ianzeng123
概述
这是一种创新的量化交易策略，通过整合流动性区域入场、ATR波动阈值和动态风险管理，为交易者提供了一个结构化的交易方法。该策略结合了多个技术分析指标，旨在识别高概率的交易机会，并自动计算止盈和止损水平。
策略原理
策略的核心原理基于以下关键要素：
- 流动性区域分析：通过计算特定周期内的最低点和最高点，识别潜在的支撑和阻力区域。
- ATR波动率过滤：使用平均真实波动范围（ATR）作为入场和风险管理的动态阈值。
- 趋势过滤：结合50周期指数移动平均线（EMA）和相对强弱指数（RSI）来确认市场趋势和动量。
- 动态风险管理：根据ATR自动计算止盈和止损水平，并允许灵活调整风险/回报比率。
策略优势
- 多维度信号生成：结合流动性、波动率和趋势过滤，提高信号质量。
- 自适应风险管理：动态调整止盈止损，有效控制交易风险。
- 灵活的参数配置：可自定义ATR长度、流动性周期和交易时段。
- 可视化支持：提供流动性线和首个K线水平的可视化显示。
- 性能追踪：内置交易统计表，直接在图表上展示胜率和输赢情况。
策略风险
- 参数敏感性：策略性能高度依赖于参数选择，需要不断回测和优化。
- 市场适应性：在趋势不明显或高度波动的市场中表现可能不稳定。
- 假突破风险：流动性区域突破可能存在误报的可能性。
- 交易频率：会话过滤和多重条件可能导致交易机会减少。
- 回测偏存：历史数据的64%胜率可能不完全代表未来表现。
策略优化方向
- 机器学习集成：引入机器学习算法动态调整参数和信号生成。
- 多市场适应性：开发更通用的参数设置，适用于不同市场和品种。
- 深度风险管理：引入更复杂的仓位规模和风险分配算法。
- 信号确认机制：增加额外的确认指标，如成交量或其他技术指标。
- 实时性能监控：开发实时性能评估和自适应调整模块。
总结
ThinkTech AI交易策略通过创新的多因子方法，为交易者提供了一个强大的量化交易工具。通过流动性分析、波动率过滤和动态风险管理，该策略旨在识别高质量的交易机会。然而，交易者需要持续回测、优化和谨慎应用，以充分发挥策略潜力。
策略源码
/*backtest
start: 2025-01-01 00:00:00
end: 2025-03-30 00:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"ETH_USDT"}]
*/
if high > ta.highest(high[1], 5)
strategy.entry("Enter Long", strategy.long)
else if low < ta.lowest(low[1], 5)
strategy.entry("Enter Short", strategy.short)//@version=6
strategy("ThinkTech AI Signals", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
//──────────────────────────────
// Input Settings
//──────────────────────────────
riskRewardRatio = input.float(title="Risk/Reward Ratio", defval=2.0, minval=1.0, step=0.1)
// Inputs from second script
liquidity_period = input.int(20, title="Liquidity Base Period")
atr_length = input.int(14, title="ATR Length")
atr_threshold = input.float(0.3, title="ATR Breakout Threshold")
take_profit_mult = input.float(0.25, title="Take-Profit Multiplier")
stop_loss_mult = input.float(0.75, title="Stop-Loss Multiplier")
vol_filter = input.bool(true, title="Enable Volume Filter")
session_filter = input.bool(true, title="Limit to Trading Session")
// Additional inputs for further filtering and settings
atrMultiplier = input.float(title="ATR Multiplier for Stop Loss", defval=1.5, minval=0.1, step=0.1)
retestCushionLong = input.float(title="Retest Cushion Factor for BUY", defval=1.0, minval=1.0, step=0.001)
retestCushionShort = input.float(title="Retest Cushion Factor for SELL", defval=1.0, minval=0.0, maxval=1.0, step=0.001)
useTrendFilter = input.bool(title="Use 50 EMA Trend Filter", defval=true)
useRSIFilter = input.bool(title="Use RSI Filter", defval=false)
rsiPeriod = input.int(title="RSI Period", defval=14, minval=1)
rsiOversold = input.float(title="RSI Oversold Level", defval=30.0, minval=1, maxval=50)
rsiOverbought = input.float(title="RSI Overbought Level", defval=70.0, minval=50, maxval=100)
// Option to remove plotted lines
showLiquidityLines = input.bool(true, title="Show Liquidity Lines")
showFirstCandleLines = input.bool(true, title="Show First Candle Level Lines")
//──────────────────────────────
// Calculations & Variables (Liquidity & ATR Based)
//──────────────────────────────
price = close
atr = ta.atr(atr_length)
vol_condition = volume > ta.sma(volume, 20)
// Define Liquidity Base and Apex for support/resistance
liquidity_base = ta.lowest(low, liquidity_period)
apex = ta.highest(high, liquidity_period)
// Track recent highs and lows for filtering
hh = ta.highest(high, 30)
ll = ta.lowest(low, 30)
//──────────────────────────────
// Trade Stats Variables
//──────────────────────────────
var float take_profit = na
var float stop_loss = na
var bool in_trade = false
