这个策略是基于突破和动量止损指标设计的中长线趋势跟踪策略。策略利用价格突破动态止损线来判断趋势方向,在价格突破止损线时进入场内,然后利用止损线来跟踪趋势并锁定利润。策略旨在抓取中长线趋势,同时利用动态止损来控制风险。
该策略使用动态止损指标Volatility Stop来判断趋势方向并跟踪止损。Volatility Stop根据价格的波动范围计算出一个动态的止损线。具体计算方法是:
这样,止损线就会随着价格波动而上下波动,形成一个动态的通道。
当价格突破止损线时,表示趋势发生反转,策略就会打开仓位:
在仓位开启后,策略会利用止损线来跟踪止损:
当价格重新触碰到止损线时,策略就会平仓止损。
这样,策略就可以顺势而为,及时跟踪趋势反转,同时利用止损来控制风险。
该策略具有以下优势:
该策略也存在一些风险:
对策:
该策略可以从以下方面进行进一步优化:
该顺势突破-动量止损策略整体来说是一种非常实用的趋势跟踪策略。它可以抓住趋势反转机会,顺势而为,同时利用动态止损有效控制风险。如果参数优化得当,在趋势行情中可以获得较好收益。但该策略也需要注意一些问题,如止损过于敏感、交易频率过高等。通过进一步优化,该策略可以成为一个高效稳定的量化交易系统。
/*backtest
start: 2023-11-11 00:00:00
end: 2023-11-12 00:00:00
period: 3m
basePeriod: 1m
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/
//@version=4
strategy(shorttitle='Volatility Stop Strategy',title='Volatility Stop Strategy (by Coinrule)', overlay=true, initial_capital = 100, 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)
// Works better on 3h, 1h, 2h, 4h
// Best time frame 2H
//Backtest dates
fromMonth = input(defval = 1, title = "From Month", type = input.integer, minval = 1, maxval = 12)
fromDay = input(defval = 1, title = "From Day", type = input.integer, minval = 1, maxval = 31)
fromYear = input(defval = 2021, title = "From Year", type = input.integer, minval = 1970)
thruMonth = input(defval = 1, title = "Thru Month", type = input.integer, minval = 1, maxval = 12)
thruDay = input(defval = 1, title = "Thru Day", type = input.integer, minval = 1, maxval = 31)
thruYear = input(defval = 2112, title = "Thru Year", type = input.integer, minval = 1970)
showDate = input(defval = true, title = "Show Date Range", type = input.bool)
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => time >= start and time <= finish ? true : false // create function "within window of time"
length = input(20, "Length", minval = 2)
src = input(close, "Source")
factor = input(3.0, "vStop Multiplier", minval = 0.25, step = 0.25)
volStop(src, atrlen, atrfactor) =>
var max = src
var min = src
var uptrend = true
var stop = 0.0
atrM = nz(atr(atrlen) * atrfactor, tr)
max := max(max, src)
min := min(min, src)
stop := nz(uptrend ? max(stop, max - atrM) : min(stop, min + atrM), src)
uptrend := src - stop >= 0.0
if uptrend != nz(uptrend[1], true)
max := src
min := src
stop := uptrend ? max - atrM : min + atrM
[stop, uptrend]
[vStop, uptrend] = volStop(src, length, factor)
//Entry
strategy.entry(id="long", long = true, when = crossover(close, vStop) and window())
//Exit
strategy.close("long", when = crossunder(close, vStop))
plot(vStop,"Vstop", color.black, linewidth=2)