基于直方图破裂的交易策略
Author: ChaoZhang, Date: 2023-11-15 15:25:57Tags:
概述
该策略利用直方图破裂原理,结合移动平均线的趋势判断,实现在趋势方向上的突破交易。当价格突破直方图边界时产生交易信号。同时,通过判断快速和慢速移动平均线的位置关系来确定整体趋势方向,避免在盘整中产生错误信号。
策略原理
计算快速移动平均线(20周期)和慢速移动平均线(50周期)。
根据K线计算出是否形成了上涨的长方体(close>open)或下跌的长方体(close
判断长方体是否突破了上一个K线的最高价或最低价。如果是上涨长方体并突破上一个K线的最高价,则产生多头突破信号;如果是下跌长方体并突破上一个K线的最低价,则产生空头突破信号。
同时判断快速移动平均线是否在慢速移动平均线之上,如果是,则判断为多头趋势;反之,则判断为空头趋势。
只有当快慢均线判断为多头趋势时,多头突破信号才有效;只有当快慢均线判断为空头趋势时,空头突破信号才有效。这避免了在盘整中产生错误信号。
当产生有效的多头突破信号时,按一定的止损和止盈标准开多单;当产生有效的空头突破信号时,按一定的止损和止盈标准开空单。
如果快速移动平均线和慢速移动平均线发生回叉,则平掉当前的头寸。
优势分析
利用直方图边界作为突破口,这代表着较强的突破信号。
同时考量趋势方向,避免在盘整中产生错误信号,提高确切率。
兼顾趋势和突破,使策略在趋势行情中表现出色。
通过参数优化,可以适应不同品种和时间周期。
风险及解决方法
突破失败的风险。解决方法是选取较大的突破口,确保突破动能较强。
趋势判断不准确的风险。解决方法是调整均线参数,也可以加入其他辅助指标判断趋势。
止损设置过小导致止损过频的风险。解决方法是根据不同品种和时间周期动态调整止损幅度。
获利空间设置过小的风险。解决方法是根据不同品种和时间周期动态设置不同的盈亏比。
优化方向
整体来说,移动均线参数、突破口参数、止损幅度和盈亏比这些参数都需要根据不同的品种和时间周期进行测试和优化,使策略参数量身定制。
可以测试不同类型的移动平均线(如EMA、SMA等),寻找更加合适的均线指标。
可以加入其他辅助判断指标,如Momentum等,来提高对趋势的判断准确性。
可以通过机器学习等方法来动态优化各项参数。
可以针对突破的成功率进行统计学习,调整突破口参数。
总结
该策略整合趋势特征和突破特征,在理论上可以过滤掉大量无效信号。关键是要注重参数的测试和优化,使策略量身定制适用于不同品种和时间周期,从而在实际交易中获得较好的效果。此外,辅助指标和机器学习技术也为策略的改进提供了方向。通过不断优化,该策略可以成为一个稳定可靠的趋势突破交易策略。
/*backtest
start: 2023-10-15 00:00:00
end: 2023-11-14 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//Backtested Time Frame: H1
//Default Settings: Are meant to run successfully on all currency pairs to reduce over-fitting.
//Risk Warning: This is a forex trading robot, backtest performance will not equal future performance, USE AT YOUR OWN RISK.
//Code Warning: Although every effort has been made for robustness, this code has not been vetted by independent 3rd parties.
strategy("Pin Bar Strategy v1", overlay=true)
// User Input
usr_risk = input(title="Equity Risk (%)",type=input.integer,minval=1,maxval=100,step=1,defval=3,confirm=false)
atr_mult = input(title="Stop Loss (x*ATR, Float)",type=input.float,minval=0.1,maxval=100,step=0.1,defval=1.9,confirm=false)
trd_rewd = input(title="Risk : Reward (1 : x*SL, Float)",type=input.float,minval=0.1,maxval=100,step=0.1,defval=3.1,confirm=false)
sma_fast = input(title="Fast MA (Period)",type=input.integer,minval=1,maxval=500,step=1,defval=20,confirm=false)
sma_slow = input(title="Slow MA (Period)",type=input.integer,minval=1,maxval=500,step=1,defval=50,confirm=false)
atr_valu = input(title="ATR (Period)",type=input.integer,minval=1,maxval=500,step=1,defval=14,confirm=false)
use_slpe = input(title="Use MA Slope (Boolean)",type=input.bool,defval=true,confirm=false)
slp_long = input(title="Bull Slope Angle (Deg)",type=input.integer,minval=-90,maxval=90,step=1,defval=1,confirm=false)
slp_shrt = input(title="Bear Slope Angle (Deg)",type=input.integer,minval=-90,maxval=90,step=1,defval=-1,confirm=false)
emg_exit = input(title="Exit When MA Re-Cross (Boolean)",type=input.bool,defval=true,confirm=false)
ent_canc = input(title="Cancel Entry After X Bars (Period)",type=input.integer,minval=1,maxval=500,step=1,defval=3,confirm=false)
// Create Indicators
fastSMA = sma(close, sma_fast)
slowSMA = sma(close, sma_slow)
bullishPinBar = ((close > open) and ((open - low) > 0.66 * (high - low))) or ((close < open) and ((close - low) > 0.66 * (high - low)))
bearishPinBar = ((close > open) and ((high - close) > 0.66 * (high - low))) or ((close < open) and ((high - open) > 0.66 * (high - low)))
atr = atr(atr_valu)
// Specify Trend Conditions
smaUpTrend = (fastSMA > slowSMA) and (fastSMA[1] > slowSMA[1]) and (fastSMA[2] > slowSMA[2]) and (fastSMA[3] > slowSMA[3]) and (fastSMA[4] > slowSMA[4])
smaDnTrend = (fastSMA < slowSMA) and (fastSMA[1] < slowSMA[1]) and (fastSMA[2] < slowSMA[2]) and (fastSMA[3] < slowSMA[3]) and (fastSMA[4] < slowSMA[4])
