The core idea of the trend analysis index TAI trading strategy is to use the slope of the moving flat to judge the market trend and construct the trend analysis index (TAI) as a trading signal. When running in a trend, the slope of the moving flat increases;When the slope decreases when there is no clear trend, the slope of the moving flat decreases. An increase in the trend analysis index indicates the beginning of the trend, and a decrease indicates the end of the trend.
First, the principle of strategy
The strategy first calculates the simple moving level (n-period moving level) and then calculates the highest and lowest values of the moving level over the past m periods, and calculates the range of fluctuations of the moving level over the past m periods from these two extrema extremum. Finally, by comparing the fluctuation range of this m-period with **, it is converted into a standardized indicator between 0-1, that is, the trend analysis index TAI is constructed. Go long when the TAI index is above a certain threshold, and go short when it is below a certain threshold. The trend analysis index TAI is as follows:
ma1:ma(close,n);
tai: (hhv(ma1,m) -llv(ma1,m)) 100 /close;
2. Advantage analysis
This strategy has the following advantages:
1. Judging the trend movement by moving the slope of the level, it can effectively capture the medium and long-term trend.
2. Combined with the standardization of the fluctuation range, the indexation index is constructed to make the trading signals clearer.
3. You can customize the parameters of moving flat and trend judgment to adapt to different market environments.
4. Reverse trading can be selected, which can be used to track or hedge other strategies.
3. Risk analysis
There are also certain risks associated with this strategy:
1. In the first consolidation, it is easy to produce wrong signals.
2. Improper setting of the mobile flat ** parameter may miss the trend transition point.
3. Improper setting of standardized parameters may miss the weak trend.
4. When trading in the opposite direction, the loss may increase.
Fourth, optimize the direction
The strategy can be optimized in the following ways:
1. Judge the trend in combination with other indicators and filter signals, such as Boll channels, etc., to make trading signals more reliable.
2. Add a stop-loss strategy to control a single loss.
3. Optimize the number of days parameter of the mobile level, so that it is more in line with the market characteristics under different cycles.
4. Train the optimal standardized parameters and find the optimal parameter threshold.
5. Add machine learning model** trend probability to assist trading.
5. Summary
This strategy as a whole is a medium and long-term strategy for judging the trend by moving the slope of the level, which can effectively capture the trend, but there is also a certain risk of false signals. By combining it with other indicators, adding stop loss, parameter optimization, etc., the strategy can be more robust and reliable, and it is still a relatively simple trend following strategy in essence.