Flawless Victory DCA 动量与波动率策略是一个基于动量指标RSI和波动率指标布林带,结合DCA(Dollar Cost Averaging,美元成本平均法)的量化交易策略。该策略旨在捕捉市场的动量和波动率,同时通过止损和止盈水平来管理风险。
该策略使用两个技术指标:RSI和布林带。RSI是一个动量振荡指标,用于衡量价格变化的速度和变化幅度,策略中使用了长度为14的RSI。布林带是一个波动率指标,由一条简单移动平均线(SMA)和两条标准差曲线组成。
策略的主要逻辑如下:
总的来说,该策略结合了RSI和布林带等技术指标以及DCA的条件逻辑,以进场、出场和潜在的美元成本平均法为基础。目标是利用市场的动量和波动率,同时通过止损和止盈水平来管理风险。
Flawless Victory DCA 动量与波动率策略是一个结合动量指标RSI、波动率指标布林带以及DCA的量化交易策略。策略的主要优势在于综合考虑了市场的动量和波动率,提供了DCA的选项,并设有明确的风险管理措施(止损和止盈)。同时,策略也存在一些潜在的风险,如对参数设置的敏感性、对市场条件变化的适应性等。未来的优化方向可以包括参数优化、加入其他指标、动态止损止盈、市场环境过滤以及资金管理优化等。总的来说,Flawless Victory DCA 动量与波动率策略为量化交易提供了一个基于动量和波动率的思路,但在实际应用中还需要根据具体的市场条件和风险偏好进行适当的调整和优化。
/*backtest
start: 2023-03-16 00:00:00
end: 2024-03-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//FOR BUY STRATGY : @Suameer
//Create by zipix
//@version=4
strategy(overlay=true, shorttitle=" DCA Strategy", default_qty_type = strategy.percent_of_equity, initial_capital = 100000, default_qty_value = 100, pyramiding = 0, title="Flawless Victory DCA Strategy", currency = 'USD')
////////// ** Inputs ** //////////
// Stoploss and Profits Inputs
stoploss_input = input(6.604, title='Stop Loss %', type=input.float, minval=0.01)/100
takeprofit_input = input(2.328, title='Take Profit %', type=input.float, minval=0.01)/100
stoploss_level = strategy.position_avg_price * (1 - stoploss_input)
takeprofit_level = strategy.position_avg_price * (1 + takeprofit_input)
// DCA Settings
dca_enabled = input(false, title="Enable DCA")
dca_interval = input(1, title="DCA Interval (hours)", type=input.integer)
////////// ** Indicators ** //////////
// RSI
len = 14
src = close
up = rma(max(change(src), 0), len)
down = rma(-min(change(src), 0), len)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - 100 / (1 + up / down)
// Bollinger Bands
length = 20
mult = 1.0
basis = sma(src, length)
dev = mult * stdev(src, length)
upper = basis + dev
lower = basis - dev
////////// ** Triggers and Guards ** //////////
// Strategy Parameters
RSILowerLevel = 42
RSIUpperLevel = 70
BBBuyTrigger = src < lower
BBSellTrigger = src > upper
rsiBuyGuard = rsi > RSILowerLevel
rsiSellGuard = rsi > RSIUpperLevel
//////////** Strategy Signals ** //////////
// Entry Condition
buy_condition = BBBuyTrigger and rsiBuyGuard
// DCA Logic
if dca_enabled and (hour % dca_interval == 0)
strategy.entry("DCA Long", strategy.long, when = buy_condition, alert_message = "DCA - Buy Signal!")
else
strategy.entry("Long", strategy.long, when = buy_condition, alert_message = "Buy Signal!")
// Exit Condition
sell_condition = BBSellTrigger and rsiSellGuard
strategy.exit("Stoploss/TP", "Long", stop = stoploss_level, limit = takeprofit_level, when = sell_condition, alert_message = "Sell Signal!")