candleUpTrend = (close[5] > fastSMA[5]) and (open[5] > fastSMA[5]) and (close[6] > fastSMA[6]) and (open[6] > fastSMA[6]) and (close[7] > fastSMA[7]) and (open[7] > fastSMA[7]) and (close[8] > fastSMA[8]) and (open[8] > fastSMA[8]) and (close[9] > fastSMA[9]) and (open[9] > fastSMA[9]) and (close[10] > fastSMA[10]) and (open[10] > fastSMA[10])
candleDnTrend = (close[5] < fastSMA[5]) and (open[5] < fastSMA[5]) and (close[6] < fastSMA[6]) and (open[6] < fastSMA[6]) and (close[7] < fastSMA[7]) and (open[7] < fastSMA[7]) and (close[8] < fastSMA[8]) and (open[8] < fastSMA[8]) and (close[9] < fastSMA[9]) and (open[9] < fastSMA[9]) and (close[10] < fastSMA[10]) and (open[10] < fastSMA[10])
// Specify Piercing Conditions
bullPierce = ((low < fastSMA) and (open > fastSMA) and (close > fastSMA)) or ((low < slowSMA) and (open > slowSMA) and (close > slowSMA))
bearPierce = ((high > fastSMA) and (open < fastSMA) and (close < fastSMA)) or ((high > slowSMA) and (open < slowSMA) and (close < slowSMA))
// MA Slope Function
angle(_source) =>
rad2degree=180/3.14159265359
ang=rad2degree*atan((_source[0] - _source[1])/atr(atr_valu))
// Calculate MA Slope
fastSlope=angle(fastSMA)
slowSlope=angle(slowSMA)
slopingUp = fastSlope > slp_long
slopingDn = fastSlope < slp_shrt
// Specify Entry Conditions
longEntry = smaUpTrend and bullishPinBar and bullPierce
shortEntry = smaDnTrend and bearishPinBar and bearPierce
longEntryWithSlope = smaUpTrend and bullishPinBar and bullPierce and slopingUp
shortEntryWithSlope = smaDnTrend and bearishPinBar and bearPierce and slopingDn
// Specify Secondary Exit Conditions
longExit = crossunder(fastSMA, slowSMA)
shortExit = crossover(fastSMA, slowSMA)
// Long Entry Function
enterlong() =>
risk = usr_risk * 0.01 * strategy.equity
stopLoss = low[1] - atr[1] * atr_mult
entryPrice = high[1]
units = risk / (entryPrice - stopLoss)
takeProfit = entryPrice + trd_rewd * (entryPrice - stopLoss)
strategy.entry("long", strategy.long, units, stop=entryPrice)
strategy.exit("exit long", "long", stop=stopLoss, limit=takeProfit)
// Short Entry Function
entershort() =>
risk = usr_risk * 0.01 * strategy.equity
stopLoss = high[1] + atr[1] * atr_mult
entryPrice = low[1]
units = risk / (stopLoss - entryPrice)
takeProfit = entryPrice - trd_rewd * (stopLoss - entryPrice)
strategy.entry("short", strategy.short, units, stop=entryPrice)
strategy.exit("exit short", "short", stop=stopLoss, limit=takeProfit)
// Execute Long Entry w/o Slope
if (longEntry and use_slpe == false)
enterlong()
// Execute Long Entry w/ Slope
if (longEntryWithSlope and use_slpe == true)
enterlong()
// Exit Long Due to Re-Cross
if(longExit and strategy.position_size > 0 and emg_exit)
strategy.order("exit long, re-cross", strategy.short, abs(strategy.position_size))
// Cancel the Long Entry
strategy.cancel("long", barssince(longEntry) > ent_canc)
// Execute Short Entry w/o Slope
if (shortEntry and use_slpe == false)
entershort()
// Execute Short Entry w/ Slope
if (shortEntryWithSlope and use_slpe == true)
entershort()
// Exit Short Due to Re-Cross
if(shortExit and strategy.position_size < 0 and emg_exit)
strategy.order("exit short, re-cross", strategy.long, abs(strategy.position_size))
// Cancel the Short Entry
strategy.cancel("short", barssince(shortEntry) > ent_canc)
// Plot Moving Averages to Chart
plot(fastSMA, color=color.red)
plot(slowSMA, color=color.blue)
// Plot Pin Bars to Chart
plotshape(bullishPinBar, style=shape.arrowup, location=location.abovebar, color=#FF0000, text='')
plotshape(bearishPinBar, style=shape.arrowdown, location=location.belowbar, color=#0000FF, text='')
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