这是一个基于前一交易日高低点的区间突破交易策略。策略通过识别价格突破或跌破前一日的高点或低点来寻找交易机会,每个突破或跌破方向仅执行一次交易。策略采用固定的50点止盈止损设置,并在每个交易日开始时重置交易标记,以确保交易的有序进行。该策略的核心是捕捉日内价格的单向突破行情,通过严格的交易管理来控制风险。
策略的核心逻辑包括以下几个方面: 1. 交易信号生成: 系统通过判断当前收盘价是否突破前一交易日的高点或低点来确定交易方向。当价格收盘突破前一日高点时,系统会发出做多信号;当价格收盘跌破前一日低点时,系统会发出做空信号。 2. 交易频率控制: 策略采用标记位(flags)来确保每个方向每天只执行一次交易。这种设计可以避免在同一价格区域反复交易,降低交易成本。 3. 风险管理: 每笔交易都设置了固定的50点止盈止损,这种对称的风险管理方式可以有效控制单笔交易的风险。 4. 日内重置机制: 在每个交易日开始时,系统会重置交易标记,为新的交易日做好准备。这个机制确保了策略可以捕捉到新的交易机会。
该策略是一个基于日线区间突破的经典交易系统,通过严格的交易管理和风险控制,适合追踪市场的单向趋势行情。虽然存在一些固有的风险,但通过合理的优化和改进,可以提高策略的稳定性和盈利能力。策略的成功关键在于正确处理假突破风险,合理设置止盈止损,并在不同市场环境下保持策略的适应性。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-09 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("US 30 Daily Breakout Strategy (Single Trade Per Breakout/Breakdown, New York Time)", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100, trim_orders = true)
// Set pip size for US 30 (1 pip = 1 point)
var float pip = 1.0
// Set take profit and stop loss in points (1 pip = 1 point)
take_profit_pips = 50
stop_loss_pips = 50
// Calculate the previous day's high and low (assumes chart timezone is set to New York)
prevDayHigh = request.security(syminfo.tickerid, "D", high[1])
prevDayLow = request.security(syminfo.tickerid, "D", low[1])
// Initialize flags to track if a breakout/breakdown trade has been taken
var bool breakout_traded = false
var bool breakdown_traded = false
// Reset flags at the start of a new day in New York timezone (as per chart setting)
if (ta.change(time("D")))
breakout_traded := false
breakdown_traded := false
// Condition for a long entry: candle closes above the previous day's high and no breakout trade has been taken
longCondition = close > prevDayHigh and strategy.opentrades == 0 and not breakout_traded
// Condition for a short entry: candle closes below the previous day's low and no breakdown trade has been taken
shortCondition = close < prevDayLow and strategy.opentrades == 0 and not breakdown_traded
// Execute long trade if the condition is met, and set the breakout flag
if (longCondition)
strategy.entry("Long", strategy.long)
strategy.exit("Take Profit/Stop Loss", "Long", limit=close + take_profit_pips * pip, stop=close - stop_loss_pips * pip)
breakout_traded := true // Set breakout flag
// Execute short trade if the condition is met, and set the breakdown flag
if (shortCondition)
strategy.entry("Short", strategy.short)
strategy.exit("Take Profit/Stop Loss", "Short", limit=close - take_profit_pips * pip, stop=close + stop_loss_pips * pip)
breakdown_traded := true // Set breakdown flag
// Plotting the previous day's high and low for visualization
plot(prevDayHigh, color=color.green, linewidth=1, title="Previous Day High")
plot(prevDayLow, color=color.red, linewidth=1, title="Previous Day Low")