ChaoZhang
概述
该策略是一个结合了移动平均线和Outside Bar形态的趋势跟踪系统。它使用了5周期和9周期的指数移动平均线(EMA)作为主要趋势指标,同时结合Outside Bar形态作为信号确认。策略还包含了基于Outside Bar高度的动态止损止盈设置,以及在止损触发后的仓位反转机制。
策略原理
策略的核心逻辑基于以下几个关键要素: 1. 使用5周期和9周期EMA的交叉来确定基本趋势方向 2. 通过Outside Bar形态(当前K线的最高价高于前一根K线的最高价,最低价低于前一根K线的最低价)来确认市场波动性 3. 在EMA交叉信号和Outside Bar形态同时出现时进场交易 4. 使用Outside Bar的高度来动态设置止损和止盈水平,止盈设为Outside Bar高度的50%,止损设为100% 5. 当止损被触发时,自动执行反向仓位建立,以捕捉可能的趋势反转
策略优势
- 双重确认机制提高了交易的准确性,避免了单一指标可能带来的虚假信号
- 动态的止损止盈设置更好地适应市场波动性,在不同市场环境下都能保持合理的风险管理
- 仓位反转机制能够快速适应市场趋势的变化,提高资金利用效率
- 策略具有清晰的进出场规则,易于执行和回测
策略风险
- Outside Bar形态可能在波动较小的市场中较少出现,影响交易频率
- 在快速波动的市场中,止损位置可能过宽,增加单次交易的风险
- 仓位反转机制在震荡市场中可能导致连续止损
- EMA参数固定可能在不同市场环境下表现不一致
策略优化方向
- 可以引入波动率指标来动态调整止损止盈比例,使风险管理更加灵活
- 考虑添加趋势强度过滤器,在弱趋势环境下避免交易
- 优化仓位反转的触发条件,可以结合市场波动性指标来决定是否执行反转
- 研究不同时间周期的EMA参数优化方案,提高系统适应性
总结
这是一个结合了技术分析经典理论和现代量化交易理念的策略系统。通过移动平均线和Outside Bar的配合使用,既保证了趋势跟踪的及时性,又提高了信号的可靠性。动态止损止盈和仓位反转机制的设计体现了对风险管理的重视,使策略具有良好的实用性。虽然仍有优化空间,但整体框架已经具备了实盘操作的基本条件。
策略源码
/*backtest
start: 2019-12-23 08:00:00
end: 2025-01-15 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT","balance":49999}]
*/
//@version=5
strategy(title="Outside Bar EMA Crossover Strategy with EMA Shift", shorttitle="Outside Bar EMA Cross", overlay=true)
// Input for EMA lengths
lenEMA1 = input.int(5, title="EMA 5 Length")
lenEMA2 = input.int(9, title="EMA 9 Length")
// Input for EMA 9 shift
emaShift = input.int(1, title="EMA 9 Shift", minval=0)
// Calculate EMAs
ema1 = ta.ema(close, lenEMA1)
ema2 = ta.ema(close, lenEMA2)
// Apply shift to EMA 9
ema2Shifted = na(ema2[emaShift]) ? na : ema2[emaShift] // Dịch chuyển EMA 9 bằng cách sử dụng offset
// Plot EMAs
plot(ema1, title="EMA 5", color=color.blue, linewidth=2)
plot(ema2Shifted, title="EMA 9 Shifted", color=color.red, linewidth=2)
// Outside Bar condition
outsideBar() => high > high[1] and low < low[1]
// Cross above EMA 5 and EMA 9 (shifted)
crossAboveEMA = close > ema1 and close > ema2Shifted
// Cross below EMA 5 and EMA 9 (shifted)
crossBelowEMA = close < ema1 and close < ema2Shifted
// Outside Bar cross above EMA 5 and EMA 9 (shifted)
outsideBarCrossAbove = outsideBar() and crossAboveEMA
// Outside Bar cross below EMA 5 and EMA 9 (shifted)
outsideBarCrossBelow = outsideBar() and crossBelowEMA
// Plot shapes for visual signals
plotshape(series=outsideBarCrossAbove, title="Outside Bar Cross Above", location=location.belowbar, color=color.green, style=shape.labelup, text="Buy", textcolor=color.white)
plotshape(series=outsideBarCrossBelow, title="Outside Bar Cross Below", location=location.abovebar, color=color.red, style=shape.labeldown, text="Sell", textcolor=color.white)
// Calculate Outside Bar height
outsideBarHeight = high - low // Chiều cao của nến Outside Bar
// Calculate TP and SL levels
tpRatio = 0.5 // TP = 50% chiều cao nến Outside Bar
slRatio = 1.0 // SL = 100% chiều cao nến Outside Bar
tpLevelLong = close + outsideBarHeight * tpRatio // TP cho lệnh mua
slLevelLong = close - outsideBarHeight * slRatio // SL cho lệnh mua
tpLevelShort = close - outsideBarHeight * tpRatio // TP cho lệnh bán
slLevelShort = close + outsideBarHeight * slRatio // SL cho lệnh bán
// Strategy logic
if (outsideBarCrossAbove)
strategy.entry("Buy", strategy.long)
strategy.exit("Take Profit/Stop Loss", "Buy", stop=slLevelLong, limit=tpLevelLong) // Thêm TP và SL
if (outsideBarCrossBelow)
strategy.entry("Sell", strategy.short)
strategy.exit("Take Profit/Stop Loss", "Sell", stop=slLevelShort, limit=tpLevelShort) // Thêm TP và SL
// Logic: Nếu lệnh Buy bị Stop Loss => Vào lệnh Sell
if (strategy.position_size > 0 and close <= slLevelLong)
strategy.close("Buy")
strategy.entry("Sell After Buy SL", strategy.short)
// Logic: Nếu lệnh Sell bị Stop Loss => Vào lệnh Buy
if (strategy.position_size < 0 and close >= slLevelShort)
strategy.close("Sell")
strategy.entry("Buy After Sell SL", strategy.long)
// Cảnh báo khi label Buy xuất hiện
alertcondition(condition=outsideBarCrossAbove, title="Label Buy Xuất Hiện", message="Label Buy xuất hiện tại giá: {{close}}")
// Cảnh báo khi label Sell xuất hiện
alertcondition(condition=outsideBarCrossBelow, title="Label Sell Xuất Hiện", message="Label Sell xuất hiện tại giá: {{close}}")
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