0基础学Pine量化 动态EMA改进

改进前

源策略是基于唐奇安上下轨，先看看15mink线USDT的2023.7.30-2024.7.30的结果

下面是2022-7-30到2023-7-30

下面是2021-7-30到2022-7-30

改进后

加入动态EMA和止盈止损

15mink线USDT的2023.8.30-2024.8.30的结果

下面是2022-7-30到2023-7-30

下面是2021-7-30到2022-7-30

改进点

主要缓和了21-22年亏损巨大，动态EMA可以根据市场状况（如ATR）自动调整，使得它能够适应不同的市场环境，从而减少对市场的滞后反应或过度敏感的问题。

源代码

//@version=5
strategy("Improved Strategy with Proportional Dynamic EMA", overlay=true)

// Define variables
var float SWH = na  // 多头趋势转换点
var float SWL = na  // 空头趋势转换点
var int Qushi = -1  // 趋势状态 -1: 空头, 1: 多头
var int SW = 0  // 状态开关，标记趋势的转换
var float atrValue = na  // 固定的ATR值

// 定义基础的EMA周期
basePeriod1 = input.int(1,title="ema1")
basePeriod2 = input.int(70,title="ema2")
basePeriod3 = input.int(260,title="ema3")

// 定义比例因子，用于根据某些条件调整周期 (这里我们用 ATR 作为调整因子)
atr50 = 10 * ta.atr(50)  // 计算50周期ATR
proportionFactor = 1 + (atr50 / close)  // ATR 与当前价格的比值作为调整比例

// 动态调整后的EMA周期，按比例缩放
dynamicPeriod1 = basePeriod1 * proportionFactor
dynamicPeriod2 = basePeriod2 * proportionFactor
dynamicPeriod3 = basePeriod3 * proportionFactor

// Moving averages with dynamic periods
ma1 = ta.ema(close, int(dynamicPeriod1))  // 动态调整的EMA5
ma2 = ta.ema(close, int(dynamicPeriod2))  // 动态调整的EMA47
ma3 = ta.ema(close, int(dynamicPeriod3))  // 动态调整的EMA54

// Donchian Channel (唐奇安通道上下轨)
HH = ta.highest(high, 20)
LL = ta.lowest(low, 20)

// Calculate ATR for the first 100 bars and fix it
if (na(atrValue))  // 如果 ATR 尚未设置
    atrValue := ta.atr(100)  // 在前 100 根 K 线后，计算 ATR 并固定它

// Trend detection based on MA crosses
if (ta.crossover(ma1, ma2) and ma2 > ma3)
    SW := 1  // 触发多头趋势开关
    SWH := HH  // 记录唐奇安上轨

if (ta.crossunder(ma1, ma2) and ma2 < ma3)
    SW := -1  // 触发空头趋势开关
    SWL := LL  // 记录唐奇安下轨

// Trend confirmation using fixed ATR and Donchian breakout
if (Qushi == -1 and SW == 1 and high > SWH + 4 * atrValue)
    Qushi := 1  // 转多头趋势
    label.new(bar_index, low, "多", color=color.red)

if (Qushi == 1 and SW == -1 and low < SWL - 4 * atrValue)
    Qushi := -1  // 转空头趋势
    label.new(bar_index, high, "空", color=color.yellow)

// Entry conditions for long position
if (strategy.position_size == 0 and Qushi == 1)
    strategy.entry("Long", strategy.long)
    label.new(bar_index, low, "开多", color=color.green)

// Exit conditions for long position
if (strategy.position_size > 0 and Qushi == -1)
    strategy.close("Long")
    label.new(bar_index, high, "平多", color=color.orange)

// --- Add Trailing Stop Loss and Take Profit ---

// Calculate dynamic ATR for stop loss and take profit
dynamicATR = ta.atr(14)  // 这里的ATR是动态变化的

// Add floating stop loss (Trailing Stop)
strategy.exit("Exit Long", from_entry="Long", trail_offset=3 * dynamicATR, comment="浮动止损")

// Add fixed take profit (止盈目标)
takeProfitPrice = strategy.position_avg_price + 5 * dynamicATR  // 设置止盈目标为5倍ATR
strategy.exit("Take Profit", from_entry="Long", limit=takeProfitPrice, comment="浮动止盈")

// Plot the moving averages and indicators on the chart
plot(ma1, color=color.red, title="Dynamic EMA5")
plot(ma2, color=color.black, title="Proportional Dynamic EMA47")
plot(ma3, color=color.purple, title="Proportional Dynamic EMA54")
plot(LL - 4*atrValue, color=color.blue, title="Donchian Low")
plot(HH + 4*atrValue, color=color.green, title="Donchian High")

// 绘制比例因子
plot(proportionFactor, title="Proportion Factor", color=color.blue)