概述:本策略是一个利用布林通道,KDJ指标以及趋势跟踪进行价格突破操作的策略。它可以在突破点进行买入和卖出操作,并设置止损线来控制风险。
策略原理:
优势分析:
风险与改进:
优化建议:
总结:
本策略综合运用布林通道、RSI等多个指标判断买入和卖出时机,在保证一定的交易信号准确性的同时,也设置了止损来控制风险。但仍需针对具体品种进行参数优化,使信号更加准确可靠。此外,也可以考虑加入更多因子构建多因子模型。总的来说,该策略提供了一个相对简单、实用的价格突破操作思路,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("Custom Strategy", overlay=true)
length = 14
mult = 0.75
atr = atr(length) * mult
// Moving averages
ma15 = sma(close, 15)
ma30 = sma(close, 30)
// Bullish Engulfing pattern
bullishEngulfing = close[1] < open[1] and close > open and close[1] < open and close > open[1]
// Bearish Engulfing pattern
bearishEngulfing = close[1] > open[1] and close < open and close[1] > open and close < open[1]
// RSI
rsi = rsi(close, length)
// Buy condition
if (bullishEngulfing and close[1] > ma15 and rsi > 50)
strategy.entry("Buy", strategy.long)
strategy.exit("Sell", "Buy", stop=close - atr)
// Sell condition
if (bearishEngulfing and close[1] < ma15 and rsi < 50)
strategy.entry("Sell", strategy.short)
strategy.exit("Cover", "Sell", stop=close + atr)
// Plotting
plotshape(series=strategy.position_size > 0, title="Buy", location=location.belowbar, color=color.green, style=shape.labelup, text="Buy")
plotshape(series=strategy.position_size < 0, title="Sell", location=location.abovebar, color=color.red, style=shape.labeldown, text="Sell")