ChaoZhang
概述
本策略采用滑点追踪止损机制,根据价格波动幅度来移动止损线,实现动态止损。当价格达到指定盈利水平后启动追踪止损,旨在保护利润,同时尽量减少止损过早被触发的可能。属于常用止损策略的改进和优化。
策略原理
该策略基于双均线判断趋势方向入场,入场信号为快速均线上穿慢速均线。
其创新点在于止损机制的设计:
设置止损启动线。当价格突破该线时开始启用追踪止损。
止损线按照设置的滑点Percentage进行移动追踪。如设置3%滑点,则止损线会在最低价的3%以下。
当价格向不利方向反转,触碰追踪止损线时,平仓止损。
这种设计既确保了止损线会自动追踪利润,也减少在利润尚好时就被止损的概率。
策略优势
- 滑点比例止损,自动追踪止损
- 设置启动线,避免过早启用止损
- 动态追踪止损线,保护利润
- 避免因短期回调就被止损
- 启动线和滑点比例可根据市场调整
策略风险
- 均线判断可能出现滞后,产生假信号
- 启动线设置不当会过早或过晚启用止损
- 滑点比例设置不当,止损过松或过紧
- 无法illings11完全规避被套风险
- 需要针对市场波动度优化参数
可以通过以下方式减少风险:
- 优化均线周期,提高入场准确率
- 测试不同启动线参数,找到最佳点位
- 根据历史回撤情况测试最佳滑点比例
- 考虑再次入场机会,减少错过行情
- 加入其他条件判断,避免冲高回落
优化方向
该策略可以从以下几个方面进行优化:
- 优化双均线周期参数
测试不同的快线慢线组合参数
- 优化或删除启动线
直接启用追踪止损或根据不同品种设置不同参数
- 测试不同滑点比例参数
针对不同品种分别寻找最优止损滑点比例
- 加入再入场机制
在止损退出后,设置重新入场的条件
- 根据波动率调整止损力度
市场波动加大时可适当放宽止损范围
总结
本策略采用滑点追踪止损方式,设置启动线后动态调整止损位置。这种止损方式可以根据市场波动自动调整止损力度,实现保护利润和减少不必要止损之间的平衡。但需要针对品种特点优化参数,并辅以均线判定等其他技术指标来提升入场的准确性。同时再入场机制也可以降低止损过早的风险。只有不断学习和优化,才能使策略持续适应各种市场环境。
策略源码
/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//@author=Daveatt
SystemName = "BEST Trailing Stop Strategy"
TradeId = "BEST"
InitCapital = 100000
InitPosition = 100
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = true
CalcOnTick = true
DefaultQtyType = strategy.fixed
DefaultQtyValue = strategy.fixed
Precision = 2
Overlay=true
// strategy(title=SystemName, shorttitle=SystemName, overlay=Overlay,
// pyramiding=InitPyramidMax, initial_capital=InitCapital, default_qty_type=DefaultQtyType, default_qty_value=InitPosition, commission_type=strategy.commission.percent,
// commission_value=InitCommission, calc_on_order_fills=CalcOnorderFills, calc_on_every_tick=CalcOnTick, precision=2)
src = close
// Calculate moving averages
fastSMA = sma(close, 15)
slowSMA = sma(close, 45)
// Calculate trading conditions
enterLong = crossover(fastSMA, slowSMA)
enterShort = crossunder(fastSMA, slowSMA)
// trend states
since_buy = barssince(enterLong)
since_sell = barssince(enterShort)
buy_trend = since_sell > since_buy
sell_trend = since_sell < since_buy
change_trend = (buy_trend and sell_trend[1]) or (sell_trend and buy_trend[1])
//plot(buy_trend ? 1 : 0, title='buy_trend', transp=100)
//plot(sell_trend ? 1 : 0, title='sell_trend', transp=100)
// get the entry price
entry_price = valuewhen(enterLong or enterShort, close, 0)
// Plot moving averages
plot(series=fastSMA, color=color.teal)
plot(series=slowSMA, color=color.orange)
// Plot the entries
plotshape(enterLong, style=shape.circle, location=location.belowbar, color=color.green, size=size.small)
plotshape(enterShort, style=shape.circle, location=location.abovebar, color=color.red, size=size.small)
///////////////////////////////
//======[ Trailing STOP ]======//
///////////////////////////////
// use SL?
