ChaoZhang
概述
Alpha趋势跟踪止损策略是在Alpha趋势策略的基础上加入了跟踪止损机制,可以更有效地控制风险,提高整体回报率。
策略原理
该策略首先利用Alpha指标判断价格趋势,当Alpha指标上扬时为看涨信号,Alpha指标下跌时为看跌信号。策略根据Alpha指标的金叉死叉来产生买入和卖出信号。
同时,策略启用了跟踪止损机制。跟踪止损值默认为当日收盘价的10%,当持有多头头寸时,如果价格下跌超过止损值则止损退出;当持有空头头寸时,如果价格上涨超过止损值则止损退出。这样可以更好地锁定盈利,降低风险。
优势分析
Alpha趋势判断价格趋势的能力较强,效果好于普通移动平均线等指标。
启用跟踪止损机制,可以有效地控制单笔亏损,减少风险。
该策略风险控制能力较强,即使行情不利也能尽量减少损失。
该策略参考数较少,计算效率高,适合高频交易。
风险分析
该策略在横盘调整时会产生较多不必要的交易信号,这会增加交易成本和滑点损失。
启用跟踪止损时需要合理设置止损比例,比例过大过小都不利于策略盈利。
标的价格剧烈波动时,会导致止损被触发的概率较大,增加了套牢风险。
优化止损参数时需要综合考虑标的特性、交易频率等多种因素,不能只追求最大化收益。
以上风险可以通过调整Alpha指标参数,设置DYNAMIC止损,缩短交易周期等方法进行缓解。
优化方向
可以测试不同的指标参数,寻找更适合的Alpha指标参数组合。
尝试基于ATR动态设置止损幅度,使其能更好地适应市场波动。
可以结合其他指标筛选信号,如MACD、KD等,过滤掉一些误信号。
可以基于真实盘和回测结果自动优化参数,使用机器学习等技术提高参数选择的智能化。
总结
Alpha趋势跟踪止损策略融合了趋势判断与风险控制,可以有效判别价格趋势,并锁定盈利降低风险。相比于简单的趋势跟踪策略,该策略可以获得更高的稳定收益。通过多方面的优化,有望获得更出色的绩效。
策略源码
/*backtest
start: 2023-10-27 00:00:00
end: 2023-11-26 00:00:00
period: 1h
basePeriod: 15m
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/
// author © KivancOzbilgic
// developer © KivancOzbilgic
//@version=5
strategy("AlphaTrend Strategy", shorttitle='ATst', overlay=true, format=format.price, precision=2, margin_long=100, margin_short=100)
coeff = input.float(1, 'Multiplier', step=0.1)
AP = input(14, 'Common Period')
ATR = ta.sma(ta.tr, AP)
src = input(close)
showsignalsk = input(title='Show Signals?', defval=false)
novolumedata = input(title='Change calculation (no volume data)?', defval=false)
upT = low - ATR * coeff
downT = high + ATR * coeff
AlphaTrend = 0.0
AlphaTrend := (novolumedata ? ta.rsi(src, AP) >= 50 : ta.mfi(hlc3, AP) >= 50) ? upT < nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : upT : downT > nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : downT
color1 = AlphaTrend > AlphaTrend[1] ? #00E60F : AlphaTrend < AlphaTrend[1] ? #80000B : AlphaTrend[1] > AlphaTrend[3] ? #00E60F : #80000B
k1 = plot(AlphaTrend, color=color.new(#0022FC, 0), linewidth=3)
k2 = plot(AlphaTrend[2], color=color.new(#FC0400, 0), linewidth=3)
fill(k1, k2, color=color1)
buySignalk = ta.crossover(AlphaTrend, AlphaTrend[2])
sellSignalk = ta.crossunder(AlphaTrend, AlphaTrend[2])
K1 = ta.barssince(buySignalk)
K2 = ta.barssince(sellSignalk)
O1 = ta.barssince(buySignalk[1])
O2 = ta.barssince(sellSignalk[1])
plotshape(buySignalk and showsignalsk and O1 > K2 ? AlphaTrend[2] * 0.9999 : na, title='BUY', text='BUY', location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(#0022FC, 0), textcolor=color.new(color.white, 0))
plotshape(sellSignalk and showsignalsk and O2 > K1 ? AlphaTrend[2] * 1.0001 : na, title='SELL', text='SELL', location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.maroon, 0), textcolor=color.new(color.white, 0))
// //ENTER SOME SETUP TRADES FOR TSL EXAMPLE
// longCondition = ta.crossover(ta.sma(close, 10), ta.sma(close, 20))
// if longCondition
// strategy.entry('My Long Entry Id', strategy.long)
// shortCondition = ta.crossunder(ta.sma(close, 10), ta.sma(close, 20))
// if shortCondition
// strategy.entry('My Short Entry Id', strategy.short)
longCondition = buySignalk
if (longCondition)
strategy.entry("Long", strategy.long)
shortCondition = sellSignalk
if (shortCondition)
strategy.entry("Short", strategy.short)
enableTrailing = input.bool(title='Enable Trailing Stop (%)',defval = true)
//TRAILING STOP CODE
trailStop = input.float(title='Trailing (%)', minval=0.0, step=0.1, defval=10) * 0.01
longStopPrice = 0.0
shortStopPrice = 0.0
longStopPrice := if strategy.position_size > 0
stopValue = close * (1 - trailStop)
math.max(stopValue, longStopPrice[1])
else
0
shortStopPrice := if strategy.position_size < 0
stopValue = close * (1 + trailStop)
math.min(stopValue, shortStopPrice[1])
else
999999
//PLOT TSL LINES
plot(series=strategy.position_size > 0 ? longStopPrice : na, color=color.new(color.red, 0), style=plot.style_linebr, linewidth=1, title='Long Trail Stop', offset=1, title='Long Trail Stop')
plot(series=strategy.position_size < 0 ? shortStopPrice : na, color=color.new(color.red, 0), style=plot.style_linebr, linewidth=1, title='Short Trail Stop', offset=1, title='Short Trail Stop')
if enableTrailing
//EXIT TRADE @ TSL
if strategy.position_size > 0
strategy.exit(id='Close Long', stop=longStopPrice)
if strategy.position_size < 0
strategy.exit(id='Close Short', stop=shortStopPrice)