ChaoZhang
概述
突破高低策略是一种跟踪价格突破前一根K线的高点或低点的趋势追踪策略。它结合移动平均线来判断趋势方向,在突破点入场,然后设置止损或追踪止损来锁定利润。
策略原理
该策略主要判断以下几个条件来决定开仓和平仓:
- 判断K线为红色或绿色,以确定是上涨K线还是下跌K线
- 判断当前K线是否突破前一根K线的高点或低点
- 使用快速移动平均线和慢速移动平均线来判断趋势方向
- 当上涨K线突破前一根下跌K线的高点时,做多;当下跌K线突破前一根上涨K线的低点时,做空
- 平仓条件为止损或追踪止损触发;也可以设置反向K线出现则立即止损
该策略同时结合第二根反转K线判断来过滤假突破,确保突破信号的可靠性。
优势分析
- 策略定位清晰,突破操作容易掌握
- 结合双移动平均确保大趋势判断正确
- 追踪止损机制帮助锁定更多利润
- 反向K线机制有助于避免追高杀跌
风险分析
- 突破失败可能造成超短线操作亏损
- 震荡行情中假突破风险较大
- 双移动平均可能滞后,导致判断失误
风险控制措施:
- 选择指数或主力大盘标的,避免个股的高风险
- 优化移动平均参数,提高判断准确率
- 适当放大止损幅度,确保单笔亏损控制
优化方向
该策略可以从以下几个方面进行优化:
- 测试不同的移动平均参数组合
- 测试加入其他指标进行组合判断
- 优化开仓和止损点位的参数
- 增加量化筛选规则,选取优质标的
- 结合机器学习算法进行参数自适应优化
总结
突破高低策略整体来说是一个较为成熟的趋势追踪策略,在移动平均辅助判断下,可以捕捉一定程度的趋势,止损和追踪止损机制也帮助锁定利润。通过不断测试和优化,可以使该策略的参数设置和效果更加出色。
策略源码
/*backtest
start: 2022-12-15 00:00:00
end: 2023-12-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Broken High/Low Strategy", overlay=true, initial_capital = 5000, default_qty_value = 25, pyramiding = 10, default_qty_type= strategy.percent_of_equity)
useEMAForStop = input.bool(false, 'Use trail stop EMA', group = 'Exit strategy')
trailStopMALength = input(8, 'Trail stop EMA length', group = 'Exit strategy')
fastMALength = input(5 , 'Fast MA length', group = 'Trend strength')
fastEMAEnabled = input.bool(false, 'Fast EMA enabled (default is SMA)', group = 'Trend strength')
slowMALength = input(10, 'Slow MA length', group = 'Trend strength')
slowEMAEnabled = input.bool(false, 'Slow EMA enabled (default is SMA)', group = 'Trend strength')
ignoreSlowMA = input.bool(false, 'Use fast MA for trend ignoring slow MA', group = 'Trend strength')
useOpposingBarAsExit = input.bool(false, 'Using opposing bar as exit', group = 'Exit strategy')
secondEntryEnabled = input.bool(false, 'Second bar that eliminates opposing bar for entry', group = 'Trend strength')
longsEnabled = input.bool(true, 'Enable longs', group = 'Trade settings')
shortsEnabled = input.bool(true, 'Enable shorts', group = 'Trade settings')
fastMA = fastEMAEnabled ? ta.ema(close, fastMALength) : ta.sma(close, fastMALength)
slowMA = slowEMAEnabled ? ta.ema(close, slowMALength) : ta.sma(close, slowMALength)
FromMonth=input.int(defval=1,title="FromMonth",minval=1,maxval=12, group = 'Time filters')
FromDay=input.int(defval=1,title="FromDay",minval=1,maxval=31, group = 'Time filters')
FromYear=input.int(defval=1990,title="FromYear",minval=1900, group = 'Time filters')
ToMonth=input.int(defval=1,title="ToMonth",minval=1,maxval=12, group = 'Time filters')
ToDay=input.int(defval=1,title="ToDay",minval=1,maxval=31, group = 'Time filters')
ToYear=input.int(defval=9999,title="ToYear",minval=2017, group = 'Time filters')
start=timestamp(FromYear,FromMonth,FromDay,00,00)
finish=timestamp(ToYear,ToMonth,ToDay,23,59)
window()=>time>=start and time<=finish?true:false
afterStartDate = time >= start and time<=finish?true:false
closeTradesEOD = input.bool(false, 'Close trades end of day', group = 'Time filters')
trailStopMA = ta.ema(close, trailStopMALength)
isGreenCandle = close > open
isRedCandle = close < open
isBrokenHigh = close > open[1]
isPriorCandleRed = close[1] < open[1]
isPriorPriorCandleRed = close[2] < open[2]
isPriorPriorCandleGreen = close[2] > open[2]
isPriorCandleGreen = close[1] > open[1]
isBrokenLow = close < open[1]
isPriorRedCandleBroken = isGreenCandle and isPriorCandleRed and isBrokenHigh
isPriorGreenCandleBroken = isRedCandle and isPriorCandleGreen and isBrokenLow
isPriorPriorRedCandleBroken = secondEntryEnabled and not isPriorRedCandleBroken and isGreenCandle and isPriorPriorCandleRed ? close > open[2] : false
isPriorPriorGreenCandleBroken = secondEntryEnabled and not isPriorGreenCandleBroken and isRedCandle and isPriorPriorCandleGreen ? close < open[2] : false
longOpenCondition = (isPriorRedCandleBroken or isPriorPriorRedCandleBroken) and afterStartDate and (ignoreSlowMA ? close > fastMA : fastMA > slowMA) and longsEnabled
longCloseCondition = useOpposingBarAsExit ? isRedCandle : ta.crossunder(close, fastMA)
longCloseCondition := useEMAForStop ? ta.crossunder(close, trailStopMA) : longCloseCondition
shortOpenCondition = (isPriorGreenCandleBroken or isPriorPriorGreenCandleBroken) and afterStartDate and (ignoreSlowMA ? close < fastMA : fastMA < slowMA) and shortsEnabled
shortCloseCondition = useOpposingBarAsExit ? isGreenCandle : ta.crossover(close, fastMA)
shortCloseCondition := useEMAForStop ? ta.crossover(close, trailStopMA) : shortCloseCondition
if (longOpenCondition)
strategy.entry("Long Entry", strategy.long)
if (longCloseCondition)
strategy.close('Long Entry', 'Long Exit')
if (shortOpenCondition)
strategy.entry("Short Entry", strategy.long)
if (shortCloseCondition)
strategy.close('Short Entry', 'Short Exit')
if (closeTradesEOD and hour >= 14 and minute >= 30)
strategy.close_all("EOD")
plot(useEMAForStop ? trailStopMA : na, linewidth = 2, color = color.red)
plot(fastMA)
plot(ignoreSlowMA ? na : slowMA, linewidth = 4)