动态流动性驱动市场结构自适应交易策略

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创建日期: 2025-03-28 17:13:02 最后修改: 2025-03-28 17:13:02
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动态流动性驱动市场结构自适应交易策略 动态流动性驱动市场结构自适应交易策略

概述

这是一种创新的交易策略,结合了流动性区域分析和内部市场结构动态,旨在识别高概率入场点。该策略通过追踪价格与关键市场水平的互动,并利用内部市场转换触发交易,为交易者提供了一种灵活且精准的市场进入方法。

策略原理

策略的核心逻辑基于两个关键组件:流动性区域识别和内部市场转换。流动性区域通过分析局部高点和低点来动态确定,而内部市场转换则基于价格突破先前的bullish或bearish水平来判断市场方向变化。

策略具有以下核心特征: 1. 内部市场转换逻辑:不依赖传统蜡烛图形态,而是基于价格突破关键水平 2. 流动性区域追踪:动态识别关键流动性区域,防止在弱市条件下交易 3. 模式灵活性:提供”Both”、”Bullish Only”和”Bearish Only”三种交易模式 4. 风险管理:可自定义止损和止盈水平 5. 时间范围控制:可精确控制交易时间段

策略优势

  1. 动态适应性:策略能够快速响应市场结构变化
  2. 精确入场:通过结合流动性区域和内部市场转换,提高入场精确度
  3. 风险可控:内置止损和止盈机制
  4. 灵活性强:可根据不同市场条件选择交易模式
  5. 多维度分析:同时考虑价格行为、流动性和市场结构

策略风险

  1. 市场剧烈波动可能导致止损被触发
  2. 在震荡市场中,频繁的信号可能增加交易成本
  3. 参数设置不当可能影响策略表现
  4. 回测结果可能与实盘存在差异

策略优化方向

  1. 引入机器学习算法进行参数自适应优化
  2. 增加更多过滤条件,如交易量、波动率指标
  3. 开发多时间框架验证机制
  4. 优化止损和止盈算法,考虑市场波动率动态调整

总结

这是一种融合流动性分析和市场结构动态的创新交易策略。通过灵活的内部市场转换逻辑和精确的流动性区域追踪,为交易者提供了一个强大的交易工具。策略的关键在于其适应性和多维度分析能力,能够在不同市场条件下保持较高的执行效率。

策略源码
/*backtest
start: 2024-03-28 00:00:00
end: 2025-03-27 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Liquidity + Internal Market Shift Strategy", overlay=true)

// ======== Mode Selection ========
mode = input.string("Both", title="Mode", options=["Both", "Bullish Only", "Bearish Only"])

// ======== Stop-Loss and Take-Profit Input (in pips) ========
enableTakeProfit = input.bool(true, title="Enable Custom Take Profit")  // Option to enable/disable take profit
stopLossPips = input.int(10, title="Stop Loss (in pips)", minval=1)  // Stop loss in pips
takeProfitPips = input.int(20, title="Take Profit (in pips)", minval=1)  // Take profit in pips

// ======== Internal Shift Logic ========

// Fixed number of consecutive candles to track (set to 1)
consecutiveBullishCount = 1
consecutiveBearishCount = 1

// Function to check for bullish and bearish candles
isBullish = close > open
isBearish = close < open

// Variables to track consecutive candles and mark lowest/highest
var int bullishCount = 0
var int bearishCount = 0
var float lowestBullishPrice = na
var float highestBearishPrice = na
var float previousBullishPrice = na // For the previous bullish lowest price
var float previousBearishPrice = na // For the previous bearish highest price

// Variables to track last internal shift type (1 = Bullish, -1 = Bearish, 0 = None)
var int lastInternalShift = 0

// Counting consecutive bullish and bearish candles
if isBullish
    bullishCount := bullishCount + 1
    bearishCount := 0
    if bullishCount == 1 or low < lowestBullishPrice
        lowestBullishPrice := low
else if isBearish
    bearishCount := bearishCount + 1
    bullishCount := 0
    if bearishCount == 1 or high > highestBearishPrice
        highestBearishPrice := high
else
    bullishCount := 0
    bearishCount := 0
    lowestBullishPrice := na
    highestBearishPrice := na

// Internal shift conditions
internalShiftBearish = close < previousBullishPrice and close < lowestBullishPrice
internalShiftBullish = close > previousBearishPrice and close > highestBearishPrice

// Condition to alternate internal shifts
allowInternalShiftBearish = internalShiftBearish and lastInternalShift != -1
allowInternalShiftBullish = internalShiftBullish and lastInternalShift != 1

// Tracking shifts
if bullishCount >= consecutiveBullishCount
    previousBullishPrice := lowestBullishPrice

if bearishCount >= consecutiveBearishCount
    previousBearishPrice := highestBearishPrice

// ======== Liquidity Seal-Off Points Logic ========
upperLiquidityLookback = input.int(10, title="Lookback Period for Upper Liquidity Line")
lowerLiquidityLookback = input.int(10, title="Lookback Period for Lower Liquidity Line")

isLocalHigh = high == ta.highest(high, upperLiquidityLookback)
isLocalLow = low == ta.lowest(low, lowerLiquidityLookback)

var bool touchedLowerLiquidityLine = false
var bool touchedUpperLiquidityLine = false

if (low <= ta.lowest(low, lowerLiquidityLookback))
    touchedLowerLiquidityLine := true

if (high >= ta.highest(high, upperLiquidityLookback))
    touchedUpperLiquidityLine := true

var bool lockedBullish = false
var bool lockedBearish = false
var int barSinceLiquidityTouch = na

