Strategi perdagangan breakout indikator momentum
ChaoZhang
Ringkasan
Strategi ini menggunakan indikator momentum Bollinger Bands untuk melakukan trading breakout, terutama untuk menentukan apakah harga akan menembus Bollinger Bands ke bawah dan mengirimkan sinyal beli atau jual.
Prinsip
Strategi ini terutama didasarkan pada indikator Brin Belt untuk menentukan arah tren. Brin Belt adalah area berbentuk pita yang terdiri dari rata-rata bergerak dan standar deviasinya.
Secara khusus, strategi pertama menghitung harga tertinggi dan terendah dalam n hari, dan menghitung harga tengah (((harga tertinggi + harga terendah) / 2). Kemudian menghitung harga penutupan dan jarak dari harga tengah dengan rata-rata bergerak berbobot membentuk garis tengah pita Brin, dan di bawah garis tengah masing-masing menambahkan 2 kali selisih standar membentuk naik turun.
Jika harga penutupan menembus lintasan atas, menunjukkan tren naik; Jika menembus lintasan bawah, menunjukkan tren turun. Jika melakukan lebih banyak ketika menembus lintasan atas, lakukan lebih banyak ketika menembus lintasan bawah.
Selain itu, strategi ini juga memperkenalkan mekanisme reverse open position. Jika harga menembus Bollinger Bands, maka MACD akan melakukan shorting.
Keunggulan
Menggunakan pita Brin untuk menentukan arah tren, memiliki kemampuan untuk melacak tren.
Desain posisi terbalik dapat menghasilkan keuntungan negatif.
Anda dapat menyesuaikan parameter seperti periode Brinks, perkalian standar, dan lain-lain untuk bertransaksi dalam periode yang berbeda.
Penutupan dan pembukaan posisi terbalik, mengurangi risiko.
Risiko dan Pengendalian
Brinband sering digunakan untuk saham yang berfluktuasi tinggi dan mungkin tidak cocok untuk varietas seperti Resources atau indeks yang memiliki siklus panjang. Efek dari parameter siklus yang berbeda dapat diuji.
Sinyal penembusan dapat terjadi penembusan palsu. Sinyal penyaringan dapat dikombinasikan dengan faktor lain.
Reverse positioning dapat memperluas kerugian lebih jauh. Modul reverse positioning dapat ditutup.
Penarikan mungkin lebih besar. Anda dapat menyesuaikan ukuran posisi sesuai.
Arah optimasi
Anda dapat mempertimbangkan untuk memasukkan filter tren untuk menghindari pasar yang bergoyang dengan arah yang tidak jelas.
Anda dapat menguji perkalian standar perbedaan Brin untuk mencari parameter yang lebih sesuai.
Strategi stop loss dapat diperkenalkan untuk mengendalikan kerugian tunggal.
Optimalkan logis pembukaan dan penambahan posisi, sehingga sinyal perdagangan lebih jelas.
Meringkaskan
Strategi ini menggunakan indikator Brin sebagai dasar, untuk menilai tren harga untuk melakukan perdagangan. Strategi pelacakan tren dasar dapat dicapai dengan menggunakan pengaturan parameter sederhana. Namun, ada beberapa risiko false breakout, yang perlu disaring dengan indikator lain.
Overview
This strategy uses Bollinger Bands momentum indicator for breakout trading, mainly judging if price breaks through the upper or lower Bollinger Bands for trading signals.
Principles
The strategy is primarily based on Bollinger Bands indicator to determine trend direction. Bollinger Bands consist of a middle band based on a moving average and upper/lower bands defined by standard deviations. The middle band is a n-period moving average, the upper band is middle band + 2 standard deviations, and the lower band is middle band - 2 standard deviations. When price approaches the upper band it indicates overbought conditions, and when it approaches the lower band it signals oversold conditions.
Specifically, the strategy first calculates the highest high and lowest low over last n periods, and the middle price ((highest high + lowest low)/2). It then calculates the distance between close price and middle price, uses exponential moving average of the distance to form the middle band, and adds/subtracts 2 times standard deviation above and below to form the upper and lower bands.
When close price breaks through the upper band, it signals an uptrend; when it breaks the lower band, it signals a downtrend. The strategy goes long when the upper band is broken, and goes short when the lower band is broken.
In addition, the strategy incorporates a counter-trend mechanism. When price breaks the upper band but MACD is falling, it will take a counter-trend short position.
Advantages
Using Bollinger Bands to determine trend direction provides certain trend following capability.
Counter-trend design allows profiting from reversals.
Customizable parameters like period and standard deviation multiples make it adaptable to different trading horizons.
Disable counter-trend trading to reduce risk.
Risks and Mitigations
Bollinger Bands work best for high volatility stocks, may not be suitable for stable commodities or indices. Can test different period parameters.
