ChaoZhang
概述
该策略通过结合平均真实波动指标(ATR)和商品通道指标(CCI)来识别价格趋势,并以超买超卖区域作为 entry 和 exit 信号。ATR用于计算通道上下轨,而CCI用于判断趋势方向。当CCI从超买区下破时做空,从超卖区上破时做多,实现趋势跟踪。
策略原理
- 计算ATR,这里选择了2周期的ATR
- 计算CCI值,这里选择了10周期
- 根据当前K线的CCI值判断趋势方向
- CCI >= 0, Defines as Uptrend
- CCI < 0, Defines as Downtrend
- 计算上轨和下轨
- 上轨 = 最高价 + ATR * Multiplier
- 下轨 = 最低价 - ATR * Multiplier
- 在不同的趋势方向上,保存并更新上轨和下轨
- 当CCI >= 0时,如果上轨 < 前一根K线的上轨,则重新赋值;如果CCI < 0时,如果下轨 > 前一根K线的下轨,则重新赋值
- 这样可以避免channel随着价格反向移动
- 根据CCI值进入上轨或下轨作为entry signal
- 根据CCI值穿越0轴作为exit signal
- 设置止盈止损Exit
策略优势
该策略结合了趋势判断和通道突破,可以有效跟踪趋势。
- 使用CCI判断价格趋势方向,可以快速判断多空趋势
- ATR通道设置止损止盈,可以控制风险
- 当价格反转时,上下轨能够快速调整方向,避免被困在原趋势的通道中
- 通过CCI的0轴交叉作为退出信号,可以跟随趋势且避免反转坑害
策略风险及优化
- CCI和ATR参数设置需要优化,不同周期及参数下,效果可能会有较大差异
- 虽然可以通过通道调整避免局促,但如果出现剧烈反转,仍然可能获利不足或亏损
- 停损点设置需要优化,适当放宽止损范围,避免过于频繁停损
- 可以结合其他指标过滤entry signal,优化entry机会
- 可以通过与更高周期趋势指标结合,避免反向交易
总结
该策略整体来说是一个简单实用的趋势跟踪策略。优点是思路清晰,易于实现,可以快速抓住趋势机会。但其中的参数设置、止损范围等都需要根据市场情况进行优化调整。与其他指标组合使用可以进一步增强策略效果。总体来说,该策略作为趋势跟踪入门策略还是不错的,值得学习借鉴。
策略源码
/*backtest
start: 2023-08-26 00:00:00
end: 2023-09-25 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("Trend Trader Karan",overlay=true)
res = input(title="Resolution", type=input.resolution, defval="60",confirm = true)
ProfitPerc = input(title=" Take Profit (%)",type=input.float, minval=0.0, step=0.1, defval=1.4) * 0.01
stoploss = input(title=" Stop Loss (%)",type=input.float, minval=0.0, step=0.1, defval=0.7) * 0.01
CCI = input(10,title = "CCI")
ATR = input(2,title = "ATR")
Multiplier= 1
original = false
thisCCI = cci(close, CCI)
lastCCI = nz(thisCCI[1])
calcx()=>
bufferDn= high + Multiplier * wma(tr,ATR)
bufferUp= low - Multiplier * wma(tr,ATR)
if (thisCCI >= 0 and lastCCI < 0)
bufferUp := bufferDn[1]
if (thisCCI <= 0 and lastCCI > 0)
bufferDn := bufferUp[1]
if (thisCCI >= 0)
if (bufferUp < bufferUp[1])
bufferUp := bufferUp[1]
else
if (thisCCI <= 0)
if (bufferDn > bufferDn[1])
bufferDn := bufferDn[1]
x = 0.0
x := thisCCI >= 0 ?bufferUp:thisCCI <= 0 ?bufferDn:x[1]
x
tempx = calcx()
calcswap() =>
swap = 0.0
swap := tempx>tempx[1]?1:tempx<tempx[1]?-1:swap[1]
swap
tempswap = calcswap()
swap2=tempswap==1?color.green:color.red
swap3=thisCCI >=0 ?color.green :color.red
swap4=original?swap3:swap2
//display current timeframe's Trend
plot(tempx,color=swap4 == color.green ? color.green : swap4,transp=0,linewidth=4)
htfx = security(syminfo.tickerid,res,tempx[1],lookahead = barmerge.lookahead_on)
htfswap4 = security(syminfo.tickerid,res,swap4[1],lookahead = barmerge.lookahead_on)
plot(htfx,color=htfswap4,transp=0,linewidth=3)
//plotarrow( ? 1 : swap4[1] == color.yellow and swap4 == color.blue ? -1 :0 , title="Up Entry Arrow", colorup=color.green,colordown = color.blue, maxheight=10, minheight=10, transp=0)
plotshape( swap4[1] == color.red and swap4 == color.green ? 1 : na , style = shape.triangleup , color = color.blue , location = location.belowbar , size = size.tiny )
plotshape( swap4[1] == color.green and swap4 == color.red ? 1 : na , style = shape.triangledown , color = color.red , location = location.abovebar , size = size.tiny)
buy = swap4[1] == color.red and swap4 == color.green and htfswap4 == color.green
