ChaoZhang
概述
该策略基于Bill Williams的鳄鱼指标,但是使用另一种价格输入——Heiken Ashi蜡烛线。这是一个短线scalping策略,适用于1分钟到5分钟时间框架。
策略原理
该策略的主要交易原理有:
使用Heiken Ashi蜡烛线而不是标准蜡烛线作为价格输入。Heiken Ashi可以过滤市场噪音,识别趋势。
应用Bill Williams鳄鱼指标中的三条均线:下颚线、牙齿线、唇线。它们类似于移动平均线,可以判断趋势方向。
当三条均线排列为:下颚线最低,牙齿线居中,唇线最高时,表示多头趋势;当排列顺序为:下颚线最高,牙齿线居中,唇线最低时,表示空头趋势。
根据Heiken Ashi实体方向和鳄鱼线排列情况判断入场。实体向上且鳄鱼线排列看多,则做多;实体向下且鳄鱼线排列看空,则做空。
当鳄鱼线排列顺序发生变化时,表示趋势反转,应及时止损离场。
采用固定止盈、止损点数设置风险管理。可选目标利润点数、止损点数、追踪止损来控制每单损益。
该策略结合双重过滤器,既使用Heiken Ashi识别趋势,也使用鳄鱼线判断反转,形成高概率的短线交易策略。
优势分析
该策略具有以下主要优势:
双重指标过滤减少假信号。Heiken Ashi和鳄鱼线的组合可提高信号质量。
清晰直观的趋势判断。鳄鱼线的排列明确可靠,不会产生模棱两可情况。
高效的短线交易捕捉。适合1分钟到5分钟周期的scalping交易。
简单的参数设定。无须复杂优化,少量参数即可使用。
严格的风险管理。使用止盈止损点数控制每单损益。
明确的入场退出机制。根据鳄鱼线排列变化来开平仓。
容易复制实施。新手交易者也可以轻松使用该策略。
风险分析
该策略的主要风险有:
回撤风险。鳄鱼线产生频繁信号,将增加交易频率和滑点成本。
震荡行情风险。盘整行情中鳄鱼线将频繁交叉,产生错误信号。
过优化风险。参数优化不当可能导致曲线过拟合。
指标失效风险。市场极端情况下鳄鱼线可能完全失效。
止损被突破风险。快速突破可能触发止损造成损失。
交易频率过高风险。高频交易增加交易成本和不必要的滑点损失。
可通过 expectancy Expectancy 治理,优化止损策略,控制交易频率等方法来缓解上述风险。
优化方向
该策略可以从以下几个方面进行优化:
整合其他指标进行信号过滤,提高胜率。例如结合RSI等强弱指标。
设置ATR动态止损,以控制单笔亏损风险。
添加仓位管理模块,优化每次开仓规模。可在趋势更明朗时加大仓位。
结合图形形态等技术分析方法,提高入场的准确性。
按照市场类型(股票、外汇等)进行参数优化,使之更符合该品种。
增加机器学习模块,实现参数的自适应优化。
进行Expectancy胜率计算,优化止盈止损比例。
通过持续改进,该策略可以成为一套稳定的短线交易策略。
总结
该策略使用Heiken Ashi配合Bill Williams鳄鱼指标,形成高概率的短线交易策略。它具有指标双重过滤、简单参数设置、明确的入场退出机制等优势,可有效捕捉趋势变化进行scalping交易。但也需要警惕震荡 markets 市场中产生的 whipsaws 误交易,并控制止损风险。通过不断优化,该策略可成为相对稳定的短线交易系统。
/*backtest
start: 2022-09-18 00:00:00
end: 2023-09-24 00:00:00
period: 4d
basePeriod: 1d
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/
// © 03.freeman
//Scalping strategy based on Bill Williams Alligator technique but applied to heikin ashi candles
//This strategy has to be applied to standard candles and low time frames (1min to 5min)
//@version=4
strategy("Bill Williams Alligator improved", shorttitle="Scalping alligator",overlay=true)
//source = input(close)
useHA = input (true,"Use heikin ashi candle?")
