ChaoZhang
概述
反转均线策略是一种基于均线反转的短线交易策略。它结合了布林带、RSI、CCI等多个指标,对金融市场的短线行情变化进行捕捉,实现低买高抛的交易目标。
该策略主要用于股指、外汇、贵金属等高流动性品种。它追求每单获利的最大化,同时控制总体交易的风险收益比。
策略原理
使用布林带判断价格离值区域。当价格接近上布林带时考虑做空,当价格接近下布林带时考虑做多。
结合RSI指标判断是否超买超卖。RSI指标可以有效识别超买超卖情况。
CCI指标判断价格反转信号。CCI指标对异常情况较为敏感,可以有效捕捉价格反转机会。
价格上穿5日均线做多,下破5日均线做空。均线位置代表目前价格主要区间,价格与均线关系反映潜在趋势变化。
进入信号确认后,快速平仓套取利润。根据回撤情况设定止损退出,实现高胜率。
策略优势
- 多指标组合,提高信号准确性
反转均线策略同时使用布林带、RSI、CCI等多个指标。这些指标都对价格变动较为敏感,组合使用可以提高信号准确性,减少错误信号。
- 严格的入市规则,避免追涨杀跌
策略要求指标信号和价格同步出现,避免单一指标误导。同时要求价格已明显反转,减少相关风险。
- 高效的止损机制,控制单笔损失
无论做多做空,策略都会设置较为严格的止损线。一旦价格向不利方向突破止损线,策略会快速止损,避免单笔大损。
- 合理止盈,追求每单获利最大化
策略会设置两个止盈目标,分步实现盈利。同时在止盈后采用小步调整追踪止损,扩大每单盈利空间。
风险分析
- 价格剧烈波动,止损被触发
在价格剧烈波动的情况下,止损线可能会被突破,造成不必要的损失。这种情况通常发生在重大事件导致的价格异常波动中。
可以通过扩大止损幅度来应对这种风险,同时避开重大事件发生期间操作。
- 追涨过猛,无法反转
当涨势过猛时,价格往往会上攻太快,无法及时反转。这时如果仍然坚持做空,可能会面临追涨杀跌的风险。
这种情况下,应暂时观望,等价格上涨势头明显减弱时才考虑介入做空。
优化方向
- 优化指标参数,提升信号准确率
可以测试不同参数组合下的回测结果,选择最佳参数。例如可以优化RSI的参数,CCI的参数等。
- 结合量能指标,判断真实反转时机
可以加入成交量或者布林带宽度等量能指标。这可以避免在价格只是小幅调整时就产生错误信号。
- 优化止盈止损策略,扩大单笔盈利
可以测试不同的止盈止损点,使每单盈利最大化。同时也要平衡风险,避免止损被轻易触发。
总结
反转均线策略综合运用多种指标判断力,具有信号精确、操作规范、风险可控的特点。它适用于对市场变化敏感度高、具有较强流动性的品种,能够捕捉价格在布林带与关键均线之间的反转机会,实现低买高抛的交易目标。
在实际应用中,仍需要注意指标参数的优化,同时结合量能指标判断真实反转时点。此外,应对价格剧烈波动做好风险管理。如果运用得当,该策略可以获得较为稳定的Alpha收益。
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/
// © sg1999
//@version=4
// >>>>>strategy name
strategy(title = "CCI-RSI MR", shorttitle = "CCI-RSI MR", overlay = true)
// >>>>input variables
// 1. risk per trade as % of initial capital
risk_limit = input(title="Risk Limit (%)", type=input.float, minval=0.1, defval=2.0, step=0.1)
// 2. drawdown
Draw_down = input(title="Max Drawdown (x ATR)", type=input.float, minval=0.5, maxval=10, defval=2.0, step=0.1)
// 3. type of stop loss to be used
original_sl_type = input(title="SL Based on", defval="Close Price", options=["Close Price","Last Traded Price"])
// 4. entry signal validity for bollinger strategies
dist_from_signal= input(title="Entry distance from signal", type=input.integer, minval=1, maxval=20, defval=3, step=1)
// 5. multiple exit points
exit_1_pft_pct = input(title="1st exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.0, step=0.1)
exit_1_qty_pct = input(title="1st exit quantity %", type=input.float, minval=1, maxval=100, defval=100, step=5)
exit_2_pft_pct = input(title="2nd exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.5, step=0.1)