Breakout signals may have false breakouts. Can add filters with other indicators.
Counter-trend trading can further increase losses. Can disable counter-trend module.
Drawdowns may be significant. Can adjust position sizing.
Enhancement Opportunities
Consider adding trend filter to avoid whipsaw in non-directional markets.
Test different standard deviation multiples to find optimal parameters.
Incorporate stop loss to control single trade loss.
Optimize entry and add-on logic for clearer trading signals.
Summary
The strategy uses Bollinger Bands as the primary indicator and trades based on trend breakouts. With simple parameters it provides basic trend following capabilities. But false breakout risks exist, requiring additional filters. Parameters, stop loss and risk controls can be enhanced. Overall it serves as a reasonable baseline breakout strategy.
/*backtest
start: 2023-08-18 00:00:00
end: 2023-09-17 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2018
//@version=2
strategy("Noro's Bands Scalper Strategy v1.6", shorttitle = "Scalper str 1.6", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100.0, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
takepercent = input(0, defval = 0, minval = 0, maxval = 1000, title = "take, %")
needbe = input(true, defval = true, title = "Bands Entry")
needct = input(false, defval = false, title = "Counter-trend entry")
bodylen = input(10, defval = 10, minval = 0, maxval = 50, title = "Body length")
trb = input(1, defval = 1, minval = 1, maxval = 5, title = "Trend bars")
len = input(20, defval = 20, minval = 2, maxval = 200, title = "Period")
needbb = input(true, defval = true, title = "Show Bands")
needbg = input(true, defval = true, title = "Show Background")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
src = close
//PriceChannel 1
lasthigh = highest(src, len)
lastlow = lowest(src, len)
center = (lasthigh + lastlow) / 2
//Distance
dist = abs(src - center)
distsma = sma(dist, len)
hd = center + distsma
ld = center - distsma
hd2 = center + distsma * 2
ld2 = center - distsma * 2
//Trend
chd = close > hd
cld = close < ld
uptrend = trb == 1 and chd ? 1 : trb == 2 and chd and chd[1] ? 1 : trb == 3 and chd and chd[1] and chd[2] ? 1 : trb == 4 and chd and chd[1] and chd[2] and chd[3] ? 1 : trb == 5 and chd and chd[1] and chd[2] and chd[3] and chd[4] ? 1 : 0
dntrend = trb == 1 and cld ? 1 : trb == 2 and cld and cld[1] ? 1 : trb == 3 and cld and cld[1] and cld[2] ? 1 : trb == 4 and cld and cld[1] and cld[2] and cld[3] ? 1 : trb == 5 and cld and cld[1] and cld[2] and cld[3] and cld[4] ? 1 : 0
trend = dntrend == 1 and high < center ? -1 : uptrend == 1 and low > center ? 1 : trend[1]
//trend = close < ld and high < center ? -1 : close > hd and low > center ? 1 : trend[1]
//Lines
colo = needbb == false ? na : black
plot(hd2, color = colo, linewidth = 1, transp = 0, title = "High band 2")
plot(hd, color = colo, linewidth = 1, transp = 0, title = "High band 1")
plot(center, color = colo, linewidth = 1, transp = 0, title = "center")
plot(ld, color = colo, linewidth = 1, transp = 0, title = "Low band 1")
plot(ld2, color = colo, linewidth = 1, transp = 0, title = "Low band 2")
//Background
col = needbg == false ? na : trend == 1 ? lime : red
bgcolor(col, transp = 80)
//Body
body = abs(close - open)
smabody = ema(body, 30) / 10 * bodylen
//Signals
bar = close > open ? 1 : close < open ? -1 : 0
up7 = trend == 1 and ((bar == -1 and bar[1] == -1) or (body > smabody and bar == -1)) ? 1 : 0
dn7 = trend == 1 and ((bar == 1 and bar[1] == 1) or (close > hd and needbe == true)) and close > strategy.position_avg_price * (100 + takepercent) / 100 ? 1 : 0
up8 = trend == -1 and ((bar == -1 and bar[1] == -1) or (close < ld2 and needbe == true)) and close < strategy.position_avg_price * (100 - takepercent) / 100 ? 1 : 0
dn8 = trend == -1 and ((bar == 1 and bar[1] == 1) or (body > smabody and bar == 1)) ? 1 : 0
if up7 == 1 or up8 == 1
strategy.entry("Long", strategy.long, needlong == false ? 0 : trend == -1 and needct == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, 01, 00, 00) and time < timestamp(toyear, tomonth, 31, 00, 00)))
if dn7 == 1 or dn8 == 1
strategy.entry("Short", strategy.short, needshort == false ? 0 : trend == 1 and needct == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, 01, 00, 00) and time < timestamp(toyear, tomonth, 31, 00, 00)))
if time > timestamp(toyear, tomonth, 31, 00, 00)
strategy.close_all()