ChaoZhang
概述
本文将介绍一种基于动态价格通道的短线交易策略。该策略通过计算价格的动态通道来判断趋势方向,并在通道突破点进行交易。
策略原理
该策略基于以下原理:
使用最高价和最低价计算出动态价格通道。通道上轨线为最高价与通道中线之和的一半,下轨线为最低价与通道中线之差的一半。
当价格突破上轨时,表明行情进入上涨趋势;当价格突破下轨时,表明行情进入下跌趋势。
在上涨趋势中,当出现两个连续阴线时做多;在下跌趋势中,当出现两个连续阳线时做空。
可选择进行反向开仓,即在上涨中做空,在下跌中做多,以追捧市场情绪。
可设定止盈比例,例如设置止盈点为入场价的x%,以锁定利润。
优势分析
该策略具有以下优势:
动态通道能够实时反映市场变化,更好地判断趋势。
结合趋势和数根K线的突破信号,可以过滤假突破。
反向开仓可追捧市场热点,赚取超额利润。
设定止盈比例能够有效控制风险。
策略思路简单清晰,容易实施。
风险分析
该策略也存在一定风险:
市场剧烈波动时,通道可能失效。应适当调整参数使通道更稳健。
反向开仓易受亏损,应控制单笔亏损比例。
假突破可能导致错误交易。应与趋势结合判定突破有效性。
应注意避免过于频繁交易,以控制交易成本。
总结
该策略整合了动态通道判断趋势、K线突破入场以及止盈思想。在参数调整适当的情况下,可以作为短线交易的有效工具。但交易者仍需注意风险控制,并结合自己的交易风格进行适当修改。
策略源码
/*backtest
start: 2022-09-09 00:00:00
end: 2023-09-15 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("Noro's Bands Scalper Strategy v1.1", shorttitle = "Scalper str 1.1", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value=100.0, pyramiding=0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
takepercent = input(0, defval = 0, minval = 0, maxval = 1000, title = "take, %")
needct = input(false, defval = false, title = "Counter-trend entry")
len = input(20, defval = 20, minval = 2, maxval = 200, title = "Period")
needbb = input(true, defval = true, title = "Show Bands")
needbg = input(true, defval = true, title = "Show Background")
src = close
//PriceChannel
lasthigh = highest(src, len)
lastlow = lowest(src, len)
center = (lasthigh + lastlow) / 2
//Distance
dist = abs(src - center)
distsma = sma(dist, len)
hd = center + distsma
ld = center - distsma
hd2 = center + distsma * 2
ld2 = center - distsma * 2
//Trend
sma = sma(close, 20)
smatrend = close > sma ? 1 : close < sma ? -1 : smatrend[1]
trend = close < ld and high < hd ? -1 : close > hd and low > ld ? 1 : trend[1]
//Lines
colo = needbb == false ? na : black
plot(hd, color = colo, linewidth = 1, transp = 0, title = "High band")
plot(center, color = colo, linewidth = 1, transp = 0, title = "center")
plot(ld, color = colo, linewidth = 1, transp = 0, title = "Low band")
//Background
col = needbg == false ? na : trend == 1 ? lime : red
bgcolor(col, transp = 80)
//Signals
bar = close > open ? 1 : close < open ? -1 : 0
up7 = trend == 1 and bar == -1 and bar[1] == -1 ? 1 : 0
dn7 = trend == 1 and bar == 1 and bar[1] == 1 and close > strategy.position_avg_price * (100 + takepercent) / 100 ? 1 : 0
up8 = trend == -1 and bar == -1 and bar[1] == -1 and close < strategy.position_avg_price * (100 - takepercent) / 100 ? 1 : 0
dn8 = trend == -1 and bar == 1 and bar[1] == 1 ? 1 : 0
if up7 == 1 or up8 == 1
strategy.entry("Long", strategy.long, needlong == false ? 0 : trend == -1 and needct == false ? 0 : na)
if dn7 == 1 or dn8 == 1
strategy.entry("Short", strategy.short, needshort == false ? 0 : trend == 1 and needct == false ? 0 : na)