ChaoZhang
概述
本策略是基于TradingView内置的连续上涨/下跌策略进行扩展。它具有灵活的策略方向设置,可以进行反向交易。同时,集成了摆动高点/低点、ATR止损和追踪止损等多种止损方式,以及对应的止盈设置。这使得该策略在保持原有交易信号的基础上,获得了更好的风险管理。
策略原理
该策略主要通过判断K线的连续上涨或下跌次数,产生买入和卖出信号。用户可以设置买入信号产生所需要的连续上涨K线数量,以及卖出信号所需要的连续下跌K线数量。
同时,策略增加了是否反转交易的设置。开启反转交易后,本来的买入信号会变成卖出信号,卖出信号也会变成买入信号,这样就完成了交易反转。
在进入和退出方面,策略支持直接反向平仓,这样可以减少无仓位时无法交易的情况。
在止损和止盈方面,策略提供了摆动高点/低点、ATR以及策略内置三种可选择的止损方式。止损方式会结合持仓方向,自动选择最低谷或最高峰作为激进止损位,或者根据ATR动态确定止损价格。止盈设置则以策略入场价为基准,设置固定倍数的止盈距离。
如果启用追踪止损,策略可在亏损时加大止损间距,在盈利时缩小止损间距,实现自动追踪。
优势分析
该策略最大的优势在于配置灵活,可以适应不同市况,具体优势如下:
- 可设置买卖筛选参数,适应趋势和震荡行情
- 支持反转交易,可根据需要选择方向
- 设置直接反向开仓,可减少无仓位期
- 集成多种止损方式,可按需要选择
- 可启用追踪止损,自动止损
风险分析
该策略主要风险在于连续K线设置过多可能导致遗漏交易机会,以及止损设置过于激进带来亏损扩大的风险。针对风险建议如下:
- 调整上涨/下跌K线数量参数,不能过于激进
- 测试不同的止损方式,选择最适合的
- 追踪止损要谨慎设置,避免亏损过大
优化方向
本策略还有进一步优化的空间:
- 可以基于ATR或波动率等指标动态调整上涨/下跌K线数量
- 可以测试不同持仓时间下的止损止盈比例参数效果
- 可以设置Open过滤,避免假突破
- 可以添加其他辅助指标判断,提高信号质量
总结
本策略对基准策略进行了有益的扩展,使其可以更好地控制风险,获得更加灵活的交易方式。这是一种易于优化和实盘的有效Momentum策略。
策略源码
/*backtest
start: 2023-01-07 00:00:00
end: 2023-08-30 05:20:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// Extension of the built-in strategy by Tradingview. The strategy buys after an X amount of
// consecutive bullish bars and viceversa for selling. This logic can be reversed and a Stop Loss
// with Take Profit can be added. There's also an option to adapt the SL into a Trailing Stop.
//@version=4
strategy("Consecutive Up/Down Strategy with Reverse",
overlay=true,
default_qty_type=strategy.percent_of_equity,
default_qty_value=100,
initial_capital=10000,
commission_value=0.04,
calc_on_every_tick=false,
slippage=0)
direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1)
strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long))
/////////////////////// STRATEGY INPUTS ////////////////////////////////////////
title1=input(true, "-----------------Strategy Inputs-------------------")
consecutiveBarsUp = input(3)
consecutiveBarsDown = input(4)
/////////////////////// BACKTESTER /////////////////////////////////////////////
title2=input(true, "-----------------General Inputs-------------------")
// Backtester General Inputs
i_SL=input(true, title="Use Stop Loss and Take Profit")
i_SLType=input(defval="ATR Stop", title="Type Of Stop", options=["Strategy Stop", "Swing Lo/Hi", "ATR Stop"])
i_SPL=input(defval=10, title="Swing Point Lookback")
i_PercIncrement=input(defval=2, step=.1, title="Swing Point SL Perc Increment")*0.01
i_ATR = input(14, title="ATR Length")
i_ATRMult = input(5, step=.1, title="ATR Multiple")
i_TPRRR = input(5, step=.1, title="Take Profit Risk Reward Ratio")
TS=input(true, title="Trailing Stop")
// Bought and Sold Boolean Signal
bought = strategy.position_size > strategy.position_size[1]
or strategy.position_size < strategy.position_size[1]
// Price Action Stop and Take Profit
LL=(lowest(i_SPL))*(1-i_PercIncrement)
HH=(highest(i_SPL))*(1+i_PercIncrement)
LL_price = valuewhen(bought, LL, 0)
HH_price = valuewhen(bought, HH, 0)
entry_LL_price = strategy.position_size > 0 ? LL_price : na
entry_HH_price = strategy.position_size < 0 ? HH_price : na
tp=strategy.position_avg_price + (strategy.position_avg_price - entry_LL_price)*i_TPRRR
stp=strategy.position_avg_price - (entry_HH_price - strategy.position_avg_price)*i_TPRRR
// ATR Stop
ATR=atr(i_ATR)*i_ATRMult
ATRLong = ohlc4 - ATR
ATRShort = ohlc4 + ATR
ATRLongStop = valuewhen(bought, ATRLong, 0)
ATRShortStop = valuewhen(bought, ATRShort, 0)
LongSL_ATR_price = strategy.position_size > 0 ? ATRLongStop : na
