趋势跟踪短线交易策略
Author: ChaoZhang, Date: 2023-11-16 11:11:32Tags:
概述
该策略是一种基于多个指标判断趋势的短线交易策略。它综合运用了包括WOW、BMA、BarColor、SuperTrend、DI、TTS、RSI和WTO等8个指标来判断趋势方向,并以此制定买入和卖出决策。
策略原理
该策略首先计算并判断WOW、BMA、BarColor、SuperTrend、DI、TTS、RSI和WTO这8个指标的趋势方向。
WOW指标是根据价格中的实体位置来判断多空趋势的。如果实体位置接近上轨,为看涨;如果接近下轨,为看跌。
BMA指标是根据SMA多空关系来判断趋势,如果收盘价SMA上穿开盘价SMA为看涨,下穿为看跌。
BarColor指标是根据K线颜色来判断趋势,连续多个阳线为看涨,阴线为看跌。
SuperTrend指标是根据平均波动范围来判断价格趋势,价格在上轨之上为看涨,下轨之下为看跌。
DI指标是根据多空动量大小关系来判断趋势,多头动量大于空头动量为看涨,反之为看跌。
TTS指标根据价格与均线的位置关系来判断多空趋势。
RSI指标根据相对强弱指标的位置来判断趋势方向。
WTO指标根据波动性指标的多空来判断趋势方向。
然后,该策略会统计这8个指标看涨的数量,并据此绘制分级别的SILA看涨支撑线和看跌阻力线。支撑线和阻力线的数量越多,表示趋势信号越强。
当多个指标看涨时,如果收盘价处于最低级别的支撑线之上,则产生买入信号;当多个指标看跌时,如果收盘价处于最低级别的阻力线之下,则产生卖出信号。
此外,该策略还会利用K线形态来判断短期回调的机会,在趋势反转时寻找更有利的进场点。
策略优势
- 综合多个指标判断趋势,提高判断准确率
该策略不依赖单一指标,而是综合运用8个常用的趋势判断指标,对趋势进行多方位判定,可以提高判断的准确性和可靠性。
- SILA系统绘制分级支撑阻力,识别趋势信号强弱
该策略基于多个指标的看涨看跌信号,采用SILA系统绘制多个分级别的支撑线和阻力线。线的数量越多表示趋势信号越强。这可以帮助交易者进一步识别信号的强弱。
- 结合K线形态寻找回调机会,进场点更优
该策略不仅依据趋势指标判断方向,还会结合K线形态来寻找短期回调的机会,在趋势反转点进场,可以争取到更优的入场点位。
策略风险
- 多个指标之间可能出现分歧
本策略采用多个指标,这些指标之间在某些情况下可能会出现判断分歧的情况,需要交易者自己权衡,增加了决策难度。
- 指标参数设置可能需要优化
本策略中诸多指标都采用了默认参数,实际应用时可能需要对参数进行优化,以取得最佳效果。
- 系统性风险需要考虑
如遇到重大黑天鹅事件,系统性风险会导致正常的技术指标失效,需要注意评估市场系统性风险。
- 回撤风险
跟随趋势而交易回撤在扩大阶段可能比较大,需要注意控制单笔交易规模以限制回撤。
策略优化方向
- 对指标参数进行测试优化
可以通过更系统的方法对各个指标的参数如周期长度、数值大小等进行优化,寻找最佳参数组合。
- 增加止损方式
可以考虑增加移动止损或者百分比止损来控制回撤。
- 结合量能指标
可以引入像MAVP、OBV等量能指标与趋势指标进行组合,提高战术决策的准确性。
- 优化仓位管理
可以研究不同市场阶段的持仓比例,以便在趋势更明朗时加大仓位。
总结
本策略Overall是一种多指标跟踪趋势的短线交易策略。它综合运用多个指标判断趋势方向,采用SILA系统识别信号强度,并辅以K线形态优化入场。该策略可以提高判断准确率,但需要注意不同指标的分歧风险。下一步可以通过参数优化、止损优化、量能结合等方法进一步改进该策略。
/*backtest
start: 2023-10-16 00:00:00
end: 2023-11-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// (c) Noro
//2017
//@version=2
strategy(title="Noro's SILA v1.6L Strategy", shorttitle="SILA v1.6L str", overlay=true)
//settings
sensup = input(5, title="Uptrend-sensivity", minval = -8, maxval = 8)
sensdn = input(5, title="Downtrend-sensivity", minval = -8, maxval = 8)
usewow = input(true, title="Use trend-indicator WOW?")
