ChaoZhang
概述
该策略通过计算通道均线,在价格突破通道均线时建立多头或空头头寸,追踪股票价格趋势,属于趋势追踪类策略。
策略原理
该策略首先计算20日高点平均值作为通道上轨,20日低点平均值作为通道下轨,并计算通道中线。通道中线代表近期价格平均趋势。当价格上穿通道中线时,建立多头头寸;当价格下穿通道中线时,建立空头头寸。追踪价格趋势,直到价格重新回落到通道区间反向时,平仓头寸。
优势分析
- 利用通道追踪价格趋势,避免资金被横盘市锁定;
- 通过通道上下轨判断买卖点位,入场容易控制;
- 通道范围过滤掉部分噪音,加大获利概率;
- 可配置通道参数,调整策略的灵敏度;
风险分析
- 大幅突破通道中线过后可能出现回调测试中线的情况,此时会被套;
- 震荡类型股票不适合该策略,容易出现高频交易套利;
- 参数设置不当也可能影响策略效果;
优化方向
- 优化通道周期参数,测试不同参数对策略效果的影响;
- 增加止盈止损策略,控制单次亏损和全部亏损;
- 结合其他指标作为辅助判断,避免错误信号;
- 分阶段建仓,降低突破回调测试中线的被套概率;
总结
该策略整体来说较为简单直接,通过基本的价格通道来判断股票价格趋势,属于趋势追踪类型策略。优点是容易操作,充分利用价格趋势带来的投资机会,避免资金被锁定。缺点是参数设置不当可能影响效果,且存在一定回调测试的风险。通过合理优化,可以提高策略稳定性,增强实盘表现。
策略源码
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//future strategy
//strategy(title = "stub", default_qty_type = strategy.fixed, default_qty_value = 1, overlay = true, commission_type=strategy.commission.cash_per_contract,commission_value=2)
//stock strategy
strategy(title = "dc", default_qty_type = strategy.percent_of_equity, default_qty_value = 20, overlay = true, commission_type=strategy.commission.cash_per_contract,commission_value=.005)
//forex strategy
//strategy(title = "stub", default_qty_type = strategy.percent_of_equity, default_qty_value = 20, overlay = true)
//crypto strategy
//strategy(title = "stub", default_qty_type = strategy.percent_of_equity, default_qty_value = 20, overlay = true, commission_type=strategy.commission.percent,commission_value=.25,default_qty_value=20)
testStartYear = input(2000, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testEndYear = input(2019, "Backtest Start Year")
testEndMonth = input(3)
testEndDay = input(31, "Backtest Start Day")
testPeriodEnd = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testPeriod() =>
true
//time >= testPeriodStart ? true : false
dcPeriod = 20
dcUpper = highest(close, dcPeriod)[1]
dcLower = lowest(close, dcPeriod)[1]
dcAverage = (dcUpper + dcLower) / 2
plot(dcLower, style=line, linewidth=3, color=red, offset=1)
plot(dcUpper, style=line, linewidth=3, color=aqua, offset=1)
plot(dcAverage, color=black, style=line, linewidth=3, title="Mid-Line Average")
strategy.entry("simpleBuy", strategy.long, when=close > dcAverage)
strategy.close("simpleBuy",when=close < dcLower)
strategy.entry("simpleSell", strategy.short,when=close < dcAverage)
strategy.close("simpleSell",when=close > dcAverage)