var int win_count = 0
var int loss_count = 0
//──────────────────────────────
// ENTRY LOGIC (BUY) Based on Liquidity & ATR
//──────────────────────────────
breakout_up = price > liquidity_base + (atr * atr_threshold)
point_of_release = ta.crossover(price, liquidity_base) and breakout_up
retest_buy = price > liquidity_base and price < hh and not in_trade
// Session condition (e.g. trading between 9AM–12PM)
session_condition = (hour >= 9 and hour <= 12) or not session_filter
if (point_of_release or retest_buy) and (vol_condition or not vol_filter) and session_condition
strategy.entry("Buy", strategy.long)
take_profit := price + (atr * take_profit_mult)
stop_loss := liquidity_base - (atr * stop_loss_mult)
in_trade := true
alert("Buy Signal - Price: " + str.tostring(price), alert.freq_once_per_bar)
//──────────────────────────────
// ENTRY LOGIC (SELL) Based on Liquidity & ATR
//──────────────────────────────
breakout_down = price < apex - (atr * atr_threshold)
clean_break = ta.crossunder(price, apex) and breakout_down
retest_sell = price < apex and price > ll and not in_trade
if (clean_break or retest_sell) and (vol_condition or not vol_filter) and session_condition
strategy.entry("Sell", strategy.short)
take_profit := price - (atr * take_profit_mult)
stop_loss := apex + (atr * stop_loss_mult)
in_trade := true
alert("Sell Signal - Price: " + str.tostring(price), alert.freq_once_per_bar)
//──────────────────────────────
// EXIT LOGIC (For BUY & SELL)
//──────────────────────────────
if strategy.position_size > 0
if price >= take_profit
strategy.close("Buy", comment="Take Profit")
win_count += 1
in_trade := false
if price <= stop_loss
strategy.close("Buy", comment="Stop Loss")
loss_count += 1
in_trade := false
if strategy.position_size < 0
if price <= take_profit
strategy.close("Sell", comment="Take Profit")
win_count += 1
in_trade := false
if price >= stop_loss
strategy.close("Sell", comment="Stop Loss")
loss_count += 1
in_trade := false
//──────────────────────────────
// Plot Liquidity Lines (Support/Resistance)
//──────────────────────────────
plot(showLiquidityLines ? liquidity_base : na, color=color.green, title="Liquidity Base (Support)")
plot(showLiquidityLines ? apex : na, color=color.red, title="Apex (Resistance)")
//──────────────────────────────
// Debugging Signal Shapes
//──────────────────────────────
plotshape(series=point_of_release, location=location.belowbar, color=color.green, style=shape.triangleup, title="Buy Signal")
plotshape(series=clean_break, location=location.abovebar, color=color.red, style=shape.triangledown, title="Sell Signal")
//──────────────────────────────
// Win/Loss Table Display
//──────────────────────────────
var table t = table.new(position.top_right, 1, 2)
if bar_index == last_bar_index
table.cell(t, 0, 0, "Wins: " + str.tostring(win_count), bgcolor=color.new(color.green, 80))
table.cell(t, 0, 1, "Losses: " + str.tostring(loss_count), bgcolor=color.new(color.red, 80))
//──────────────────────────────
// Alert Conditions for Entries and Exits
//──────────────────────────────
alertcondition(point_of_release, title="Buy Alert", message="Buy Signal Triggered")
alertcondition(clean_break, title="Sell Alert", message="Sell Signal Triggered")
var int lastClosedTrades = 0
var bool exitSignal = false
if strategy.closedtrades > lastClosedTrades
exitSignal := true
lastClosedTrades := strategy.closedtrades
alertcondition(exitSignal, title="EXIT Signal", message="EXIT signal triggered: Trade has closed (TP or SL reached).")
