ChaoZhang
策略概述
Renko反转追踪策略是一种利用Renko图形来判断市场反转的短线策略。它通过监控相邻Renko颜色的变化来捕捉短期反转机会。当出现连续同色Renko后下一Renko变色时产生交易信号。
策略原理
使用传统不修复Renko。
监控相邻两Renko的颜色变化。
当前一Renko和前两Renko颜色相同,当前Renko颜色反转时,产生信号。
做多信号:两阴砖后出现一阳砖,看涨;
做空信号:两阳砖后出现一阴砖,看跌。
入场方式可选择市价单或止损单。
设置止盈止损点位为Renko大小的一定倍数。
该策略核心为抓住Renko颜色反转造成的短期回调机会。连续同色Renko代表趋势形成,下一Renko变色预示可能的反转。
Renko大小和止盈止损系数可调整以优化策略效果。
策略优势
Renko直接显示反转信息
规则简单清晰,易于操作
多空机会对称
可灵活调整Renko大小
止盈止损严格控制风险
风险警示
需要一定数量的连续Renko才能形成信号
Renko大小直接影响收益和回撤
无法判断趋势持续时间
可能出现连续止损的情况
总结
Renko反转追踪策略对传统技术指标进行创新运用,通过直接Renko变色判断短期反转机会。该策略简单实用,可通过参数调整获得稳定收益,值得进行回测验证和实盘优化后应用。
策略源码
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-08 18:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Simple Renko strategy, very profitable. Thanks to vacalo69 for the idea.
//Rules when the strategy opens order at market as follows:
//- Buy when previous brick (-1) was bearish and previous brick (-2) was bearish too and actual brick close is bullish
//- Sell when previous brick (-1) was bullish and previous brick (-2) was bullish too and actual brick close is bearish
//Rules when the strategy send stop order are the same but this time a stop buy or stop sell is placed (better overall results).
//Note that strategy open an order only after that condition is met, at the beginning of next candle, so the actual close is not the actual price.
//Only input is the brick size multiplier for stop loss and take profit: SL and TP are placed at (brick size)x(multiplier) Or put it very high if you want startegy to close order on opposite signal.
//Adjust brick size considering:
//- Strategy works well if there are three or more consecutive bricks of same "color"
//- Expected Profit
//- Drawdown
//- Time on trade
//
//Study with alerts, MT4 expert advisor and jforex automatic strategy are available at request.
//
strategy("Renko Strategy Open_Close", overlay=true, calc_on_every_tick=true, pyramiding=0,default_qty_type=strategy.percent_of_equity,default_qty_value=100,currency=currency.USD)
//INPUTS
Multiplier=input(1,minval=0, title='Brick size multiplier: use high value to avoid SL and TP')
UseStopOrders=input(true,title='Use stop orders instead of market orders')
//CALCULATIONS
BrickSize=abs(open[1]-close[1])
targetProfit = 0
targetSL = 0
//STRATEGY CONDITIONS
longCondition = open[1]>close[1] and close>open and open[1]<open[2]
shortCondition = open[1]<close[1] and close<open and open[1]>open[2]
//STRATEGY
if (longCondition and not UseStopOrders)
strategy.entry("LongBrick", strategy.long)
targetProfit=close+BrickSize*Multiplier
targetSL=close-BrickSize
strategy.exit("CloseLong","LongBrick", limit=targetProfit, stop=targetSL)
if (shortCondition and not UseStopOrders)
strategy.entry("ShortBrick", strategy.short)
targetProfit = close-BrickSize*Multiplier
targetSL = close+BrickSize
strategy.exit("CloseShort","ShortBrick", limit=targetProfit, stop=targetSL)
if (longCondition and UseStopOrders)
strategy.entry("LongBrick_Stop", strategy.long, stop=open[2])
targetProfit=close+BrickSize*Multiplier
targetSL=close-BrickSize
strategy.exit("CloseLong","LongBrick_Stop", limit=targetProfit, stop=targetSL)
if (shortCondition and UseStopOrders)
strategy.entry("ShortBrick_Stop", strategy.short, stop=open[2])
targetProfit = close-BrickSize*Multiplier
targetSL = close+BrickSize
strategy.exit("CloseShort","ShortBrick_Stop", limit=targetProfit, stop=targetSL)