sell = swap4[1] == color.green and swap4 == color.red and htfswap4 == color.red
if(buy)
strategy.entry("buy",true)
if(sell)
strategy.entry("sell",false)
if(swap4[1] == color.red and swap4 == color.green)
strategy.close("sell")
if(swap4[1] == color.green and swap4 == color.red )
strategy.close("buy")
longExitPrice = strategy.position_avg_price * (1 + ProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - ProfitPerc)
stop_buy = strategy.position_avg_price * (1 - stoploss)
stop_sell = strategy.position_avg_price * (1 + stoploss)
if (strategy.position_size > 0)
strategy.exit(id="Target", limit=longExitPrice , stop = stop_buy)
if (strategy.position_size < 0)
strategy.exit(id="Target", limit=shortExitPrice , stop = stop_sell)
///////////////study("EMA ", overlay=true)
plot(ema(close, 200), color=#FF7000, linewidth=2, title='200 Day EMA')
plot(ema(close, 20), color=#0088FA, linewidth=2, title='20 Day EMA')
plot(ema(close, 50), color=#FA00D0, linewidth=2, title='50 Day EMA')
//////////////////study("Trend Lines+++", overlay=true)
//
src = input(low)
len0 = input(100)
calcSlope(src, len0) =>
if not barstate.islast
[float(na), float(na), float(na)]
else
sumX = 0.0
sumY = 0.0
sumXSqr = 0.0
sumXY = 0.0
for i = 0 to len0 - 1
val = src[i]
per = i + 1.0
sumX := sumX + per
sumY := sumY + val
sumXSqr := sumXSqr + per * per
sumXY := sumXY + val * per
slope = (len0 * sumXY - sumX * sumY) / (len0 * sumXSqr - sumX * sumX)
average = sumY / len0
intercept = average - slope * sumX / len0 + slope
[slope, average, intercept]
[s, a, i] = calcSlope(src, len0)
startPrice = i + s * (len0 - 1)
endPrice = i
// var line baseLine = na
// if na(baseLine)
// baseLine := line.new(bar_index - len0 + 1, startPrice, bar_index, endPrice, width=4, extend=extend.right)
// else
// line.set_xy1(baseLine, bar_index - len0 + 1, startPrice)
// line.set_xy2(baseLine, bar_index, endPrice)
// na
//
mx = input(100, "Range", minval=1)
mn = max(2, round(mx / 10) + 1)
LN(B, CLR) =>
s1 = B == 1 ? highest(src, mx) : lowest(src, mx)
s2 = B == 1 ? highest(src, mn) : lowest(src, mn)
c1 = s1 == src
c2 = s2 == src
b1 = barssince(c1)
b2 = barssince(c2)
v1 = valuewhen(c1, s1, 0)
v2 = valuewhen(c2, s2, 0)
// line.new(bar_index - b1, v1, bar_index - b2, v2, extend=extend.both, color=CLR, width=2)
// L1 = LN(1, #ff0088), line.delete(L1[1])
// L2 = LN(0, #00ff88), line.delete(L2[1])
//
// Input variables
len=input(30,title="loockback length pivots")
wicks=input(true,title="Draw lines from wicks (checked) or real bodies (unchecked)?")
disp_select=input(true,title="Display only falling 'high' and rising 'low' trendlines?")
do_mono=input(false,title="checked = monochrome lines, unchecked = direction colored lines?")
limit_extension=input(0,title="Limit extensions of the lines? 0 = infinite, other values x 100 bars",minval=0)
do_alerts=input(true,title="show trendline breaks")
trendline_nr=input(5,title="number of past trendlines to check for breaks (max = 10)",minval=0,maxval=10)
select_breaks=input(true,title="only display 'long' breaks on trendlines connecting 'highs' and 'short' for 'lows'")
log_chart=input(false,title="USING A LOG CHART? MAKE SURE TO CHECK THIS BOX!!")
