ChaoZhang
策略原理
该策略基于K线出现同级高低点的形态进行交易。当出现一周K线的双底或双顶形态时,作为交易信号的触发条件。
具体交易逻辑是:
判断当前K线或前一K线的最高价等于最高价的前两K线
判断当前K线或前一K线的最低价等于最低价的前两K线
双底形态出现时,当价格低点突破则做多
双顶形态出现时,当价格高点突破则做空
止损点设置为突破点附近,止盈点为ATR指标值乘以系数
该策略试图抓取突破同级高低点后价格的趋势运行机会。通过止损止盈策略控制风险。
策略优势
同级高低易识别,突破信号明确
ATR止盈方式可动态跟踪趋势
规则简单清晰,可控的风险
策略风险
同级高低形成较为少见
止损点过于接近,存在被止损风险
需要关注ATR参数的设定
总结
该策略通过捕捉同级高低突破机会进行趋势交易。但需关注止损止盈策略的设定,以及交易频率问题。
策略源码
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 10m
basePeriod: 1m
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/
// © cherepanovvsb
//@version=5
strategy("SHL", overlay=true, margin_long=100, margin_short=100,initial_capital=100,default_qty_type = strategy.cash,default_qty_value =40,commission_type = strategy.commission.percent,commission_value =0.04,currency="EUR", process_orders_on_close=true)
atr = input.int(title="ATR length for abnormal candles", defval=5)
plotshape(low == low[1], style=shape.triangleup, location=location.belowbar, color=color.blue, title="1 Setup")
plotshape(high==high[1], style=shape.triangledown, location=location.abovebar, color=color.blue, title="1 Setup")
plotshape(low == low[1] and low[1]==low[2], style=shape.triangleup, location=location.belowbar, color=color.red, title="Triple Setup")
plotshape(low==high[1] or low==high[2] or low==high[3] or low==high[4] or low==high[5] or low==high[6], style=shape.triangleup, location=location.belowbar, color=color.green, title="Mirror Setup")
plotshape(high==low[1] or high==low[2] or high==low[3] or high==low[4] or high==low[5] or high==low[6], style=shape.triangledown, location=location.abovebar, color=color.green, title="Mirror Setup")
barcolor(high-low>2*ta.atr(atr)? color.yellow:na)
ATRlenght = input.int(title="ATR length for take profit", defval=14, group="Strategy Settings")
rewardMultiplier= input.int(title="ATR multiplier", defval=5, group="Strategy Settings")
// Get ATR
atr1 = ta.atr(ATRlenght)
validlow = low[1] == low[2] and not na(atr1)
validhigh = high[1]==high[2] and not na(atr1)
validlong = validlow and strategy.position_size == 0 and low[1]<low
validshort = validhigh and strategy.position_size == 0 and high[1]>high
// Calculate Entrance, SL/TP
longStopPrice = low[1]-syminfo.mintick
longStopDistance = close - longStopPrice
longTargetPrice = close + (longStopDistance * rewardMultiplier)
shortStopPrice = high[1]+syminfo.mintick
shortStopDistance = shortStopPrice - close
shortTargetPrice = close - (shortStopDistance * rewardMultiplier)
var tradeStopPrice = 0.0
var tradeTargetPrice = 0.0
if validlong
tradeStopPrice := longStopPrice
tradeTargetPrice := longTargetPrice
if validshort
tradeStopPrice := shortStopPrice
tradeTargetPrice := shortTargetPrice
strategy.entry ("Long", strategy.long,1, when=validlong)
strategy.entry ("Short", strategy.short,1, when=validshort)
strategy.exit(id="Long Exit", from_entry="Long", limit=tradeTargetPrice, stop=tradeStopPrice, when=strategy.position_size > 0)
strategy.exit(id="Short Exit", from_entry="Short", limit=tradeTargetPrice, stop=tradeStopPrice, when=strategy.position_size < 0)
plot(strategy.position_size != 0 or validlong or validshort ? tradeStopPrice : na, title="Trade Stop Price", color=color.red, style=plot.style_linebr, transp=0)
plot(strategy.position_size != 0 or validlong or validshort ? tradeTargetPrice : na, title="Trade Target Price", color=color.green, style=plot.style_linebr, transp=0)