ChaoZhang
概述
本策略使用长期RMA均线和短期EMA均线组合进行趋势判断,并以高低点突破实现趋势跟踪止损。还设置了无交易区间来过滤假突破。
策略原理
使用长周期RMA和短周期EMA判断趋势方向。短期EMA下穿长期RMA为看空信号,上穿为看多信号。
当价格突破最近一定周期的最高价时,采取跟踪最高价的方式止损。当价格突破最近一定周期的最低价时,采取跟踪最低价的方式止损。
设置无交易区间,价格进入该区间则不开仓,避免被套。区间范围由RMA均线的一定比例确定。
入场后设置止盈价格,以一定比例退出盈利。
策略优势
双均线组合判断趋势方向准确可靠。
跟踪止损方式使止损追随趋势运行。
设置无交易区间有效过滤假突破信号。
止盈设置让策略在积累足够盈利后主动平仓。
策略风险
双均线产生死叉时可能存在延迟,导致亏损扩大。
跟踪止损点过于靠近价格可能被前期噪音击出。
无交易区间设置过宽导致错过交易机会。
没有及时止损可能导致亏损进一步扩大。
对应解决方法:
优化均线参数,降低延迟概率。
适当放宽止损点,防止过于灵敏。
测试调整无交易区间范围,防止错过机会。
添加其他止损方式,限制最大亏损。
策略优化方向
测试其他均线指标组合,寻找更匹配的组合。
增加价差、MACD等判断指标,提高策略稳定性。
引入机器学习算法优化参数,使策略更智能化。
结合趋势强弱指标,避免逆势交易。
优化资金管理策略,提高策略胜率。
总结
本策略利用双均线判断趋势方向,并以高低点跟踪止损与无交易区间过滤来锁定趋势获利。策略框架简单清晰,可扩展性强,可通过调整参数区间、优化止盈止损策略、引入其他辅助判断指标等方式进行优化,使策略在不同市场中都能发挥良好效果。
策略源码
/*backtest
start: 2023-08-24 00:00:00
end: 2023-09-12 00:00:00
period: 3h
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/
// © PatrickGwynBuckley
//@version=5
//var initialCapital = strategy.equity
strategy("PB Trend Scalper", "PB Trend Scalper", overlay = true)
shortma = input.int(55, title="quick ma's")
longma = input.int(100, title="long ma's")
ema55h = ta.ema(high, shortma)
ema55l = ta.ema(low, shortma)
ema200h = ta.rma(high, longma)
ema200l = ta.rma(low, longma)
stock = ta.stoch(close, high, low, 14)
lev = input.int(3, title="leverage")
hhVal = input.int(170, title="Highest high period")
llVal = input.int(170, title="Lowest low period")
hh = ta.highest(high, hhVal)
ll = ta.lowest(low, llVal)
//plot(stock)
plot(hh, color=color.new(color.green, 50))
plot(ll, color=color.new(color.red, 50))
var float downtrade = 0
p = input.float(3.0, title="no trade zone")
l = 3
emadistlong = ema200h + ((ema200h/100)*p)
emadistshort = ema200l - ((ema200h/100)*p)
plot(ema55h)
plot(ema55l)
ntl = plot(emadistlong, color=color.new(color.red, 10))
nts = plot(emadistshort, color=color.new(color.red, 10))
fill(ntl, nts, color=color.new(color.red, 90))
//position size
EntryPrice = close
//positionValue = initialCapital
positionSize = (strategy.equity*lev) / EntryPrice
//plot(strategy.equity)
//standard short
if ema55h < ema200l and close[2] < ema55l and close[1] > ema55l and high[1] < ema55h and close < ema55h and ema55h < emadistshort and strategy.opentrades == 0// and stock > 85
strategy.entry("short", strategy.short, qty=positionSize, comment="short")
downtrade := 1
//reset count
if (ta.crossunder(ema55h, ema200l)) and downtrade == 1
downtrade := 0
//standard long
if ema55l > ema200h and close[2] > ema55h and close[1] < ema55h and low[1] > ema55l and close > ema55l and ema55l > emadistlong and strategy.opentrades <= 1// and stock < 15
strategy.entry("long", strategy.long, qty=positionSize, comment="long")
downtrade := 0
//RESET COUNT ON MA CROSS
if (ta.crossover(ema55l, ema200h)) and downtrade == 0
downtrade := 1
longclose2 = low < ll[1] or low < emadistshort //close < open and open<open[1] and open[2] < open[3] and open[3] < emadistshort//close < ta.lowest(low, 20)//
shortclose2 = high > hh[1] or high>emadistlong//close > open and open>open[1] and open[2]>open[3] and open[3] > emadistlong//high > emadistlong//close > ta.highest(high, 20)//
sl = 3.5
tp = input.float(6.9, title="take profit %")
tp2 = 10
strategy.exit("long exit", "long", profit = (strategy.position_avg_price*(tp)))//, loss = (strategy.position_avg_price*(sl)))
strategy.close("long", when = longclose2, comment = "long exit")
//strategy.close("long", when = (downtrade == 1), comment = "long exit")
//strategy.exit("long exit", "long2", profit = (strategy.position_avg_price*(tp2)))//, loss = (strategy.position_avg_price*(sl)))
//strategy.close ("long2", when = longclose2, comment = "long exit")
//strategy.close("long", when = (downtrade == 1), comment = "long exit")
strategy.exit("short exit", "short", profit = (strategy.position_avg_price*(tp)))//, loss = (strategy.position_avg_price*(sl)))//, loss = 300)
strategy.close("short", when = shortclose2, comment = "short exit")
//strategy.close("short", when = (downtrade == 0), comment = "short exit")
//strategy.exit("short exit", "short2", profit = (strategy.position_avg_price*(tp2)))//, loss = (strategy.position_avg_price*(sl)))
//strategy.close ("short2", when = shortclose2, comment = "short exit")
//strategy.close("short2", when = (downtrade == 0), comment = "short exit")
//if (strategy.exit("long exit", "long"))
//downtrade := 1
//else
// downtrade := 0
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