sl_trail_pct = input(title="Trailing SL compared to original SL", type=input.float, minval=0.5, maxval=100, defval=0.5, step=0.5)
//show signal bool
plotBB = input(title="Show BB", type=input.bool, defval=true)
plotSignals = input(title="Show Signals", type=input.bool, defval=true)
// 6. date range to be used for backtesting
fromMonth = input(defval = 1, title = "From Month", type = input.integer, minval = 1, maxval = 12)
fromDay = input(defval = 1, title = "From Day", type = input.integer, minval = 1, maxval = 31)
fromYear = input(defval = 1990, title = "From Year", type = input.integer, minval = 1970)
thruMonth = input(defval = 1, title = "Thru Month", type = input.integer, minval = 1, maxval = 12)
thruDay = input(defval = 1, title = "Thru Day", type = input.integer, minval = 1, maxval = 31)
thruYear = input(defval = 2022, title = "Thru Year", type = input.integer, minval = 1970)
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => true
// >>>>>strategy variables
//input variables
current_high = highest(high, 5) // swing high (5 period)
current_low = lowest(low, 5) // swing low (5 period)
current_ma = sma(close, 5) // Simple Moving average (5 period)
atr_length = atr(20) // ATR (20 period)
CCI = cci(close,20) // CCI (20 period)
RSI = rsi(close,14) // RSI (14 period)
RSI_5 = sma (RSI, 5) // Simple moving average of RSI (5 period)
// 1. for current candle
long_entry = false
short_entry = false
risk_reward_ok = false
sl_hit_flag = false
tsl_hit_flag = false
sl_cross = false
// 2. across candles
var RSI_short = false //short signal boolean
var RSI_long = false //long signal boolean
var cci_sell = false //sellsignal crossunder boolean
var cci_buy = false //buy signal crossover boolean
var bar_count_long = 0 // Number of bars after a long signal
var bar_count_short = 0 // Number of bars after a short signal
var candles_on_trade = 0
var entry_price = 0.00
var sl_price = 0.00
var qty = 0
var exit_1_qty = 0
var exit_2_qty = 0
var exit_1_price = 0.0
var exit_2_price = 0.0
var hold_high = 0.0 // variable used to calculate Trailing sl
var hold_low = 0.0 // variable used to calculate Trailing sl
var tsl_size = 0.0 // Trailing Stop loss size(xR)
var sl_size = 0.0 // Stop loss size (R)
var tsl_price = 0.0 //Trailing stoploss price
// >>>>>strategy conditions.
