首个蜡烛突破-动态追踪止损与收盘平仓策略是一种日内交易策略,它利用市场开盘后第一根蜡烛线的价格区间作为重要的支撑和阻力位。该策略在第一根蜡烛形成后,等待价格突破其高点或低点后再入场,同时采用基于第一根蜡烛价格区间的动态追踪止损机制,并在每日特定时间强制平仓,以规避隔夜风险。
该策略基于市场开盘后第一根蜡烛线所形成的价格区间往往具有重要的技术意义这一市场观察。策略的核心逻辑如下:
该策略采用了确认后入场的机制,即在价格真正突破第一根蜡烛的高点或低点后才入场交易,而不是在价格刚触及这些水平时就立即入场,这有助于减少假突破带来的风险。
##, 策略风险
尽管该策略拥有多项优势,但仍然存在一些潜在风险:
针对上述风险,该策略可以从以下几个方向进行优化:
首个蜡烛突破-动态追踪止损与收盘平仓策略是一种基于市场开盘后第一根蜡烛线价格区间的日内交易策略。它利用确认后的价格突破信号入场,采用基于市场波动的动态追踪止损机制管理风险,并在每日固定时间强制平仓以规避隔夜风险。
该策略的优势在于入场信号明确、风险管理动态化、避免假突破和隔夜风险、适应市场波动、限制过度交易并且可完全自动化执行。然而,它也面临虚假突破风险、止损距离不合理、错过大行情、时间依赖性强、缺乏盈利目标以及参数敏感性等挑战。
通过增加过滤条件、优化止损机制、引入部分获利机制、增加持仓过夜条件、添加时间过滤、优化参数自适应机制、加入市场环境识别、考虑多时间框架分析和添加资金管理模块等方式,可以进一步提升策略的稳定性和盈利能力。
总的来说,这是一个结构清晰、逻辑合理的日内交易策略,适合那些希望通过自动化系统进行日内交易,并严格控制风险的交易者。通过针对性的优化和适当的参数调整,该策略有望在不同市场环境下取得稳定的表现。
/*backtest
start: 2025-03-24 00:00:00
end: 2025-03-31 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"TRX_USDT"}]
*/
//@version=5
strategy("First Candle Breakout - Trailing Stop & EOD Close", overlay=true)
// User Inputs
startHour = input(9, "Start Hour (Exchange Time)")
startMinute = input(15, "Start Minute (Exchange Time)")
endHour = input(15, "End Hour (Exchange Time)") // Market closing hour
endMinute = input(30, "End Minute (Exchange Time)")
trailStopMultiplier = input(1.5, "Trailing Stop Multiplier") // 1.5x first candle range
// Variables to store the first candle's high & low
var float firstCandleHigh = na
var float firstCandleLow = na
var bool tradeTaken = false // Ensures only one trade per day
var int tradeDirection = 0 // 1 for long, -1 for short
var float trailStopLevel = na // Trailing stop level
// Identify first candle's high & low
if (hour == startHour and minute == startMinute and bar_index > 1)
firstCandleHigh := high
firstCandleLow := low
tradeTaken := false // Reset trade flag at start of day
tradeDirection := 0 // Reset trade direction
trailStopLevel := na // Reset trailing stop
// Calculate first candle range
firstCandleRange = firstCandleHigh - firstCandleLow
trailStopDistance = firstCandleRange * trailStopMultiplier
// Buy condition: Close above first candle high AFTER the first candle closes
longCondition = not na(firstCandleHigh) and close > firstCandleHigh and not tradeTaken and hour > startHour
if (longCondition)
strategy.entry("Buy", strategy.long, comment="Buy")
trailStopLevel := close - trailStopDistance // Set initial trailing stop
tradeTaken := true
tradeDirection := 1
// Sell condition: Close below first candle low AFTER the first candle closes
shortCondition = not na(firstCandleLow) and close < firstCandleLow and not tradeTaken and hour > startHour
if (shortCondition)
strategy.entry("Sell", strategy.short, comment="Sell")
trailStopLevel := close + trailStopDistance // Set initial trailing stop
tradeTaken := true
tradeDirection := -1
// Update trailing stop for long trades
if (tradeDirection == 1 and not na(trailStopLevel))
trailStopLevel := nz(trailStopLevel, close - trailStopDistance) // Initialize if na
trailStopLevel := math.max(trailStopLevel, close - trailStopDistance) // Adjust trailing stop up
if (close <= trailStopLevel) // Stop loss hit
strategy.close("Buy", comment="Trailing SL Hit")
// Update trailing stop for short trades
if (tradeDirection == -1 and not na(trailStopLevel))
trailStopLevel := nz(trailStopLevel, close + trailStopDistance) // Initialize if na
trailStopLevel := math.min(trailStopLevel, close + trailStopDistance) // Adjust trailing stop down
if (close >= trailStopLevel) // Stop loss hit
strategy.close("Sell", comment="Trailing SL Hit")
// Close trade at end of day if still open
if (tradeTaken and hour == endHour and minute == endMinute)
strategy.close_all(comment="EOD Close")