本策略是一个基于布林带突破的量化交易策略,采用了3倍标准差的上轨和1倍标准差的下轨,同时结合了100日移动平均线作为中轨。该策略主要通过检测价格突破上轨来捕捉长期趋势,并使用下轨作为止损信号。策略的核心思想是在强势突破时入场,在价格跌破下轨时及时止损,从而实现风险可控的趋势跟踪。
策略的核心原理是基于布林带的统计学特性。上轨采用3倍标准差,这意味着在正态分布假设下,价格突破上轨的概率仅为0.15%,因此当出现突破时,往往预示着显著的趋势形成。中轨采用100日移动平均线,这个周期足够长,能够有效过滤短期市场噪音。下轨采用1倍标准差,作为止损线,这个设置相对保守,有助于及时止损。策略在价格突破上轨时发出做多信号,在价格跌破下轨时平仓出场。
这是一个设计合理、逻辑清晰的趋势跟踪策略。通过布林带的统计学特性和移动平均线的趋势跟踪特性,能够有效捕捉市场的重要突破机会。虽然存在一定的回撤风险,但通过合理的止损设置和风险控制,仍然具有较好的实用价值。进一步优化空间主要在于信号确认、止损机制和仓位管理等方面。
/*backtest
start: 2024-11-12 00:00:00
end: 2024-12-11 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © MounirTrades007
// @version=6
strategy("Bollinger Bands", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=200)
// Get user input
var g_bb = "Bollinger Band Settings"
upperBandSD = input.float(title="Upper Band Std Dev", defval=3.0, tooltip="Upper band's standard deviation multiplier", group=g_bb)
lowerBandSD = input.float(title="Lower Band Std Dev", defval=1.0, tooltip="Lower band's standard deviation multiplier", group=g_bb)
maPeriod = input.int(title="Middle Band MA Length", defval=100, tooltip="Middle band's SMA period length", group=g_bb)
var g_tester = "Backtester Settings"
drawTester = input.bool(title="Draw Backtester", defval=true, group=g_tester, tooltip="Turn on/off inbuilt backtester display")
// Get Bollinger Bands
[bbIgnore1, bbHigh, bbIgnore2] = ta.bb(close, maPeriod, upperBandSD)
[bbMid, bbIgnore3, bbLow] = ta.bb(close, maPeriod, lowerBandSD)
// Prepare trade persistent variables
drawEntry = false
drawExit = false
// Detect bollinger breakout
if close > bbHigh and barstate.isconfirmed and strategy.position_size == 0
drawEntry := true
strategy.entry(id="Trade", direction=strategy.long)
alert("Bollinger Breakout Detected for " + syminfo.ticker, alert.freq_once_per_bar_close)
// Detect bollinger sell signal
if close < bbLow and barstate.isconfirmed and strategy.position_size != 0
drawExit := true
strategy.close(id="Trade")
alert("Bollinger Exit detected for " + syminfo.ticker, alert.freq_once_per_bar_close)
// Draw bollinger bands
plot(bbMid, color=color.blue, title="Middle SMA")
plot(bbHigh, color=color.green, title="Upper Band")
plot(bbLow, color=color.red, title="Lower Band")
// Draw signals
plotshape(drawEntry, style=shape.triangleup, color=color.green, location=location.belowbar, size=size.normal, title="Buy Signal")
plotshape(drawExit, style=shape.xcross, color=color.red, location=location.belowbar, size=size.normal, title="Sell Signal")
// // =============================================================================
// // START BACKTEST CODE
// // =============================================================================
// // Prepare stats table
// var table testTable = table.new(position.top_right, 2, 2, border_width=1)
// f_fillCell(_table, _column, _row, _title, _value, _bgcolor, _txtcolor) =>
// _cellText = _title + "\n" + _value
// table.cell(_table, _column, _row, _cellText, bgcolor=_bgcolor, text_color=_txtcolor)
// // Draw stats table
// var bgcolor = color.black
// if barstate.islastconfirmedhistory
// if drawTester
// dollarReturn = strategy.equity - strategy.initial_capital
// f_fillCell(testTable, 0, 0, "Total Trades:", str.tostring(strategy.closedtrades), bgcolor, color.white)
// f_fillCell(testTable, 0, 1, "Win Rate:", str.tostring(strategy.wintrades / strategy.closedtrades * 100, "##.##") + "%", bgcolor, color.white)
// f_fillCell(testTable, 1, 0, "Equity:", "$" + str.tostring(strategy.equity, "###,###.##"), bgcolor, color.white)
// f_fillCell(testTable, 1, 1, "Return:", str.tostring((strategy.netprofit / strategy.initial_capital) * 100, "##.##") + "%", dollarReturn > 0 ? color.green : color.red, color.white)
// // =============================================================================
// // END BACKTEST CODE
// // =============================================================================