ChaoZhang
概述
该策略通过计算移动后的进场和出场价格,在趋势行情中进行长仓交易。
策略原理
计算上一根K线的收盘价的百分比移位价。
向下移位的价位作为买入线,向上移位的价位作为卖出线。
当价格触及买入线时开多仓。
当价格触及卖出线时平仓。
策略优势
- 移动止盈止损,无需人工操作
- 可自定义移位比例,优化参数
- 仅做多,降低交易频率
- 可限定交易时间范围
策略风险
- 无法有效判断趋势终结点
- 存在时间滞后,可能错过快速反转
优化方向
- 测试不同的移位比例参数
- 优化参数的增量设定
- 结合趋势判断指标设置动态移位
- 考虑突破新高新增仓位
总结
该策略通过移动进出场价格设定,实现了自动跟踪止盈。参数优化和判断逻辑优化可进一步提高策略效果。但被套风险需要防范。总体而言,该策略提供了一种简单实用的趋势跟踪交易思路。
策略源码
/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 4d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2019
//@version=3
strategy(title = "Noro's ShiftEx Strategy v2.0", shorttitle = "ShiftEx 2.0", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
buy = input(-10.0, title = "Buy, src-%")
sell = input(0.0, title = "Sell, src+%")
buysrc = input(low, title = "Source for buy")
sellsrc = input(ohlc4, title = "Source for sell")
offset = input(true)
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")
//Levels
bar = close > open ? 1 : close < open ? -1 : 0
mult = 1 / syminfo.mintick
lb = bar == -1 ? buysrc + ((buysrc / 100) * (buy * 1)) : buysrc + ((buysrc / 100) * (buy * 2))
levelbuy = round(lb * mult) / mult
ls = sellsrc + ((sellsrc / 100) * sell)
levelsell = round(ls * mult) / mult
//Lines
os = offset ? 1 : 0
plot(levelbuy, offset = os, linewidth = 2, color = lime, title = "Buy")
plot(levelsell, offset = os, linewidth = 2, color = blue, title = "Sell")
//Trading
if low[1] > 0
strategy.entry("long", strategy.long, limit = levelbuy, when = (time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
strategy.entry("close", strategy.short, 0, limit = levelsell, when = (time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))