ChaoZhang
概述
这个策略基于变化率(ROC)指标来判断市场走势和产生交易信号。策略的核心思路是追随长期趋势,通过承担较大的风险来获得超越市场的收益。
策略原理
入场规则
- 如果ROC>0,做多;如果ROC,做空。利用ROC指标的正负来判断行情方向。
- 为了过滤震荡,只有当ROC保持在同一边连续两天时,才会发出交易信号。
止损规则
设置了6%的止损。当止损触发后,改变仓位方向。这表示我们可能正处在行情的错误一边,需要及时止损反向操作。
防泡沫机制
如果ROC超过200,则判定为泡沫。当ROC落回泡沫下方时,产生做空信号。同时,要求泡沫至少持续1周。
资金管理
使用固定仓位+递增法。每上涨或下跌400美元,增加或减少200美元的仓位。这样可以利用盈利进行加仓从而获得更大收益,但也增加了回撤。
优势分析
这是一个追踪长期趋势的策略。它的优势有:
- 遵循趋势交易的哲学,容易获取长期正收益。
- 利用止损来控制风险,可以减轻短期行情波动的影响。
- 防泡沫机制可以避免在市场顶部追高。
- 固定仓位+递增的资金管理方式使其在上涨行情中获得指数型增长。
风险分析
该策略也存在一些风险:
- ROC指标容易受到震荡的影响,产生错误信号。可以考虑加入其他指标进行组合过滤。
- 没有考虑交易费用,实际运用时收益会比回测低。
- 防泡沫参数设置不当也容易错过行情。
- 固定仓位+递增法增大了损失时的回撤。
优化方向
该策略可以从以下几个方面进行优化:
- 增加其他指标判断,组成交易系统,以过滤错误信号。例如加入均线、波动率等指标。
- 优化防泡沫参数,设置更精确的泡沫识别机制。
- 调整固定仓位和递增参数,获得更好的风险收益平衡。
- 添加自动止损机制。当发生大幅亏损时自动停损。
- 考虑交易费用的影响,设置更实际的入场标准。
总结
总的来说,这是一个以ROC指标为核心的长线追踪策略。它通过承担较大的风险获得超越大盘的超额收益,是一个积极进取的策略。我们需要对其进行适当优化,使之能够在实际中运用。关键是要找到适合自己的风险偏好。
策略源码
/*backtest
start: 2022-12-05 00:00:00
end: 2023-12-11 00:00:00
period: 1d
basePeriod: 1h
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/
// © gsanson66
//This strategy use the Rate of Change (ROC) of the closing price to send enter signal.
//@version=5
strategy("RATE OF CHANGE BACKTESTING", shorttitle="ROC BACKTESTING", overlay=false, precision=3, initial_capital=1000, default_qty_type=strategy.cash, default_qty_value=950, commission_type=strategy.commission.percent, commission_value=0.18)
//--------------------------------FUNCTIONS-----------------------------------//
//@function Displays text passed to `txt` when called.
debugLabel(txt, color, loc) =>
label.new(bar_index, loc, text = txt, color=color, style = label.style_label_lower_right, textcolor = color.black, size = size.small)
//@function which looks if the close date of the current bar falls inside the date range
inBacktestPeriod(start, end) => (time >= start) and (time <= end)
//----------------------------------USER INPUTS----------------------------------//
//Technical parameters
rocLength = input.int(defval=365, minval=0, title='ROC Length', group="Technical parameters")
bubbleValue = input.int(defval=200, minval=0, title="ROC Bubble signal", group="Technical parameters")
//Risk management
stopLossInput = input.float(defval=10, minval=0, title="Stop Loss (in %)", group="Risk Management")
//Money management
fixedRatio = input.int(defval=400, minval=1, title="Fixed Ratio Value ($)", group="Money Management")
increasingOrderAmount = input.int(defval=200, minval=1, title="Increasing Order Amount ($)", group="Money Management")
//Backtesting period
startDate = input(title="Start Date", defval=timestamp("1 Jan 2017 00:00:00"), group="Backtesting Period")
endDate = input(title="End Date", defval=timestamp("1 July 2024 00:00:00"), group="Backtesting Period")
//-------------------------------------VARIABLES INITIALISATION-----------------------------//
roc = (close/close[rocLength] - 1)*100
midlineConst = 0
var bool inBubble = na
bool shortBubbleCondition = na
equity = strategy.equity - strategy.openprofit
strategy.initial_capital = 50000
var float capital_ref = strategy.initial_capital
var float cashOrder = strategy.initial_capital * 0.95
bool inRange = na
//------------------------------CHECKING SOME CONDITIONS ON EACH SCRIPT EXECUTION-------------------------------//
//Checking if the date belong to the range
inRange := true
//Checking if we are in a bubble
if roc > bubbleValue and not inBubble
inBubble := true
//Checking if the bubble is over
if roc < 0 and inBubble
inBubble := false
//Checking the condition to short the bubble : The ROC must be above the bubblevalue for at least 1 week
