ChaoZhang
概述
该策略采用超级趋势指标辅助下单,并结合云层和K线颜色进行过滤,限价挂单增加获利概率。其目标是在趋势启动后快速捕捉趋势,在盘整区间降低亏损风险。
策略原理
计算ATR周期内的最高价和最低价的平均值作为基准线。
根据Factor倍数计算上轨和下轨。
当收盘价大于上轨时,标记为1,小于下轨时标记为-1,其他时候保持当前状态。
根据收盘价和上下轨的位置关系,实时调整止损线。
根据上下轨间距的一定百分比计算云层范围。
当超级趋势为1时,做多时需收盘价低于开盘价,做空时需收盘价高于开盘价。
做多时,挂买入限价单,价格为上一根K线收盘价。做空时,挂卖出限价单,价格为上一根K线收盘价。
过滤时间段、可关闭所有仓位。
优势分析
该策略结合超级趋势指标和云层概念,能够在趋势启动后快速捕捉趋势方向。与普通移动止损相比,超级趋势止损线能更快跟踪价格变化。云层过滤能避免假突破带来的亏损。限价单减少滑点损失,提高盈利能力。整体来看,该策略具有如下优势:
超级趋势指标灵敏度高,跟踪趋势能力强。
云层概念过滤减少假突破造成的亏损。
K线颜色辅助判断,避免反转。
限价单减少滑点影响,提高获利概率。
可自定义时间段和仓位管理,适应不同交易需求。
风险分析
该策略也存在一些风险需要注意:
超级趋势指标参数设置不当可能造成曲线过于灵敏,产生较多假信号。
云层范围过大时,可能过滤正常突破信号,影响盈利。
限价单在波动较大时难以成交,可能错过交易机会。
任何跟踪止损都无法完全规避巨额亏损的系统性风险。
仓位过大时,亏损也会放大,需要控制风险。
优化方向
该策略可从以下方面进行优化:
测试不同市场和品种,寻找最佳超级趋势参数组合。
设置止损幅度根据市场波动程度动态调整。
优化云层范围,在滤除噪音和保留信号间取得平衡。
添加仓位优化模块,让仓位大小动态跟随市场变化。
在不同时间段使用不同参数组合,适应市场节律。
测试与其他指标组合使用效果。
总结
综上所述,该策略整体思路清晰,在捕捉趋势方面优势明显。但任何策略都无法完全规避系统性风险,需要控制仓位、持续优化来降低实际交易中可能出现的风险,最大限度发挥策略优势。该策略具有很大的发展潜力,值得进行后续的测试和优化,以适应更加多变的市场环境。
/*backtest
start: 2023-10-03 00:00:00
end: 2023-11-02 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2018
//@version=2
strategy("Noro's SuperTrend Strategy v2.0 Limit", shorttitle = "STL str", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot, %")
cloud = input(25, defval = 25, minval = 5, maxval = 50, title = "cloud, % of ATR")
Factor = input(title = "Super Trend", defval = 3, minval = 1, maxval = 100)
ATR = input(title = "ATR", defval = 7, minval = 1,maxval = 100)
centr = input(true, defval = true, title = "need center of ATR?")
border = input(false, defval = false, title = "need border?")
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")
//Super Trend ATR 1
src = close
Up=hl2-(Factor*atr(ATR))
Dn=hl2+(Factor*atr(ATR))
TUp=close[1]>TUp[1]? max(Up,TUp[1]) : Up
TDown=close[1]<TDown[1]? min(Dn,TDown[1]) : Dn
Trend = close > TDown[1] ? 1: close< TUp[1]? -1: nz(Trend[1],1)
Tsl1 = Trend==1? TUp: TDown
Tsl2 = Trend==1? TDown: TUp
limit = (Tsl1 - Tsl2) / 100 * cloud
upcloud = Tsl1 - limit
dncloud = Tsl2 + limit
//Cloud
linecolor = Trend == 1 ? green : red
centercolor = centr == true ? blue : na
cloudcolor = Trend == 1 ? green : red
cline = (Tsl1 + Tsl2) / 2
P1 = plot(Tsl1, color = border == false ? na : linecolor , style = line , linewidth = 1,title = "SuperTrend ATR-1")
P2 = plot(Tsl2, color = border == false ? na : linecolor , style = line , linewidth = 1,title = "SuperTrend ATR-2")
P3 = plot(cline, color = centercolor , style = line , linewidth = 1,title = "SuperTrend Center")
P4 = plot(upcloud, color = border == false ? na : linecolor , style = line , linewidth = 1,title = "SuperTrend Center+1")
P5 = plot(dncloud, color = border == false ? na : linecolor , style = line , linewidth = 1,title = "SuperTrend Center-1")
fill(P1, P4, color = linecolor == red ? red : lime, transp = 50)
fill(P2, P5, color = linecolor == red ? red : lime, transp = 50)
//Signals
up = 0.0
dn = 0.0
up := Trend != 1 ? 0 : Trend == 1 and close < open ? close : up[1]
dn := Trend != -1 ? close * 1000 : Trend == -1 and close > open ? close : dn[1]
//Trading
size = strategy.position_size
lot = 0.0
lot := size != size[1] ? strategy.equity / close * capital / 100 : lot[1]
if true
strategy.entry("Long", strategy.long, needlong ? lot : 0, limit = up, when = (Trend == 1 and time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
strategy.entry("Short", strategy.short, needshort ? lot : 0, limit = dn, when = (Trend == -1 and time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()