盈利配对相关散度扫描器 v6

Source: Dev.to

概览

该策略通过 Z‑Score 价差分析、趋势确认、RSI 与 MACD 动量检查、相关性过滤以及基于 ATR 的止损/止盈管理，识别两只相关资产之间的背离机会。它针对正向盈亏（P&L）和实际交易执行进行了优化。

关键特性

• 配对背离检测 – 测量两只资产收益之间的价差，并使用 Z‑Score 进行标准化。
• 趋势对齐 – 使用快慢 EMA 确保交易方向与当前主趋势一致。
• 动量确认 – RSI 与 MACD 过滤器确认看涨或看跌动量。
• 相关性过滤 – 要求配对之间的相关性达到最低阈值（默认 > 0.5），以降低误报。
• 风险管理 – 基于 ATR 的止损和止盈水平，奖励/风险比大于 1。
• 退出条件 – 当 Z‑Score 重新进入紧凑的“归一化”区间时平仓。

工作原理

计算收益

ret1 = ta.roc(s1, 1)
ret2 = ta.roc(s2, 1)

Z‑Score 价差

spread   = ret1 - ret2
spreadMA = ta.sma(spread, zLen)
spreadSD = ta.stdev(spread, zLen)
zScore   = (spread - spreadMA) / spreadSD

趋势过滤器

emaFast = ta.ema(s1, fastEMA)
emaSlow = ta.ema(s1, slowEMA)
trendLong  = emaFast > emaSlow
trendShort = emaFast  50
rsiShort = rsiVal  signalLine
macdShort = macdLine  0.5

交易执行

longCond  = zScore   entryZ and trendShort and rsiShort and macdShort and corrFilter

if (longCond)
    strategy.entry("LongSpread", strategy.long)
if (shortCond)
    strategy.entry("ShortSpread", strategy.short)

退出逻辑

exitLong  = math.abs(zScore)  emaSlow
trendShort = emaFast  50
rsiShort = rsiVal  signalLine
macdShort = macdLine  0.5

// ATR FOR SL/TP
atrVal = ta.atr(atrLen)
sl = atrVal * atrMult
tp = atrVal * atrMult * 2  // reward > risk

// ENTRY CONDITIONS
longCond  = zScore   entryZ and trendShort and rsiShort and macdShort and corrFilter

exitLong  = math.abs(zScore) < exitZ
exitShort = math.abs(zScore) < exitZ

// EXECUTION
if (longCond)
    strategy.entry("LongSpread", strategy.long)
if (shortCond)
    strategy.entry("ShortSpread", strategy.short)
if (exitLong)
    strategy.close("LongSpread")
if (exitShort)
    strategy.close("ShortSpread")

// ATR‑BASED EXIT
strategy.exit("Exit Long",  "LongSpread", stop=close - sl, limit=close + tp)
strategy.exit("Exit Short", "ShortSpread", stop=close + sl, limit=close - tp)

// PLOTTING
plot(zScore, "Z-Score", color=color.new(color.blue, 0))
hline( entryZ,  "Upper Entry", color=color.red)
hline(-entryZ, "Lower Entry", color=color.green)
hline( exitZ,  "Exit Zone",   color=color.gray)
hline(-exitZ,  "Exit Zone",   color=color.gray)
plot(emaFast, "Fast EMA", color=color.new(color.purple, 0))
plot(emaSlow, "Slow EMA", color=color.new(color.orange, 0))
plot(corrVal, "Correlation", color=color.new(color.teal, 40))