if roc[1]>bubbleValue and roc[2]>bubbleValue and roc[3]>bubbleValue and roc[4]>bubbleValue and roc[5]>bubbleValue and roc[6]>bubbleValue and roc[7]>bubbleValue
shortBubbleCondition := true
//Checking performances of the strategy
if equity > capital_ref + fixedRatio
spread = (equity - capital_ref)/fixedRatio
nb_level = int(spread)
increasingOrder = nb_level * increasingOrderAmount
cashOrder := cashOrder + increasingOrder
capital_ref := capital_ref + nb_level*fixedRatio
if equity < capital_ref - fixedRatio
spread = (capital_ref - equity)/fixedRatio
nb_level = int(spread)
decreasingOrder = nb_level * increasingOrderAmount
cashOrder := cashOrder - decreasingOrder
capital_ref := capital_ref - nb_level*fixedRatio
//Checking if we close all trades in case where we exit the backtesting period
if strategy.position_size!=0 and not inRange
debugLabel("END OF BACKTESTING PERIOD : we close the trade", color=color.rgb(116, 116, 116), loc=roc)
strategy.close_all()
//-------------------------------LONG/SHORT CONDITION-------------------------------//
//Long condition
//We reduce noise by taking signal only if the last roc value is in the same side as the current one
if (strategy.position_size<=0 and ta.crossover(roc, midlineConst)[1] and roc>0 and inRange)
//If we were in a short position, we pass to a long position
qty = cashOrder/close
strategy.entry("Long", strategy.long, qty)
stopLoss = close * (1-stopLossInput/100)
strategy.exit("Long Risk Managment", "Long", stop=stopLoss)
//Short condition
//We take a short position if we are in a bubble and roc is decreasing
if (strategy.position_size>=0 and ta.crossunder(roc, midlineConst)[1] and roc<0 and inRange) or
(strategy.position_size>=0 and inBubble and ta.crossunder(roc, bubbleValue) and shortBubbleCondition and inRange)
//If we were in a long position, we pass to a short position
qty = cashOrder/close
strategy.entry("Short", strategy.short, qty)
stopLoss = close * (1+stopLossInput/100)
strategy.exit("Short Risk Managment", "Short", stop=stopLoss)
//--------------------------------RISK MANAGEMENT--------------------------------------//
//We manage our risk and change the sense of position after SL is hitten
if strategy.position_size == 0 and inRange
//We find the direction of the last trade
id = strategy.closedtrades.entry_id(strategy.closedtrades-1)
if id == "Short"
qty = cashOrder/close
strategy.entry("Long", strategy.long, qty)
stopLoss = close * (1-stopLossInput/100)
strategy.exit("Long Risk Managment", "Long", stop=stopLoss)
else if id =="Long"
qty = cashOrder/close
strategy.entry("Short", strategy.short, qty)
stopLoss = close * (1+stopLossInput/100)
strategy.exit("Short Risk Managment", "Short", stop=stopLoss)
//---------------------------------PLOTTING ELEMENTS---------------------------------------//
//Plotting of ROC
rocPlot = plot(roc, "ROC", color=#7E57C2)
midline = hline(0, "ROC Middle Band", color=color.new(#787B86, 25))
midLinePlot = plot(0, color = na, editable = false, display = display.none)
fill(rocPlot, midLinePlot, 40, 0, top_color = strategy.position_size>0 ? color.new(color.green, 0) : strategy.position_size<0 ? color.new(color.red, 0) : na, bottom_color = strategy.position_size>0 ? color.new(color.green, 100) : strategy.position_size<0 ? color.new(color.red, 100) : na, title = "Positive area")
fill(rocPlot, midLinePlot, 0, -40, top_color = strategy.position_size<0 ? color.new(color.red, 100) : strategy.position_size>0 ? color.new(color.green, 100) : na, bottom_color = strategy.position_size<0 ? color.new(color.red, 0) : strategy.position_size>0 ? color.new(color.green, 0) : na, title = "Negative area")