// Bollinger bands (2 std)
[mBB0,uBB0,lBB0] = bb(close,20,2)
uBB0_low= lowest(uBB0,3) // lowest among upper BB of past 3 periods
lBB0_high= highest(lBB0,3) //highest among upper BB of past 3 periods
//RSI and CCI may not necessarily crossunder on the same candle
t_sell_RSI = sum( crossunder(RSI,RSI_5)? 1 : 0, 2) == 1 // checks if crossunder has happened in the last 3 candles (including the current candle)
t_sell_CCI = sum( crossunder(CCI,100)? 1 : 0, 2) == 1 //and (CCI >50)
t_buy_RSI = sum( crossover(RSI,RSI_5)? 1 : 0, 2) == 1 //checks if crossover has happened in the last 3 candles (including the current candle)
t_buy_CCI = sum( crossover(CCI,-100) ? 1 : 0, 2) == 1 //and (CCI<-50)
// CONDITIONS FOR A SELL signal
if t_sell_RSI and t_sell_CCI and (current_high >= uBB0_low)
cci_sell := true
bar_count_short := 0
if cci_sell and strategy.position_size ==0
bar_count_short := bar_count_short + 1
if cci_sell and bar_count_short<= dist_from_signal and close <= current_ma and strategy.position_size ==0
RSI_short := true
//conditions for a BUY signal
if t_buy_RSI and t_buy_CCI and (current_low <= lBB0_high) // or current_low_close <= lBB01_high)
cci_buy := true
bar_count_long := 0
if cci_buy and strategy.position_size ==0
bar_count_long := bar_count_long + 1
if cci_buy and bar_count_long<= dist_from_signal and close >= current_ma and strategy.position_size ==0
RSI_long := true
if RSI_long and RSI_short
RSI_long := false
RSI_short := false
// >>>>>entry and target specifications
if strategy.position_size == 0 and RSI_short
short_entry := true
entry_price := close
sl_price := current_high + syminfo.mintick // (swing high + one tick) is the stop loss
sl_size := abs(entry_price - sl_price)
candles_on_trade := 0
tsl_size := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size
if strategy.position_size == 0 and RSI_long
long_entry := true
entry_price := close
sl_price := current_low - syminfo.mintick //(swing low - one tick) is the stop loss
candles_on_trade := 0
sl_size := abs(entry_price - sl_price)
tsl_size := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size
if long_entry and short_entry
long_entry := false
short_entry := false
// >>>>risk evaluation criteria
//>>>>> quantity determination and exit point specifications.
if (long_entry or short_entry) and strategy.position_size == 0 // Based on our risk (R), no.of lots is calculated by considering a risk per trade limit formula
qty := round((strategy.equity) * (risk_limit/100)/(abs(entry_price - sl_price)*syminfo.pointvalue))
exit_1_qty := round(qty * (exit_1_qty_pct/100))
exit_2_qty := qty - (exit_1_qty)
if long_entry
exit_1_price := entry_price + (sl_size * exit_1_pft_pct)
exit_2_price := entry_price + (sl_size * exit_2_pft_pct)
if short_entry
exit_1_price := entry_price - (sl_size * exit_1_pft_pct)
exit_2_price := entry_price - (sl_size * exit_2_pft_pct)
// trail SL after 1st target is hit
if abs(strategy.position_size) == 0
hold_high := 0
hold_low := 0
if strategy.position_size > 0 and high > exit_1_price
if high > hold_high or hold_high == 0
hold_high := high
tsl_price := hold_high - tsl_size
if strategy.position_size < 0 and low < exit_1_price
if low < hold_low or hold_low == 0
hold_low := low
tsl_price := hold_low + tsl_size
//>>>> entry conditons
if long_entry and strategy.position_size == 0
strategy.cancel("BUY", window()) // add another window condition which considers day time (working hours)
strategy.order("BUY", strategy.long, qty, comment="BUY @ "+ tostring(entry_price),when=window())
if short_entry and strategy.position_size == 0
strategy.cancel("SELL", window()) // add another window condition which considers day time (working hours)
strategy.order("SELL", strategy.short, qty, comment="SELL @ "+ tostring(entry_price),when=window())
//>>>> exit conditons
tsl_hit_flag := false
//exit at tsl
if strategy.position_size > 0 and close < tsl_price and abs(strategy.position_size)!=qty
strategy.order("EXIT at TSL", strategy.short, abs(strategy.position_size), comment="EXIT TSL @ "+ tostring(close))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
tsl_hit_flag := true
cci_sell := false
cci_buy := false
strategy.cancel("EXIT 1", true)
strategy.cancel("EXIT 2", true)
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at SL",true)
if strategy.position_size < 0 and close > tsl_price and abs(strategy.position_size)!=qty
strategy.order("EXIT at TSL", strategy.long, abs(strategy.position_size), comment="EXIT TSL @ "+ tostring(close))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
tsl_hit_flag := true
cci_sell := false
cci_buy := false
