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Lm12 rolling heikin Ashi double K-line filter
2022-07-07 23:28:00 【Squirrel kuanke】
Quantitative strategy development , High quality community , Trading ideas sharing and other related contents
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Hello everyone , What we brought today LM The first 11 Periodic strategy iteration . This article inherits the previous one K Line reconstruction perspective , Keep going K Line data reconstruction , The goal is to refactor , Reach the market data K Noise reduction of the line , Then make a timing judgment . As shown in the figure below :
Above, IC personal witness 500 Of stock index futures 15 Minute market chart and Rolling Heikin Ashi.
One 、 Strategy logic and iteration content
double K The basis of line filter comes from Heikin Ashi Candlestick Charts , This last article LM11 The article introduces , No more details here . In nearly half a month after the last article , The author found that Heikin Ashi The candle diagram is still noisy in different oscillations of the stage , But in terms of filtering effect , To a certain extent . Holding “ Scientific research ” And the spirit of self exploration , Try further data filtering .
HA The averaging process in the candle graph is equivalent to the noise elimination process , To a certain extent, the noise of the market is eliminated , It can more clearly reflect the trend of market prices . However, we want to express it in a trend structure K The deductive process of line market structure , This cannot be said to be substandard in the original version , It can only be said that there is still deep excavation value .
In the context described above , take Heikin Ashi Average Rolling The logic of came into being .
The calculation method is shown in the figure below ∶
among ,VWMA It is an average algorithm of trading volume weighting , We first average the trading volume of the original data , Through the data filtered in the first step HA turn .
The purpose is not only to reduce burrs , And there's going to be K Trend of line structure , Through visual comparison , There are significant sensory differences between the former and the latter , The details above are for different varieties and different cycles , It further improves the dual functions of trend structuring and denoising .
In double filtering K After the line is finished , We can see through observation that ,K The structure of the line has changed a lot , The overall trend has not changed . however , Have to admit , Filtering is often associated with lag There is a certain correlation . This may be a more challenging thing for me in the next stage .
Through the above logical description and research , We still use SF21 Count Yin and Yang K And the way up and down ( because K The line is getting rid of the noise ) To build “ new SF21” Strategy .
As shown in the figure below :
In terms of appearance , We play in different ways , Previously included LM11 Last version , We are all based on the original K Signal calculated on the basis of line .
Denoise and trend structure through filtering , We use Rolling Heikin Ashi Collect the exit signal with the data of . As shown in the figure below :
Friends who are familiar with squirrels know , This is a “ Super trendline ” Series I often use krange Adaptive exit strategy , We will double filter K Put the line data in , Optimize and filter noise removal .
meanwhile , We are in this strategy , Added new exit and entry signals here , The new exit signal is unique to the strategy itself , As shown in the figure below :
The signal logic belongs to double filtering K Characteristics of structural inversion of line trend .
Two 、 visualization
J long
IC long
Eb long
J short
LH short
IC short
3、 ... and 、 The performance of
Because of time , This strategy does not test multiple varieties , Only from 5 Large plate extraction 1-2 Basic test of varieties , As shown in the figure below :
2017—2022.6.16
2022.03.01—2022.6.16
Kaiping is adopted for the goods 2 Jump slip point , Stock index futures adopt Kaiping 4 jump , The handling charge is stipulated by the exchange + Back test according to the standard of .
The performance of other varieties should be tested and observed by yourself in the work area , I won't go into details here .
summary :
1、 The heterogeneity of strategy in this period is not related to the algorithm and logic of entry and exit , It's refactoring K Entry point of line .
2、 I only tested black 、 chemical 、 Agricultural products 、 Stock index futures 4 Different plates 1-2 varieties , But heterogeneity comes down a year , I find , The higher the degree of heterogeneity , There is a correlation that the worse the universality is . therefore , This type of strategy can be used as a supplement or combination , And subjective visualization .
3、 This strategy has two more appearances in both long and short , This is a feature of the strategy itself , As mentioned above, it adopts a feature of structural reversal of trend . Only belong to the policy itself .
4、 The strategy is refactored K There is still room for improvement in the process of wiring , The second is refactoring K Line , We can also continue to sort out other entry and exit logic . It's not limited SF21 The idea of .
Due to the differences of various platforms , Back test performance to TBQ The version shall prevail !!!
This strategy is only used for learning and communication , The investor is personally responsible for the profit and loss of the firm offer .
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