// Calculating the 'time value' of one bar
bar_time=time-time[1]
// Initialising color scheme
var color color_rising=do_mono?color.teal:color.lime
var color color_falling=do_mono?color.teal:color.fuchsia
/////// Function declarations ///////
// Declaration of trendline function
f_trendline(_input_function,_delay,_only_up,_extend) =>
// Calculate line coordinates (Ax,Ay) - (Bx,By)
var int Ax = 0
var int Bx = 0
var float By = 0.0
var float slope = 0.0
Ay = fixnan(_input_function)
if change(Ay)!=0
Ax := time[_delay]
By:= Ay[1]
Bx := Ax[1]
slope:=log_chart?((log(Ay)-log(By))/(Ax-Bx)):((Ay-By)/(Ax-Bx))
else
Ax := Ax[1]
Bx := Bx[1]
By := By[1]
// Draw trendlines
var line trendline=na
var int Axbis=0
var float Aybis=0.0
var bool _xtend=true
extension_time = limit_extension*bar_time*100
Axbis := Ax + extension_time
Aybis := log_chart?(Ay*exp(extension_time*slope)):(Ay + extension_time*slope)
if limit_extension!=0
_xtend:=false
if change(Ay)!=0
line_color = slope*time<0?(_only_up?(disp_select?na:color_rising):color_rising):(_only_up?color_falling:(disp_select?na:color_falling))
if not na(line_color)
trendline = line.new(Bx,By,Axbis, Aybis, xloc.bar_time, extend=_xtend?extend.right:extend.none, color=line_color, style=line.style_dotted, width=1)
[Bx,By,Axbis,Aybis,slope]
// Function to get trendline price for X bars ago ("0" = current value)
line_get_price(_start_time,_start_price,_slope,_lookback_period,_log_chart) =>
var float current_price=0.0
elapsed_time = (time-_start_time)
current_price := _log_chart?(_start_price*exp((elapsed_time-(_lookback_period*bar_time))*_slope)):(_start_price + (elapsed_time-(_lookback_period*bar_time))*_slope)
// Function to check for trendline crosses
line_cross(_check_value,_start_time,_start_price,_slope,_log_chart) =>
var float current_value=0.0
var float previous_value=0.0
// Get current and previous price for the trendline
current_value := line_get_price(_start_time,_start_price,_slope,0,_log_chart)
previous_value := line_get_price(_start_time,_start_price,_slope,1,_log_chart)
// Return 1 for crossover, -1 for crossunder and 0 for no cross detected
cross =
_check_value[1]<previous_value and _check_value>current_value?1:
_check_value[1]>previous_value and _check_value<current_value?-1:0
/////// Start of main script ///////
// Calculate pivot points
high_point=pivothigh(wicks?high:(close>open?close:open),len,len/2)
low_point=pivotlow(wicks?low:(close>open?open:close),len,len/2)
// Call trendline function for high and low pivot points
[phx1,phy1,phx2,phy2,slope_high]=f_trendline(high_point,len/2,false,true)
[plx1,ply1,plx2,ply2,slope_low]=f_trendline(low_point,len/2,true,true)
// Initialition of pseudo array to keep track of last 10 high and 10 low trendline values
var int high_x0=0, var float high_y0=0.0, var float high_sl0=0.0
var int high_x1=0, var float high_y1=0.0, var float high_sl1=0.0
var int high_x2=0, var float high_y2=0.0, var float high_sl2=0.0
var int high_x3=0, var float high_y3=0.0, var float high_sl3=0.0
var int high_x4=0, var float high_y4=0.0, var float high_sl4=0.0
var int high_x5=0, var float high_y5=0.0, var float high_sl5=0.0
var int high_x6=0, var float high_y6=0.0, var float high_sl6=0.0
var int high_x7=0, var float high_y7=0.0, var float high_sl7=0.0
var int high_x8=0, var float high_y8=0.0, var float high_sl8=0.0
