Dual-Moving-Average-Breakout-Strategy.md

Name

Dual-Moving-Average-Breakout-Strategy

Author

ChaoZhang

Strategy Description

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该策略同时使用SMA和EMA两种移动平均线,根据价格突破的方向判断做多做空方向。当收盘价高于SMA和EMA时,做多;当收盘价低于SMA和EMA时,做空;当收盘价处于SMA和EMA之间时,平仓。用户可以自行设置SMA和EMA的周期长度。

该策略的优点是同时结合两种均线系统,可以提高准确性。但是也存在一些问题,例如在盘整市场中容易产生错误信号,均线本身滞后性较大等。此外,该策略也没有设置止损以控制亏损。

总而言之,该双均线突破策略适合趋势明显的市场,但需要谨慎使用。可通过优化参数,加入止损,以及增加其他指标过滤来完善该策略,减少信号错误率。

综上所述,双均线突破策略具有简单的交易思路,但实际运用时需要注意风险控制。只有参数设置得当,才能将策略稳定运用于实盘。

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This strategy uses both SMA and EMA moving averages to determine long and short direction based on price breakouts. It goes long when the close is above both SMA and EMA, goes short when the close is below both SMA and EMA, and flattens out when the close is between the SMA and EMA. The SMA and EMA periods can be customized by the user.

The advantage of this dual moving average breakout strategy is combining two moving average systems can improve accuracy. However, issues like false signals during range-bound markets and lagging signals exist. Also, no stop loss is implemented to control losses.

In summary, this strategy works better when strong trends are present, but should be traded cautiously. Optimization of parameters, adding stops, and extra filters can improve the strategy by reducing false signals.

Overall, the dual moving average breakout strategy has a simple trading logic, but requires proper risk control and parameter tuning to be applied successfully in live trading.

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Strategy Arguments

Argument	Default	Description
v_input_1	true	long
v_input_2	true	short
v_input_3	true	Use MA1 (SMA, blue)
v_input_4	true	Use MA2 (EMA, red)
v_input_5	40	MA1 length
v_input_6	40	MA2 length
v_input_7	true	Use color-filter

Source (PineScript)

/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy(title = "Noro's Multima v1.0", shorttitle = "Multima 1.0", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value=100.0, pyramiding=0)

needlong = input(true, "long")
needshort = input(true, "short")

usema1 = input(true, "Use MA1 (SMA, blue)")
usema2 = input(true, "Use MA2 (EMA, red)")
lenma1 = input(40, defval = 40, minval = 2, maxval = 1000, title = "MA1 length")
lenma2 = input(40, defval = 40, minval = 2, maxval = 1000, title = "MA2 length")
//anti = input(true, defval = true, title = "Antipila")
usecf = input(true, defval = true, title = "Use color-filter")

//Strategy
ma1 = sma(close, lenma1)
ma2 = ema(close, lenma2)
signal1 = usema1 == false ? 0 : close > ma1 ? 1 : -1
signal2 = usema2 == false ? 0 : close > ma2 ? 1 : -1
lots = signal1 + signal2

//Lines
plot(ma1, color = blue, linewidth = 3, transp = 0)
plot(ma2, color = red, linewidth = 3, transp = 0)

//Trading
if lots > 0 and (close < open or usecf == false)
    strategy.entry("Long", strategy.long, needlong == false ? 0 : na)

if lots < 0 and (close > open or usecf == false)
    strategy.entry("Short", strategy.short, needshort == false ? 0 : na)
    
if lots == 0
    strategy.close_all()
    
    
    

Detail

https://www.fmz.com/strategy/426340

Last Modified

2023-09-11 12:31:51