凯斯动态止损策略


创建日期: 2023-09-13 14:08:47 最后修改: 2023-09-13 14:08:47
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本策略基于凯斯(Kase)先生的动态止损理论而设计。该策略通过计算价格的动态波动范围,寻找最佳的止损和止盈价格点,实现盈亏平衡。

策略原理:

  1. 计算价格的动态波动范围指数RWH和RWL。

  2. 根据RWH和RWL得到价格偏离程度指数Pk。

  3. 当Pk>0时,根据偏离程度计算止损价位。当Pk时,计算止盈价位。

  4. 可选择止损止盈的偏离倍数,一般为标准差的1-3倍。

  5. 当价格触碰止损止盈价位时,进行反向操作。

该策略的优势:

  1. 动态计算止损止盈点,可根据市场波动进行调整。

  2. 停损点不会过于接近或过于宽松。

  3. 数学计算方式可避免主观情绪影响判断。

该策略的风险:

  1. 计算止损价位存在滞后,可能错过最佳止损时点。

  2. 需优化偏离倍数参数,以平衡止损止盈。

  3. 无法限制单笔亏损大小,存在大单损失风险。

总之,该策略可在一定程度上智能优化止损止盈设置,但其效果仍需经过回测验证,且不能完全规避SUBJECTIVE 主观风险,投资者仍需谨慎。

策略源码
/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-15 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 09/10/2019
//  The Kase Dev Stops system finds the optimal statistical balance between letting profits run, 
//  while cutting losses.  Kase DevStop seeks an ideal stop level by accounting for volatility (risk),
//  the variance in volatility (the change in volatility from bar to bar), and volatility skew 
//  (the propensity for volatility to occasionally spike incorrectly).
//
//  Kase Dev Stops are set at points at which there is an increasing probability of reversal against 
//  the trend being statistically significant based on the log normal shape of the range curve.  
//  Setting stops will help you take as much risk as necessary to stay in a good position, but not more.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Kase Dev Stops Backtest", overlay = true)
Length = input(30, minval=2, maxval = 100)
Level = input(title="Trade From Level", defval=4, options=[1, 2, 3, 4])
reverse = input(false, title="Trade reverse")
RWH = (high - low[Length]) / (atr(Length) * sqrt(Length))
RWL = (high[Length] - low) / (atr(Length) * sqrt(Length))
Pk = wma((RWH-RWL),3)
AVTR = sma(highest(high,2) - lowest(low,2), 20)
SD = stdev(highest(high,2) - lowest(low,2),20)
Val4 = iff(Pk>0, highest(high-AVTR-3*SD,20), lowest(low+AVTR+3*SD,20))
Val3 = iff(Pk>0, highest(high-AVTR-2*SD,20), lowest(low+AVTR+2*SD,20))
Val2 = iff(Pk>0, highest(high-AVTR-SD,20), lowest(low+AVTR+SD,20))
Val1 = iff(Pk>0, highest(high-AVTR,20), lowest(low+AVTR,20))
ResPrice = iff(Level == 4, Val4,
             iff(Level == 3, Val3,
               iff(Level == 2, Val2,
                 iff(Level == 1, Val1, Val4))))
pos = iff(close < ResPrice , -1, 1)
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )