ChaoZhang
概述
这是一个基于支撑位突破的动态ATR趋势跟踪策略。该策略综合运用了EMA均线系统、ATR波动率指标以及智能资金概念(SMC)来捕捉市场趋势。策略通过动态计算仓位大小和止损止盈位置,实现了良好的风险管理。
策略原理
策略主要基于以下几个核心组件构建: 1. 使用50和200周期的EMA均线系统来确认市场趋势方向 2. 利用ATR指标动态调整止损和获利目标 3. 通过订单块(Order Block)和失衡区域(Imbalance Zone)分析来寻找最佳入场点 4. 基于账户风险百分比自动计算开仓量 5. 通过观察近20根K线的波动范围来判断市场是否处于盘整状态
策略优势
- 风险管理完善,通过动态计算保证每笔交易风险可控
- 趋势判断系统可靠,避免在盘整市场交易
- 止损止盈设置合理,风险收益比为1:3
- 充分考虑市场波动性,能适应不同市场环境
- 代码结构清晰,易于维护和优化
策略风险
- EMA指标具有滞后性,可能导致入场时机延迟
- 在剧烈波动市场中可能触发虚假信号
- 策略依赖趋势持续性,在震荡市场表现可能欠佳
- 止损位置较宽,在某些情况下可能承受较大损失
策略优化方向
- 可以引入量价关系分析,提高趋势判断准确性
- 可以增加市场情绪指标,优化入场时机
- 考虑加入多时间周期分析,提高系统稳定性
- 可以细化订单块和失衡区域的判断标准
- 优化止损方式,考虑采用移动止损
总结
该策略是一个较为完整的趋势跟踪系统,通过合理的风险管理和多重信号确认来提高交易的稳定性。虽然存在一定的滞后性,但整体而言是一个可靠的交易系统。建议在实盘使用前进行充分的回测验证,并根据具体交易品种和市场环境进行参数优化。
策略源码
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-10 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// TradingView Pine Script strategy for Smart Money Concept (SMC)
//@version=5
strategy("Smart Money Concept Strategy", overlay=true, default_qty_type=strategy.fixed, default_qty_value=100)
// === Input Parameters ===
input_risk_percentage = input.float(1, title="Risk Percentage", step=0.1)
input_atr_length = input.int(14, title="ATR Length")
input_ema_short = input.int(50, title="EMA Short")
input_ema_long = input.int(200, title="EMA Long")
// === Calculations ===
atr = ta.atr(input_atr_length)
ema_short = ta.ema(close, input_ema_short)
ema_long = ta.ema(close, input_ema_long)
// === Utility Functions ===
// Identify Order Blocks
is_order_block(price, direction) =>
((high[1] > high[2] and low[1] > low[2] and direction == 1) or (high[1] < high[2] and low[1] < low[2] and direction == -1))
// Identify Imbalance Zones
is_imbalance() =>
range_high = high[1]
range_low = low[1]
range_high > close and range_low < close
// Calculate Lot Size Based on Risk
calculate_lot_size(stop_loss_points, account_balance) =>
risk_amount = account_balance * (input_risk_percentage / 100)
lot_size = risk_amount / (stop_loss_points * syminfo.pointvalue)
lot_size
// Determine if Market is Consolidating
is_consolidating() =>
(ta.highest(high, 20) - ta.lowest(low, 20)) / atr < 2
// === Visual Enhancements ===
// Plot Order Blocks
// if is_order_block(close, 1)
// line.new(x1=bar_index[1], y1=low[1], x2=bar_index, y2=low[1], color=color.green, width=2, extend=extend.right)
// if is_order_block(close, -1)
// line.new(x1=bar_index[1], y1=high[1], x2=bar_index, y2=high[1], color=color.red, width=2, extend=extend.right)
// Highlight Imbalance Zones
// if is_imbalance()
// box.new(left=bar_index[1], top=high[1], right=bar_index, bottom=low[1], bgcolor=color.new(color.orange, 80))
// === Logic for Trend Confirmation ===
is_bullish_trend = ema_short > ema_long
is_bearish_trend = ema_short < ema_long
// === Entry Logic ===
account_balance = strategy.equity
if not is_consolidating()
if is_bullish_trend
stop_loss = close - atr * 2
take_profit = close + (math.abs(close - (close - atr * 2)) * 3)
stop_loss_points = math.abs(close - stop_loss) / syminfo.pointvalue
lot_size = calculate_lot_size(stop_loss_points, account_balance)
strategy.entry("Buy", strategy.long, qty=lot_size)
strategy.exit("TP/SL", "Buy", stop=stop_loss, limit=take_profit)
if is_bearish_trend
stop_loss = close + atr * 2
take_profit = close - (math.abs(close - (close + atr * 2)) * 3)
stop_loss_points = math.abs(close - stop_loss) / syminfo.pointvalue
lot_size = calculate_lot_size(stop_loss_points, account_balance)
strategy.entry("Sell", strategy.short, qty=lot_size)
strategy.exit("TP/SL", "Sell", stop=stop_loss, limit=take_profit)
// === Plotting Indicators ===
plot(ema_short, color=color.blue, title="EMA 50")
plot(ema_long, color=color.orange, title="EMA 200")
plotshape(series=is_bullish_trend and not is_consolidating(), style=shape.triangleup, location=location.belowbar, color=color.green, text="Buy")
plotshape(series=is_bearish_trend and not is_consolidating(), style=shape.triangledown, location=location.abovebar, color=color.red, text="Sell")
相关推荐