trend strategy
trend strategy
There are only two states in the market: shock and unilateral.
In the two market states, only the corresponding operation methods can make money. In the volatile market, sell high and buy low, and in the unilateral market, chase the rise and kill the fall.
Strategies can be roughly divided into two categories:
- Trend strategy: suitable for unilateral market (price rises or falls, and it can still last for a period of time)
- Arbitrage strategy: suitable for volatile markets (prices are relatively stable most of the time, with obvious regular fluctuation ranges)
The arbitrage strategy is that the success rate is relatively high, but most of them are small profits.
The trend strategy is to make big losses with small losses.
Trend strategies are divided into:
- Intraday strategy, all shots before night fluctuations, not overnight
- Day strategies may be held for a day to a few days (short-term strategy), a few days to a few weeks (medium-term strategy), or even longer (long-term strategy)
intraday strategy
Hilbert strategy
Through the analysis of historical data, a complete cycle of the market is divided into five ups and three downs, and the market always repeats in a cycle of several bands.
The process of 1-5 is mainly rising waves, and the process of a-c is mainly falling waves.
So what strategy do we have to capture the current trend, whether it is the main rising wave or the main falling wave.
Amway Hilbert strategy.
The core of the Hilbert strategy is the Hilbert transform. TA is a signal analysis method that can effectively extract the instantaneous parameters of complex signals.
The market price is actually a signal, which can help analyze the price and generate an instantaneous trend line.
Similar to commonly used moving averages, but with lower latency and more rapid changes in market prices.
The Hilbert transform can delay the phase of all frequency components of the signal by 90 degrees.
The phase lag is only the appearance, and the real connection between the two lies in the projection of the analysis signal in the "complex plane country".
- Shiguo Xiao X is the signal we see
- Xu Guo Xiao Y is the signal we see, the phase is delayed by 90 degrees
- In fact, small X and small Y are projections of small A
It's just that everyone is in a different dimension:
- The small X is in the real country, the stretched sine
- Little Y is in the virtual country, stretching the cosine
In the complex plane country, the small A is the stretching garden, because it is one-dimensional higher than the small X and the small Y, and it is the expression of the higher dimension.
Graphic:
We regard market price fluctuation as a real part signal (called small X), and after Hilbert transformation, an imaginary part signal (called small Y) with a phase delay of π/2 can be obtained.
In the signal processing coordinate system, the points on the horizontal axis are all real numbers, represented by a, and the points on the vertical axis are all complex numbers, represented by bj.
By adding a time axis, a signal can be constructed c(t)=a(t)+b(t)*j:
c(t): The real part signal and the imaginary part signal are combined into an analysis signal (black in the above figure)a(t): Place the real part signal on the plane formed by the time axis and the real axis (the blue and purple in the above figure)b(t)*j: Place the imaginary part signal (green in the above figure) on the plane formed by the time axis and the imaginary axisa+bj: The trajectory of price fluctuations in the same phase and quadrature space (pink line)
Because small A (complex plane) is a higher-dimensional expression of small X and small Y, the instantaneous frequency of small A can be used to represent the instantaneous frequency of small X.
Since the trajectory of the small A is an arc, the instantaneous change of the small A can be obtained. At this time, the unit is "rad/s", and then divided by 2π is the instantaneous frequency.
After the hilbert transformation, the stock price trajectory:
any point in the graph can find its corresponding price point, and the price point exists in a certain instantaneous period.
By comparing the difference between the two instantaneous periods, we can judge whether the market is in the main upward trend or the main downward trend:
- Difference > 0, the market is in the main upward trend
- Difference < 0, the market is in the main downtrend
For example:
A, B, C, and D are respectively in the same position in the ascending stage of their respective bands.
There is a certain height difference between B and A, and point B is higher than point A, that is, the difference is greater than 0, we say that point B is located in the main rising wave, and the market outlook is bullish.
The Hilbert strategy takes the price fluctuation in the market as the real part, and the transformed output as the imaginary part, and obtains the trajectory of the price fluctuation in the in-phase and orthogonal space, and then calculates the instantaneous period and difference to judge the market trend.
When using daily closing price data for modeling, the daily closing price data is the superposition of long-term trends, short-term fluctuations and noise.
Therefore, it is necessary to reduce the noise and eliminate the long-term trend first, and then calculate the instantaneous period and calculate the difference.
- Noise Reduction: Using a moving average , the data is smoothed
- Eliminate long-term trends: use local differences, other methods such as wavelet analysis, DFA methods, and sliding detrended volatility analysis are also available
- Calculation of instantaneous period, difference
R-Braker strategy
Short-term trading strategy, the better the performance of this strategy is when the index fluctuates greatly.
https://zhuanlan.zhihu.com/p/86399960
Dual Thrust strategy
Short term trading strategy.
The opening price ± historical N-day volatility is used as the upper and lower rails of the shock interval.
