ChaoZhang
概述
本策略运用EMA指标判断趋势方向,并结合自适应斐波那契回撤自动确定反转点,实现低买高卖,捕捉下跌趋势行情。策略操作频繁,适合短线交易。
策略原理
使用9日EMA和21日EMA形成金叉死叉,判断趋势方向。21日EMA下穿55日EMA视为下跌趋势启动信号。
设置自适应斐波那契回撤指标,长度为100周期,根据最近价格震荡范围自动确定关键回撤比例。
当价格突破0.236斐波那契回撤时,视为反转信号,平仓原有仓位。
当9日EMA下穿21日EMA,并且价格低于自适应斐波那契最高点时,做空入场。
多头获利退出条件为突破200日EMA。空头止损退出条件为突破0.236斐波那契回撤。
策略优势
使用EMA判断趋势方向,操作信号简单清晰
自适应斐波那契回撤,不需要人工确定参数
策略操作频繁,可捕捉短线变化,实现高频策略
利用关键回撤点确定反转,及时止损
可配置参数,优化策略以适应不同周期
策略风险
EMA指标存在滞后,需要组合其他指标进行确认
自适应斐波那契可能过度优化,回撤点不稳定
高频交易增加交易成本和滑点成本
无法有效过滤震荡趋势,存在过多错误信号
回撤管理和盈亏比控制有待改进
策略优化方向
增加量能指标,避免量价背离所导致的失误信号
优化EMA周期参数,使其更符合当前市场环境
设置动态止损以更好控制风险
结合趋势强弱指标,避免在震荡期反复交易
考虑实际交易成本的影响,设置最小止盈幅度
总结
本策略利用EMA判别趋势方向,并使用自适应斐波那契回撤动态确定反转点,可自动适应不同市场变化。但该策略更依赖指标提示,缺乏趋势分段和波浪判断逻辑,优化空间较大。整体来说,作为一个高频短线交易策略,可以捕捉较快的价格变动,但需要交易者承担频繁停损带来的风险,以及防范过度交易的问题。
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"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © CheatCode1
//@version=5
strategy("CC-Trend strategy 2", overlay=true, initial_capital = 10000, commission_type = strategy.commission.percent, commission_value = 0.01, default_qty_type = strategy.percent_of_equity, default_qty_value = 100 )
ema9 = ta.ema(close, 9)
ema21 = ta.ema(close, 21)
ema55 = ta.ema(close, 55)
ema200 = ta.ema(close, 200)
plot(ema200, '22', color.blue, 2)
FibL = input.int(100, 'Fibonacci Length', 1, 500, group = 'Automatic Fibonacci Retracement')
len1 = input.int(1, 'Show Last', 0, 1000, group = 'Automatic Fibonacci Retracement')
len2 = input.int(5, 'Offset Length', 0, 1000, group = 'Automatic Fibonacci Retracement')
highF = ta.highest(ema55 >= ema9 ? ema55:ema9, FibL)
lowF = ta.lowest(ema55 >= ema9 ? ema9:ema55, FibL)
AvgFib = highF - lowF
//Fibonacci Executions
LL2 = highF + .618 * AvgFib
LL1 = highF + .272 * AvgFib
L1 = highF
L236 = highF - 0.236 * AvgFib
L382 = highF - 0.382 * AvgFib
Mid = highF - 0.50 * AvgFib
S382 = lowF + 0.382 * AvgFib
S236 = lowF + 0.236 * AvgFib
S1 = lowF
SS1 = lowF - .272 * AvgFib
SS2 = lowF - .618 * AvgFib
//Fibonacci Plot's
high2FP = plot(LL2, 'Highe2', color.red,offset = len2, show_last = len1, trackprice = true)
high1FP = plot(LL1, 'Highe1', color.red,offset = len2, show_last = len1, trackprice = true)
highFP = plot(highF, 'High', color.red,offset = len2, show_last = len1, trackprice = true)
L236P = plot(L236, "0.764", #ED381C, offset = len2, show_last = len1, trackprice = true )
L382P = plot(L382, "0.618", color.white,offset = len2, show_last = len1, trackprice = true )
MidP = plot(Mid, "0.5", color.orange,offset = len2, show_last = len1, trackprice = true )
S382P = plot(S382, "0.382", color.yellow ,offset = len2, show_last = len1, trackprice = true)
S236P = plot(S236, "0.236", color.lime ,offset = len2, show_last = len1, trackprice = true)
lowFP = plot(lowF, 'Low', color.green,offset = len2, show_last = len1, trackprice = true)
low1FP = plot(SS1, 'Lowe1', color.green,offset = len2, show_last = len1, trackprice = true)
low2FP = plot(SS2, 'Lowe2', color.green,offset = len2, show_last = len1, trackprice = true)
plot(ema9, '22', color.yellow, 2)
plot(ema55, '55', color.aqua, 2)
plot(ema200, '200', color.maroon, 2)
shortCondition = close[1] < highF and ema21 < ema55
if (shortCondition)
strategy.entry("Short", strategy.short)
shorttp = ta.crossover(close, ema200) and strategy.openprofit >= 0
if (shorttp)
strategy.close('Short', 'Short TP', qty_percent = 100)
shortclose2 = close[1] > L236 and not (shortCondition)
if(shortclose2)
strategy.close('Short', 'Short RM', qty_percent = 100)