ChaoZhang
概述
该策略根据ATR指标计算出的上轨和下轨,判断当前趋势方向,并给出买入和卖出信号。当价格突破上轨时看涨,当价格突破下轨时看跌。
策略原理
- 计算ATR指标,表示价格的平均波动范围
- 根据ATR值乘以一个倍数计算上轨线和下轨线
- 判断价格与上下轨的关系,确定趋势方向
- 当价格在上轨之上,为看涨的趋势
- 当价格在下轨之下,为看跌的趋势
- 在趋势发生转变时给出买入和卖出信号
- 当由看跌趋势变为看涨趋势时,在上轨附近给出买入信号
- 当由看涨趋势变为看跌趋势时,在下轨附近给出卖出信号
- 可视化地显示上下轨、趋势方向和买卖信号
优势分析
- 使用ATR指标判断趋势,可根据市场波动幅度来设置合适的参数,使上下轨线更能适应市场趋势
- 采用突破上下轨判断趋势转变,可以及时捕捉趋势反转
- 结合趋势方向过滤 Signals,避免被市场中的假突破干扰
- 可视化地显示上下轨和买卖 Signals,一目了然
风险分析
- ATR参数设置过大或过小,都会使上下轨线脱离价格,无法有效跟踪趋势
- 倍数参数过大,会增多假信号;倍数过小,信号出现滞后
- 反转时机掌握不准,可能发生亏损的反向开仓
- 需要组合其他指标过滤策略信号,降低被套利的风险
优化方向
- 可以考虑动态优化ATR周期参数,使上下轨更贴合市场波动
- 可以研究不同品种不同周期的参数调整策略
- 可以结合其他指标判定趋势,例如增加量价确认
- 可以通过机器学习技术来优化参数设置
总结
该策略整体实现了基于ATR指标判断双向趋势的思路,突破上下轨给出买卖信号,然后结合趋势方向进行过滤,可避免被假信号干扰。通过Parameter调整可以适应不同市场环境。但是也存在一定的风险,需要进一步优化。总体来说,该策略较为简单实用,值得进一步研究改进。
策略源码
/*backtest
start: 2022-10-01 00:00:00
end: 2023-10-07 00:00:00
period: 3d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
TradeId = "RVG"
InitCapital = 1000
InitPosition = 1000
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = true
CalcOnTick = true
//@version=4
// strategy("Supertrend RG", overlay = true,process_orders_on_close=true,commission_type=strategy.commission.percent,commission_value=InitCommission,
// currency=currency.USD,initial_capital=InitCapital,default_qty_type=strategy.cash, default_qty_value=InitPosition, calc_on_order_fills=CalcOnorderFills, calc_on_every_tick=CalcOnTick,pyramiding=InitPyramidMax)
//
////////////////////////////////////////////////////////////////////////////////
// BACKTESTING RANGE
// From Date Inputs
fromDay = input(defval=1, title="From Day", minval=1, maxval=31)
fromMonth = input(defval=1, title="From Month", minval=1, maxval=12)
fromYear = input(defval=2018, title="From Year", minval=1970)
// To Date Inputs
toDay = input(defval=1, title="To Day", minval=1, maxval=31)
toMonth = input(defval=1, title="To Month", minval=1, maxval=12)
toYear = input(defval=2100, title="To Year", minval=1970)
// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
Periods = input(title="ATR Period", type=input.integer, defval=10)
src = input(hl2, title="Source")
Multiplier = input(title="ATR Multiplier", type=input.float, step=0.1, defval=3.0)
changeATR= input(title="Change ATR Calculation Method ?", type=input.bool, defval=true)
showsignals = input(title="Show Buy/Sell Signals ?", type=input.bool, defval=true)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
atr2 = sma(tr, Periods)
atr= changeATR ? atr(Periods) : atr2
up=src-(Multiplier*atr)
up1 = nz(up[1],up)
up := close[1] > up1 ? max(up,up1) : up
dn=src+(Multiplier*atr)
dn1 = nz(dn[1], dn)
dn := close[1] < dn1 ? min(dn, dn1) : dn
trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend
upPlot = plot(trend == 1 ? up : na, title="Up Trend", style=plot.style_linebr, linewidth=2, color=color.green)
buySignal = trend == 1 and trend[1] == -1
plotshape(buySignal ? up : na, title="UpTrend Begins", location=location.absolute, style=shape.circle, size=size.tiny, color=color.green, transp=0)
plotshape(buySignal and showsignals ? up : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
dnPlot = plot(trend == 1 ? na : dn, title="Down Trend", style=plot.style_linebr, linewidth=2, color=color.red)
sellSignal = trend == -1 and trend[1] == 1
plotshape(sellSignal ? dn : na, title="DownTrend Begins", location=location.absolute, style=shape.circle, size=size.tiny, color=color.red, transp=0)
plotshape(sellSignal and showsignals ? dn : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0)
longFillColor = highlighting ? (trend == 1 ? color.green : color.white) : color.white
shortFillColor = highlighting ? (trend == -1 ? color.red : color.white) : color.white
fill(mPlot, upPlot, title="UpTrend Highligter", color=longFillColor)
fill(mPlot, dnPlot, title="DownTrend Highligter", color=shortFillColor)
alertcondition(buySignal, title="SuperTrend Buy", message="SuperTrend Buy!")
alertcondition(sellSignal, title="SuperTrend Sell", message="SuperTrend Sell!")
changeCond = trend != trend[1]
alertcondition(changeCond, title="SuperTrend Direction Change", message="SuperTrend has changed direction!")
strategy.entry(TradeId + " Long", true, when=buySignal[1] and time_cond)
strategy.entry(TradeId + " Short", false, when=sellSignal[1] and time_cond)