usebma = input(true, title="Use trend-indicator BestMA?")
usebc = input(true, title="Use trend-indicator BarColor?")
usest = input(true, title="Use trend-indicator SuperTrend?")
usedi = input(true, title="Use trend-indicator DI?")
usetts = input(true, title="Use trend-indicator TTS?")
usersi = input(true, title="Use trend-indicator RSI?")
usewto = input(true, title="Use trend-indicator WTO?")
dist = input(100, title="Distance SILA-lines", minval = 0, maxval = 100)
usetl = input(true, title="Need SILA-lines?")
usebgup = input(true, title="Need uptrend-background?")
usebgdn = input(true, title="Need downtrend-background?")
usealw = input(true, title="Need background always?")
usearr = input(true, title="Need new-trend-arrows?")
useloco = input(true, title="Need locomotive-arrows?")
usemon = input(true, title="Need money?") //joke
// WOW 1.0 method
lasthigh = highest(close, 30)
lastlow = lowest(close, 30)
center = (lasthigh +lastlow) / 2
body = (open + close) / 2
trend1 = body > center ? 1 : body < center ? -1 : trend1[1]
trend2 = center > center[1] ? 1 : center < center[1] ? -1 : trend2[1]
WOWtrend = usewow == true ? trend1 == 1 and trend2 == 1 ? 1 : trend1 == -1 and trend2 == -1 ? -1 : WOWtrend[1] : 0
// BestMA 1.0 method
SMAOpen = sma(open, 30)
SMAClose = sma(close, 30)
BMAtrend = usebma == true ? SMAClose > SMAOpen ? 1 : SMAClose < SMAOpen ? -1 : BMAtrend[1] : 0
// BarColor 1.0 method
color = close > open ? 1 : 0
score = color + color[1] + color[2] + color[3] + color[4] + color[5] + color[6] + color[7]
BARtrend = usebc == true ? score > 5 ? 1 : score < 3 ? -1 : BARtrend[1] : 0
// SuperTrend mehtod
Up = hl2 - (7 * atr(3))
Dn = hl2 + (7 * atr(3))
TrendUp = close[1] > TrendUp[1] ? max(Up, TrendUp[1]) : Up
TrendDown = close[1] < TrendDown[1] ? min(Dn, TrendDown[1]) : Dn
SUPtrend = usest == true ? close > TrendDown[1] ? 1: close < TrendUp[1]? -1 : SUPtrend[1] : 0
//DI method
th = 20
TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0
SmoothedTrueRange = nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/14) + TrueRange
SmoothedDirectionalMovementPlus = nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/14) + DirectionalMovementPlus
SmoothedDirectionalMovementMinus = nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/14) + DirectionalMovementMinus
DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DItrend = usedi == true ? DIPlus > DIMinus ? 1 : -1 : 0
//TTS method (Trend Trader Strategy)
//Start of HPotter's code
//Andrew Abraham' idea
avgTR = wma(atr(1), 21)
highestC = highest(21)
lowestC = lowest(21)
hiLimit = highestC[1]-(avgTR[1] * 3)
loLimit = lowestC[1]+(avgTR[1] * 3)
ret = iff(close > hiLimit and close > loLimit, hiLimit, iff(close < loLimit and close < hiLimit, loLimit, nz(ret[1], 0)))
pos = iff(close > ret, 1, iff(close < ret, -1, nz(pos[1], 0)))
//End of HPotter's code
TTStrend = usetts == true ? pos == 1 ? 1 : pos == -1 ? -1 : TTStrend[1] : 0
//RSI method
RSIMain = (rsi(close, 13) - 50) * 1.5
rt = iff(RSIMain > -10, 1, iff(RSIMain < 10, -1, nz(pos[1], 0)))
RSItrend = usersi == true ? rt : 0
//WTO ("WaveTrend Oscilator") method by LazyBear
//Start of LazyBear's code
esa = ema(hlc3, 10)
d = ema(abs(hlc3 - esa), 10)
ci = (hlc3 - esa) / (0.015 * d)
tci = ema(ci, 21)
//End of LazyBear's code
WTOtrend = usewto == true ? tci > 0 ? 1 : tci < 0 ? -1 : 0 : 0
//plots
trends = usemon == true ? WOWtrend + BMAtrend + BARtrend + SUPtrend + DItrend + TTStrend + RSItrend + WTOtrend: -1 * (WOWtrend + BMAtrend + BARtrend + SUPtrend + DItrend + TTStrend + RSItrend + WTOtrend)
pricehi = sma(high, 10)
