ChaoZhang
概述
该策略是一个结合了布林带(Bollinger Bands)、相对强弱指标(RSI)和动态成本平均(DCA)的量化交易系统。策略通过设定资金管理规则,在市场波动中自动执行分批建仓操作,同时结合技术指标进行买卖信号判断,实现风险可控的交易执行。系统还包含了止盈逻辑和累计利润跟踪功能,可以有效监控和管理交易表现。
策略原理
策略主要基于以下几个核心组件运作: 1. 布林带指标用于判断价格波动区间,当价格触及下轨时考虑买入,触及上轨时考虑卖出 2. RSI指标用于确认市场超买超卖状态,RSI低于25时确认超卖,高于75时确认超卖 3. DCA模块根据账户权益动态计算每次建仓金额,实现资金的自适应管理 4. 止盈模块设置5%的获利目标,达到目标自动平仓保护利润 5. 市场状态监控模块计算90天市场变化幅度,帮助判断整体趋势 6. 累计利润跟踪模块记录每笔交易的盈亏状况,方便评估策略绩效
策略优势
- 结合多重技术指标交叉验证,提高信号可靠性
- 采用动态仓位管理,避免固定仓位带来的风险
- 设置合理止盈条件,及时锁定利润
- 具备市场趋势监控功能,便于把握大局
- 完善的利润跟踪系统,便于分析策略表现
- 警报功能配置完善,可实时提醒交易机会
策略风险
- 震荡市场可能频繁触发信号导致交易成本增加
- RSI指标在趋势市场可能产生滞后
- 固定百分比止盈可能在强趋势市场过早退出
- DCA策略在单边下跌市场可能造成较大回撤 建议采取以下措施管理风险:
- 设置最大持仓限制
- 根据市场波动度动态调整参数
- 增加趋势过滤器
- 实施分级止盈策略
策略优化方向
- 参数动态优化:
- 布林带参数可根据波动率自适应调整
- RSI阈值可随市场周期变化
- DCA资金比例可跟随账户规模调整
- 信号系统增强:
- 增加成交量确认
- 添加趋势线分析
- 结合更多技术指标交叉验证
- 风险控制完善:
- 实现动态止损
- 添加最大回撤控制
- 设置每日亏损限制
总结
该策略通过综合运用技术分析和资金管理方法,构建了一个较为完整的交易系统。策略的优势在于多重信号确认和完善的风险管理,但仍需要在实盘中进行充分测试和优化。通过持续改进参数设置和增加辅助指标,该策略有望在实际交易中取得稳定表现。
策略源码
/*backtest
start: 2023-11-27 00:00:00
end: 2024-11-26 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Combined BB RSI with Cumulative Profit, Market Change, and Futures Strategy (DCA)", shorttitle="BB RSI Combined DCA Strategy", overlay=true)
// Input Parameters
length = input.int(20, title="BB Length") // Adjusted BB length
mult = input.float(2.5, title="BB Multiplier") // Adjusted BB multiplier
rsiLength = input.int(14, title="RSI Length") // Adjusted RSI length
rsiBuyLevel = input.int(25, title="RSI Buy Level") // Adjusted RSI Buy Level
rsiSellLevel = input.int(75, title="RSI Sell Level") // Adjusted RSI Sell Level
dcaPositionSizePercent = input.float(1, title="DCA Position Size (%)", tooltip="Percentage of equity to use in each DCA step")
takeProfitPercentage = input.float(5, title="Take Profit (%)", tooltip="Take profit percentage for DCA strategy")
// Calculate DCA position size
equity = strategy.equity // Account equity
dcaPositionSize = (equity * dcaPositionSizePercent) / 100 // DCA position size as percentage of equity
// Bollinger Bands Calculation
basis = ta.sma(close, length)
dev = mult * ta.stdev(close, length)
upper = basis + dev
lower = basis - dev
// RSI Calculation
rsi = ta.rsi(close, rsiLength)
// Plotting Bollinger Bands and RSI levels
plot(upper, color=color.red, title="Bollinger Upper")
plot(lower, color=color.green, title="Bollinger Lower")
hline(rsiBuyLevel, "RSI Buy Level", color=color.green)
hline(rsiSellLevel, "RSI Sell Level", color=color.red)
// Buy and Sell Signals
buySignal = (rsi < rsiBuyLevel and close <= lower)
sellSignal = (rsi > rsiSellLevel and close >= upper)
// DCA Strategy: Enter Long or Short based on signals with calculated position size
if (buySignal)
strategy.entry("DCA Buy", strategy.long)
if (sellSignal)
strategy.entry("DCA Sell", strategy.short)
// Take Profit Logic
if (strategy.position_size > 0) // If long
strategy.exit("Take Profit Long", from_entry="DCA Buy", limit=close * (1 + takeProfitPercentage / 100))
if (strategy.position_size < 0) // If short
strategy.exit("Take Profit Short", from_entry="DCA Sell", limit=close * (1 - takeProfitPercentage / 100))
// Plot Buy/Sell Signals on the chart
plotshape(buySignal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="BUY", textcolor=color.white)
plotshape(sellSignal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="SELL", textcolor=color.white)
// Alerts for Buy/Sell Signals
alertcondition(buySignal, title="Buy Alert", message="Buy Signal Detected")
alertcondition(sellSignal, title="Sell Alert", message="Sell Signal Detected")
// Cumulative Profit Calculation
var float buyPrice = na
var float profit = na
var float cumulativeProfit = 0.0 // Cumulative profit tracker
if (buySignal)
buyPrice := close
if (sellSignal and not na(buyPrice))
profit := (close - buyPrice) / buyPrice * 100
cumulativeProfit := cumulativeProfit + profit // Update cumulative profit
label.new(bar_index, high, text="P: " + str.tostring(profit, "#.##") + "%", color=color.blue, style=label.style_label_down)
buyPrice := na // Reset buyPrice after sell
// Plot cumulative profit on the chart
var label cumulativeLabel = na
if (not na(cumulativeProfit))
if not na(cumulativeLabel)
label.delete(cumulativeLabel)
cumulativeLabel := label.new(bar_index, high + 10, text="Cumulative Profit: " + str.tostring(cumulativeProfit, "#.##") + "%", color=color.purple, style=label.style_label_up)
// Market Change over 3 months Calculation
threeMonthsBars = 3 * 30 * 24 // Approximation of 3 months in bars (assuming 1 hour per bar)
priceThreeMonthsAgo = request.security(syminfo.tickerid, "D", close[threeMonthsBars])
marketChange = (close - priceThreeMonthsAgo) / priceThreeMonthsAgo * 100
// Plot market change over 3 months
var label marketChangeLabel = na
if (not na(marketChange))
if not na(marketChangeLabel)
label.delete(marketChangeLabel)
marketChangeLabel := label.new(bar_index, high + 20, text="Market Change (3 months): " + str.tostring(marketChange, "#.##") + "%", color=color.orange, style=label.style_label_up)
// Both labels (cumulative profit and market change) are displayed simultaneously
var label infoLabel = na
if (not na(cumulativeProfit) and not na(marketChange))
if not na(infoLabel)
label.delete(infoLabel)
infoLabel := label.new(bar_index, high + 30, text="Cumulative Profit: " + str.tostring(cumulativeProfit, "#.##") + "% | Market Change (3 months): " + str.tostring(marketChange, "#.##") + "%", color=color.purple, style=label.style_label_upper_right)
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