该策略是一个系统化的方法,旨在利用原油期货市场的波动性获利。它测量蜡烛的平均区间范围,如果快速移动平均线高于慢速移动平均线,这意味着蜡烛更大;如果慢速移动平均线高于快速移动平均线,这意味着蜡烛更小。
根据这个原理,识别潜在的长入场点和短入场点。仓位只保持一定的蜡烛数量,这个参数由“Exit after bars”输入控制。
该策略利用突破和回归判断短期趋势,属于波动性策略。通过优化参数设置和加入波动率指标判定,可以减少虚假突破概率,提高盈利水平。同时固定根K线的快速离场机制,可锁定一定利润,有效控制风险。该策略可以作为短线操作的辅助工具,也可通过参数调整获得更长周期的操作信号。
/*backtest
start: 2024-02-01 00:00:00
end: 2024-02-29 23:59:59
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Celestial_Logic
//@version=5
strategy("Crudeoil Breakout strategy", overlay = true, initial_capital = 20000, default_qty_type = strategy.fixed, default_qty_value = 1)
highestCloseLookback = input(9 , title = 'Highest Close lookback')
lowestCloseLookback = input(50, title = 'Lowest Close lookback' )
exitAfter = input(10, title = 'Exit after bars')
hc = ta.highest(close,highestCloseLookback)
lc = ta.lowest(close,lowestCloseLookback)
rangeFilter = (ta.sma( (high - low), 5 ) > ta.sma((high-low), 20) ) // Candles getting bigger.
longCondition = (close == hc ) and not rangeFilter
shortCondition = (close == lc ) and not rangeFilter
if longCondition
strategy.entry(id = 'long', direction = strategy.long)
if shortCondition
strategy.entry(id = 'short', direction = strategy.short)
var int longsince = 0
var int shortsince = 0
if strategy.position_size > 0
longsince += 1
else
longsince := 0
if strategy.position_size < 0
shortsince += 1
else
shortsince := 0
if longsince >= exitAfter
strategy.close(id = 'long', comment = 'long close')
if shortsince >= exitAfter
strategy.close(id = 'short', comment = 'short close')