趋势回调可调整风险动态进场策略是为希望在短期趋势转变后的回调中建立多头头寸,同时在市场条件有利于下行走势时立即进入空头的摇摆交易者设计的。该策略结合了SMA交叉确认趋势,固定百分比回调入场点,以及可调整的风险管理参数,实现了最佳的交易执行。
策略的核心在于使用10周期和25周期的简单移动平均线(SMA)交叉来确认趋势方向,并结合150周期指数移动平均线(EMA)作为空头交易的额外过滤条件。多头交易不会在SMA交叉后立即进入,而是等待价格回调至指定百分比后才进场,这种方法优化了入场价格,提高了风险回报比。
该策略的运作原理可分为几个关键部分:
趋势确认机制:
多头回调入场机制:
空头入场规则:
风险管理与退出策略:
策略使用持久性变量跟踪回调信号,确保在正确的时机入场。当无仓位时,系统会重置所有标志和水平,为下一次交易信号做准备。
深入分析代码后,该策略展现出以下显著优势:
优化的入场时机:
全面的风险管理:
趋势对齐过滤:
视觉反馈:
适应性强:
尽管该策略有许多优势,但仍存在以下风险需要注意:
快速市场风险:
震荡市场表现:
固定点数风险管理的局限性:
过度依赖技术指标:
参数优化风险:
基于代码分析,以下是该策略可以优化的几个关键方向:
动态风险管理:
stopDistance = input.float(2.0) * ta.atr(14)
的计算方式趋势强度过滤:
多时间框架分析:
智能回调识别:
交易量确认:
自适应参数:
趋势回调可调整风险动态进场策略是一个精心设计的交易系统,它结合了趋势识别、优化入场和全面风险管理。通过等待价格回调再入场,策略获得了比简单SMA交叉系统更好的入场价格和风险回报比。
该策略的核心优势在于其灵活性和可调整性,允许交易者根据个人风险偏好和市场条件调整参数。同时,集成的风险管理功能(包括止损、止盈和保本点)提供了全面的资金保护。
然而,该策略也存在一些局限性,包括在震荡市场中的表现和固定点数风险管理的局限性。通过实施建议的优化,如动态风险管理、趋势强度过滤和交易量确认,可以显著提高策略的稳健性和整体表现。
对于摇摆交易者来说,这是一个理想的基础策略,可以进一步根据个人交易风格和目标进行定制。通过合理的参数设置和持续的监控调整,该策略有潜力在各种市场环境中提供稳定的交易结果。
/*backtest
start: 2024-08-01 00:00:00
end: 2025-03-25 00:00:00
period: 2h
basePeriod: 2h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/
//@version=6
strategy("BTCUSD with adjustable sl,tp",
overlay=true,
initial_capital=10000,
default_qty_type=strategy.percent_of_equity,
default_qty_value=10,
calc_on_every_tick=true)
// ─────────────────────────────────────────────────────────────────────────────
// ▌ USER INPUTS
// ─────────────────────────────────────────────────────────────────────────────
longSignalStyle = input.string("Label Up", title="Long Signal Style", options=["Label Up", "Arrow Up", "Cross"])
shortSignalStyle = input.string("Label Down", title="Short Signal Style", options=["Label Down", "Arrow Down", "Cross"])
// Adjustable exit parameters (in points)
tpDistance = input.int(1000, "Take Profit Distance (points)", minval=1)
slDistance = input.int(250, "Stop Loss Distance (points)", minval=1)
beTrigger = input.int(500, "Break-Even Trigger Distance (points)", minval=1)
// Adjustable retracement percentage for long pullback entry (e.g. 0.01 = 1%)
retracementPct = input.float(0.01, "Retracement Percentage (e.g. 0.01 for 1%)", step=0.001)
// ─────────────────────────────────────────────────────────────────────────────
// ▌ INDICATORS: SMA & EMA
// ─────────────────────────────────────────────────────────────────────────────
sma10 = ta.sma(close, 10)
sma25 = ta.sma(close, 25)
ema150 = ta.ema(close, 150)
plot(sma10, color=color.blue, title="SMA 10")
plot(sma25, color=color.red, title="SMA 25")
plot(ema150, color=color.orange, title="EMA 150")
// ─────────────────────────────────────────────────────────────────────────────
// ▌ ENTRY CONDITIONS
// ─────────────────────────────────────────────────────────────────────────────
longCondition = ta.crossover(sma10, sma25)
shortCondition = ta.crossunder(sma10, sma25)
shortValid = close < ema150 // Only take shorts if price is below EMA150
// Plot immediate entry signals (for visual reference)
plotshape(longCondition and (strategy.position_size == 0), title="Long Signal",
style=(longSignalStyle == "Label Up" ? shape.labelup : (longSignalStyle == "Arrow Up" ? shape.triangleup : shape.cross)),
location=location.belowbar, color=color.green, text="Long", size=size.small)
plotshape(shortCondition and shortValid and (strategy.position_size == 0), title="Short Signal",
style=(shortSignalStyle == "Label Down" ? shape.labeldown : (shortSignalStyle == "Arrow Down" ? shape.triangledown : shape.cross)),
location=location.abovebar, color=color.red, text="Short", size=size.small)
// ─────────────────────────────────────────────────────────────────────────────
// ▌ LONG PULLBACK ENTRY USING FIXED PERCENTAGE RETRACEMENT
// ─────────────────────────────────────────────────────────────────────────────
// We use persistent variables to track the pullback signal.
