Supertrend增强型吞没形态动态风控策略

ATR SL TP CANDLE supertrend ENGULFING

创建日期: 2025-02-20 15:32:32 最后修改: 2025-02-20 15:32:32

复制: 1 点击次数: 56

ianzeng123

关注私信

关注

关注者

Supertrend增强型吞没形态动态风控策略

概述

这是一个结合了Supertrend指标和吞没形态的高级交易策略。策略通过识别市场中的吞没形态蜡烛图模式,并结合Supertrend指标的趋势方向确认,实现精准的交易信号筛选。该策略还整合了动态的止损和获利设置,有效控制风险的同时保证盈利空间。

策略原理

策略主要基于以下核心原理: 1. 使用ATR(平均真实波幅)计算Supertrend指标,用于确定总体市场趋势。 2. 通过设定无聊蜡烛阈值(Boring Candle Threshold)和吞没蜡烛阈值(Engulfing Candle Threshold)来筛选有效的吞没形态。 3. 在Supertrend趋势方向与吞没形态方向一致时才开仓。 4. 采用动态的止损和获利点位设置,基于开仓价格按比例计算。 5. 使用策略仓位管理,确保同一时间只持有一个交易方向。

策略优势

信号质量控制严格,通过双重确认(趋势+形态)提高准确率。
引入无聊蜡烛和吞没蜡烛阈值概念,有效过滤虚假信号。
基于ATR的动态Supertrend计算,使策略具有良好的市场适应性。
完善的止损和获利管理机制,既控制风险又锁定利润。
可视化做得很完善,交易信号、止损点位和获利目标都清晰可见。

策略风险

在震荡市场中可能产生频繁的假突破信号。
固定的止损和获利设置可能不适合所有市场环境。
趋势反转时可能出现较大回撤。
对参数设置敏感,不当的参数可能导致策略表现不佳。
在流动性较差的市场中,可能面临滑点风险。

策略优化方向

可以引入成交量指标作为信号确认。
考虑加入动态的ATR倍数调节机制。
基于市场波动率动态调整止损和获利比例。
增加时间过滤器,避免在不适合的时间段交易。
考虑加入趋势强度过滤器,提高交易质量。

总结

这是一个设计严谨、逻辑清晰的策略,通过结合技术指标和形态分析,实现了较好的信号质量控制。策略的风险管理机制完善,可视化效果出色,适合进行实盘测试和优化。建议交易者在实际应用中注意参数调优和市场环境的选择。

策略源码

/*backtest
start: 2024-02-21 00:00:00
end: 2024-06-01 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Binance","currency":"ETH_USDT"}]
*/

//@version=5
strategy('Strategy Engulfing', overlay=true)

// Inputs
Periods = input(title='ATR Period', defval=5)
src = input(hl2, title='Source')
Multiplier = input.float(title='ATR Multiplier', step=0.1, defval=1.0)
highlighting = input(title='Highlighter On/Off?', defval=true)
boringThreshold = input.int(5, title='Boring Candle Threshold (%)', minval=1, maxval=100, step=1)
engulfingThreshold = input.int(50, title='Engulfing Candle Threshold (%)', minval=1, maxval=100, step=1)
OpenPosisi = input.int(2000, title='OpenPosisi (Pips)', minval=-25000)
stoploss = input.int(10000, title='Stop Loss (Pips)', minval=-25000)
takeprofit = input.int(20000, title='Take Profit (Pips)', minval=-25000)

// ATR Calculation
atr = ta.atr(Periods)

// Supertrend Calculation
up = src - Multiplier * atr
up := close[1] > nz(up[1]) ? math.max(up, nz(up[1])) : up
dn = src + Multiplier * atr
dn := close[1] < nz(dn[1]) ? math.min(dn, nz(dn[1])) : dn
trend = 1
trend := nz(trend[1], trend)
trend := trend == -1 and close > dn[1] ? 1 : trend == 1 and close < up[1] ? -1 : trend

// Plotting Supertrend
plot(trend == 1 ? up : na, color=color.new(color.green, 0), linewidth=1, style=plot.style_linebr, title='Supertrend Up')
plot(trend == -1 ? dn : na, color=color.new(color.red, 0), linewidth=1, style=plot.style_linebr, title='Supertrend Down')

