交易权益曲线头寸调整策略

Author: 雨幕（youquant）, Date: 2022-05-24 11:57:44
Tags: MOMCMOsma

“交易权益曲线”作为一种风险管理方法，是根据交易信号采取行动的过程，这取决于系统的性能是否表明战略处于盈利或亏损阶段。

管理权益曲线的目的是，当权益曲线呈下降趋势时，将交易风险降至最低。该策略有两种模式来确定股票曲线的下降趋势：通过创建投资组合股票曲线的两个简单移动平均值（短期和长期），并在其交叉点上进行操作。如果快速SMA低于慢速SMA，则会检测到股票下跌趋势（smafastequity<smaslowequity）。第二种方法是使用权益本身与较长时期SMA（权益<smasloweequity）的交叉。

当“股票曲线交易”处于活动状态时，如果股票根据所选规则处于“水下”，则头寸规模将减少指定的百分比。如果你是风险寻求者，请选择“规模增加%”——对于一些稳健的系统，这可能有助于更快地克服其小幅回撤。

回测测试

/*backtest
start: 2021-12-01 00:00:00
end: 2022-05-11 23:59:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
args: [["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/
// © shardison
//@version=5

//EXPLANATION
//"Trading the equity curve" as a risk management method is the 
//process of acting on trade signals depending on whether a system’s performance
//is indicating the strategy is in a profitable or losing phase.
//The point of managing equity curve is to minimize risk in trading when the equity curve is  in a downtrend. 
//This strategy has two modes to determine the equity curve downtrend:
//By creating two simple moving averages of a portfolio's equity curve - a short-term
//and a longer-term one - and acting on their crossings. If the fast SMA is below
//the slow SMA, equity downtrend is detected (smafastequity < smaslowequity).
//The second method is by using the crossings of equity itself with the longer-period SMA (equity < smasloweequity).
//When "Reduce size by %" is active, the position size will be reduced by a specified percentage
//if the equity is "under water" according to a selected rule. If you're a risk seeker, select "Increase size by %"
//- for some robust systems, it could help overcome their small drawdowns quicker.

//strategy("Use Trading the Equity Curve Postion Sizing", shorttitle="TEC", default_qty_type = strategy.percent_of_equity, default_qty_value = 10, initial_capital = 100000)

//TRADING THE EQUITY CURVE INPUTS
useTEC           = input.bool(true, title="使用交易权益曲线头寸调整")
defulttraderule  = useTEC ? false: true
initialsize      = input.float(defval=10.0, title="初始仓位百分比")
slowequitylength = input.int(25, title="SMA慢线周期")
fastequitylength = input.int(9, title="SMA快线周期")
seedequity = 100000 * .10
if strategy.equity == 0
    seedequity
else
    strategy.equity
slowequityseed   = strategy.equity > seedequity ? strategy.equity : seedequity
fastequityseed   = strategy.equity > seedequity ? strategy.equity : seedequity
smaslowequity    = ta.sma(slowequityseed, slowequitylength)
smafastequity    = ta.sma(fastequityseed, fastequitylength)
equitycalc       = input.bool(true, title="使用快/慢平均", tooltip="Fast Equity Avg is below Slow---otherwise if unchecked uses Slow Equity Avg below Equity")
sizeadjstring    = input.string("Reduce size by (%)", title="仓位大小调整", options=["Reduce size by (%)","Increase size by (%)"])
sizeadjint       = input.int(50, title="权益增加/减少百分比:")
equitydowntrendavgs = smafastequity < smaslowequity
slowequitylessequity = strategy.equity < smaslowequity

equitymethod = equitycalc ? equitydowntrendavgs : slowequitylessequity

if sizeadjstring == ("缩小头寸 (%)")
    sizeadjdown = initialsize * (1 - (sizeadjint/100))
else
    sizeadjup = initialsize * (1 + (sizeadjint/100))
c = close
qty = 100000 * (initialsize / 100) / c
if useTEC and equitymethod
    if sizeadjstring == "Reduce size by (%)"
        qty := (strategy.equity * (initialsize / 100) * (1 - (sizeadjint/100))) / c
    else
        qty := (strategy.equity * (initialsize / 100) * (1 + (sizeadjint/100))) / c
    
//EXAMPLE TRADING STRATEGY INPUTS
CMO_Length = input.int(defval=9, minval=1, title='Chande动量长度')
CMO_Signal = input.int(defval=10, minval=1, title='Chande动量信号')

chandeMO = ta.cmo(close, CMO_Length)
cmosignal = ta.sma(chandeMO, CMO_Signal)

SuperTrend_atrPeriod = input.int(10, "超级趋势 ATR 周期")
SuperTrend_Factor = input.float(3.0, "超级趋势 系数", step = 0.01)
Momentum_Length = input.int(12, "动量长度")
price = close

mom0 = ta.mom(price, Momentum_Length)
mom1 = ta.mom( mom0, 1)
[supertrend, direction] = ta.supertrend(SuperTrend_Factor, SuperTrend_atrPeriod)
stupind = (direction < 0 ? supertrend : na)
stdownind = (direction < 0? na : supertrend)

//TRADING CONDITIONS
longConditiondefault = ta.crossover(chandeMO, cmosignal) and (mom0 > 0 and mom1 > 0 and close > stupind) and defulttraderule
if (longConditiondefault)
    strategy.entry("DefLong", strategy.long)

shortConditiondefault = ta.crossunder(chandeMO, cmosignal) and (mom0 < 0 and mom1 < 0 and close < stdownind) and defulttraderule
if (shortConditiondefault)
    strategy.entry("DefShort", strategy.short)
    
longCondition = ta.crossover(chandeMO, cmosignal) and (mom0 > 0 and mom1 > 0 and close > stupind) and useTEC
if (longCondition)
    strategy.entry("AdjLong", strategy.long)

shortCondition = ta.crossunder(chandeMO, cmosignal) and (mom0 < 0 and mom1 < 0 and close < stdownind) and useTEC
if (shortCondition)
    strategy.entry("AdjShort", strategy.short)
plot(strategy.equity)
plot(smaslowequity, color=color.new(color.red, 0))
plot(smafastequity, color=color.new(color.green, 0))

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