//──────────────────────────────
// FIRST 15-MINUTE CANDLE CAPTURE (9:30–9:45 AM EST)
//──────────────────────────────
newDay = dayofmonth != dayofmonth[1]
var float fHigh = na
var float fLow = na
var bool firstCandleCaptured = false
if newDay
fHigh := high
fLow := low
firstCandleCaptured := true
//──────────────────────────────
// Additional Filters & Calculations
//──────────────────────────────
// Trend Filter: 50 EMA
ema50 = ta.ema(close, 50)
longFilter = not useTrendFilter or (close > ema50)
shortFilter = not useTrendFilter or (close < ema50)
// ATR-Based Stop Loss Buffer
atrValue = ta.atr(14)
stopLossBuffer = atrValue * atrMultiplier
// RSI Calculation (if enabled)
rsiValue = ta.rsi(close, rsiPeriod)
//──────────────────────────────
// ENTRY CONDITIONS (15-Minute Candle Retest)
//──────────────────────────────
// Breakout/Breakdown based on the first candle levels
buyBreakout = firstCandleCaptured and ta.crossover(close, fHigh)
sellBreakdown = firstCandleCaptured and ta.crossunder(close, fLow)
// Retest conditions: price must retest the level after the breakout/breakdown
buyRetest = firstCandleCaptured and (low <= fHigh) and (close > fHigh)
sellRetest = firstCandleCaptured and (high >= fLow) and (close < fLow)
// Final entry signals (with optional RSI filter)
buySignal = buyBreakout and buyRetest and longFilter and (strategy.position_size == 0) and (not useRSIFilter or (rsiValue < rsiOversold))
sellSignal = sellBreakdown and sellRetest and shortFilter and (strategy.position_size == 0) and (not useRSIFilter or (rsiValue > rsiOverbought))
//──────────────────────────────
// Trade Parameters for 15-Minute Candle Retest
//──────────────────────────────
candleRange = fHigh - fLow
stopLossBuy = fLow - stopLossBuffer
takeProfitBuy = fHigh + (candleRange * riskRewardRatio)
stopLossSell = fHigh + stopLossBuffer
takeProfitSell = fLow - (candleRange * riskRewardRatio)
//──────────────────────────────
// Execute Trades for 15-Minute Candle Retest
//──────────────────────────────
if buySignal
strategy.entry("BUY", strategy.long)
strategy.exit("TP/SL BUY", "BUY", stop=stopLossBuy, limit=takeProfitBuy)
if sellSignal
strategy.entry("SELL", strategy.short)
strategy.exit("TP/SL SELL", "SELL", stop=stopLossSell, limit=takeProfitSell)
//──────────────────────────────
// Plot First Candle Level Lines (Optional)
//──────────────────────────────
plot(showFirstCandleLines and firstCandleCaptured ? fHigh : na, title="First Candle High", color=color.blue, linewidth=2)
plot(showFirstCandleLines and firstCandleCaptured ? fLow : na, title="First Candle Low", color=color.red, linewidth=2)
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