var bool longSignalActive = false
var float pullHigh = na // highest high since long signal activation
var float retraceLevel = na // level = pullHigh * (1 - retracementPct)
// Only consider new entries when no position is open.
if strategy.position_size == 0
// When a long crossover occurs, activate the signal and initialize pullHigh.
if longCondition
longSignalActive := true
pullHigh := high
// If signal active, update pullHigh and compute retracement level.
if longSignalActive
pullHigh := math.max(pullHigh, high)
retraceLevel := pullHigh * (1 - retracementPct)
// When price bounces upward and crosses above the retracement level, enter long
if ta.crossover(close, retraceLevel)
strategy.entry("Long", strategy.long)
longSignalActive := false
// Short entries: enter immediately if conditions are met
if shortCondition and shortValid
strategy.entry("Short", strategy.short)
// ─────────────────────────────────────────────────────────────────────────────
// ▌ EXIT CONDITIONS WITH ADJUSTABLE TP, SL & BE
// ─────────────────────────────────────────────────────────────────────────────
var bool beLong = false
var bool beShort = false
// LONG EXIT LOGIC
if strategy.position_size > 0 and strategy.position_avg_price > 0
longEntry = strategy.position_avg_price
// Additional exit: if SMA(10) crosses below SMA(25) while price < EMA150, exit long
if ta.crossunder(sma10, sma25) and close < ema150
label.new(bar_index, low, "SMA Exit", style=label.style_label_down, color=color.red, textcolor=color.white)
strategy.close("Long", comment="SMA Cross Exit")
// Break-even trigger if price moves in favor by beTrigger points
if close >= longEntry + beTrigger
beLong := true
effectiveLongStop = beLong ? longEntry : (longEntry - slDistance)
if close <= effectiveLongStop
label.new(bar_index, low, (beLong ? "BE Hit" : "SL Hit"), style=label.style_label_down, color=color.red, textcolor=color.white)
strategy.close("Long", comment=(beLong ? "BE Hit" : "SL Hit"))
if close >= longEntry + tpDistance
label.new(bar_index, high, "TP Hit", style=label.style_label_up, color=color.green, textcolor=color.white)
strategy.close("Long", comment="TP Hit")
// SHORT EXIT LOGIC
if strategy.position_size < 0 and strategy.position_avg_price > 0
shortEntry = strategy.position_avg_price
// Basic stop logic
if close >= shortEntry + slDistance
label.new(bar_index, high, (beShort ? "BE Hit" : "SL Hit"), style=label.style_label_up, color=color.red, textcolor=color.white)
strategy.close("Short", comment=(beShort ? "BE Hit" : "SL Hit"))
// Take profit logic
if close <= shortEntry - tpDistance
label.new(bar_index, low, "TP Hit", style=label.style_label_down, color=color.green, textcolor=color.white)
strategy.close("Short", comment="TP Hit")
// Break-even trigger
if close <= shortEntry - beTrigger
beShort := true
effectiveShortStop = beShort ? shortEntry : (shortEntry + slDistance)
if close >= effectiveShortStop
label.new(bar_index, high, (beShort ? "BE Hit" : "SL Hit"), style=label.style_label_up, color=color.red, textcolor=color.white)
strategy.close("Short", comment=(beShort ? "BE Hit" : "SL Hit"))
// Reset BE flags when no position is open
if strategy.position_size == 0
beLong := false
beShort := false
// Reset the pullback signal
if not longSignalActive
pullHigh := na
retraceLevel := na