本策略是一个基于布林带和价格均值回归原理的量化交易系统。通过监测价格与移动平均线之间的偏离程度,结合布林带上下轨的突破信号,在市场出现超买超卖后期待价格回归均值时进行交易。策略采用百分比阈值来衡量价格偏离程度,通过设定合理的触发条件来过滤虚假信号,提高交易的准确性。
策略的核心逻辑基于以下几个关键要素: 1. 使用20日移动平均线作为中轨,配合2倍标准差构建布林带通道 2. 引入3.5%的价格偏离阈值来识别显著偏离 3. 通过is_outside变量跟踪价格是否处于偏离状态 4. 当价格回归布林带区间内时,将触发交易信号 5. 具体交易规则为: - 当价格从偏离状态回归且突破上轨时做多 - 当价格从偏离状态回归且突破下轨时做空
该策略通过布林带和均值回归原理捕捉市场超买超卖机会,结合合理的偏离阈值和状态跟踪机制,有效控制交易风险。策略框架具有良好的可扩展性,通过参数优化和功能完善可以适应不同市场环境。建议在实盘应用中注意风险控制,根据具体品种特性进行参数调整。
/*backtest
start: 2024-12-06 00:00:00
end: 2025-01-04 08:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Estratégia com Bandas de Bollinger e Sinal de Retorno", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=200)
// Configurações das Bandas de Bollinger
length = input.int(20, title="Período da média")
mult = input.float(2.0, title="Desvio padrão")
bbBasis = ta.sma(close, length)
bbUpper = bbBasis + mult * ta.stdev(close, length)
bbLower = bbBasis - mult * ta.stdev(close, length)
// Configuração para a distância da média
percent_threshold = input.float(3.5, title="Distância da média (%)") / 100
dist_from_mean = 0.0
trigger_condition = false
if not na(bbBasis)
dist_from_mean := math.abs(close - bbBasis) / bbBasis
trigger_condition := dist_from_mean >= percent_threshold
// Variáveis para identificar o estado do afastamento
var bool is_outside = false
var color candle_color = color.new(color.white, 0)
if trigger_condition
is_outside := true
if is_outside and close <= bbUpper and close >= bbLower
is_outside := false
candle_color := color.new(color.blue, 0) // Atribui uma cor válida
else
candle_color := color.new(color.white, 0)
// Aplicar cor às velas
barcolor(candle_color)
// Plotar Bandas de Bollinger
plot(bbBasis, color=color.yellow, title="Média")
plot(bbUpper, color=color.red, title="Banda Superior")
plot(bbLower, color=color.green, title="Banda Inferior")
// Lógica de entrada e saída
longCondition = not is_outside and close > bbUpper
if (longCondition)
strategy.entry("Buy", strategy.long)
shortCondition = not is_outside and close < bbLower
if (shortCondition)
strategy.entry("Sell", strategy.short)