var int high_x9=0, var float high_y9=0.0, var float high_sl9=0.0
var int low_x0=0, var float low_y0=0.0, var float low_sl0=0.0
var int low_x1=0, var float low_y1=0.0, var float low_sl1=0.0
var int low_x2=0, var float low_y2=0.0, var float low_sl2=0.0
var int low_x3=0, var float low_y3=0.0, var float low_sl3=0.0
var int low_x4=0, var float low_y4=0.0, var float low_sl4=0.0
var int low_x5=0, var float low_y5=0.0, var float low_sl5=0.0
var int low_x6=0, var float low_y6=0.0, var float low_sl6=0.0
var int low_x7=0, var float low_y7=0.0, var float low_sl7=0.0
var int low_x8=0, var float low_y8=0.0, var float low_sl8=0.0
var int low_x9=0, var float low_y9=0.0, var float low_sl9=0.0
// If a new trendline is formed, shift all values in the array one place up and forget the last values
if change(fixnan(high_point))!=0
high_x9:=high_x8, high_y9:=high_y8, high_sl9:=high_sl8
high_x8:=high_x7, high_y8:=high_y7, high_sl8:=high_sl7
high_x7:=high_x6, high_y7:=high_y6, high_sl7:=high_sl6
high_x6:=high_x5, high_y6:=high_y5, high_sl6:=high_sl5
high_x5:=high_x4, high_y5:=high_y4, high_sl5:=high_sl4
high_x4:=high_x3, high_y4:=high_y3, high_sl4:=high_sl3
high_x3:=high_x2, high_y3:=high_y2, high_sl3:=high_sl2
high_x2:=high_x1, high_y2:=high_y1, high_sl2:=high_sl1
high_x1:=high_x0, high_y1:=high_y0, high_sl1:=high_sl0
high_x0:=phx1, high_y0:=phy1, high_sl0:=slope_high
if change(fixnan(low_point))!=0
low_x9:=low_x8, low_y9:=low_y8, low_sl9:=low_sl8
low_x8:=low_x7, low_y8:=low_y7, low_sl8:=low_sl7
low_x7:=low_x6, low_y7:=low_y6, low_sl7:=low_sl6
low_x6:=low_x5, low_y6:=low_y5, low_sl6:=low_sl5
low_x5:=low_x4, low_y5:=low_y4, low_sl5:=low_sl4
low_x4:=low_x3, low_y4:=low_y3, low_sl4:=low_sl3
low_x3:=low_x2, low_y3:=low_y2, low_sl3:=low_sl2
low_x2:=low_x1, low_y2:=low_y1, low_sl2:=low_sl1
low_x1:=low_x0, low_y1:=low_y0, low_sl1:=low_sl0
low_x0:=plx1, low_y0:=ply1, low_sl0:=slope_low
// Check Trendline crosses for last X nr. of trendlines
cross_high0=
disp_select and high_sl0*time>0?0:
line_cross(close,high_x0,high_y0,high_sl0,log_chart)
cross_low0=
disp_select and low_sl0*time<0?0:
line_cross(close,low_x0,low_y0,low_sl0,log_chart)
cross_high1=
disp_select and high_sl1*time>0?0:
line_cross(close,high_x1,high_y1,high_sl1,log_chart)
cross_low1=
disp_select and low_sl1*time<0?0:
line_cross(close,low_x1,low_y1,low_sl1,log_chart)
cross_high2=
disp_select and high_sl2*time>0?0:
line_cross(close,high_x2,high_y2,high_sl2,log_chart)
cross_low2=
disp_select and low_sl2*time<0?0:
line_cross(close,low_x2,low_y2,low_sl2,log_chart)
cross_high3=
disp_select and high_sl3*time>0?0:
line_cross(close,high_x3,high_y3,high_sl3,log_chart)
cross_low3=
disp_select and low_sl3*time<0?0:
line_cross(close,low_x3,low_y3,low_sl3,log_chart)
cross_high4=
disp_select and high_sl4*time>0?0:
line_cross(close,high_x4,high_y4,high_sl4,log_chart)
cross_low4=
disp_select and low_sl4*time<0?0:
line_cross(close,low_x4,low_y4,low_sl4,log_chart)
cross_high5=
disp_select and high_sl5*time>0?0:
line_cross(close,high_x5,high_y5,high_sl5,log_chart)
cross_low5=
disp_select and low_sl5*time<0?0:
line_cross(close,low_x5,low_y5,low_sl5,log_chart)
cross_high6=
disp_select and high_sl6*time>0?0:
line_cross(close,high_x6,high_y6,high_sl6,log_chart)
cross_low6=
disp_select and low_sl6*time<0?0:
line_cross(close,low_x6,low_y6,low_sl6,log_chart)
