ChaoZhang
概述
该策略结合使用了单指数平滑移动平均线(SESMA)和附带尾随止损的唐奇阶梯围绕机制,形成一个非常稳定和高效的趋势跟踪策略。SESMA作为主线,用于识别价格趋势方向。尾随止损机制则可有效降低策略风险,同时保护策略利润。
策略原理
该策略由两个核心指标组成:
单指数平滑移动平均线(SESMA):SESMA借鉴了EMA的思想,同时改进了参数,使得曲线更加光滑,延迟降低。通过SESMA的方向和价位关系来判断价格趋势。
尾随止损机制:结合最高价、最低价以及ATR指标,实时计算出多头和空头的止损线。这是一个动态调整的止损机制,可根据市场波动性和趋势调整止损幅度。止损线同价位的关系用于判断平仓退出的时机。
该策略的入场依据是价格突破SESMA。而出场信号则由止损线来触发。可设定是否显示标记。
策略优势
- SESMA计算方法改进,可有效减少延迟,提高顺势捕获能力。
- 尾随止损机制可根据实时波动调整止损幅度,避免止损过于宽松或过于紧挨。
- 附带视觉辅助判断 Entry 和 Exit 时机的标记。
- 可自定义参数,适用于不同品种和参数优化。
风险及优化方向
- 在趋势反转时,可能出现止损被触发导致过早退出。可适当放宽止损幅度。
- SESMA 参数可进行优化,找到最佳长度。
- ATR 参数也可测试不同的周期长度。
- 测试是否显示标记的效果。
总结
该策略整合了趋势判断与风险控制指标,形成一个较为稳健的趋势跟踪策略。相比于简单的移动平均线策略,该策略可更加灵活地捕捉趋势,同时可减少回撤。通过参数优化,可使策略在不同市场中达到更好的效果。
策略源码
/*backtest
start: 2023-12-31 00:00:00
end: 2024-01-07 00:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © simwai
strategy('Chandelier Exit ZLSMA Strategy', shorttitle='CE_ZLSMA', overlay = true, initial_capital = 1000, default_qty_value = 10, default_qty_type = strategy.percent_of_equity, calc_on_every_tick = false, process_orders_on_close = true, commission_value = 0.075)
// -- Colors --
color maximumYellowRed = color.rgb(255, 203, 98) // yellow
color rajah = color.rgb(242, 166, 84) // orange
color magicMint = color.rgb(171, 237, 198)
color languidLavender = color.rgb(232, 215, 255)
color maximumBluePurple = color.rgb(181, 161, 226)
color skyBlue = color.rgb(144, 226, 244)
color lightGray = color.rgb(214, 214, 214)
color quickSilver = color.rgb(163, 163, 163)
color mediumAquamarine = color.rgb(104, 223, 153)
color carrotOrange = color.rgb(239, 146, 46)
// -- Inputs --
length = input(title='ATR Period', defval=1)
mult = input.float(title='ATR Multiplier', step=0.1, defval=2)
showLabels = input(title='Show Buy/Sell Labels ?', tooltip='Created by Chandelier Exit (CE)', defval=false)
isSignalLabelEnabled = input(title='Show Signal Labels ?', defval=true)
useClose = input(title='Use Close Price for Extrema ?', defval=true)
zcolorchange = input(title='Enable Rising/Decreasing Highlightning', defval=false)
zlsmaLength = input(title='ZLSMA Length', defval=50)
offset = input(title='Offset', defval=0)
// -- CE - Credits to @everget --
float haClose = float(1) / 4 * (open[1] + high[1] + low[1] + close[1])
atr = mult * ta.atr(length)[1]
longStop = (useClose ? ta.highest(haClose, length) : ta.highest(haClose, length)) - atr
longStopPrev = nz(longStop[1], longStop)
longStop := haClose > longStopPrev ? math.max(longStop, longStopPrev) : longStop
shortStop = (useClose ? ta.lowest(haClose, length) : ta.lowest(haClose, length)) + atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := haClose < shortStopPrev ? math.min(shortStop, shortStopPrev) : shortStop
var int dir = 1
dir := haClose > shortStopPrev ? 1 : haClose < longStopPrev ? -1 : dir
buySignal = dir == 1 and dir[1] == -1
plotshape(buySignal and showLabels ? longStop : na, title='Buy Label', text='Buy', location=location.absolute, style=shape.labelup, size=size.tiny, color=mediumAquamarine, textcolor=color.white)
