ChaoZhang
概述
这个策略的核心思想是利用“内含在周期之间”的K线形态来确定趋势方向,并以此作为入场信号。当出现一个包含前一个K线的内含在周期之间形态时,我们可以推断出当前是一个趋势转换的时点,这个时候我们可以选择在突破前高点时做多,或在突破前低点时做空,并设置好止损和止盈。
策略原理
判断是否出现内含在周期之间的K线形态。具体判断逻辑是:当前K线的高点低于前一个K线的高点,并且当前K线的低点高于前一个K线的低点。
判断前一个K线的涨跌情况。如果收盘价高于开盘价,则为涨;如果收盘价低于开盘价,则为跌。
如果前一个K线为涨势,并且出现了内含在周期之间的形态,我们在前一个K线高点的10%范围内设置买入停止单。
如果前一个K线为跌势,并且出现了内含在周期之间的形态,我们在前一个K线低点的10%范围内设置卖出停止单。
一旦停止单被触发形成仓位,我们会设置止损单和止盈单。具体的止损距离和止盈距离均为前一个K线振幅的一定比例。
如果再次出现内含在周期之间的形态,我们会优先平仓,然后重新设置新的挂单。
策略优势分析
这种策略的优势有:
运用了K线内在逻辑,入场时机把握准确。内含在周期之间形态往往意味着即将出现趋势反转或者加速,这为我们提供了一个较好的入场时机。
策略规则清晰易懂,容易实际操作。
利用前一个周期的高低点设定止损止盈位置,可以控制风险。
每次重新出现符合形态时,会重新设定新的挂单,可以追随新的趋势。
策略风险分析
这种策略也存在一些风险:
内含在周期之间形态不一定会导致趋势反转或者加速,存在一定的假信号风险。
止损距离可能设置过小,无法承受行情中较大的震荡。
止盈距离可能设置过大,无法及时获利。
该策略更依赖趋势行情,在盘整行情中获利空间有限。
交易次数可能过于频繁,交易成本较高。
对策:
可以结合其它指标过滤内含在周期之间形态的确认信号,降低假信号率。
可以适当放宽止损距离,但不要超过前一个K线振幅的50%。
可以缩短止盈距离至前一个K线振幅的50%左右。
优化资金管理,降低单笔仓位,应对盘整行情。
适当放宽入场条件,减少交易次数。
策略优化方向
这种策略可以从以下几个方面进行优化:
结合趋势指标判断趋势方向,避免在盘整中频繁交易。例如加入MACD判断趋势,只有在MACD同向的时候才考虑入场。
优化止损止盈策略,采用移动止损或盈利保护止损等方式,让止损更有弹性。
测试不同的止损止盈比例设置,找到最优参数组合。
加入重新入场机制,在止损退出后再次捕捉趋势。
优化仓位管理,根据市场波动程度调整单笔仓位。
优化资金管理,例如固定资金利用率等。
测试该策略在不同品种和时间周期上的效果。
总结
综上所述,这是一个利用内含在周期之间形态判断趋势转折点,设置挂单捕捉反转趋势的策略。它具有入场时机清晰,策略规则简单,可控风险等优势,但也存在一定的假信号风险和优化空间。我们可以通过结合趋势指标、优化止损止盈、调整仓位等方式进一步提高策略的稳定性和盈利能力。这种策略更适合趋势性行情,在具体运用中还需要针对不同市场的特点进行优化测试,以发挥其最大效用。
/*backtest
start: 2023-01-01 00:00:00
end: 2023-03-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// Inside Bar Momentum Strategy
// As defined on Babypips.com
// https://www.babypips.com/trading/forex-inside-bar-20170113
// strategy("Babypips: Inside Bar Momentum Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=5)
From_Year = input(defval = 2018, title = "From Year")
From_Month = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
From_Day = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
To_Year = input(defval = 9999, title = "To Year")
To_Month = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
To_Day = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
Start = timestamp(From_Year, From_Month, From_Day, 00, 00) // backtest start window
Finish = timestamp(To_Year, To_Month, To_Day, 23, 59) // backtest finish window
Window = true
Stop_Buy_Perc = input(10, "Stop Buy Order Percentage From Previous Candle's Range")/100
Stop_Loss_Perc = input(20, "Stop Loss Distance from High/Low of Previous Candle")/100
Take_Prof_Perc = input(80, "Take Profit Distance from High/Low of Previous Candle")/100
Risk = input(2, "Percentage Of EQUITY to risk per trade", step=0.1, minval=0, maxval=100)/100
Inside_Bar = high[1] > high[0] and low[1] < low[0]
Prev_Range = high[1] - low[1]
Bullish = open[1] < close[1]
Bearish = open[1] > close[1]
// Get Key Levels
Long_Stop_Buy_Level = high[1] + (Prev_Range * Stop_Buy_Perc)
Short_Stop_Buy_Level = low[1] - (Prev_Range * Stop_Buy_Perc)
Long_Stop_Loss_Level = high[1] - (Prev_Range * Stop_Loss_Perc)
Short_Stop_Loss_Level = low[1] + (Prev_Range * Stop_Loss_Perc)
Long_Take_Prof_Level = high[1] + (Prev_Range * Take_Prof_Perc)
Short_Take_Prof_Level = low[1] - (Prev_Range * Take_Prof_Perc)
// Position Sizing
long_qty = floor((strategy.equity * Risk) / (Long_Stop_Buy_Level - Long_Stop_Loss_Level))
short_qty = floor((strategy.equity * Risk) / (Short_Stop_Loss_Level - Short_Stop_Buy_Level))
// -------------------------- LONG CONDITIONS --------------------------------//
// The first candlestick must be bullish (green or white) and if the second
// candlestick is completely contained by the first, set a buy stop order at
// the first candle’s high plus 10% of its range (high minus low).
// Place the stop loss at the first candle’s high minus 20% of its range
// and set the target at the first candle’s high plus 80% of its range
// If another inside bar pattern forms, the current position should be closed
// or the pending buy/sell order must be canceled and entry orders must be
// updated to the latest candles.
Long_Condition = Window and Inside_Bar and Bullish
if (Long_Condition)
// Incase we still have a buy stop order in the market
strategy.cancel_all()
// Close any existing positions according to the rules
strategy.close_all()
strategy.entry("Bullish IB", strategy.long, stop=Long_Stop_Buy_Level)
strategy.exit("Bullish Exit","Bullish IB", stop=Long_Stop_Loss_Level, limit=Long_Take_Prof_Level)
// -------------------------- SHORT CONDITIONS -------------------------------//
// The first candlestick must be bearish (red or black) and if the second
// candlestick is completely contained by the first, set a sell stop order at
// the first candle’s low minus 10% of its range (high minus low).
// Place the stop loss at the first candle’s low plus 20% of its range and
// set the target at the first candle’s low minus 80% of its range.
// If another inside bar pattern forms, the current position should be closed
// or the pending buy/sell order must be canceled and entry orders must be
// updated to the latest candles.
Short_Condition = Window and Inside_Bar and Bearish
if (Short_Condition)
// Incase we still have a buy stop order in the market
strategy.cancel_all()
// Close any existing positions according to the rules
strategy.close_all()
strategy.entry("Bearish IB", strategy.short, stop=Short_Stop_Buy_Level)
strategy.exit("Bearish Exit","Bearish IB", stop=Short_Stop_Loss_Level, limit=Short_Take_Prof_Level)
// ----------------------------- PLOTTING ------------------------------------//
plotshape(Inside_Bar, style=shape.arrowdown, location=location.abovebar, color=purple)