ShortSL_ATR_price = strategy.position_size < 0 ? ATRShortStop : na
ATRtp=strategy.position_avg_price + (strategy.position_avg_price - LongSL_ATR_price)*i_TPRRR
ATRstp=strategy.position_avg_price - (ShortSL_ATR_price - strategy.position_avg_price)*i_TPRRR
// Strategy Stop
float LongStop = na
float ShortStop = na
float StratTP = na
float StratSTP = na
/////////////////////// STRATEGY LOGIC /////////////////////////////////////////
price = close
ups = 0.0
ups := price > price[1] ? nz(ups[1]) + 1 : 0
dns = 0.0
dns := price < price[1] ? nz(dns[1]) + 1 : 0
BUY=ups >= consecutiveBarsUp and bar_index > 40
SELL=dns >= consecutiveBarsDown and bar_index > 40
//Trading Inputs
DPR=input(true, "Allow Direct Position Reverse")
reverse=input(false, "Reverse Trades")
// Entries
if reverse
if not DPR
strategy.entry("long", strategy.long, when=SELL and strategy.position_size == 0)
strategy.entry("short", strategy.short, when=BUY and strategy.position_size == 0)
else
strategy.entry("long", strategy.long, when=SELL)
strategy.entry("short", strategy.short, when=BUY)
else
if not DPR
strategy.entry("long", strategy.long, when=BUY and strategy.position_size == 0)
strategy.entry("short", strategy.short, when=SELL and strategy.position_size == 0)
else
strategy.entry("long", strategy.long, when=BUY)
strategy.entry("short", strategy.short, when=SELL)
SL= i_SLType == "Swing Lo/Hi" ? entry_LL_price : i_SLType == "ATR Stop" ? LongSL_ATR_price : LongStop
SSL= i_SLType == "Swing Lo/Hi" ? entry_HH_price : i_SLType == "ATR Stop" ? ShortSL_ATR_price : ShortStop
TP= i_SLType == "Swing Lo/Hi" ? tp : i_SLType == "ATR Stop" ? ATRtp : StratTP
STP= i_SLType == "Swing Lo/Hi" ? stp : i_SLType == "ATR Stop" ? ATRstp : StratSTP
//TrailingStop
dif=(valuewhen(strategy.position_size>0 and strategy.position_size[1]<=0, high,0))
-strategy.position_avg_price
trailOffset = strategy.position_avg_price - SL
var tstop = float(na)
if strategy.position_size > 0
tstop := high- trailOffset - dif
if tstop<tstop[1]
tstop:=tstop[1]
else
tstop := na
StrailOffset = SSL - strategy.position_avg_price
var Ststop = float(na)
Sdif=strategy.position_avg_price-(valuewhen(strategy.position_size<0
and strategy.position_size[1]>=0, low,0))
if strategy.position_size < 0
Ststop := low+ StrailOffset + Sdif
if Ststop>Ststop[1]
Ststop:=Ststop[1]
else
Ststop := na
strategy.exit("TP & SL", "long", limit=TP, stop=TS? tstop : SL, when=i_SL)
strategy.exit("TP & SL", "short", limit=STP, stop=TS? Ststop : SSL, when=i_SL)
/////////////////////// PLOTS //////////////////////////////////////////////////
plot(i_SL and strategy.position_size > 0 and not TS ? SL : i_SL and strategy.position_size > 0 and TS ? tstop : na , title='SL', style=plot.style_cross, color=color.red)
plot(i_SL and strategy.position_size < 0 and not TS ? SSL : i_SL and strategy.position_size < 0 and TS ? Ststop : na , title='SSL', style=plot.style_cross, color=color.red)
plot(i_SL and strategy.position_size > 0 ? TP : na, title='TP', style=plot.style_cross, color=color.green)
plot(i_SL and strategy.position_size < 0 ? STP : na, title='STP', style=plot.style_cross, color=color.green)
// Draw price action setup arrows
plotshape(BUY ? 1 : na, style=shape.triangleup, location=location.belowbar,
color=color.green, title="Bullish Setup", size=size.auto)
plotshape(SELL ? 1 : na, style=shape.triangledown, location=location.abovebar,
color=color.red, title="Bearish Setup", size=size.auto)