ChaoZhang
概述
该策略为LazyBear的原始波浪趋势策略,增加了第二止损、多个止盈价格以及高时间框架EMA过滤器。其利用波浪趋势指标生成交易信号,再结合EMA过滤和止损止盈管理,实现自动化趋势跟踪交易。
策略原理
该策略的核心指标是波浪趋势指标(WaveTrend),它由三部分组成:
AP:平均价格=(最高价+最低价+收盘价)/3
ESA:AP的n1期EMA
CI:(AP-ESA)/ (0.015×AP-ESA的n1期EMA)的绝对值的n1期EMA
TCI:CI的n2期EMA,即波浪趋势线1(WT1)
WT2:WT1的4周期SMA
当WT1上穿WT2产生金叉时,做多;当WT1下穿WT2产生死叉时,平仓。
此外,策略还引入高时间框架EMA作为过滤器,只有当价格高于EMA时才能做多,低于EMA时才能做空,从而过滤掉部分假信号。
策略优势
- 利用波浪趋势指标自动跟踪趋势,避免人为判断错误
- 增加第二止损,有效控制单笔亏损
- 多个止盈价格,最大程度锁定利润
- EMA过滤器,过滤假信号,提高胜率
策略风险及优化
- 不能过滤趋势反转,可能造成损失
- 参数设置不当可能导致过于频繁交易
- 可测试不同参数组合,优化参数
- 可考虑结合其他指标判断趋势反转
总结
该策略综合考虑了趋势跟踪、风险控制、利润最大化等多个维度,通过波浪趋势指标自动捕捉趋势,配合EMA过滤器提高交易效率,在把握趋势的同时控制风险,是一个高效稳定的趋势跟踪策略。通过进一步的参数优化和增加反转判断,可以进一步扩展该策略的适用性。
策略源码
/*backtest
start: 2023-10-31 00:00:00
end: 2023-11-30 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/
// © undacovacobra
//@version=4
strategy("WaveTrend Strategy [LazyBear] with Secondary Stop Loss", overlay=true)
// Input parameters
n1 = input(10, "Channel Length")
n2 = input(21, "Average Length")
obLevel1 = input(60, "Over Bought Level 1")
obLevel2 = input(53, "Over Bought Level 2")
osLevel1 = input(-60, "Over Sold Level 1")
osLevel2 = input(-53, "Over Sold Level 2")
useEmaFilter = input(false, "Use EMA Filter")
emaLength = input(50, "EMA Length")
emaTimeFrame = input("60", "EMA Time Frame")
tradeMode = input("Both", "Trade Mode", options=["Long Only", "Short Only", "Both"])
useSecondarySL = input(false, "Use Secondary Stop Loss")
slPercentage = input(5.0, "Stop Loss Percentage (%)")
// WaveTrend Indicator Calculations
ap = hlc3
esa = ema(ap, n1)
d = ema(abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ema(ci, n2)
wt1 = tci
wt2 = sma(wt1, 4)
// EMA Calculation with Selected Time Frame
getEma(timeFrame) =>
security(syminfo.tickerid, timeFrame, ema(close, emaLength))
emaFilter = getEma(emaTimeFrame)
// Secondary Stop Loss Calculation
longStopPrice = strategy.position_avg_price * (1 - slPercentage / 100)
shortStopPrice = strategy.position_avg_price * (1 + slPercentage / 100)
// Long Entry and Exit Conditions with EMA Filter and Trade Mode
longEntry = crossover(wt1, wt2) and wt2 < osLevel1 and (not useEmaFilter or close > emaFilter) and (tradeMode == "Long Only" or tradeMode == "Both")
if (longEntry)
strategy.entry("Long", strategy.long)
longExit = crossunder(wt1, wt2) and wt2 > obLevel1
if (longExit)
strategy.close("Long")
if (useSecondarySL and strategy.position_size > 0 and low < longStopPrice)
strategy.close("Long", comment="SL Hit")
// Short Entry and Exit Conditions with EMA Filter and Trade Mode
shortEntry = crossunder(wt1, wt2) and wt2 > obLevel1 and (not useEmaFilter or close < emaFilter) and (tradeMode == "Short Only" or tradeMode == "Both")
if (shortEntry)
strategy.entry("Short", strategy.short)
shortExit = crossover(wt1, wt2) and wt2 < osLevel1
if (shortExit)
strategy.close("Short")
if (useSecondarySL and strategy.position_size < 0 and high > shortStopPrice)
strategy.close("Short", comment="SL Hit")
// Plotting
plot(0, color=color.gray)
plot(obLevel1, color=color.red)
plot(osLevel1, color=color.green)
plot(obLevel2, color=color.red, style=plot.style_cross)
plot(osLevel2, color=color.green, style=plot.style_cross)
plot(wt1, color=color.green)
plot(wt2, color=color.red, style=plot.style_cross)
plot(wt1-wt2, color=color.blue, style=plot.style_area, transp=80)
plot(emaFilter, color=color.blue)