ChaoZhang
概述
该策略通过计算分形混沌震荡器(Fractal Chaos Oscillator, FCO)指标来判断市场趋势方向,实现趋势跟踪。FCO通过比较局部极大值和极小值的变化判断价格走势,数值范围在-1到1之间,数值越高表示趋势越明显。当FCO达到较高值时做多,达到较低值时做空。
策略原理
通过寻找特定K线形态判断局部极大值和极小值。比较相邻两组极值的变化,计算出FCO指标。例如,当最新一组极大极小值与前一组不相同时,FCO为1,表示价格上涨趋势变强。根据FCO值判断趋势方向,数值越高时做多,数值越低时做空。
优势分析
- FCO指标判断趋势方向简单有效
- 无需复杂参数设置,使用方便
- 可在短线实现盈利,适合日内交易
- 可根据需要选择做多或做空
风险分析
- 分型识别不完全准确,可能错过转折点
- 无法准确判断趋势反转点,存在亏损风险
- 日内交易频繁,手续费负担较重
可适当优化参数,或结合其他指标来判断趋势反转。
优化方向
- 测试不同的分型周期参数
- 优化FCO的做多做空阈值
- 结合移动均线等指标判定趋势反转
- 在不同品种中测试参数健壮性
总结
FCO策略通过简单的指标判断趋势方向,适合短线交易。可通过参数优化等方法提升效果。是一种易于实现的趋势跟踪策略思路。
策略源码
/*backtest
start: 2023-09-10 00:00:00
end: 2023-09-17 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 22/02/2018
// The value of Fractal Chaos Oscillator is calculated as the difference between
// the most subtle movements of the market. In general, its value moves between
// -1.000 and 1.000. The higher the value of the Fractal Chaos Oscillator, the
// more one can say that it follows a certain trend – an increase in prices trend,
// or a decrease in prices trend.
//
// Being an indicator expressed in a numeric value, traders say that this is an
// indicator that puts a value on the trendiness of the markets. When the FCO reaches
// a high value, they initiate the “buy” operation, contrarily when the FCO reaches a
// low value, they signal the “sell” action. This is an excellent indicator to use in
// intra-day trading.
//
// You can change long to short in the Input Settings
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
fractalUp(pattern) =>
p = high[pattern+1]
okl = 1
okr = 1
for i = pattern to 1
okl := iff(high[i] < high[i+1] and okl == 1 , 1, 0)
for i = pattern+2 to pattern*2+1
okr := iff(high[i] < high[i-1] and okr == 1, 1, 0)
res = iff(okl == 1 and okr == 1, p, res[1])
res
fractalDn(pattern) =>
p = low[pattern+1]
okl = 1
okr = 1
for i = pattern to 1
okl := iff(low[i] > low[i+1] and okl == 1 , 1, 0)
for i = pattern+2 to pattern*2+1
okr := iff(low[i] > low[i-1] and okr == 1, 1, 0)
res = iff(okl == 1 and okr == 1, p, res[1])
res
strategy(title="Fractal Chaos Oscillator", overlay = false)
Pattern = input(1, minval=1)
reverse = input(false, title="Trade reverse")
xUpper = fractalUp(Pattern)
xLower = fractalDn(Pattern)
xRes = iff(xUpper != xUpper[1], 1,
iff(xLower != xLower[1], -1, 0))
pos = iff(xRes == 1, 1,
iff(xRes == -1, -1, nz(pos[1], 0)))
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)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(xRes, color=blue, title="FCO")