strategy.cancel("EXIT 1", true)
strategy.cancel("EXIT 2", true)
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at SL",true)
//>>>>exit at sl
if strategy.position_size > 0 and original_sl_type == "Close Price" and close < sl_price and abs(strategy.position_size)==qty
strategy.cancel("EXIT at SL", true)
strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price, comment="EXIT SL @ "+ tostring(close))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
sl_hit_flag := true
strategy.cancel("EXIT 1", true)
strategy.cancel("EXIT 2", true)
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at TSL",true)
if strategy.position_size < 0 and original_sl_type == "Close Price" and close > sl_price and abs(strategy.position_size)==qty
strategy.cancel("EXIT at SL", true)
strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
sl_hit_flag := true
strategy.cancel("EXIT 1", true)
strategy.cancel("EXIT 2", true)
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at TSL",true)
//>>>>>for ltp sl setting
if strategy.position_size > 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price, comment="EXIT SL @ "+ tostring(close))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
strategy.cancel("EXIT 1", true)
strategy.cancel("EXIT 2", true)
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at TSL",true)
if strategy.position_size < 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
strategy.cancel("EXIT 1", true)
strategy.cancel("EXIT 2", true)
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at TSL",true)
//>>>>>exit at target
if strategy.position_size > 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
strategy.order("EXIT 1", strategy.short, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
strategy.cancel("Exit Drawd",true)
cci_sell := false
cci_buy := false
if strategy.position_size > 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty and not tsl_hit_flag
strategy.order("EXIT 2", strategy.short, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at SL", true)
if strategy.position_size < 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
strategy.order("EXIT 1", strategy.long, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
strategy.cancel("Exit Drawd",true)
cci_buy := false
cci_sell := false
if strategy.position_size < 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty
strategy.order("EXIT 2", strategy.long, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
strategy.cancel("Exit Drawd",true)
strategy.cancel("EXIT at SL", true)
//>>>>>>drawdown execution
if strategy.position_size < 0 and original_sl_type == "Close Price" and not tsl_hit_flag
strategy.cancel("Exit Drawd",true)
strategy.order("Exit Drawd", strategy.long, abs(strategy.position_size), stop= (entry_price + Draw_down*atr_length) ,comment="Drawdown exit S")
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
if strategy.position_size > 0 and original_sl_type == "Close Price" and not tsl_hit_flag and not sl_hit_flag
strategy.cancel("Exit Drawd",true)
strategy.order("Exit Drawd", strategy.short, abs(strategy.position_size), stop= (entry_price - Draw_down*atr_length) ,comment="Drawdown exit B")
RSI_short := false
RSI_long := false
bar_count_long := 0
bar_count_short := 0
cci_buy := false
cci_sell := false
//>>>>to add sl hit sign
if strategy.position_size != 0 and sl_hit_flag //For symbols on chart
sl_cross := true
//>>>>>cancel all pending orders if the trade is booked
strategy.cancel_all(strategy.position_size == 0 and not (long_entry or short_entry))
//>>>>plot indicators
p_mBB = plot(plotBB ? mBB0 : na, color=color.teal)
p_uBB = plot(plotBB ? uBB0 : na, color=color.teal, style=plot.style_stepline)
p_lBB = plot(plotBB ? lBB0 : na, color=color.teal, style=plot.style_stepline)
plot(sma(close,5), color=color.blue, title="MA")
//>>>>plot signals
plotshape(plotSignals and RSI_short, style=shape.triangledown, location=location.abovebar, color=color.red)
plotshape(plotSignals and RSI_long, style=shape.triangleup, location=location.belowbar, color=color.green)
plotshape(sl_cross, text= "Stoploss Hit",size= size.normal,style=shape.xcross , location=location.belowbar, color=color.red)
//>>>>plot signal high low
if strategy.position_size != 0
candles_on_trade := candles_on_trade + 1
if strategy.position_size != 0 and candles_on_trade == 1
line.new(x1=bar_index[1], y1=high[1], x2=bar_index[0], y2=high[1], color=color.black, width=2)
line.new(x1=bar_index[1], y1=low[1], x2=bar_index[0], y2=low[1], color=color.black, width=2)
//>>>>end of program
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