蜜蜂趋势ATR横向突破策略是一种基于ATR指标与布林带进行交易信号生成的中短线突破型策略。它主要监测股价在一定宽度的上下ATR通道内的趋势变化,在下穿下轨或上穿上轨时,结合趋势过滤进行交易决策。
该策略主要由三部分组成:
ATR通道:通过ATR指标计算股价的波动范围,并以该范围上下形成通道。通道宽度通过ATR lookback周期和ATRdivisor因子控制。
蜜蜂线:以股价中枢线为基准线。中枢线计算方法为:昨日高低收的平均值。
趋势过滤:通过离差动向指标计算价格趋势,并设定信号周期,当 pricesig ‘>’: pricesig[3] 时为趋势向上,当 pricesig ‘<’ pricesig[3]时为趋势向下。
具体交易信号生成逻辑为:
多头信号: pricesig > pricesig[3] 且 价格下穿下轨 时做多;
空头信号: pricesig < pricesig[3] 且 价格上穿上轨 时做空;
其他情况无交易。
该策略同时设定止盈止损条件,以控制交易风险。
蜜蜂趋势ATR突破策略具有如下优势:
采用ATR指标计算股价波动范围,能动态捕捉市场变化;
结合中枢线评估股价横盘并设置通道突破交易点,避免追高杀跌;
离差动向指标进行趋势判断,避免逆势交易,提高胜率;
设置止盈止损条件控制单笔风险;
策略参数设定灵活,可调整通道宽度、ATR周期等因素优化策略。
该策略也存在一定风险:
中短线交易波动大,风险相对较高,需要谨慎资金管理;
股价剧烈波动时,ATR通道范围计算可能不准,容易造成错误交易;
离差动向指标对趋势判断也可能犯错,从而影响交易信号的准确性。
针对以上风险,可通过适当调整ATR通道参数、加大趋势过滤信号周期等方式进行优化和改进。
该策略可从以下几个方面进行优化:
调整ATR通道宽度,降低或提高参数atrDivisor,压缩或放大通道范围。
调整ATR lookback周期参数,改变通道对最近波动的敏感度。
调整趋势信号周期参数,改善多空趋势判断的准确性。
加入其他指标进行多因子验证,提高交易信号质量。
优化止盈止损算法,改进风险控制。
蜜蜂趋势ATR突破策略整合运用股价波动范围分析和趋势判断指标,在捕捉市场热点的同时控制交易风险,是一种灵活度高、适应性强的量化策略。该策略可通过参数调整与信号优化不断改进,具有广阔的运用前景。
/*backtest
start: 2023-11-01 00:00:00
end: 2023-11-30 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy(title="Strategy - Bobo PATR Swing", overlay=true, default_qty_type = strategy.fixed, default_qty_value = 1, initial_capital = 10000)
// === STRATEGY RELATED INPUTS AND LOGIC ===
PivottimeFrame = input(title="Pivot Timeframe", defval="D")
ATRSDtimeFrame = input(title="ATR Band Timeframe (Lower timeframe = wider bands)", defval="D")
len = input(title="ATR lookback (Lower = bands more responsive to recent price action)", defval=13)
myatr = atr(len)
dailyatr = request.security(syminfo.tickerid, ATRSDtimeFrame, myatr[1])
atrdiv = input(title="ATR divisor (Lower = wider bands)", type=float, defval=2)
pivot0 = (high[1] + low[1] + close[1]) / 3
pivot = request.security(syminfo.tickerid, PivottimeFrame, pivot0)
upperband1 = (dailyatr / atrdiv) + pivot
lowerband1 = pivot - (dailyatr / atrdiv)
middleband = pivot
// == TREND CALC ===
i1=input(2, "Momentum Period", minval=1) //Keep at 2 usually
i2=input(20, "Slow Period", minval=1)
i3=input(5, "Fast Period", minval=1)
i4=input(3, "Smoothing Period", minval=1)
i5=input(4, "Signal Period", minval=1)
i6=input(50, "Extreme Value", minval=1)
hiDif = high - high[1]
loDif = low[1] - low
uDM = hiDif > loDif and hiDif > 0 ? hiDif : 0
dDM = loDif > hiDif and loDif > 0 ? loDif : 0
ATR = rma(tr(true), i1)
DIu = 100 * rma(uDM, i1) / ATR
DId = 100 * rma(dDM, i1) / ATR
HLM2 = DIu - DId
DTI = (100 * ema(ema(ema(HLM2, i2), i3), i4)) / ema(ema(ema(abs(HLM2), i2), i3), i4)
signal = ema(DTI, i5)
// === RISK MANAGEMENT INPUTS ===
inpTakeProfit = input(defval = 0, title = "Take Profit (In Market MinTick Value)", minval = 0)
inpStopLoss = input(defval = 100, title = "Stop Loss (In Market MinTick Value)", minval = 0)
// === RISK MANAGEMENT VALUE PREP ===
// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong = (((low<=lowerband1) and (close >lowerband1)) or ((open <= lowerband1) and (close > lowerband1))) and (strategy.opentrades <1) and (atr(3) > atr(50)) and (signal>signal[3])
exitLong = (high > middleband)
strategy.entry(id = "Long", long = true, when = enterLong)
strategy.close(id = "Long", when = exitLong)
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort = (((high>=upperband1) and (close < upperband1)) or ((open >= upperband1) and (close < upperband1))) and (strategy.opentrades <1) and (atr(3) > atr(50)) and (signal<signal[3])
exitShort = (low < middleband)
strategy.entry(id = "Short", long = false, when = enterShort)
strategy.close(id = "Short", when = exitShort)
// === STRATEGY RISK MANAGEMENT EXECUTION ===
strategy.exit("Exit Long", from_entry = "Long", profit = useTakeProfit, loss = useStopLoss)
strategy.exit("Exit Short", from_entry = "Short", profit = useTakeProfit, loss = useStopLoss)
// === CHART OVERLAY ===
plot(upperband1, color=#C10C00, linewidth=3)
plot(lowerband1, color=#23E019, linewidth=3)
plot(middleband, color=#00E2E2, linewidth=3)
//plot(strategy.equity, title="equity", color=red, linewidth=2, style=areabr)