ChaoZhang
概述
该策略通过设置高杠杆和追加保证金条件,在市场大幅波动时及时平仓,实现防止追加保证金的风险管理。
策略原理
- 设置高杠杆操作,如杠杆比例为4倍
- 设置追加保证金线,如$25,000
- 当权益低于追加保证金线时,策略停止开仓
- 当权益继续下跌触发追加保证金信号时,策略平仓所有头寸
通过上述设置,可在市场大幅波动导致权益快速下跌时,及时止损,防止追加保证金的风险。
优势分析
- 可根据个人承受能力灵活设置杠杆比例,控制单笔损失风险
- 追加保证金机制可以防止账户爆仓
- 在高杠杆操作下,及时止损,最大程度规避风险
风险分析
- 高杠杆放大了收益同时也放大了风险
- 需要合理设置追加保证金线,与止损线匹配
- 止损容易被套,需要优化止损策略
可通过适当调整杠杆比例,设置追加保证金线与止损线匹配,优化止损策略等方法降低风险。
优化方向
- 结合趋势指标,避免逆势建仓
- 优化止损方式,避免止损被套
- 设置无交易区间,避免特定时间段建仓
- 结合机器学习算法,动态调整参数
总结
该策略通过高杠杆和追加保证金设置实现风险管理,可以防止账号爆仓。但高杠杆也放大了风险,需要进一步通过趋势判断、止损优化、交易时间控制等方法降低风险。同时可以运用机器学习等更复杂技术对参数进行动态优化,在收益与风险之间寻找最佳平衡。
策略源码
/*backtest
start: 2023-11-25 00:00:00
end: 2023-12-25 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/
//@version=4
//@author=Daveatt
// Breakout on 2H high/low break Strategy
SystemName = "Leverage Strategy"
TradeId = "🙏"
InitCapital = 100000
InitPosition = 1
UseMarginCall = input(true, title="Use Margin Call?")
MarginValue = input(25000, title="Margin Value", type=input.float)
// use 1 for no leverage
// use 0.1 for be underleveraged and bet 1/10th of a pip value
// use any value > 1 for full-degen mode
UseLeverage = input(true, title="Use Leverage")
LeverageValue = input(4, title="Leverage mult (1 for no leverage)", minval=0.1, type=input.float)
// Risk Management
UseRiskManagement = input(true, title="Use Risk Management?")
// ticks = 1/10th of a pip value
StopLoss = input(5, title="Stop Loss in ticks value", type=input.float)
TakeProfit = input(500, title="Take Profit in ticks value", type=input.float)
InitCommission = 0.075
InitPyramidMax = 1
CalcOnorderFills = false
CalcOnTick = true
DefaultQtyType = strategy.cash
DefaultQtyValue = strategy.cash
Currency = currency.USD
Precision = 2
Overlay=false
MaxBarsBack=3000
strategy
(
title=SystemName,
shorttitle=SystemName,
overlay=Overlay
)
//////////////////////////// UTILITIES ///////////////////////////
f_print(_txt, _condition) =>
var _lbl = label(na)
label.delete(_lbl)
if _condition
// saving the candle where we got rekt :(
_index = barssince(_condition)
_lbl := label.new(bar_index - _index, highest(100), _txt, xloc.bar_index, yloc.price, size = size.normal, style=label.style_labeldown)
//////////////////////////// STRATEGY LOGIC ///////////////////////////
// Date filterigng
_Date = input(true, title="[LABEL] DATE")
FromYear = input(2019, "From Year", minval=1900), FromMonth = input(12, "From Month", minval=1, maxval=12), FromDay = input(1, "From Day", minval=1, maxval=31)
ToYear = input(2019, "To Year", minval=1900), ToMonth = input(12, "To Month", minval=1, maxval=12), ToDay = input(9, "To Day", minval=1, maxval=31)
FromDate = timestamp(FromYear, FromMonth, FromDay, 00, 00)
ToDate = timestamp(ToYear, ToMonth, ToDay, 23, 59)
TradeDateIsAllowed = true
// non-repainting security version
four_hours_H = security(syminfo.tickerid, '240', high[1], lookahead=true)
four_hours_L = security(syminfo.tickerid, '240', low[1], lookahead=true)
buy_trigger = crossover(close, four_hours_H)
sell_trigger = crossunder(close, four_hours_L)
// trend states
since_buy = barssince(buy_trigger)
since_sell = barssince(sell_trigger)
buy_trend = since_sell > since_buy
sell_trend = since_sell < since_buy
change_trend = (buy_trend and sell_trend[1]) or (sell_trend and buy_trend[1])
// plot(four_hours_H, title="4H High", linewidth=2, color=#3c91c2, style=plot.style_linebr, transp=0,
// show_last=1, trackprice=true)
// plot(four_hours_L, title="4H Low", linewidth=2, color=#3c91c2, style=plot.style_linebr, transp=0,
// show_last=1, trackprice=true)
plot(strategy.equity, color=color.blue, linewidth=3, title="Strategy Equity")
// get the entry price
entry_price = valuewhen(buy_trigger or sell_trigger, close, 0)
// SL and TP
SL_price = buy_trend ? entry_price - StopLoss : entry_price + StopLoss
is_SL_hit = buy_trend ? crossunder(low, SL_price) : crossover(high, SL_price)
TP_price = buy_trend ? entry_price + TakeProfit : entry_price - TakeProfit
is_TP_hit = buy_trend ? crossover(high, TP_price) : crossunder(low, TP_price)
// Account Margin Management:
f_account_margin_call_cross(_amount)=>
_return = crossunder(strategy.equity, _amount)
f_account_margin_call(_amount)=>
_return = strategy.equity <= _amount
is_margin_call_cross = f_account_margin_call_cross(MarginValue)
is_margin_call = f_account_margin_call(MarginValue)
plot(strategy.equity, title='strategy.equity', transp=0, linewidth=4)
//plot(barssince(is_margin_call ), title='barssince(is_margin_call)', transp=100)
can_trade = iff(UseMarginCall, not is_margin_call, true)
trade_size = InitPosition * (not UseLeverage ? 1 : LeverageValue)
// We can take the trade if not liquidated/margined called/rekt
buy_final = can_trade and buy_trigger and TradeDateIsAllowed
sell_final = can_trade and sell_trigger and TradeDateIsAllowed
close_long = buy_trend and
(UseRiskManagement and (is_SL_hit or is_TP_hit)) or sell_trigger
close_short = sell_trend and
(UseRiskManagement and (is_SL_hit or is_TP_hit)) or buy_trigger
strategy.entry(TradeId + ' B', long=true, qty=trade_size, when=buy_final)
strategy.entry(TradeId + ' S', long=false, qty=trade_size, when=sell_final)
strategy.close(TradeId + ' B', when=close_long)
strategy.close(TradeId + ' S', when=close_short)
// FULL DEGEN MODE ACTIVATED
// Margin called - Broker closing your account
strategy.close_all(when=is_margin_call)
if UseMarginCall and is_margin_call_cross
f_print("☠️REKT☠️", is_margin_call_cross)