pricelo = sma(low, 10)
per = usetl == 1 ? dist / 10000 : 0
color1 = usetl == true ? trends > 0 ? blue : na : na
plot(pricelo * (1 - per), color=color1, linewidth=1, title="SILA-line")
color2 = usetl == true ? trends > 1 ? blue : na : na
plot(pricelo * (1 - 2 * per), color=color2, linewidth=1, title="SILA-line")
color3 = usetl == true ? trends > 2 ? blue : na : na
plot(pricelo * (1 - 3 * per), color=color3, linewidth=1, title="SILA-line")
color4 = usetl == true ? trends > 3 ? blue : na : na
plot(pricelo * (1 - 4 * per), color=color4, linewidth=1, title="SILA-line")
color5 = usetl == true ? trends > 4 ? blue : na : na
plot(pricelo * (1 - 5 * per), color=color5, linewidth=1, title="SILA-line")
color6 = usetl == true ? trends > 5 ? blue : na : na
plot(pricelo * (1 - 6 * per), color=color6, linewidth=1, title="SILA-line")
color7 = usetl == true ? trends > 6 ? blue : na : na
plot(pricelo * (1 - 7 * per), color=color7, linewidth=1, title="SILA-line")
color8 = usetl == true ? trends > 7 ? blue : na : na
plot(pricelo * (1 - 8 * per), color=color8, linewidth=1, title="SILA-line")
color10 = usetl == true ? trends < 0 ? black : na : na
plot(pricehi * (1 + per), color=color10, linewidth=1, title="SILA-line")
color11 = usetl == true ? trends < -1 ? black : na : na
plot(pricehi * (1 + 2 * per), color=color11, linewidth=1, title="SILA-line")
color12 = usetl == true ? trends < -2 ? black : na : na
plot(pricehi * (1 + 3 * per), color=color12, linewidth=1, title="SILA-line")
color13 = usetl == true ? trends < -3 ? black : na : na
plot(pricehi * (1 + 4 * per), color=color13, linewidth=1, title="SILA-line")
color14 = usetl == true ? trends < -4 ? black : na : na
plot(pricehi * (1 + 5 * per), color=color14, linewidth=1, title="SILA-line")
color15 = usetl == true ? trends < -5 ? black : na : na
plot(pricehi * (1 + 6 * per), color=color15, linewidth=1, title="SILA-line")
color16 = usetl == true ? trends < -6 ? black : na : na
plot(pricehi * (1 + 7 * per), color=color16, linewidth=1, title="SILA-line")
color17 = usetl == true ? trends < -7 ? black : na : na
plot(pricehi * (1 + 8 * per), color=color17, linewidth=1, title="SILA-line")
//background
col = usebgup == true and trends >= sensup ? 1 : usebgdn == true and trends <= (-1 * sensdn) ? -1 : usealw == true ? col[1] : 0
bgcolor = col == 1 ? lime : col == -1 ? red : na
//bgcolor(bgcolor, transp=70)
//arrows
posi = trends >= sensup ? 1 : trends <= (-1 * sensdn) ? -1 : posi[1]
arr = usearr == true ? posi == 1 and posi[1] < 1 ? 1 : posi == -1 and posi[1] > -1 ? -1 : na : na
//plotarrow(arr == 1 ? 1 : na, title="UpArrow", colorup=blue, maxheight=60, minheight=50, transp=0)
//plotarrow(arr == -1 ? -1 : na, title="DnArrow", colordown=blue, maxheight=60, minheight=50, transp=0)
//locomotive
bar = close > open ? 1 : close < open ? -1 : 0
locotop = bar == -1 and bar[1] == 1 and bar[2] == 1 ? 1 : 0
locobot = bar == 1 and bar[1] == -1 and bar[2] == -1 ? 1 : 0
entry = useloco == false ? 1 : posi == posi[1] ? (locotop == 1 and posi == -1) or (locobot == 1 and posi == 1) ? 1 : entry[1] : 0
//plotarrow(locobot == 1 and entry[1] == 0 and posi == 1 ? 1 : na, title="UpLocomotive", colorup=yellow, maxheight=60, minheight=50, transp=0)
//plotarrow(locotop == 1 and entry[1] == 0 and posi == -1 ? -1 : na, title="DnLocomotive", colordown=yellow, maxheight=60, minheight=50, transp=0)
longCondition = arr == 1
if (longCondition)
strategy.entry("Long", strategy.long)
shortCondition = arr == -1
if (shortCondition)
strategy.entry("Short", strategy.short)
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