Range is often used to describe the size of the shock interval.
When the price breaks through the upper rail:
- If you hold a short position at that time, close the position first, and then open a long position
- If there is no position, open a long position directly
When the price breaks down the lower rail:
- If you hold a long position at that time, close the position first, and then open a short position
- If there is no position, open a short position directly
Fiari's four-price strategy
Quadrivalents are these four prices:
- The highest price of the previous trading day
- Lowest price of the previous trading day
- Closing price of the previous trading day
- The opening price of the current trading day
The application logic is divided into the following steps:
- Obtain four prices: the highest price, the lowest price, the closing price of the previous trading day and the opening price of the current trading day;
- Calculate the upper and lower rails. The upper rail is the highest price of the previous trading day, and the lower rail is the lowest price of the previous trading day;
- When the price breaks through the upper track, if there is no position, go long, if you hold a short position, close the position and go long;
- When the price falls below the lower track, if there is no open position, then short; if there is a long position, then close the short position;
- Stay in day trades and close your positions at the close.
Sky Garden Strategy
The sky garden strategy pays more attention to the opening breakthrough.
The logic of the sky garden strategy is divided into:
- If the opening price of the current trading day is within 1% of the closing price of the previous trading day, no trade will be entered for that day. Otherwise, continue with the steps below;
- Calculate the upper and lower rails. The upper track is the highest price of the first K line, and the lower track is the lowest price of the first K line;
- Go long when the price breaks through the upper track;
- Go short when the price falls below the lower rail;
- Stay in day trades and close your positions at the close.
The first point of the logic of the sky garden strategy is the main difference between it and other strategies.
This logic point requires that the market be opened higher or lower, and then be traded according to the determined upper and lower rails, thus forming a gap, so this strategy is called the sky garden.
day strategy
moving average
The medium-term and long-term moving averages continue to rise or fall to represent an uptrend or a downtrend.
Recorded at: https://blog.csdn.net/qq_41739364/article/details/124071828
Aberration strategy
The long-term trading strategy can generally trade 8 different varieties at the same time, and can manage the portfolio of funds, so it is suitable for people with a large amount of funds and long-term and diversified investment wishes.
Aberration policies are channel policies.
- Middle track: the moving average of period N days
- Upper rail: middle rail + double standard deviation
- Bottom track: middle track - double the standard deviation
Open position:
- Put on the upper rail on the K line and open a long position
- K line crosses the lower rail, open a short position
Close a position:
- The latest price is lower than the midline, and the bulls clear their positions and leave the market
- The latest price is higher than the middle rail, short positions are cleared and left
ATR strategy
The value of the average true range (ATR) can be obtained by calculating the true range (TR) and then calculating the average value of the true range for a period of time.
The real volatility of the day:
Calculate the average true range:
- (True volatility of the previous N-1 days + true volatility of the current day) / N
aisle:
- Middle rail = the average of the highest price, lowest price and closing price of N (20) days
- Upper track = middle track plus N-day true volatility × M times
- Lower track = middle track minus N-day true volatility × M times
The larger the M variable, the larger the width of the channel, which also means that the market is more unstable
When the price breaks through the upper track, go long, and when the price breaks through the lower track, go short.
momentum strategy
Recorded in: Universal Factors of Quantitative Trading
Keltner Channel
The Keltner strategy is a channel strategy.
- Channel strategy: According to the confirmed price center and the calculated fluctuation range, determine the upper and lower rails of a channel. Generally, if the price breaks through the upper and lower rails, it is confirmed as a trend and can be traded.
The middle track of the Keltner channel is the moving average of the highest price, the lowest price, and the closing price , while the upper and lower tracks of the channel are composed of the middle track superimposed with the average true volatility.
- Middle rail = the average of the highest price, lowest price and closing price of N (20) days
- Upper track = middle track plus N-day true volatility × M times
- Lower track = middle track minus N-day true volatility × M times
The larger the M variable, the larger the width of the channel, which also means that the market is more unstable
The real volatility of the day:
Calculate the average true range:
- (true volatility of the previous 19 days + true volatility of the current day) / 20
The mid-range value of the day is greater than the mid-range value of the previous day, and the market price breaks through the upper rail, indicating that the market price is strong, and the upward trend will continue for a period of time, and you can go long at this time.
The mid-range value of the day is lower than the mid-range value of the previous day, and the market price breaks through the lower rail, which means that the market price will continue to fall for a period of time, and you can go short at this time.
There are two key parameters of the Keltner channel strategy: the period parameter and the multiple parameter, which should not be too large or too small.
The calculation of Keltner indicator does not require a long historical period, and the channel multiple of Keltner can be appropriately reduced to increase trading opportunities.
A chasing trading strategy that automatically identifies trends
Learning: https://weibo.com/ttarticle/p/show?id=2309404793409205567523&sudaref=www.baidu.com