该策略是一个基于WaveTrend指标的量化交易系统,结合了动态风险管理机制。策略通过计算价格波动的趋势强度,在超买超卖区域进行信号过滤,同时应用了止损、止盈和追踪止损等风险控制手段,实现了全方位的交易管理。
策略的核心是通过HLC3价格计算WaveTrend指标。首先计算n1周期的指数移动平均线(EMA)作为基准线,然后计算价格与基准线的偏差,并使用0.015作为系数进行归一化处理。最终得到两条波浪线wt1和wt2,分别代表快线和慢线。交易信号基于这两条线与超买超卖水平的交叉产生,同时结合了多层次的风险控制系统。
该策略通过结合WaveTrend指标和完善的风险管理系统,实现了一个较为全面的量化交易策略。策略的核心优势在于其适应性强且风险可控,但仍需要交易者根据实际市场情况进行参数优化和策略改进。通过持续优化和完善,该策略有望在实际交易中取得稳定的收益。
/*backtest
start: 2024-11-12 00:00:00
end: 2024-12-11 08:00:00
period: 3h
basePeriod: 3h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title="WaveTrend [LazyBear] with Risk Management", shorttitle="WT_LB_RM", overlay=true)
// Input Parameters
n1 = input.int(10, "Channel Length")
n2 = input.int(21, "Average Length")
obLevel1 = input.int(60, "Over Bought Level 1")
obLevel2 = input.int(53, "Over Bought Level 2")
osLevel1 = input.int(-60, "Over Sold Level 1")
osLevel2 = input.int(-53, "Over Sold Level 2")
// Risk Management Inputs
stopLossPercent = input.float(50.0, "Stop Loss (%)", minval=0.1, maxval=100)
takeProfitPercent = input.float(5.0, "Take Profit (%)", minval=0.1, maxval=100)
trailingStopPercent = input.float(3.0, "Trailing Stop (%)", minval=0.1, maxval=100)
trailingStepPercent = input.float(2.0, "Trailing Stop Step (%)", minval=0.1, maxval=100)
// WaveTrend Calculation
ap = hlc3
esa = ta.ema(ap, n1)
d = ta.ema(math.abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ta.ema(ci, n2)
wt1 = tci
wt2 = ta.sma(wt1, 4)
// Plotting Original Indicators
plot(0, color=color.gray)
plot(obLevel1, color=color.red)
plot(osLevel1, color=color.green)
plot(obLevel2, color=color.red, style=plot.style_line)
plot(osLevel2, color=color.green, style=plot.style_line)
plot(wt1, color=color.green)
plot(wt2, color=color.red, style=plot.style_line)
plot(wt1-wt2, color=color.blue, style=plot.style_area, transp=80)
// Buy and Sell Signals with Risk Management
longCondition = ta.crossover(wt1, osLevel1) or ta.crossover(wt1, osLevel2)
shortCondition = ta.crossunder(wt1, obLevel1) or ta.crossunder(wt1, obLevel2)
// Strategy Entry with Risk Management
if (longCondition)
entryPrice = close
stopLossPrice = entryPrice * (1 - stopLossPercent/100)
takeProfitPrice = entryPrice * (1 + takeProfitPercent/100)
strategy.entry("Long", strategy.long)
strategy.exit("Long Exit", "Long",
stop=stopLossPrice,
limit=takeProfitPrice,
trail_price=close * (1 + trailingStopPercent/100),
trail_offset=close * (trailingStepPercent/100))
if (shortCondition)
entryPrice = close
stopLossPrice = entryPrice * (1 + stopLossPercent/100)
takeProfitPrice = entryPrice * (1 - takeProfitPercent/100)
strategy.entry("Short", strategy.short)
strategy.exit("Short Exit", "Short",
stop=stopLossPrice,
limit=takeProfitPrice,
trail_price=close * (1 - trailingStopPercent/100),
trail_offset=close * (trailingStepPercent/100))