ChaoZhang
概述
本策略基于candle的实体部分,结合EMA指标判断市场趋势方向,实现ORIGINAL PRIMITIVE TREND TRACKING的效果。当出现较大的阳线时做多,出现较大的阴线时做空,从而跟踪市场趋势。
策略原理
- 计算最后30根K线的candle实体平均长度sbody
- 当最新K线为阳线,实体长度大于sbody/2时,做多
- 当已做多时,如果最新K线为阴线,实体长度大于sbody/2,且当前头寸为盈利状态,则平多头寸
- 当最新K线为阴线,实体长度大于sbody/2时,做空
- 当已做空时,如果最新K线为阳线,实体长度大于sbody/2,且当前头寸为盈利状态,则平空头寸
优势分析
本策略具有以下优势:
- 原始简单,容易理解和实现
- 基于candle结构判断,对突破 Trading Breakouts 有一定效果
- 跟踪趋势,能捕捉较大行情
- 盈利头寸后快速止损,有利锁定利润
风险分析
本策略也存在一些风险:
- 无法有效过滤假突破,可能导致不必要的亏损
- 仅基于candle判断易受滑点和隔夜跳空影响
- 未考虑交易频率过高的问题
可通过以下方法降低风险: 1. 结合其他指标过滤信号 2. 设置止损策略 3. 优化参数,控制交易频率
优化方向
本策略可从以下方面进行优化:
- 增加突破指标,过滤假突破
- 增加止损策略,降低单笔亏损
- 结合趋势指标,检验趋势方向
- 参数优化,找到最佳参数组合
总结
本策略属于原始简单型的趋势跟踪策略。通过candle结构判断,可有效跟踪趋势方向。同时设置快速止损机制,可锁定利润。该策略可补充趋势跟踪组合,但仍需优化以降低风险。未来值得进一步研究结合其他指标的效果。
策略源码
/*backtest
start: 2023-10-23 00:00:00
end: 2023-11-22 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy(title = "Noro's Primitive Strategy v1.0", shorttitle = "Primitive str 1.0", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100.0, pyramiding = 10)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
usebody = input(true, defval = true, title = "Use body")
useus = input(true, defval = true, title = "Use UUP")
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(01, defval = 01, 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")
//Logic
body = abs(close - open)
sbody = ema(body, 30) / 2
bar = close > open ? 1 : close < open ? -1 : 0
//Signals
up = bar == -1 and (body > sbody or usebody == false) and (close < strategy.position_avg_price or strategy.position_size <= 0 or useus == false)
dn = bar == 1 and (body > sbody or usebody == false) and (close > strategy.position_avg_price or strategy.position_size >= 0 or useus == false)
//Trading
if up
strategy.entry("Long", strategy.long, needlong == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
if dn
strategy.entry("Short", strategy.short, needshort == false ? 0 : na, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 00, 00)))
if time > timestamp(toyear, tomonth, today, 00, 00)
strategy.close_all()