cross_high7=
disp_select and high_sl7*time>0?0:
line_cross(close,high_x7,high_y7,high_sl7,log_chart)
cross_low7=
disp_select and low_sl7*time<0?0:
line_cross(close,low_x7,low_y7,low_sl7,log_chart)
cross_high8=
disp_select and high_sl8*time>0?0:
line_cross(close,high_x8,high_y8,high_sl8,log_chart)
cross_low8=
disp_select and low_sl8*time<0?0:
line_cross(close,low_x8,low_y8,low_sl8,log_chart)
cross_high9=
disp_select and high_sl9*time>0?0:
line_cross(close,high_x9,high_y9,high_sl9,log_chart)
cross_low9=
disp_select and low_sl9*time<0?0:
line_cross(close,low_x9,low_y9,low_sl9,log_chart)
long_break=
(trendline_nr>9?cross_high9==1 or (select_breaks?false:cross_low9==1):false) or
(trendline_nr>8?cross_high8==1 or (select_breaks?false:cross_low8==1):false) or
(trendline_nr>7?cross_high7==1 or (select_breaks?false:cross_low7==1):false) or
(trendline_nr>6?cross_high6==1 or (select_breaks?false:cross_low6==1):false) or
(trendline_nr>5?cross_high5==1 or (select_breaks?false:cross_low5==1):false) or
(trendline_nr>4?cross_high4==1 or (select_breaks?false:cross_low4==1):false) or
(trendline_nr>3?cross_high3==1 or (select_breaks?false:cross_low3==1):false) or
(trendline_nr>2?cross_high2==1 or (select_breaks?false:cross_low2==1):false) or
(trendline_nr>1?cross_high1==1 or (select_breaks?false:cross_low1==1):false) or
cross_high0==1 or (select_breaks?false:cross_low0==1)
short_break=
(trendline_nr>9?(select_breaks?false:cross_high9==-1) or cross_low9==-1:false) or
(trendline_nr>8?(select_breaks?false:cross_high8==-1) or cross_low8==-1:false) or
(trendline_nr>7?(select_breaks?false:cross_high7==-1) or cross_low7==-1:false) or
(trendline_nr>6?(select_breaks?false:cross_high6==-1) or cross_low6==-1:false) or
(trendline_nr>5?(select_breaks?false:cross_high5==-1) or cross_low5==-1:false) or
(trendline_nr>4?(select_breaks?false:cross_high4==-1) or cross_low4==-1:false) or
(trendline_nr>3?(select_breaks?false:cross_high3==-1) or cross_low3==-1:false) or
(trendline_nr>2?(select_breaks?false:cross_high2==-1) or cross_low2==-1:false) or
(trendline_nr>1?(select_breaks?false:cross_high1==-1) or cross_low1==-1:false) or
(select_breaks?false:cross_high0==-1) or cross_low0==-1
// Plot and connect pivot points
color_high=slope_high*time<0?color_rising:(disp_select?na:color_falling)
color_low=slope_low*time>0?color_falling:(disp_select?na:color_rising)
plot(high_point,color=color_high,offset=-len/2)
plot(low_point,color=color_low,offset=-len/2)
//
// Function outputs 1 when it's the first bar of the D/W/M/Y
is_newbar(res) =>
ch = 0
if(res == 'Y')
t = year(time('D'))
ch := change(t) != 0 ? 1 : 0
else
t = time(res)
ch := change(t) != 0 ? 1 : 0
ch
////////////
// INPUTS //
////////////
pp_period = input(title = "Period", type=input.string, defval="Day", options = ['Day', 'Week', 'Month', 'Year'])
pp_res = pp_period == 'Day' ? 'D' : pp_period == 'Week' ? 'W' : pp_period == 'Month' ? 'M' : 'Y'
/////////////////////
// Get HLC from HT //
// Calc High
high_cur = 0.0
high_cur := is_newbar(pp_res) ? high : max(high_cur[1], high)
phigh = 0.0
phigh := is_newbar(pp_res) ? high_cur[1] : phigh[1]
// Calc Low
low_cur = 0.0
low_cur := is_newbar(pp_res) ? low : min(low_cur[1], low)
plow = 0.0
plow := is_newbar(pp_res) ? low_cur[1] : plow[1]
// Calc Close
pclose = 0.0
pclose := is_newbar(pp_res) ? close[1] : pclose[1]