基于 T3 和 ATR 的自动跟踪趋势策略
Author: ChaoZhang, Date: 2024-01-03 11:58:25Tags:
概述
本策略的核心在于利用 T3 指标平滑移动平均线和 ATR 指标动态止损来识别趋势方向并跟踪趋势。该策略结合趋势跟踪和趋势反转机会,旨在在趋势行情中获得更大利润。
策略原理
该策略使用 T3 指标计算价格的平滑移动平均线,并使用 ATR 指标计算本周期的平均真实波动范围。当价格突破 ATR 动态止损时产生交易信号。具体来说,当价格上穿 ATR 止损线时产生买入信号,价格下穿 ATR 止损线时产生卖出信号。
为了过滤假信号,该策略额外要求价格也必须突破 T3 移动平均线才能确认信号。此外,策略通过 ATR 值来计算止损位和止盈位,实现风险管理。
优势分析
相比传统移动平均线,T3 指标具有更高的灵敏性和更小的滞后性,可以更快速地捕捉价格趋势的变化。另外 T3 具有数学计算上的优点,可以提供更为准确平滑的移动平均线。
ATR 值反映了当前市场波动程度和风险水平。ATR动态跟踪止损和止盈可以动态调整仓位规模,在趋势行情中获得更大利润,并在震荡行情中降低损失。
风险分析
该策略依赖指标计算,存在被套利的风险。此外,T3 平滑移动平均线和 ATR 动态止损都存在滞后的问题,可能错过价格快速反转的机会。可以适当调整参数或结合其它指标进行优化。
在趋势震荡反转时,止损可能被突破导致亏损加大。可以适当放宽止损范围或使用别的参数例如 Handle 数值作为止损依据。
优化方向
可以调整 T3 指标参数,优化其灵敏度。
可以测试不同的 ATR 周期参数,寻找最佳数值。
可以尝试不同的风险回报系数,确定最优参数。
可以加入其它指标过滤信号,例如 Money Flow Index。
可以用机器学习方法自动优化参数组合。
总结
该策略整合了 T3 平滑移动平均线的趋势跟踪能力和 ATR 的动态止损调整能力。在参数优化和风险控制到位的情况下,有望获得良好的回报率。该策略既考虑了趋势跟踪又考虑了反转机会,是一种通用型的量化交易策略。
/*backtest
start: 2023-12-26 00:00:00
end: 2024-01-02 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title='NinjaView Example 1 (UTBA "QuantNomad" Strategy)', overlay=true)
T3 = input(100)//600
// Input for Long Settings
// Input for Long Settings
xPrice3 = close
xe1 = ta.ema(xPrice3, T3)
xe2 = ta.ema(xe1, T3)
xe3 = ta.ema(xe2, T3)
xe4 = ta.ema(xe3, T3)
xe5 = ta.ema(xe4, T3)
xe6 = ta.ema(xe5, T3)
b3 = 0.7
c1 = -b3*b3*b3
c2 = 3*b3*b3+3*b3*b3*b3
c3 = -6*b3*b3-3*b3-3*b3*b3*b3
c4 = 1+3*b3+b3*b3*b3+3*b3*b3
nT3Average = c1 * xe6 + c2 * xe5 + c3 * xe4 + c4 * xe3
//plot(nT3Average, color=color.white, title="T3")
// Buy Signal - Price is below T3 Average
buySignal3 = xPrice3 < nT3Average
sellSignal3 = xPrice3 > nT3Average
// Inputs
a = input(1, title='Key Value. "This changes the sensitivity"')
c = input(50, title='ATR Period')
h = input(true, title='Signals from Heikin Ashi Candles')
riskRewardRatio = input(1, title='Risk Reward Ratio')
xATR = ta.atr(c)
nLoss = a * xATR
src = h ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close, lookahead=barmerge.lookahead_off) : close
xATRTrailingStop = 0.0
iff_1 = src > nz(xATRTrailingStop[1], 0) ? src - nLoss : src + nLoss
iff_2 = src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0) ? math.min(nz(xATRTrailingStop[1]), src + nLoss) : iff_1
xATRTrailingStop := src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0) ? math.max(nz(xATRTrailingStop[1]), src - nLoss) : iff_2
pos = 0
iff_3 = src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0) ? -1 : nz(pos[1], 0)
pos := src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0) ? 1 : iff_3
xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue
ema = ta.ema(src, 1)
above = ta.crossover(ema, xATRTrailingStop)
below = ta.crossunder(ema, xATRTrailingStop)
buy = src > xATRTrailingStop and above
sell = src < xATRTrailingStop and below
barbuy = src > xATRTrailingStop
barsell = src < xATRTrailingStop
plotshape(buy, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny)
plotshape(sell, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny)
barcolor(barbuy ? color.new(color.green, 90) : na)
barcolor(barsell ? color.new(color.red, 90) : na)
var float entryPrice = na
var float takeProfitLong = na
var float stopLossLong = na
var float takeProfitShort = na
var float stopLossShort = na
if buy and buySignal3
entryPrice := src
takeProfitLong := entryPrice + nLoss * riskRewardRatio