sellSignal = dir == -1 and dir[1] == 1
plotshape(sellSignal and showLabels ? shortStop : na, title='Sell Label', text='Sell', location=location.absolute, style=shape.labeldown, size=size.tiny, color=carrotOrange, textcolor=color.white)
changeCond = dir != dir[1]
// -- ZLSMA - Credits to @netweaver2011 --
lsma = ta.linreg(haClose, zlsmaLength, offset)
lsma2 = ta.linreg(lsma, zlsmaLength, offset)
eq = lsma - lsma2
zlsma = lsma + eq
zColor = zcolorchange ? zlsma > zlsma[1] ? magicMint : rajah : languidLavender
plot(zlsma, title='ZLSMA', linewidth=2, color=zColor)
// -- Signals --
var string isTradeOpen = ''
var string signalCache = ''
bool enterLong = buySignal and ta.crossover(haClose, zlsma)
bool exitLong = ta.crossunder(haClose, zlsma)
bool enterShort = sellSignal and ta.crossunder(haClose, zlsma)
bool exitShort = ta.crossover(haClose, zlsma)
if (signalCache == 'long entry')
signalCache := ''
enterLong := true
else if (signalCache == 'short entry')
signalCache := ''
enterShort := true
if (isTradeOpen == '')
if (exitShort and (not enterLong))
exitShort := false
if (exitLong and (not enterShort))
exitLong := false
if (enterLong and exitShort)
isTradeOpen := 'long'
exitShort := false
else if (enterShort and exitLong)
isTradeOpen := 'short'
exitLong := false
else if (enterLong)
isTradeOpen := 'long'
else if (enterShort)
isTradeOpen := 'short'
else if (isTradeOpen == 'long')
if (exitShort)
exitShort := false
if (enterLong)
enterLong := false
if (enterShort and exitLong)
enterShort := false
signalCache := 'short entry'
if (exitLong)
isTradeOpen := ''
else if (isTradeOpen == 'short')
if (exitLong)
exitLong := false
if (enterShort)
enterShort := false
if (enterLong and exitShort)
enterLong := false
signalCache := 'long entry'
if (exitShort)
isTradeOpen := ''
plotshape((isSignalLabelEnabled and enterLong) ? zlsma : na, title='LONG', text='L', style=shape.labelup, color=mediumAquamarine, textcolor=color.white, size=size.tiny, location=location.absolute)
plotshape((isSignalLabelEnabled and enterShort) ? zlsma : na, title='SHORT', text='S', style=shape.labeldown, color=carrotOrange, textcolor=color.white, size=size.tiny, location=location.absolute)
plotshape((isSignalLabelEnabled and exitLong) ? zlsma : na, title='LONG EXIT', style=shape.circle, color=magicMint, size=size.tiny, location=location.absolute)
plotshape((isSignalLabelEnabled and exitShort) ? zlsma : na, title='SHORT EXIT', style=shape.circle, color=rajah, size=size.tiny, location=location.absolute)
barcolor(color=isTradeOpen == 'long' ? mediumAquamarine : isTradeOpen == 'short' ? carrotOrange : na)
// -- Long Exits --
if (exitLong and strategy.position_size > 0)
strategy.close('long', comment='EXIT_LONG')
// -- Short Exits --
if (exitShort and strategy.position_size < 0)
strategy.close('short', comment='EXIT_SHORT')
// -- Long Entries --
if (enterLong)
strategy.entry('long', strategy.long, comment='ENTER_LONG')
// -- Short Entries --
if (enterShort)
strategy.entry('short', strategy.short, comment='ENTER_SHORT')