在Pine脚本中设置杠杆策略


创建日期: 2023-12-29 10:46:35 最后修改: 2023-12-29 10:46:35
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在Pine脚本中设置杠杆策略

概述

本策略旨在解决Pine脚本回测时无法设置杠杆的问题,实现杠杆复利。策略通过计算策略权益、设置的杠杆倍数和收盘价格,动态计算开仓手数。

策略原理

  1. 设置精度precision,控制开仓手数精度
  2. 设置杠杆倍数leverage,默认为1倍
  3. 计算开仓手数:Lev = math.max(math.round(strategy.equity * leverage / close), 0),使其与权益和杠杆成正比
  4. 入场:当RSI指标由低位向上突破30时做多;由高位向下突破70时做空
  5. 按照计算的手数Lev下单

优势分析

  1. 解决Pine脚本无法设置杠杆的问题
  2. 权益变化与开仓手数成正比,实现杠杆复利
  3. RSI指标 filtered,避免无谓交易
  4. 手数计算精度precision可调,满足不同需求

风险分析

  1. 杠杆过高容易爆仓
  2. 需适当调整杠杆、开仓手数,控制风险

优化方向

  1. 可测试不同参数下的稳定性
  2. 可结合止损策略,进一步控制风险
  3. 可考虑多因子模型,提高策略效果

总结

本策略在Pine脚本中实现杠杆设置,解决回测无法模拟杠杆问题,计算开仓手数与权益挂钩,完成杠杆复利。策略简单有效,可进一步优化,值得学习。

策略源码
/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 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/
// © RingsCherrY

//@version=5
strategy("How to use Leverage in PineScript", overlay=true, pyramiding=1, initial_capital=1000000, default_qty_type=strategy.percent_of_equity, default_qty_value=100, calc_on_order_fills=false, slippage=0, commission_type=strategy.commission.percent, commission_value=0.04)

//////////////////////////////////////////
////////////////Indicators////////////////
//////////////////////////////////////////

length = input( 14 )
overSold = input( 30 )
overBought = input( 70 )
price = close
vrsi = ta.rsi(price, length)
co = ta.crossover(vrsi, overSold)
cu = ta.crossunder(vrsi, overBought)

//////////////////////////////////////////
/////////////////Leverage/////////////////
//////////////////////////////////////////


//The number of decimal places for each position opening, i.e., the accuracy
precision = input.int(1,title='Precision')

//Leverage, the default is 1, here is not recommended to open a high leverage

leverage = input.int(1,title='Leverage',minval = 1, maxval = 100 ,step = 1)

//Calculate the number of open contracts, here using equity for calculation, considering that everyone compound interest is used for trading equity
Lev = math.max(math.round(strategy.equity * leverage  / close , precision), 0)

if (not na(vrsi))
	if (co)
		strategy.entry("RsiLE", strategy.long,qty = Lev, comment="RsiLE")
	if (cu)
		strategy.entry("RsiSE", strategy.short,qty = Lev, comment="RsiSE")
//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)
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