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吕神简易波动率策略Pine语言版本

Author: 雨幕（youquant）, Date: 2022-06-07 15:42:07
Tags: EMA

来自于两年前用户公开的一个简单的波动率策略

无意翻到, 用PINE重写了下代码量减少了 90% 给量化的朋友们学习参考

回测测试

/*backtest
start: 2021-09-01 09:00:00
end: 2022-06-06 15:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["ContractType","rb888",360008]]
*/

N = input(50, '指数计算周期')

vix = math.log(close) / math.log(close[N-1]) - 1
vix_ma = ta.ema(vix, N)
vix_ma_up = ta.highest(vix_ma, N)
vix_ma_down = ta.lowest(vix_ma, N)

plot(vix, 'vix')
plot(vix_ma, 'vix_ma')
upline = plot(vix_ma_up, 'vix_ma_up')
downline = plot(vix_ma_down, 'vix_ma_down')
fill(upline, downline, color=color.new(color.gray, 50))

qty = 1 // math.round(strategy.equity / close, 2)

if strategy.position_size == 0
    if vix > vix_ma_up and vix[1] <= vix_ma_up[1]
        strategy.entry("LONG", strategy.long, qty=qty)
    else if vix < vix_ma_down and vix[1] >= vix_ma_down[1]
        strategy.entry("SHORT", strategy.short, qty=qty)
else if strategy.position_size > 0
    if vix < vix_ma and vix[1] >= vix_ma[1]
        strategy.close_all()
else if strategy.position_size < 0
    if vix > vix_ma and vix[1] <= vix_ma[1]
        strategy.close_all()

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