ChaoZhang
概述
这个策略基于AlphaTrend指标,它结合了RSI和MFI两个指标的优点,在多空趋势市场中都能获得较好的策略效果。该策略主要判断价格是否突破AlphaTrend曲线,以捕捉趋势的方向。
策略原理
- 计算ATR指标来度量市场波动程度
- 如果没有交易量数据,则使用RSI指标判断市场多空;如果有交易量,则使用MFI指标判断市场多空
- 根据ATR和多空判断计算上轨下轨
- 计算AlphaTrend曲线,它结合上轨下轨动态调整
- 当价格上穿下跌穿AlphaTrend曲线时,发出买入和卖出信号
该策略主要依靠AlphaTrend曲线判断价格趋势方向,它综合考虑了ATR市场波动度量、RSI和MFI多空指标,可以有效跟踪价格趋势。当价格突破曲线时,表明趋势发生转变,这个时间点为入场时点。
策略优势
- AlphaTrend指标结合RSI和MFI两个指标的优点,能够同时适应多空行情
- 动态的上轨下轨设定可以根据市场波动自动调整
- 综合考虑价格和交易量信息,不易被错误违背信号误导
- 采用突破操作方式,可以及时捕捉新的趋势方向
- 逻辑清晰简单,容易理解实现
综上,该策略对多空行情都适用,有效过滤市场噪音,识别趋势较为准确,是一种精准高效的趋势跟随策略。
策略风险
- AlphaTrend曲线可能出现错误突破的情况,需要Combination与其他指标进行验证
- 大盘震荡行情中可能出现多次无效信号
- 指标参数设置不当也会影响策略效果
- 暴涨暴跌行情中,止损可能被突破,需警惕大幅亏损
针对风险,可以设置止损来控制单笔损失;优化参数组合,与其他指标组合使用来减少无效信号;根据不同市场调整参数设置。
策略优化
- 可以试验不同的参数组合,寻找最优参数
- 可以与其他指标组合,形成帮助判断的辅助条件
- 可以设置动态止损或者追踪止损来控制风险
- 可以根据市场情况使用不同的交易频率(如5分钟、15分钟等)
- 可以优化入场 timing,设置更精确的入场条件
通过测试不同市场及参数,还可以继续优化该策略,使之能够适应更多类型的行情情况。
总结
该AlphaTrend策略整体来说是一个简单高效的趋势跟随策略。它结合价格和交易量,能适应多空行情。以突破操作方式明确入场时机。在控制好风险的前提下,可以获得不错的策略效果。值得进一步测试优化,使其能够在更多市场中稳定盈利。
策略源码
/*backtest
start: 2023-09-20 00:00:00
end: 2023-09-26 00:00:00
period: 30m
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/
// author © KivancOzbilgic
// developer © KivancOzbilgic
// pv additions, simplification and strategy conversion @ treigen
//@version=5
strategy('AlphaTrend For ProfitView', overlay=true, calc_on_every_tick=true, process_orders_on_close=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.1, initial_capital=1000)
coeff = input.float(1.5, 'Multiplier', step=0.1)
AP = input(15, 'Common Period')
ATR = ta.sma(ta.tr, AP)
novolumedata = input(title='Change calculation (no volume data)?', defval=false)
i_startTime = input(defval = timestamp("01 Jan 2014 00:00 +0000"), title = "Backtesting Start Time", inline="timestart", group='Backtesting')
i_endTime = input(defval = timestamp("01 Jan 2100 23:59 +0000"), title = "Backtesting End Time", inline="timeend", group='Backtesting')
timeCond = true
pv_ex = input.string('', title='Exchange', tooltip='Leave empty to use the chart ticker instead (Warning: May differ from actual market name in some instances)', group='PV Settings')
pv_sym = input.string('', title='Symbol', tooltip='Leave empty to use the chart ticker instead (Warning: May differ from actual market name in some instances)', group='PV Settings')
pv_acc = input.string("", title="Account", group='PV Settings')
pv_alert_long = input.string("", title="PV Alert Name Longs", group='PV Settings')
pv_alert_short = input.string("", title="PV Alert Name Shorts", group='PV Settings')
pv_alert_test = input.bool(false, title="Test Alerts", tooltip="Will immediately execute the alerts, so you may see what it sends. The first line on these test alerts will be excluded from any real alert triggers" ,group='PV Settings')
upT = low - ATR * coeff
downT = high + ATR * coeff
AlphaTrend = 0.0
AlphaTrend := (novolumedata ? ta.rsi(close, AP) >= 50 : ta.mfi(hlc3, AP) >= 50) ? upT < nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : upT : downT > nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : downT
k1 = plot(AlphaTrend, color=color.new(#0022FC, 0), linewidth=3)
k2 = plot(AlphaTrend[2], color=color.new(#FC0400, 0), linewidth=3)
buySignalk = ta.crossover(AlphaTrend, AlphaTrend[2])
sellSignalk = ta.crossunder(AlphaTrend, AlphaTrend[2])
var exsym = ""
if barstate.isfirst
exsym := pv_ex == "" ? "" : "ex=" + pv_ex + ","
exsym := pv_sym == "" ? exsym : exsym + "sym=" + pv_sym + ","
if barstate.isconfirmed and timeCond
if strategy.position_size <= 0 and buySignalk
strategy.entry("Buy", strategy.long)
alert(pv_alert_long + "(" + exsym + "acc=" + pv_acc + ")", alert.freq_once_per_bar_close)
if strategy.position_size >= 0 and sellSignalk
strategy.entry("Sell", strategy.short)
alert(pv_alert_short + "(" + exsym + "acc=" + pv_acc + ")", alert.freq_once_per_bar_close)
// Only used for testing/debugging alert messages
if pv_alert_test
alert("<![Alert Test]!>\n" + pv_alert_long + "(" + exsym + "acc=" + pv_acc + ")", alert.freq_once_per_bar)
alert("<![Alert Test]!>\n" + pv_alert_short + "(" + exsym + "acc=" + pv_acc + ")", alert.freq_once_per_bar)