLength) cci = (src - ma) / (0.015 * ta.dev(src, cciLength)) cciCut = input.int(title = 'CCI 截断值', group='CCI Settings', defval = 50) cciBull = cci > cciCut cciBear = cci < cciCut * -1 //Trail Stop Setup trstp = input.float(title="跟踪止损", group='Stop Settings', defval = 100) longStop = 0.0, shortStop = 0.0 longStop := if Bull or strategy.position_size > 0 stopValue = slowEMA - trstp math.max(stopValue, longStop[1]) else 0.0 shortStop := if Bear or strategy.position_size < 0 stopValue = slowEMA + trstp math.min(stopValue, shortStop[1]) else 999999 //plotshape(title='Short Stop', series=shortStop != 999999 and strategy.opentrades > 0 and strategy.position_size < 0 ? shortStop : na, style=shape.cross, color=color.yellow, location=location.absolute) //plotshape(title='Long Stop', series=longStop != 0.0 and strategy.opentrades > 0 and strategy.position_size > 0 ? longStop : na,style=shape.cross, color=color.yellow, location=location.absolute) //Session Setup //open_session=input.session(title='Session',group='Session Settings', defval="0930-1545") //session = time("1", open_session) //validSession=(na(session) ? 0 : 1) //Trade Signals //longCondition = Bull and cci > cciCut and ta.crossover(rsi,rsi2) and validSession longCondition = cciBull and ta.crossover(rsi,rsi2) and close > slowEMA //longCondition = cciBull and ta.crossover(rsi,rsi2) and Bull and validSession if (longCondition) strategy.entry("Long", strategy.long) //longExit = close > strategy.opentrades.entry_price(0) + 1.5 or close < strategy.opentrades.entry_price(0) - 0.75 longExit = close < longStop //longExit = ta.crossunder(low,longStop) or not validSession if (longExit) strategy.close("Long") //shortCondition = Bear and cci < (cciCut*-1) and ta.crossunder(rsi,rsi2) and validSession shortCondition = cciBear and ta.crossunder(rsi,rsi2) and close < slowEMA //shortCondition = cciBear and ta.crossunder(rsi,rsi2) and Bear and validSession if (shortCondition) strategy.entry("Short", strategy.short) //shortExit = close < strategy.opentrades.entry_price(0) - 1.5 or close > strategy.opentrades.entry_price(0) + 0.75 shortExit = close > shortStop //shortExit = ta.crossover(high, shortStop) or not validSession if (shortExit) strategy.close("Short")template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6