// Engulfing Candlestick
isBoringCandle = math.abs(open[1] - close[1]) <= (high[1] - low[1]) * boringThreshold / 100
isEngulfingCandle = math.abs(open - close) * 100 / math.abs(high - low) <= engulfingThreshold

bullEngulfing = strategy.opentrades == 0 and trend == 1 and close[1] < open[1] and close > open[1] and not isBoringCandle and not isEngulfingCandle
bearEngulfing = strategy.opentrades == 0 and trend == -1 and close[1] > open[1] and close < open[1] and not isBoringCandle and not isEngulfingCandle

// Calculate Limit Price
limitbull = bullEngulfing ? close + OpenPosisi * syminfo.mintick : na
limitbear = bearEngulfing ? close - OpenPosisi * syminfo.mintick : na

// Calculate Stop Loss
bullishStopLoss = bullEngulfing ? limitbull - stoploss * syminfo.mintick : na
bearishStopLoss = bearEngulfing ? limitbear + stoploss * syminfo.mintick : na

// Calculate Take Profit
bullishTakeProfit = bullEngulfing ? limitbull + takeprofit * syminfo.mintick : na
bearishTakeProfit = bearEngulfing ? limitbear - takeprofit * syminfo.mintick : na


// Alerts for Engulfing Candles (Trigger Immediately)
if bullEngulfing
    alert('Bullish Engulfing Candle Formed!')

if bearEngulfing
    alert('Bearish Engulfing Candle Formed!')

// Plot shapes
plotshape(bullEngulfing, style=shape.triangleup, location=location.abovebar, color=color.new(color.green, 0))
plotshape(bearEngulfing, style=shape.triangledown, location=location.belowbar, color=color.new(color.red, 0))


plot(limitbull, title='Bullish Limit Price', color=color.new(color.purple, 0), style=plot.style_linebr, linewidth=1)
plot(limitbear, title='Bearish Limit Price', color=color.new(color.purple, 0), style=plot.style_linebr, linewidth=1)
plot(bullishStopLoss, title='Bullish Stop Loss', color=color.new(color.red, 0), style=plot.style_linebr, linewidth=1)
plot(bearishStopLoss, title='Bearish Stop Loss', color=color.new(color.red, 0), style=plot.style_linebr, linewidth=1)
plot(bullishTakeProfit, title='Bullish Take Profit', color=color.new(color.blue, 0), style=plot.style_linebr, linewidth=1)
plot(bearishTakeProfit, title='Bearish Take Profit', color=color.new(color.blue, 0), style=plot.style_linebr, linewidth=1)

// Label Stop Loss and Take Profit
label.new(bullEngulfing ? bar_index : na, bullishStopLoss, text='SL: ' + str.tostring(bullishStopLoss), color=color.red, textcolor=color.white, style=label.style_label_up, size=size.tiny)
label.new(bearEngulfing ? bar_index : na, bearishStopLoss, text='SL: ' + str.tostring(bearishStopLoss), color=color.red, textcolor=color.white, style=label.style_label_down, size=size.tiny)
label.new(bullEngulfing ? bar_index : na, bullishTakeProfit, text='TP: ' + str.tostring(bullishTakeProfit), color=color.green, textcolor=color.white, style=label.style_label_down, size=size.tiny)
label.new(bearEngulfing ? bar_index : na, bearishTakeProfit, text='TP: ' + str.tostring(bearishTakeProfit), color=color.green, textcolor=color.white, style=label.style_label_up, size=size.tiny)


// Strategy execution
if bullEngulfing
    strategy.entry('BUY', strategy.long, stop=limitbull)
    strategy.exit('TP/SL', from_entry='BUY', limit=bullishTakeProfit, stop=bullishStopLoss)

if bearEngulfing
    strategy.entry('SELL', strategy.short, stop=limitbear)
    strategy.exit('TP/SL', from_entry='SELL', limit=bearishTakeProfit, stop=bearishStopLoss)

相关推荐

更多内容

Forums

PINE Language FAQ Summary MyLanguage Web3 Intermediate tutorial

Product

Robot Strategy Node Platforms Tickets

API

Syntax guide User guide Trading api Blockchain Indicator