// ======== Combined Signals ========
bullishSignal = allowInternalShiftBullish and touchedLowerLiquidityLine and not lockedBullish
bearishSignal = allowInternalShiftBearish and touchedUpperLiquidityLine and not lockedBearish

if bullishSignal
    lockedBullish := true
    touchedLowerLiquidityLine := false
    barSinceLiquidityTouch := 0

if bearishSignal
    lockedBearish := true
    touchedUpperLiquidityLine := false
    barSinceLiquidityTouch := 0

if not na(barSinceLiquidityTouch)
    barSinceLiquidityTouch := barSinceLiquidityTouch + 1

if barSinceLiquidityTouch >= 3
    lockedBullish := false
    lockedBearish := false

if touchedLowerLiquidityLine
    lockedBullish := false

if touchedUpperLiquidityLine
    lockedBearish := false

// ======== Plot Combined Signals ========
plotshape(bullishSignal, style=shape.triangleup, location=location.belowbar, color=color.green, size=size.tiny, title="Bullish Signal")
plotshape(bearishSignal, style=shape.triangledown, location=location.abovebar, color=color.red, size=size.tiny, title="Bearish Signal")

plot(isLocalHigh ? high : na, color=color.red, linewidth=2, style=plot.style_stepline, title="Local High Line")
plot(isLocalLow ? low : na, color=color.green, linewidth=2, style=plot.style_stepline, title="Local Low Line")

// ======== Track Entry and Opposing Signals ========
var float entryPrice = na
var int entryTime = na
var string positionSide = ""

// ======== Strategy Execution (Mode Logic) ========
if (mode == "Both")
    // Short Entry Logic (Bearish Signal)
    if (bearishSignal and na(entryPrice))
        strategy.entry("Short", strategy.short)
        entryPrice := close
        entryTime := time
        positionSide := "short"
    
    // Long Entry Logic (Bullish Signal)
    if (bullishSignal and na(entryPrice))
        strategy.entry("Long", strategy.long)
        entryPrice := close
        entryTime := time
        positionSide := "long"

    // Exit Logic: Close on Opposing Signal (after the current signal is triggered)
    if (positionSide == "short" and bullishSignal )
        strategy.close("Short")
        entryPrice := na
        positionSide := ""
    
    if (positionSide == "long" and bearishSignal)
        strategy.close("Long")
        entryPrice := na
        positionSide := ""
    
    // Stop-Loss and Take-Profit Logic (in pips)
    stopLossPriceLong = entryPrice - stopLossPips * syminfo.mintick
    takeProfitPriceLong = entryPrice + takeProfitPips * syminfo.mintick
    stopLossPriceShort = entryPrice + stopLossPips * syminfo.mintick
    takeProfitPriceShort = entryPrice - takeProfitPips * syminfo.mintick
    
    // Long Stop-Loss and Take-Profit Conditions
    if (positionSide == "long" and close <= stopLossPriceLong)
        strategy.close("Long", comment="Stop Loss Triggered")
        entryPrice := na
        positionSide := ""

    if (positionSide == "long" and enableTakeProfit and close >= takeProfitPriceLong)
        strategy.close("Long", comment="Take Profit Triggered")
        entryPrice := na
        positionSide := ""

    // Short Stop-Loss and Take-Profit Conditions
    if (positionSide == "short" and close >= stopLossPriceShort)
        strategy.close("Short", comment="Stop Loss Triggered")
        entryPrice := na
        positionSide := ""

    if (positionSide == "short" and enableTakeProfit and close <= takeProfitPriceShort)
        strategy.close("Short", comment="Take Profit Triggered")
        entryPrice := na
        positionSide := ""

if (mode == "Bullish Only")
    if (bullishSignal and na(entryPrice))
        strategy.entry("Long", strategy.long)
        entryPrice := close
        entryTime := time
        positionSide := "long"
    
    if (positionSide == "long" and bearishSignal)
        strategy.close("Long")
        entryPrice := na
        positionSide := ""

    // Stop-Loss and Take-Profit Logic (in pips)
    stopLossPriceLong = entryPrice - stopLossPips * syminfo.mintick
    takeProfitPriceLong = entryPrice + takeProfitPips * syminfo.mintick
    
    if (positionSide == "long" and close <= stopLossPriceLong)
        strategy.close("Long", comment="Stop Loss Triggered")
        entryPrice := na
        positionSide := ""

    if (positionSide == "long" and enableTakeProfit and close >= takeProfitPriceLong)
        strategy.close("Long", comment="Take Profit Triggered")
        entryPrice := na
        positionSide := ""

if (mode == "Bearish Only")
    if (bearishSignal and na(entryPrice))
        strategy.entry("Short", strategy.short)
        entryPrice := close
        entryTime := time
        positionSide := "short"
    
    if (positionSide == "short" and bullishSignal)
        strategy.close("Short")
        entryPrice := na
        positionSide := ""

    // Stop-Loss and Take-Profit Logic (in pips)
    stopLossPriceShort = entryPrice + stopLossPips * syminfo.mintick
    takeProfitPriceShort = entryPrice - takeProfitPips * syminfo.mintick
    
    if (positionSide == "short" and close >= stopLossPriceShort)
        strategy.close("Short", comment="Stop Loss Triggered")
        entryPrice := na
        positionSide := ""

    if (positionSide == "short" and enableTakeProfit and close <= takeProfitPriceShort)
        strategy.close("Short", comment="Take Profit Triggered")
        entryPrice := na
        positionSide := ""
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