该策略是一个基于Fibonacci回撤原理的高级趋势跟踪系统。它通过动态计算重要的Fibonacci回撤水平(23.6%, 38.2%, 50%, 61.8%, 78.6%)来识别潜在的支撑和阻力区域。系统采用了100个周期的回溯窗口来确定最高点和最低点,并以此为基础计算各个回撤水平。策略集成了精确的入场信号和风险管理机制,通过在关键Fibonacci水平的突破来触发交易信号。
策略的核心逻辑建立在价格在主要趋势中会在关键的Fibonacci回撤水平附近发生反转的理论基础上。具体来说: 1. 系统通过滚动窗口持续计算最高点和最低点,确保回撤水平的动态更新 2. 当价格向上突破61.8%回撤水平时,触发做多信号,表明上升趋势的延续 3. 当价格跌破38.2%回撤水平时,系统识别为看跌信号 4. 止盈设置在100%回撤水平(最高点),止损设置在0%回撤水平(最低点) 5. 策略通过plot函数在图表上标示各个关键水平,便于可视化分析
这是一个建立在经典技术分析理论基础上的系统化交易策略。通过程序化实现使其具备了客观性和可重复性。策略的核心优势在于将Fibonacci理论与严格的风险控制相结合,适合在trending市场中应用。通过持续优化和完善,该策略有望在各类市场环境中保持稳定的表现。
/*backtest
start: 2024-11-11 00:00:00
end: 2024-12-10 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Fibonacci Retracement Strategy", overlay=true)
// Inputs
lookback_period = input.int(100, title="Lookback Period")
level_1 = input.float(0.236, title="Fibonacci Level 1")
level_2 = input.float(0.382, title="Fibonacci Level 2")
level_3 = input.float(0.5, title="Fibonacci Level 3")
level_4 = input.float(0.618, title="Fibonacci Level 4")
level_5 = input.float(0.786, title="Fibonacci Level 5")
// Calculate highest high and lowest low over the lookback period
high_level = ta.highest(high, lookback_period)
low_level = ta.lowest(low, lookback_period)
// Calculate Fibonacci retracement levels
fib_236 = low_level + (high_level - low_level) * level_1
fib_382 = low_level + (high_level - low_level) * level_2
fib_50 = low_level + (high_level - low_level) * level_3
fib_618 = low_level + (high_level - low_level) * level_4
fib_786 = low_level + (high_level - low_level) * level_5
// Plot Fibonacci levels on the chart
plot(fib_236, color=color.green, title="Fib 23.6%")
plot(fib_382, color=color.blue, title="Fib 38.2%")
plot(fib_50, color=color.orange, title="Fib 50%")
plot(fib_618, color=color.red, title="Fib 61.8%")
plot(fib_786, color=color.purple, title="Fib 78.6%")
// Entry and Exit Conditions
buy_signal = ta.crossover(close, fib_618)
sell_signal = ta.crossunder(close, fib_382)
// Strategy Orders
if buy_signal
strategy.entry("Buy", strategy.long)
// Exit based on stop-loss and take-profit conditions
take_profit = high_level // Exit at the highest Fibonacci level (100%)
stop_loss = low_level // Exit at the lowest Fibonacci level (0%)
strategy.exit("Sell", from_entry="Buy", limit=take_profit, stop=stop_loss)
// Visualization of Signals
plotshape(series=buy_signal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.labelup, text="BUY")
plotshape(series=sell_signal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.labeldown, text="SELL")