流动性动态风险管理多因子交易策略

ATR RSI EMA TP/SL LIQ
创建日期: 2025-03-31 16:41:01 最后修改: 2025-03-31 16:41:01
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流动性动态风险管理多因子交易策略 流动性动态风险管理多因子交易策略

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:

  1. 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。
  2. 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。
  3. 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。
  4. 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

  1. 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。
  2. 自适应风险管理:动态调整止盈止损,有效控制交易风险。
  3. 灵活的参数配置:可自定义ATR长度、流动性周期和交易时段。
  4. 可视化支持:提供流动性线和首个K线水平的可视化显示。
  5. 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

  1. 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。
  2. 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。
  3. 假突破风险:流动性区域突破可能存在误报的可能性。
  4. 交易频率:会话过滤和多重条件可能导致交易机会减少。
  5. 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

  1. 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。
  2. 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。
  3. 深度风险管理:引入更复杂的仓位规模和风险分配算法。
  4. 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。
  5. 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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