stopLossLong := entryPrice - nLoss
takeProfitShort := na
stopLossShort := na
if sell and sellSignal3
entryPrice := src
takeProfitShort := entryPrice - nLoss * riskRewardRatio
stopLossShort := entryPrice + nLoss
takeProfitLong := na
stopLossLong := na
// Strategy order conditions
acct = "Sim101"
ticker = "ES 12-23"
qty = 1
OCOMarketLong = '{ "alert": "OCO Market Long", "account": "' + str.tostring(acct) + '", "ticker": "' + str.tostring(ticker) + '", "qty": "' + str.tostring(qty) + '", "take_profit_price": "' + str.tostring(takeProfitLong) + '", "stop_price": "' + str.tostring(stopLossLong) + '", "tif": "DAY" }'
OCOMarketShort = '{ "alert": "OCO Market Short", "account": "' + str.tostring(acct) + '", "ticker": "' + str.tostring(ticker) + '", "qty": "' + str.tostring(qty) + '", "take_profit_price": "' + str.tostring(takeProfitShort) + '", "stop_price": "' + str.tostring(stopLossShort) + '", "tif": "DAY" }'
CloseAll = '{ "alert": "Close All", "account": "' + str.tostring(acct) + '", "ticker": "' + str.tostring(ticker) + '" }'
strategy.entry("Long", strategy.long, when=buy and buySignal3, alert_message=OCOMarketLong)
strategy.entry("Short", strategy.short, when=sell and sellSignal3, alert_message=OCOMarketShort)
// Setting the take profit and stop loss for long trades
strategy.exit("Take Profit/Stop Loss", "Long", stop=stopLossLong, limit=takeProfitLong,alert_message=CloseAll)
// Setting the take profit and stop loss for short trades
strategy.exit("Take Profit/Stop Loss", "Short", stop=stopLossShort, limit=takeProfitShort,alert_message=CloseAll)
// Plot trade setup boxes
bgcolor(buy ? color.new(color.green, 90) : na, transp=0, offset=-1)
bgcolor(sell ? color.new(color.red, 90) : na, transp=0, offset=-1)
// longCondition = buy and not na(entryPrice)
// shortCondition = sell and not na(entryPrice)
// var line longTakeProfitLine = na
// var line longStopLossLine = na
// var line shortTakeProfitLine = na
// var line shortStopLossLine = na
// if longCondition
// longTakeProfitLine := line.new(bar_index, takeProfitLong, bar_index + 1, takeProfitLong, color=color.green, width=2)
// longStopLossLine := line.new(bar_index, stopLossLong, bar_index + 1, stopLossLong, color=color.red, width=2)
// label.new(bar_index + 1, takeProfitLong, str.tostring(takeProfitLong, "#.#####"), color=color.green, style=label.style_none, textcolor=color.green, size=size.tiny)
// label.new(bar_index + 1, stopLossLong, str.tostring(stopLossLong, "#.#####"), color=color.red, style=label.style_none, textcolor=color.red, size=size.tiny)
// if shortCondition
// shortTakeProfitLine := line.new(bar_index, takeProfitShort, bar_index + 1, takeProfitShort, color=color.green, width=2)
// shortStopLossLine := line.new(bar_index, stopLossShort, bar_index + 1, stopLossShort, color=color.red, width=2)
// label.new(bar_index + 1, takeProfitShort, str.tostring(takeProfitShort, "#.#####"), color=color.green, style=label.style_none, textcolor=color.green, size=size.tiny)
// label.new(bar_index + 1, stopLossShort, str.tostring(stopLossShort, "#.#####"), color=color.red, style=label.style_none, textcolor=color.red, size=size.tiny)
alertcondition(buy, 'UT Long', 'UT Long')
alertcondition(sell, 'UT Short', 'UT Short')
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