// ----------MA calculation - ChartArt-------------
smoothinput = input(1, minval=1, maxval=5, title='Moving Average Calculation: (1=SMA), (2=EMA), (3=WMA), (4=Linear), (5=VWMA)')
calc_ma(src,l) =>
smoothinput == 1 ? sma(src, l):smoothinput == 2 ? ema(src, l):smoothinput == 3 ? wma(src, l):smoothinput == 4 ? linreg(src, l,0):smoothinput == 5 ? vwma(src,l):na
//----------------------------------------------
heikinashi_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
heikinashi_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
heikinashi_hl2 = security(heikinashi(syminfo.tickerid), timeframe.period, hl2)
direzione=heikinashi_close>heikinashi_open and heikinashi_close[1]>heikinashi_open[1]? 1 : heikinashi_close<heikinashi_open and heikinashi_close[1]<heikinashi_open[1]? -1 : 0
jawLength = input(13, minval=1, title="Jaw Length")
teethLength = input(8, minval=1, title="Teeth Length")
lipsLength = input(5, minval=1, title="Lips Length")
jawOffset = input(8, title="Jaw Offset")
teethOffset = input(5, title="Teeth Offset")
lipsOffset = input(3, title="Lips Offset")
jaw = calc_ma(heikinashi_hl2, jawLength)
teeth = calc_ma(heikinashi_hl2, teethLength)
lips = calc_ma(heikinashi_hl2, lipsLength)
plot(jaw, title="jaw",offset = jawOffset, color=#3BB3E4)
plot(teeth, title="teeth",offset = teethOffset, color=#FF006E)
plot(lips, title="lips",offset = lipsOffset, color=#36C711)
longCondition = direzione[0]==1 and jaw<teeth and jaw<lips and teeth<lips
shortCondition = direzione[0]==-1 and jaw>teeth and jaw>lips and teeth>lips
// Strategy: (Thanks to JayRogers)
// === STRATEGY RELATED INPUTS ===
//tradeInvert = input(defval = false, title = "Invert Trade Direction?")
// the risk management inputs
inpTakeProfit = input(defval = 0, title = "Take Profit Points", minval = 0)
inpStopLoss = input(defval = 0, title = "Stop Loss Points", minval = 0)
inpTrailStop = input(defval = 0, title = "Trailing Stop Loss Points", minval = 0)
inpTrailOffset = input(defval = 0, title = "Trailing Stop Loss Offset Points", minval = 0)
// === RISK MANAGEMENT VALUE PREP ===
// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na
useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() => direzione[0]==1 and jaw<teeth and jaw<lips and teeth<lips // functions can be used to wrap up and work out complex conditions
exitLong() => jaw>teeth or jaw>lips or teeth>lips
strategy.entry(id = "Buy", long = true, when = enterLong() ) // use function or simple condition to decide when to get in
strategy.close(id = "Buy", when = exitLong() ) // ...and when to get out
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() => direzione[0]==-1 and jaw>teeth and jaw>lips and teeth>lips
exitShort() => jaw<teeth or jaw<lips or teeth<lips
strategy.entry(id = "Sell", long = false, when = enterShort())
strategy.close(id = "Sell", when = exitShort() )
// === STRATEGY RISK MANAGEMENT EXECUTION ===
// finally, make use of all the earlier values we got prepped
strategy.exit("Exit Buy", from_entry = "Buy", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Exit Sell", from_entry = "Sell", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
// === Backtesting Dates === thanks to Trost
testPeriodSwitch = input(false, "Custom Backtesting Dates")
testStartYear = input(2020, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testStartHour = input(0, "Backtest Start Hour")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,testStartHour,0)
testStopYear = input(2020, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(31, "Backtest Stop Day")
testStopHour = input(23, "Backtest Stop Hour")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,testStopHour,0)
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
isPeriod = true
// === /END
if not isPeriod
strategy.cancel_all()
strategy.close_all()