ChaoZhang
本策略围绕交易周期性规律设计,在周一尾盘买入,并在周三开盘前止盈退出,捕捉该波段的价格趋势行情。属于典型的机械交易策略。
策略原理:
每周一收盘前执行买入操作,开启多头仓位。
每周三开盘前执行止盈退出多头仓位。
设置止损百分比,避免亏损扩大。
设置止盈百分比目标,锁定盈利。
绘制止盈止损线,直观展示盈亏情况。
该策略的优势:
周期交易方式回撤风险较小,历史表现较优。
规则固定明确,便于算法化交易执行。
止盈止损设置简单实用。
该策略的风险:
无法适应突发事件对周期模式的影响。
滞后止损 Unable 限制单笔亏损扩大。
锁定盈利后无法跟踪进一步行情。
总之,该策略采用机械化的周期交易方式,回测效果显著,但难以应对周期模式突变,投资者需谨慎使用。
策略源码
/*backtest
start: 2023-08-12 00:00:00
end: 2023-09-11 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © processingclouds
// @description Strategy to go long at end of Monday and exit by Tuesday close, or at stop loss or take profit percentages
//@version=5
strategy("Buy Monday, Exit Wednesday", "Mon-Wed Swings",overlay=true)
// ----- Inputs: stoploss %, takeProfit %
stopLossPercentage = input.float(defval=4.0, title='StopLoss %', minval=0.1, step=0.2) / 100
takeProfit = input.float(defval=3.0, title='Take Profit %', minval=0.3, step=0.2) / 100
// ----- Exit and Entry Conditions - Check current day and session time
isLong = dayofweek == dayofweek.monday and not na(time(timeframe.period, "1400-1601"))
isExit = dayofweek == dayofweek.wednesday and not na(time(timeframe.period, "1400-1601"))
// ----- Calculate Stoploss and Take Profit values
SL = strategy.position_avg_price * (1 - stopLossPercentage)
TP = strategy.position_avg_price * (1 + takeProfit)
// ----- Strategy Enter, and exit when conditions are met
strategy.entry("Enter Long", strategy.long, when=isLong)
if strategy.position_size > 0
strategy.close("Enter Long", isExit)
strategy.exit(id="Exit", stop=SL, limit=TP)
// ----- Plot Stoploss and TakeProfit lines
plot(strategy.position_size > 0 ? SL : na, style=plot.style_linebr, color=color.red, linewidth=2, title="StopLoss")
plot(strategy.position_size > 0 ? TP : na, style=plot.style_linebr, color=color.green, linewidth=2, title="TakeProfit")