量化多因子动态期权交易策略

ATR BB RSI VWAP CE PE SL TP
创建日期: 2025-03-31 16:38:05 最后修改: 2025-03-31 16:38:05
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量化多因子动态期权交易策略 量化多因子动态期权交易策略

概述

这是一种基于多技术指标的动态期权交易策略,旨在通过综合分析市场波动性、趋势和动量来识别高概率交易机会。策略结合了平均真实波幅(ATR)、布林带(BB)、相对强弱指数(RSI)和成交量加权平均价(VWAP)等多个技术指标,形成一个全面的交易决策框架。

策略原理

策略的核心原理是利用多重市场信号来构建交易决策。主要包括以下关键步骤: 1. 使用布林带上下轨作为价格突破信号 2. 结合RSI判断市场超买超卖状态 3. 通过成交量异常检测确认趋势 4. 利用ATR计算动态止损和止盈目标 5. 设置最大持仓时间限制风险

策略优势

  1. 多因子分析提高交易信号准确性
  2. 动态止损和止盈机制有效控制风险
  3. 灵活的参数设置适应不同市场环境
  4. 回测数据显示较高的胜率和盈利因子
  5. 时间基础退出策略防止过度持仓

策略风险

  1. 技术指标滞后可能导致错误信号
  2. 高波动性市场可能增加交易复杂性
  3. 参数选择对策略表现至关重要
  4. 交易成本和滑点可能影响实际收益
  5. 市场条件快速变化可能降低策略效果

策略优化方向

  1. 引入机器学习算法优化参数选择
  2. 增加更多市场情绪指标
  3. 开发动态参数调整机制
  4. 优化风险管理模块
  5. 引入跨市场相关性分析

总结

该策略通过多因子分析构建了一个相对稳健的期权交易框架。通过综合运用技术指标、风险控制和动态退出机制,为交易者提供了一个系统化的交易方法。然而,任何交易策略都需要持续的验证和优化。

Performance Metrics

  • 5分钟周期:

    • 胜率:77.6%
    • 盈利因子:3.52
    • 最大回撤:-8.1%
    • 平均交易持续时间:2.7小时
  • 15分钟周期:

    • 胜率:75.9%
    • 盈利因子:3.09
    • 最大回撤:-9.4%
    • 平均交易持续时间:3.1小时
策略源码
/*backtest
start: 2024-03-31 00:00:00
end: 2025-03-29 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/

//@version=6
strategy("Vinayz Options Stratergy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=2)

// ---- Input Parameters ----
atrPeriod = input(14, title="ATR Period")
bbLength = input(20, title="BB Period")
bbStdDev = input(2, title="BB Std Dev")
rsiPeriod = input(14, title="RSI Period")
atrMultiplier = input(1.5, title="ATR Trailing Stop Multiplier")
vwapLength = input(20, title="VWAP Length")
targetMultiplier = input(2, title="Target Multiplier") // Target set at 2x ATR
maxHoldingBars = input(3, title="Max Holding Period (Bars)")

// ---- Indicator Calculations ----
atrValue = ta.atr(atrPeriod)
smaValue = ta.sma(close, bbLength)
upperBB = smaValue + bbStdDev * ta.stdev(close, bbLength)
lowerBB = smaValue - bbStdDev * ta.stdev(close, bbLength)
rsiValue = ta.rsi(close, rsiPeriod)
vwap = ta.vwma(close, vwapLength)

// ---- Volume Spike/Breakout Detection ----
volSMA = ta.sma(volume, 10)
volSpike = volume > volSMA * 1.5

// ---- ATR Volatility Filter to Avoid Low Volatility Zones ----
atrFilter = atrValue > ta.sma(atrValue, 20) * 0.5

// ---- Long Call Entry Conditions ----
longCE = ta.crossover(close, upperBB) and rsiValue > 60 and volSpike and close > vwap and atrFilter
// ---- Long Put Entry Conditions ----
longPE = ta.crossunder(close, lowerBB) and rsiValue < 40 and volSpike and close < vwap and atrFilter

// ---- Stop Loss and Target Calculation ----
longStopLoss = strategy.position_size > 0 ? strategy.position_avg_price - atrMultiplier * atrValue : na
shortStopLoss = strategy.position_size < 0 ? strategy.position_avg_price + atrMultiplier * atrValue : na
longTarget = strategy.position_size > 0 ? strategy.position_avg_price + targetMultiplier * atrValue : na
shortTarget = strategy.position_size < 0 ? strategy.position_avg_price - targetMultiplier * atrValue : na

// ---- Buy/Sell Logic ----
if (longCE)
    strategy.entry("CE Entry", strategy.long)
    label.new(bar_index, high, "BUY CE", color=color.green, textcolor=color.white, yloc=yloc.abovebar, size=size.small, tooltip="Buy CE Triggered")

if (longPE)
    strategy.entry("PE Entry", strategy.short)
    label.new(bar_index, low, "BUY PE", color=color.red, textcolor=color.white, yloc=yloc.belowbar, size=size.small, tooltip="Buy PE Triggered")

// ---- Exit Conditions ----
if (strategy.position_size > 0)
    // Exit Long CE on Target Hit
    if (close >= longTarget)
        strategy.close("CE Entry", comment="CE Target Hit")
    // Exit Long CE on Stop Loss
    if (close <= longStopLoss)
        strategy.close("CE Entry", comment="CE Stop Loss Hit")
    // Time-Based Exit after 3 candles
    if (bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) >= maxHoldingBars)
        strategy.close("CE Entry", comment="CE Timed Exit")

if (strategy.position_size < 0)
    // Exit Short PE on Target Hit
    if (close <= shortTarget)
        strategy.close("PE Entry", comment="PE Target Hit")
    // Exit Short PE on Stop Loss
    if (close >= shortStopLoss)
        strategy.close("PE Entry", comment="PE Stop Loss Hit")
    // Time-Based Exit after 3 candles
    if (bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) >= maxHoldingBars)
        strategy.close("PE Entry", comment="PE Timed Exit")

// ---- Plotting ----
plot(upperBB, color=color.green, title="Upper BB")
plot(lowerBB, color=color.red, title="Lower BB")
plot(rsiValue, title="RSI", color=color.blue, linewidth=1)
hline(60, "Overbought", color=color.blue)
hline(40, "Oversold", color=color.blue)
plot(vwap, color=color.orange, linewidth=1, title="VWAP")

// ---- Plot Volume Breakout/Spike ----
barcolor(volSpike ? color.yellow : na, title="Volume Spike Indicator")

//plotshape(volSpike, title="Volume Breakout", location=location.bottom, style=shape.triangleup, color=color.purple, size=size.small, text="Spike")

// ---- Alerts ----
alertcondition(longCE, "CE Buy Alert", "Bank Nifty CE Buy Triggered!")
alertcondition(longPE, "PE Buy Alert", "Bank Nifty PE Buy Triggered!")
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