ChaoZhang
概述
该策略基于价格的突破来进行交易操作。它计算一定周期内的最高价和最低价,当价格突破这些极值时产生交易信号。
策略原理
计算最近N周期内的最高价upex和最低价dnex。
当价格超过upex时,做多。
当价格低于dnex时,做空。
可配置只做多、只做空或双向交易。
可配置资金利用率。
可配置交易时间范围。
策略优势
- 捕捉突破信号,适合趋势交易
- 规则简单直观,易于实现
- 可配置做多做空方向,适应不同市场
- 可限定交易时间范围
- 可控资金利用率
策略风险
- 无法有效过滤假突破造成的损失
- 双向交易增加手续费和滑点成本
- 大资金利用率增加风险
优化方向
- 增加突破有效性验证,避免假突破
- 优化参数N值大小
- 结合其他指标过滤信号
- 测试不同的资金利用率
- 限制每日交易次数
总结
该策略通过捕捉价格突破信号实现趋势following。优化突破验证机制和参数设定可以提高效果。但需注意防范假突破和风险控制。整体来说,该策略提供了一种简单有效的趋势交易解决方案。
策略源码
/*backtest
start: 2023-09-18 00:00:00
end: 2023-09-20 00:00:00
period: 45m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2018
//@version=2
strategy(title = "Noro's Brakeout Strategy v1.0", shorttitle = "Brakeout str 1.0", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
len = input(4, defval = 4, minval = 1, maxval = 1000, title = "Length")
showlines = input(true, defval = true, title = "Show Lines?")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Extremums
upex = highest(high, len)
dnex = lowest(low, len)
col = showlines ? blue : na
plot(upex, color = col, linewidth = 2)
plot(dnex, color = col, linewidth = 2)
//Trading
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 : lot[1]
if (not na(close[len]))
strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)), stop = upex + syminfo.mintick)
strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)), stop = dnex - syminfo.mintick)
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()