本策略是基于修改后的成交量震荡器指标进行交易的趋势跟踪策略。它利用成交量的均线,识别成交量增加的 Signals,从而判断进入或退出仓位。同时结合价格本身的趋势判断,避免在价格震荡时产生错误Signals。
可以通过调整参数,优化指标计算方式,结合其他指标进行确认来控制这些风险。
本策略通过改进后的成交量震荡器,辅助以价格趋势判断,设立两个阈值进行开仓和止损,整体是一个较为稳定的趋势跟踪策略。优化空间主要在参数调整、信号过滤以及止损策略方面。总的来说,该策略有一定的实用价值,值得进一步研究优化。
/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy('Volume Advanced', default_qty_type=strategy.percent_of_equity, default_qty_value=100, commission_type=strategy.commission.percent, commission_value=0.075, currency='USD')
startP = timestamp(input(2017, "Start Year"), input(12, "Start Month"), input(17, "Start Day"), 0, 0)
end = timestamp(input(9999, "End Year"), input(1, "End Month"), input(1, "End Day"), 0, 0)
_testPeriod() =>
iff(time >= startP and time <= end, true, false)
source = close
vol_length = input(34, title = "Volume - Length")
vol_smooth = input(200,title = "Volume - Smoothing")
volriselen = input(21, title = "Volume - Risinglength")
volfalllen = input(13, title = "Volume - Fallinglength")
threshold = input(1,"threshold")
threshold2 = input(1.2,step=0.1, title="Threshold 2")
direction = input(13,"amount of bars")
volsum = sum(volume, vol_length) / (sum(volume, vol_smooth) / (vol_smooth / vol_length))
LongEntry = (rising(volsum, volriselen) or crossover (volsum, threshold)) and close > close[direction]
ShortEntry = (rising(volsum, volriselen) or crossover (volsum, threshold)) and close < close[direction]
LongExit1 = falling (volsum,volfalllen)
ShortExit1 = falling (volsum,volfalllen)
LongExit2= (crossover(volsum, threshold2) and close < close[direction])
_state = 0
_prev = nz(_state[1])
_state := _prev
if _prev == 0
if LongEntry
_state := 1
_state
if ShortEntry
_state := 2
_state
if _prev == 1
if ShortEntry or LongExit1
_state := 0
_state
if _prev == 2
if LongEntry or ShortExit1
_state := 0
_state
_bLongEntry = _state == 1
_bLongClose = _state == 0
long_condition = _bLongEntry and close > close[direction]
strategy.entry('BUY', strategy.long, when=long_condition)
short_condition = _bLongClose or LongExit2
strategy.close('BUY', when=short_condition)
plot(volsum, color = color.green, title="Vol_Sum")
plot(threshold, color = color.fuchsia, transp=50, title="Threshold")
plot(threshold2, color=color.white, transp = 50, title="Threshold 2")