useSL = input(true, "Use stop Loss")
// Configure trail stop level with input
StopTrailPerc = input(title="Trail Loss (%)", type=input.float, minval=0.0, step=0.1, defval=3) * 0.01
// Will trigger the take profit trailing once reached
use_SL_Trigger = input(true, "Use stop Loss Trigger")
StopTrailTrigger = input(2.0, "SL Trigger (%)",minval=0,step=0.5,type=input.float) * 0.01
StopLossPriceTrigger = 0.0
StopLossPriceTrigger := if (use_SL_Trigger)
if buy_trend
entry_price * (1 + StopTrailTrigger)
else
entry_price * (1 - StopTrailTrigger)
else
-1
var SL_Trigger_Long_HIT = false
SL_Trigger_Long_HIT := useSL and use_SL_Trigger and buy_trend and high >= StopLossPriceTrigger
? true : SL_Trigger_Long_HIT[1]
var SL_Trigger_Short_HIT = false
SL_Trigger_Short_HIT := useSL and use_SL_Trigger and sell_trend and low <= StopLossPriceTrigger
? true : SL_Trigger_Short_HIT[1]
display_long_SL_trigger = useSL and buy_trend and use_SL_Trigger
and SL_Trigger_Long_HIT == false and StopLossPriceTrigger != -1
display_short_SL_trigger = useSL and sell_trend and use_SL_Trigger
and SL_Trigger_Short_HIT == false and StopLossPriceTrigger != -1
display_SL_trigger = display_long_SL_trigger or display_short_SL_trigger
plot(display_SL_trigger ? StopLossPriceTrigger : na, title='SLPriceTrigger', transp=0,
color=color.maroon, style=plot.style_circles, linewidth=3)
// Determine trail stop loss prices
longStopPrice = 0.0, shortStopPrice = 0.0
longStopPrice := if useSL and buy_trend
stopValue = low * (1 - StopTrailPerc)
max(stopValue, longStopPrice[1])
else
0
shortStopPrice := if useSL and sell_trend
stopValue = high * (1 + StopTrailPerc)
min(stopValue, shortStopPrice[1])
else
999999
//////////////////////////////////////////////////////////////////////////////////////////
//*** STOP LOSS HIT CONDITIONS TO BE USED IN ALERTS ***//
//////////////////////////////////////////////////////////////////////////////////////////
cond_long_stop_loss_hit = useSL and buy_trend and crossunder(low, longStopPrice[1])
and (SL_Trigger_Long_HIT or use_SL_Trigger == false)
cond_short_stop_loss_hit = useSL and sell_trend and crossover(high, shortStopPrice[1])
and (SL_Trigger_Short_HIT or use_SL_Trigger == false)
// Plot stop loss values for confirmation
plot(series=useSL and buy_trend and low >= longStopPrice
and (SL_Trigger_Long_HIT or use_SL_Trigger == false)
? longStopPrice : na,
color=color.fuchsia, style=plot.style_cross,
linewidth=2, title="Long Trail Stop")
plot(series=useSL and sell_trend and high <= shortStopPrice
and (SL_Trigger_Short_HIT or use_SL_Trigger == false)
? shortStopPrice : na,
color=color.fuchsia, style=plot.style_cross,
linewidth=2, title="Short Trail Stop")
close_long = cond_long_stop_loss_hit
close_short = cond_short_stop_loss_hit
// Submit entry orders
strategy.entry(TradeId + " L", long=true, when=enterLong)
strategy.close(TradeId + " L", when=close_long)
//if (enterShort)
strategy.entry(TradeId + " S", long=false, when=enterShort)
strategy.close(TradeId + " S", when=close_short)
if change_trend
SL_Trigger_Long_HIT := false
SL_Trigger_Short_HIT := false