ChaoZhang
概述
该策略基于均线交易,通过设定多头和空头的三条进场线,实现多空双向开仓,属于趋势跟踪策略。当价格突破均线时,依次开仓做多做空,通过吊挂单实现分批进场。
策略原理
该策略主要基于均线的突破来判断趋势方向。具体来说,它通过计算开盘价、收盘价、最高价、最低价等的算术平均值,得到一个均线指标。然后根据均线上方设定多头进场线,均线下方设定空头进场线。当价格从下方突破均线时,依次触发做多订单;当价格从上方突破均线时,依次触发做空订单。
做多做空的订单数量依次递增,通过设定吊挂单实现分批开仓。比如,进场线1触发开启1手做多/空,进场线2触发增加1手持仓,进场线3再增加1手持仓。这样可以分散进场成本,降低单笔订单的风险。
该策略还设置了一个回补机制。当持仓量不为0时,会根据均线价格设置追踪止损单,如果价格重新跌破均线,则止损平仓。这可以锁定部分盈利,保护资金。
总体来说,该策略充分利用均线指标判断趋势方向,通过多级别进场线实现盈利区间的最大化,同时设置止损单控制风险,属于典型的趋势跟踪策略。
优势分析
该策略具有以下优势:
利用均线判断趋势方向清晰可行。均线可以有效过滤市场噪音,判断主要趋势方向。
多级别进场线,充分利用趋势运行区间。通过多条进场线,可以最大程度地捕捉趋势的整个运行区间,扩大盈利空间。
分批开仓,降低单笔风险。分多次进场,可以分散订单的风险,降低仓位的平均持仓成本。
设置回补止损机制,有效控制风险。通过回补止损单,可以在价格重新跌破均线时快速止损,避免亏损过大。
策略思路清晰易懂,参数设置灵活,可针对不同市场进行优化。
风险分析
该策略也存在一些风险:
均线发出错误信号的概率。均线判断趋势存在滞后,可能发出错误信号。
趋势反转带来的亏损风险。策略以趋势为前提,一旦发生趋势反转,将产生较大亏损。
进场线设定过密,增加交易频率和滑点成本。
分批开仓增加仓位集中度风险。持仓量过大时,风险集中。
止损点设置不合理,可能过早止损或止损点过小。
对应风险管理措施:
优化均线参数,选择合适周期均线。
关注重要技术指标,判断趋势反转信号,及时止损。
调整进场线设置距离,降低交易频率。
优化仓位大小和比例,控制集中度风险。
测试和优化止损点位,降低止损风险。
优化方向
该策略可以从以下方面进行优化:
测试不同均线参数和数据源,选择判断趋势效果最好的均线指标。
优化多空进场线的距离间隔和仓位数比例,找到最佳参数。
结合其他指标作为过滤条件,避免均线发出错误信号。比如MACD,RSI等。
优化止损线位置,也可以根据ATR动态设置止损点位。
增加对趋势反转的判断,设置关闭全部持仓的条件。
可以根据市场不同时段,优化策略的参数。
增加仓位数量的动态调整功能,根据资金使用比例确定开仓手数。
总结
本策略整体采用均线判断趋势方向,以趋势的运行为主要盈利来源。通过多级别进场和分批开仓,可以有效把握趋势,扩大盈利区间。同时设置止损机制来控制风险。该策略思路简单清晰,既适合初学者学习,也可以进行深入优化,是一种典型的趋势跟踪策略。
策略源码
/*backtest
start: 2022-09-19 00:00:00
end: 2023-09-25 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2019
//@version=4
strategy(title = "Robot WhiteBox Iceberg", shorttitle = "Robot WhiteBox Iceberg", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 3)
//Settings
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot")
len = input(3, minval = 1, title = "MA Length")
s = input(defval = "7. OHLC4", options = ["1. Open", "2. High", "3. Low", "4. Close", "5. HL2", "6. HLC3", "7. OHLC4", "8. OC2", "9. PCMA"], title = "Data")
short3 = input(true, title = "short 3")
short2 = input(true, title = "short 2")
short1 = input(true, title = "short 1")
long1 = input(true, title = "long 1")
long2 = input(true, title = "long 2")
long3 = input(true, title = "long 3")
shortlevel3 = input(15.0, title = "Short line 3")
shortlevel2 = input(10.0, title = "Short line 2")
shortlevel1 = input(5.0, title = "Short line 1")
longlevel1 = input(-5.0, title = "Long line 1")
longlevel2 = input(-10.0, title = "Long line 2")
longlevel3 = input(-15.0, title = "Long line 3")
needoffset = input(true, title = "Offset")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Variables
lots = 0.0
size = strategy.position_size
mult = 1 / syminfo.mintick
needtime = true
//MA
oc2 = (open + close) / 2
pcma = (highest(high, len) + lowest(low, len)) / 2
src = s == "1. Open" ? open : s == "2. High" ? high : s == "3. Low" ? low : s == "4. Close" ? close : s == "5. HL2" ? hl2 : s == "6. HLC3" ? hlc3 : s == "7. OHLC4" ? ohlc4 : s == "8. OC2" ? oc2: close
sma = sma(src, len)
