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EMA日内云图策略

Author: 雨幕（youquant）, Date: 2022-05-23 09:17:38
Tags: EMA

该策略利用9和20个周期的指数移动平均值，在类似于Ichimoku云的区域之间创建彩色云。该策略在交易日结束前关闭所有交易。进入是指价格在绿色（20均线以上9均线）云或红色（20均线以下9均线）云上方收盘。退出是指价格对9均线收盘或交易日结束时。在不同的日内时间框架上运行策略测试将显示给定符号的最佳时间框架。例如，我发现在30分钟的时间范围内，某个品种在这种策略会返回最好的结果。

回测测试

/*backtest
start: 2022-02-22 00:00:00
end: 2022-05-22 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["v_input_1",4],["v_input_2",16],["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/
// © rwestbrookjr

//@version=5
strategy("EMA Cloud Intraday Strategy", overlay=true, margin_long=100, margin_short=100, process_orders_on_close=true)

i_trdQty = input.int(1, "下单量", minval = 1)

fastLen = input(title = "EMA快线周期", defval = 7)
slowLen = input(title = "EMA慢线周期", defval = 20)

fastEMA = ta.ema(close, fastLen)
slowEMA = ta.ema(close, slowLen)

fema = plot(fastEMA, title = "FastEMA", color = color.green, linewidth = 1, style = plot.style_line)
sema = plot(slowEMA, title = "SlowEMA", color = color.red, linewidth = 1, style = plot.style_line)

fill(fema, sema, color = fastEMA > slowEMA ? color.new(#417505, 50) : color.new(#890101, 50), title = "Cloud")

longCondition = (close > fastEMA and fastEMA > slowEMA)

if (longCondition)
    strategy.entry("Long_Entry", strategy.long)
longExit = close[1] < fastEMA
if (longExit)
    strategy.close("Long_Entry",when=longExit)
    //strategy.exit("exit", "My Long Entry Id", trail_points=1.5, trail_offset=0)

shortCondition = (close < fastEMA and fastEMA < slowEMA)
if (shortCondition)
    strategy.entry("Short_Entry", strategy.short)
shortExit = close[1] > fastEMA
if (shortExit)
    strategy.close("Short_Entry",when=shortExit)
    //strategy.exit("exit", "My Short Entry Id", trail_points=1.5, trail_offset=0)

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