Lm13 morphological quantification momentum period analysis

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Hello everyone , Today we share heterogeneity LM series ——CTA The first 13 piece , The content of this strategy is also LM The final chapter of heterogeneous communities .

2022 year 7 month 31 After the day , Our heterogeneous community will expire , The strategic content and community will also be external , For details, please contact our customer service 、 Mu Zong or myself （ I believe everyone knows who I am ）.

In this article, we integrate LM11 De noise reconstruction K Line algorithm , And fusion LM11 The monotonicity of the closing price and the standardized structure of the periodic average are quantified , And the periodic momentum structure after morphological quantification , There are three steps .

One 、 Strategy logic and content

First of all, we follow the LM11 Medium Heikin Ashi restructure K Line method to original K Line for denoising and filtering , As shown in the figure below :

I'm not going to repeat the principles and theories here , Those who are interested can look at our previous LM The first series 11 An article ——LM11 Reconstruction K Line construction timing trading strategy .

The second step , According to the reconstructed K Line market data for morphological quantification . Here we are not quantifying rectangles 、 wedge 、 Ascending triangle 、 Descending triangle 、 Head and shoulders, top and bottom, etc K Line form , Our perspective is from “ Trend ” Starting point , To quantify trend patterns .

Price trends , It has two meanings ：“ Trend ” Represents the direction of price movement , and “ potential ” It indicates the strength of price fluctuation . Generally, from the price trend chart , The direction of price movement is relatively easy describe , But from a quantitative point of view “ potential ” It's not so easy to depict , In this article, we first discuss “ Trend ”. As shown in the figure below ：

Below K Line graph , in total 11 root K Line , Suppose the first root in the graph K The closing price of the line is the same as that of the previous The root is not in the graph K Compared with the closing price of the line, it is up , Then based on the monotonicity of the closing price simplify , The change of closing price can be recorded as （ rose 、 rose 、 fall 、 rose 、 fall 、 rose 、 rose 、 fall 、 rose 、 fall 、 fall ）, use 1 And -1 Indicates that the state change vector is （1,1,-1,1,-1,1,1,-1, 1,-1,-1）, So the displacement vector of price is （0,1,2,1,2,1,2,3,2,3, 2,1）, Note that the displacement vector has one more initial element than the state change vector 0, Indicates the start of the displacement Point starts from zero . The first picture in the figure below shows the actual trend of prices , The second picture is a standardized structure chart based on the monotonicity of the closing price .

As can be seen from this example , Standardized structure chart based on monotonicity of closing price , Basically and practically K The line diagram is similar , It reflects the state changes of rising and falling prices , But the shortcomings , The range of rise and fall is not adequately described , Relatively real K Line graph , The simplified diagram is more Partial oscillation . This is an example , If only the monotonicity of the closing price is used , After standardization, the trend will Amplify the fluctuation range of the actual trend , Therefore, it can not effectively reflect the trend intensity of the actual trend .

To solve this problem , A natural idea is in the process of standardizing the actual trend , Consider the direction of the trend , The moving average is a better quantitative indicator of the trend direction . So we introduce N Periodic moving average , Then the state change vector is defined as ： If the current closing price is greater than or equal to N Cyclical moving average price , Then for 1; If the current closing price is strictly less than 5N Cyclical moving average price , Then for -1.

As shown in the figure below ：

Upper figure K In the line diagram 5 Periodic moving average , The first one is actually used K Another before the line 5 root K The closing price data of the line . The state change vector is （1,1,1,1,1,1,1,-1,-1,-1, -1）, And the displacement vector is （0,1,2,3,4,5,6,7,6,5,4,3）. From the basis of 5 The standardized structure of the periodic average can be seen , Basically reflects the trend of the actual trend chart state , The left side shows a unilateral rise while the right side shows a unilateral fall , But the trend is stronger than the actual graphics , this Namely 5 The shortcomings of the definition of the periodic average , Too strong a trend , And dilute the reality Price fluctuation above or below the moving average , In other words , Trend whitewash too much , And the shock is not considered enough .

Based on the above definitions and shortcomings , We combine the monotonicity of the closing price with 5 Standardized structure diagram of periodic average , As shown in the figure below ：

in other words , But we are in a state above the moving average , Then, under the condition of all up , There is also measurement and displacement calculation based on the monotonicity of the closing price . As shown in the figure below ：

After we create the results of morphological quantitative analysis data , We quantify it according to the form “ Trend ” Momentum period analysis of the data . As shown in the figure below ：

seen “Pro_05 Timing analysis based on volatility factor ” Friends of this article should be familiar .

Two 、 Policy visualization

T long

Of course, in the process of decline, there will also be some signals of cyclical momentum bottoming , But this does not turn this strategy into a bottom hunting strategy , In essence, it is a momentum reversal strategy .

 T short

3、 ... and 、 The performance of

T Combine

Let's take a look at LM10 Performance of China's bond portfolio

LM10 Treasury bond portfolio

LM13 And LM10 Treasury bond portfolio

This strategy is used in treasury bond futures and LM10 Form a strong complementary structure , One of the more obvious is from 2020 The watershed in the first half of the year is the landmark .（ epidemic situation + Bank participants ）

summary ：

1、 This strategy is routine CTA Exit logic , There is no heterogeneity , It can be modified here

2、 In terms of appearance, I tested Krange With squirrels trackout Two exit modes , From the test data results , Or the form of adding is better .

3、 This strategy is targeted at national debt , Other varieties are also tested , But because of time , I didn't put these varieties on , Members and friends can see the deployed workspace by themselves .

4、 For this strategy , There is room for more in-depth iterations , Later I will organize “ National debt group ”, I will provide you with the logical framework of treasury bond strategy , Specifically for treasury bonds CTA Strategy development . I will be in 7 It will be further explained in the live broadcast in the middle of August .

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 .