ma = s == "9. PCMA" ? round(pcma * mult) / mult : round(sma * mult) / mult
//Levels
longline1 = 0.0
longline2 = 0.0
longline3 = 0.0
shortline1 = 0.0
shortline2 = 0.0
shortline3 = 0.0
longline1 := long1 ? round(ma * ((100 + longlevel1) / 100) * mult) / mult : close
longline2 := lots[1] == 0 ? long2 ? round(ma * ((100 + longlevel2) / 100) * mult) / mult : close : longline2[1]
longline3 := lots[1] == 0 ? long3 ? round(ma * ((100 + longlevel3) / 100) * mult) / mult : close : longline3[1]
shortline1 := short1 ? round(ma * ((100 + shortlevel1) / 100) * mult) / mult : close
shortline2 := lots[1] == 0 ? short2 ? round(ma * ((100 + shortlevel2) / 100) * mult) / mult : close : shortline2[1]
shortline3 := lots[1] == 0 ? short3 ? round(ma * ((100 + shortlevel3) / 100) * mult) / mult : close : shortline3[1]
//Lines
colorlong1 = long1 ? color.lime : na
colorlong2 = long2 ? color.lime : na
colorlong3 = long3 ? color.lime : na
colorshort1 = short1 ? color.red : na
colorshort2 = short2 ? color.red : na
colorshort3 = short3 ? color.red : na
offset = needoffset ? 1 : 0
plot(shortline3, offset = offset, color = colorshort3, title = "Short line 3")
plot(shortline2, offset = offset, color = colorshort2, title = "Short line 2")
plot(shortline1, offset = offset, color = colorshort1, title = "Short line 1")
plot(ma, offset = offset, color = color.blue, title = "MA line")
plot(longline1, offset = offset, color = colorlong1, title = "Long line 1")
plot(longline2, offset = offset, color = colorlong2, title = "Long line 2")
plot(longline3, offset = offset, color = colorlong3, title = "Long line 3")
//Trading
lot = 0.0
lot := size == 0 ? strategy.equity / close * capital / 100 : lot[1]
if ma > 0
lots := round(size / lot)
strategy.entry("L1", strategy.long, lot, limit = longline1, when = (lots == 0 and long1 and needtime))
lots := round(size / lot)
strategy.entry("L2", strategy.long, lot, limit = longline2, when = (lots <= 1 and long2 and needtime))
lots := round(size / lot)
strategy.entry("L3", strategy.long, lot, limit = longline3, when = (lots <= 2 and long3 and needtime))
lots := round(size / lot)
strategy.entry("S1", strategy.short, lot, limit = shortline1, when = (lots == 0 and short1 and needtime))
lots := round(size / lot)
strategy.entry("S2", strategy.short, lot, limit = shortline2, when = (lots >= -1 and short2 and needtime))
lots := round(size / lot)
strategy.entry("S3", strategy.short, lot, limit = shortline3, when = (lots >= -2 and short3 and needtime))
if size > 0
strategy.entry("TPL", strategy.short, 0, limit = ma, when = needtime)
if size < 0
strategy.entry("TPS", strategy.long, 0, limit = ma, when = needtime)
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()
strategy.cancel("L1")
strategy.cancel("L2")
strategy.cancel("L3")
strategy.cancel("S1")
strategy.cancel("S2")
strategy.cancel("S3")
strategy.cancel("TPL")
strategy.cancel("TPS")