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Hi, my name is Le Chiffre.
What I bring to you today is the 5th of the super trend line series. The strategy is based on the variable moving average line as the main logic. In terms of appearances, a double appearance method, which is different from the previous single appearance method, is adopted. Let's explain them one by one from logic → code → performance.
logic
In terms of entry, the main logic adopts the Variable Moving Average designed by Tushar S. Chande (Tushar Chande), abbreviated as VMA. In principle, VMA is similar to Kaufman and the VIDYA moving average of the previous period. It is an indicator that adaptively adjusts the smoothness of the moving average according to market fluctuations.
As shown below:
In terms of appearance, according to my experience and the materials and theories left by various predecessors, from the tracking method or the chandelier method
After several traditional and universal appearance methods, it is found that most market structures will have large profit withdrawals in various scenarios such as systematic market corrections, single-variety violent corrections, and normal market corrections.
From the different perspectives of the long-short market structure, in the rising process stage, a sharp rise in violence has a high probability of bringing about a sharp correction in violence, although it will continue to make new highs and new highs in the later period (such as the recent ferrosilicon, the black callback in May to today's etc).
As shown below:
From the picture, we can clearly see that ferrosilicon experienced a price correction of more than 2,000 points on September 24. Even if it is a tracking or chandelier, it is bound to appear at the 1/3-1/2 position of the day. In short, it must be To spit profit. And that’s what we need to deal with today to avoid—targeted exits. As shown below:
The above figure shows the role of target profit orientation logic in ferrosilicon. This exit method has two advantages, one is to reduce slippage, and the other is to avoid profit taking with a certain probability. At the same time, we still retain the tracking exit method. First, we do not encounter big market every time. Second, most of the market still faces ordinary take profit and stop loss.
As shown below:
performance
Rb long TBQ
Rb long wh8
SC
portfolio performance
Too many performance screenshots will not be put up. For details, please refer to the work area in the group and check it yourself. In this issue, I just selected individual varieties from different sectors and put them in the combination for back-testing, and did not put all the mainstream varieties that everyone did on it like in the past.
I didn't optimize the parameters for the Vnpy version, so I chose a few randomly, so the performance is not very good. I won't run the program here, everyone can run it privately.
This strategy is only used for learning and communication, and investors are personally responsible for the profit and loss of real trading.