ChaoZhang
本策略名为Super BitMoon,是一种适用于比特币的短线量化动量交易策略。该策略同时具有做多和做空能力,可以在比特币出现突破关键支撑或阻力位的时候进行交易。
策略运作原理: 1. 使用ATR指标计算近期的波动范围和止损位。当价格突破上一根K线的止损位时,判断为趋势发生反转。 2. 使用权重移动平均线WVF和布林带指标判断比特币是否处于超买或超卖状态。如果WVF下穿布林带上轨,表明市场可能处于超卖状态,可以做多。 3. 使用RSI指标判断比特币是否超卖。如果RSI低于两道超卖线,可以进行逢低做多。
具体交易策略: 1. 如果WVF下穿布林带上轨,同时价格高于ATR止损价位,则做多比特币。 2. 如果RSI低于50或30超卖线,则做空比特币。
该策略优势在于: 1. 同时具有做多做空能力,可以双向交易。 2. 使用ATR止损来控制风险,避免亏损扩大。 3. 同时使用WVF,布林带和RSI指标进行判断,提高信号准确率。
该策略风险: 1. 布林带和RSI参数设置不当可能导致错误信号。 2. 突发事件造成价格窜涨或跳水可能导致止损被触发。 3. 交易费用会对盈利产生一定影响。
总之,Super BitMoon是一个非常适合短线Indicatorscombos的量化动量策略,同时兼具趋势跟踪和反转交易的特点。通过合理的参数优化,可望获得较好的风险收益比。但交易者还需要充分考虑费用控制和资金管理等因素,以降低实盘交易的风险。
策略源码
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-08 09:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("Super BitMoon v1", overlay=false, commission_value = 0.25, default_qty_type=strategy.percent_of_equity, default_qty_value = 100)
/////////////////////////////////////////////////////////////
//START - SET DATE RANGE
// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1)
FromDay = input(defval = 1, title = "From Day", minval = 1)
FromYear = input(defval = 2011, title = "From Year")
ToMonth = input(defval = 12, title = "To Month", minval = 1)
ToDay = input(defval = 31, title = "To Day", minval = 1)
ToYear = input(defval = 2018, title = "To Year")
startDate = time > timestamp(FromYear, FromMonth, FromDay, 00, 00)
endDate = time < timestamp(ToYear, ToMonth, ToDay, 23, 59)
withinTimeRange = true
/////////////////////////////////////////////////////////////
//END - SET DATE RANGE
/////////////////////////////////////////////////////////////
//START - INDICATORS
//ATR STOPS TREND FILTER
length = input(5, title="ATR Stop's Length")
mult = input(1, minval=0.01, title="ATR Stop's Multiple")
atr_ = atr(length)
max1 = max(nz(max_[1]), close)
min1 = min(nz(min_[1]), close)
is_uptrend_prev = nz(is_uptrend[1], true)
stop = is_uptrend_prev ? max1 - mult * atr_ : min1 + mult * atr_
vstop_prev = nz(vstop[1])
vstop1 = is_uptrend_prev ? max(vstop_prev, stop) : min(vstop_prev, stop)
is_uptrend = close - vstop1 >= 0
is_trend_changed = is_uptrend != is_uptrend_prev
max_ = is_trend_changed ? close : max1
min_ = is_trend_changed ? close : min1
vstop = is_trend_changed ? is_uptrend ? max_ - mult * atr_ : min_ + mult * atr_ : vstop1
//SYNTHETIC VIX
pd = input(10, title="Synthetic VIX's Length")
bbl = input(2, title="Synthetic VIX's Bollinger Band's Length")
mult2 = input(0.01, minval=0.01, title="Synthetic VIX's Bollinger Band's Std Dev")
wvf = ((highest(close, pd)-low)/(highest(close, pd)))*100
sDev = mult2 * stdev(wvf, bbl)
midLine = sma(wvf, bbl)
upperBand = midLine + sDev
//RSI
rsi = rsi(close, input(10,title="RSI's Length"))
os1 = input(50,title="RSI's Oversold Level 1")
os2 = input(50,title="RSI's Oversold Level 2")
/////////////////////////////////////////////////////////////
//END - INDICATORS
/////////////////////////////////////////////////////////////
//START - TRADING RULES
direction = input(defval=1, title = "Strategy Direction", minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))
condition1 = crossunder(wvf, upperBand) and close > vstop and withinTimeRange
condition2 = crossunder(rsi, os1) and withinTimeRange
condition3 = crossunder(rsi, os2) and withinTimeRange
strategy.entry("BUY", strategy.long, when = condition1)
strategy.entry("SELL", strategy.short, when = condition2 or condition3)
/////////////////////////////////////////////////////////////
//END - TRADING RULES