该策略是一个基于双均线交叉信号的趋势跟踪系统,结合了动态止盈止损机制。策略使用5周期和12周期的简单移动平均线(SMA)产生交易信号,通过对止盈止损水平的动态调整来优化风险收益比。初始止盈设置为10%,止损设置为5%,当价格向有利方向移动时,止盈水平调整为20%,止损收紧至2.5%,实现对盈利的保护。
策略的核心逻辑基于快速移动均线(5周期)与慢速移动均线(12周期)的交叉关系。当快线自下而上穿越慢线时,系统产生做多信号并开仓;当快线自上而下穿越慢线时,系统平仓出场。策略的独特之处在于其动态风险管理机制:一旦建仓后,系统会实时监控价格走势,并根据价格变化动态调整止盈止损水平,以最大化盈利同时控制风险。
该策略通过结合经典的移动均线交叉信号和创新的动态风险管理机制,实现了对趋势的有效把握和风险的动态控制。策略设计理念清晰,实现方式简洁有效,具有良好的实用性和扩展性。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表现。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-25 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=6
strategy("My Moving Average Crossover Strategy with Take Profit and Stop Loss", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
//risk_free_rate = float(request.security("IRUS", "D", close)/request.security("IRUS", "D", close[1]) - 1 ))
// MA periods
fastLength = input.int(5, title="Fast MA Length")
slowLength = input.int(12, title="Slow MA Length")
// Take Profit and Stop Loss
takeProfitLevel = input(10, title="Take Profit (пункты)") // Take profit % from the last price
stopLossLevel = input(5, title="Stop Loss (пункты)") // Stop loss % from the last price
takeProfitLevel_dyn = input(20, title="Dynamic Take Profit (пункты)") // Move TP if current_price higher buy_px
stopLossLevel_dyn = input(2.5, title="Dynamic Stop Loss (пункты)") // S Move SL if current_price higher buy_px
// Вычисление скользящих средних
fastMA = ta.sma(close, fastLength)
slowMA= ta.sma(close, slowLength)
// Conditions for Sell and Buy
longCondition = ta.crossover (fastMA, slowMA) // покупаем, если короткая MA персекает длинную снизу-вверх
shortCondition = ta.crossunder(fastMA, slowMA) // продаем, если короткая MA персекает длинную сверху-вниз
// Buy position condition
if (longCondition)
strategy.entry("Buy", strategy.long)
// Dynamic TP SL leveles
takeProfitPrice = strategy.position_avg_price * (1+ takeProfitLevel / 100)
stopLossPrice = strategy.position_avg_price * (1-stopLossLevel / 100)
entryPrice = strategy.position_avg_price
if (strategy.position_size > 0) // если есть открытая позиция
// takeProfitPrice := entryPrice * (1+ takeProfitLevel / 100)
// stopLossPrice := entryPrice * (1-stopLossLevel / 100)
// // Перемещение Stop Loss и Take Profit
if (close > entryPrice)
takeProfitPrice := close * (1+ takeProfitLevel_dyn / 100)
stopLossPrice := close * (1- stopLossLevel_dyn/ 100)
if (shortCondition)
strategy.close("Buy")
strategy.exit("Take Profit/Stop loss", "Buy", limit=takeProfitPrice, stop=stopLossPrice)
// Drawing MA lines
plot(fastMA, color=color.blue, title="Fast Moving Average")
plot(slowMA, color=color.orange, title="Slow Moving Average")
// Визуализация
plot(longCondition ? na : takeProfitPrice, title="Take Profit Level", color=color.green, linewidth=1, style=plot.style_line)
plot(longCondition ? na: stopLossPrice, title="Stop Loss Level", color=color.red, linewidth=1, style=plot.style_line)