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买/卖启动策略

Author: 雨幕（youquant）, Date: 2022-06-06 10:20:50
Tags: EMA

当满足以下标准时，此策略将产生买入或卖出信号：

9个均线交叉21个均线最近关闭的K线BAR的平均体积比之前的5支蜡烛高出15% 反转价格超过9均线

您可以随意使用和修改。交易愉快！

回测测试

/*backtest
start: 2021-12-01 09:00:00
end: 2022-04-19 15:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",360008]]
*/

//@version=5
//Author: Andrew Shubitowski
strategy("Buy/Sell Strat", overlay = true)

//Define EMAs & Crossovers (Feature 2)
a = ta.ema(close, 9)
b = ta.ema(close, 21)
crossUp = ta.crossover(a, b)
crossDown = ta.crossunder(a, b)


//Define & calc volume averages (Feature 1)
float volAvg = 0
for i = 1 to 5
    volAvg := volAvg + volume[i]
volAvg := volAvg / 5

//Define candlestick pattern recongition (Feature 4)
bool reversalPatternUp = false
bool reversalPatternDown = false
if (close > close[1] and close[1] > close [2] and close[3] > close[2] and close > close[3])
    reversalPatternUp := true
    
if (close < close[1] and close[1] < close [2] and close[3] < close[2] and close < close[3])
    reversalPatternDown := true

//Execute trade (Feature 3 + 5)
if (crossUp)
    strategy.entry("long", strategy.long, when = ((volume * 0.85) > volAvg and close > a and reversalPatternUp == true))
    
if (crossDown)
    strategy.entry("short", strategy.short, when = ((volume * 0.85) > volAvg and close < a and reversalPatternDown == true))
    
//Exit strategy (New Feature)
//close_condition_long = close < a
//close_condition_short = close > a
//if (close_condition_long)
//    strategy.close("long")
//
//if (close_condition_short)
//    strategy.close("short")

//plot the EMAs
plot(a, title = "Fast EMA", color = color.green)
plot(b, title = "Slow EMA", color = color.blue)


//Some visual validation parameters
//plotchar(volAvg, "Volume", "", location.top, color.aqua) //*TEST* volume calc check
//plotshape(reversalPatternUp, style = shape.arrowup, color = color.aqua) //*TEST* reversal check
//plotshape(reversalPatternDown, style = shape.arrowup, location = location.belowbar, color = color.red) //*TEST* reversal check

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