N Bars 突破策略是一种基于价格突破的量化交易策略。该策略的主要思路是,当收盘价突破过去N个交易日的最高价时开多仓,当收盘价跌破过去N个交易日的最低价时平多仓。该策略通过比较当前价格与过去N个交易日的最高最低价,捕捉强势突破行情,达到趋势跟踪的效果。
N Bars 突破策略是一个简单实用的量化交易策略,通过捕捉价格突破行情,实现了较好的趋势跟踪效果。该策略逻辑清晰,优化空间大,适用性广,是一个值得进一步研究和优化的量化策略。通过合理的参数优化和逻辑改进,可以进一步提高该策略的稳定性和盈利能力,更好地适应不同市场环境。
/*backtest
start: 2023-04-06 00:00:00
end: 2024-04-11 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Breakout", overlay=true, precision=6, pyramiding=0, initial_capital=1000, default_qty_type=strategy.percent_of_equity, default_qty_value=25.0, commission_value=0.05)
n = input.int(5, "N Bars", minval=1)
src_input = input.string("Close", "Source", ["Close", "High/Low"])
bull_src = switch src_input
"Close" => close
"High/Low" => high
=>
runtime.error("Invalid source input")
na
bear_src = switch src_input
"Close" => close
"High/Low" => low
=>
runtime.error("Invalid source input")
na
highest = ta.highest(bull_src[1], n)
lowest = ta.lowest(bear_src[1], n)
//-----------------------------------------------------------------------------------------------------------------------------------------------------------------
// Plots
//-----------------------------------------------------------------------------------------------------------------------------------------------------------------
bool long = ta.crossover(bull_src, highest)
bool short = ta.crossunder(bear_src, lowest)
//Plots
lowest_plot = plot(lowest, color=color.red, title="Lowest")
highest_plot = plot(highest, color=color.green, title="Highest")
bull_src_plot = plot(bull_src, color=color.blue, title="Bull")
bear_src_plot = plot(bear_src, color=color.orange, title="Bear")
// this message is an alert that can be sent to a webhook, which allows for simple automation if you have a server that listens to alerts and trades programmatically.
enter_long_alert = '{"side": "Long", "order": "Enter", "price": ' + str.tostring(open) + ', "timestamp": ' + str.tostring(timenow) + '}'
exit_long_alert = '{"side": "Long", "order": "Exit", "price": ' + str.tostring(open) + ', "timestamp": ' + str.tostring(timenow) + '}'
if long
strategy.entry(id="Long", direction=strategy.long, limit=open, alert_message=enter_long_alert)
if short
strategy.close(id="Long", comment="Close Long", alert_message=exit_long_alert)