ChaoZhang
概述
本策略基于价格的波动范围来判断买入和卖出时机。它计算一定周期内的价格波动范围,并以该范围作为过滤条件产生交易信号。当价格超出波动范围时产生买入或卖出信号。属于基于价格突破的短线交易策略。
策略原理
该策略的核心指标是价格的波动范围。具体计算过程为:
计算过去N周期内的最高价和最低价之差作为价格振幅
对价格振幅进行均线平滑处理,得到范围过滤器
当价格上涨超过范围过滤器时,产生买入信号
当价格下跌超过范围过滤器时,产生卖出信号
通过这种方式,可以利用价格突破波动范围来判断趋势方向, filtrate123噪音交易,获得比较清晰的交易信号。
策略优势
- 使用价格实体范围,容易判断突破
- 波动范围平滑处理,有效过滤噪声
- 突破型信号,易于捕捉短线趋势
- 交易频次较高,适合短线操作
- 可调参数,容易优化至不同品种
策略风险
- 范围突破容易出现冲高回落
- 需要较长历史数据计算范围
- 参数设置不当会过于灵敏或迟钝
- 无法有效控制止损,存在较大回撤
- 效果可能受到交易费用影响
可以通过以下措施来降低风险:
- 适当放宽范围过滤波动系数
- 优化参数,找到最佳参数组合
- 设置止损线止损或移动止损
- 适当减少交易频次,降低交易费用
- 根据不同品种分别测试参数
优化方向
该策略可以从以下几个方面进行优化:
测试计算范围的不同周期参数
优化范围过滤波动系数
加入MACD等指标进行二次确认
使用移动止损或追踪止损
根据具体品种不同调整参数
考虑优化仓位管理系统
总结
该策略利用价格突破范围来产生短线交易信号。这可以有效识别短期趋势机会。但也容易出现冲高回落的风险。我们可以通过参数优化,设置止损规则,加入指标过滤等方法来改进策略系统,在保留其突破识别能力的同时,控制风险、减少回撤。此外,针对不同品种特点进行参数调整也很关键。只有不断优化测试,才能使策略更稳定可靠。
策略源码
/*backtest
start: 2023-08-21 00:00:00
end: 2023-09-20 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title="Range Filter Buy and Sell 5min [Strategy]", overlay=true, commission_type=strategy.commission.percent, commission_value=0.025, default_qty_type=strategy.cash, default_qty_value=10000, initial_capital=10000, slippage=0)
// === INPUT BACKTEST RANGE ===
useDate = input(true, title='---------------- Use Date ----------------', type=bool)
FromMonth = input(defval = 7, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 25, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2019, title = "From Year", minval = 2017)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 2017)
start = timestamp(FromYear, FromMonth, FromDay, 00, 00) // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) // backtest finish window
window() => true // create function "within window of time"
// === INPUT BACKTEST RANGE ===
sources = input(defval=close, title="Source")
isHA = input(false, "Use HA Candles", bool)
src = isHA ? security(heikenashi(tickerid), period, sources) : sources
// Sampling Period
// Settings for 5min chart, BTCUSDC. For Other coin, change the paremeters
per = input(defval=50, minval=1, title="Sampling Period")
// Range Multiplier
mult = input(defval=3.0, minval=0.1, title="Range Multiplier")
// Smooth Average Range
smoothrng(x, t, m)=>
wper = (t*2) - 1
avrng = ema(abs(x - x[1]), t)
smoothrng = ema(avrng, wper)*m
smoothrng
smrng = smoothrng(src, per, mult)
// Range Filter
rngfilt(x, r)=>
rngfilt = x
rngfilt := x > nz(rngfilt[1]) ? ((x - r) < nz(rngfilt[1]) ? nz(rngfilt[1]) : (x - r)) : ((x + r) > nz(rngfilt[1]) ? nz(rngfilt[1]) : (x + r))
rngfilt
filt = rngfilt(src, smrng)
// Filter Direction
upward = 0.0
upward := filt > filt[1] ? nz(upward[1]) + 1 : filt < filt[1] ? 0 : nz(upward[1])
downward = 0.0
downward := filt < filt[1] ? nz(downward[1]) + 1 : filt > filt[1] ? 0 : nz(downward[1])
// Target Bands
hband = filt + smrng
lband = filt - smrng
// Colors
filtcolor = upward > 0 ? lime : downward > 0 ? red : orange
barcolor = (src > filt) and (src > src[1]) and (upward > 0) ? lime : (src > filt) and (src < src[1]) and (upward > 0) ? green :
(src < filt) and (src < src[1]) and (downward > 0) ? red : (src < filt) and (src > src[1]) and (downward > 0) ? maroon : orange
filtplot = plot(filt, color=filtcolor, linewidth=3, title="Range Filter")
// Target
hbandplot = plot(hband, color=aqua, transp=100, title="High Target")
lbandplot = plot(lband, color=fuchsia, transp=100, title="Low Target")
// Fills
fill(hbandplot, filtplot, color=aqua, title="High Target Range")
fill(lbandplot, filtplot, color=fuchsia, title="Low Target Range")
// Bar Color
//barcolor(barcolor)
// Break Outs
longCond = na
shortCond = na
longCond := ((src > filt) and (src > src[1]) and (upward > 0)) or ((src > filt) and (src < src[1]) and (upward > 0))
shortCond := ((src < filt) and (src < src[1]) and (downward > 0)) or ((src < filt) and (src > src[1]) and (downward > 0))
CondIni = 0
CondIni := longCond ? 1 : shortCond ? -1 : CondIni[1]
longCondition = longCond and CondIni[1] == -1
shortCondition = shortCond and CondIni[1] == 1
//Alerts
plotshape(longCondition, title = "Buy Signal", text ="BUY", textcolor = white, style=shape.labelup, size = size.normal, location=location.belowbar, color = green, transp = 0)
plotshape(shortCondition, title = "Sell Signal", text ="SELL", textcolor = white, style=shape.labeldown, size = size.normal, location=location.abovebar, color = red, transp = 0)
//strategy.entry("Long", strategy.long, stop = hband, when = window() , comment="Long")
//strategy.entry("Short", strategy.short, stop = lband, when = window() , comment="Short")
strategy.entry("Long", strategy.long, when = longCondition and window() , comment="Long")
strategy.entry("Short", strategy.short, when = shortCondition and window() , comment="Short")
// === Stop LOSS ===
useStopLoss = input(false, title='----- Use Stop Loss / Take profit -----', type=bool)
sl_inp = input(100, title='Stop Loss %', type=float, step=0.25)/100
tp_inp = input(1.5, title='Take Profit %', type=float, step=0.25)/100
stop_level = strategy.position_avg_price * (1 - sl_inp)
take_level = strategy.position_avg_price * (1 + tp_inp)
stop_level_short = strategy.position_avg_price * (1 + sl_inp)
take_level_short = strategy.position_avg_price * (1 - tp_inp)
// === Stop LOSS ===
if useStopLoss
strategy.exit("Stop Loss/Profit Long","Long", stop=stop_level, limit=take_level)
strategy.exit("Stop Loss/Profit Short","Short", stop=stop_level_short, limit=take_level_short)