Strategi ini adalah sistem perdagangan kuantitatif yang maju yang menggabungkan Bollinger Bands, penunjuk RSI, dan penapis trend EMA 200-periode. Melalui sinergi pelbagai penunjuk teknikal, ia menangkap peluang pecah yang berkemungkinan tinggi ke arah trend sambil menapis isyarat palsu secara berkesan di pasaran berayun. Sistem ini menggunakan sasaran stop-loss dan keuntungan dinamik berdasarkan nisbah risiko-balasan untuk mencapai prestasi perdagangan yang kukuh.
Logik teras adalah berdasarkan tiga peringkat: 1. Isyarat pecah Bollinger Bands: Menggunakan Bollinger Bands sebagai saluran turun naik, harga pecah di atas entri panjang isyarat band atas, pecah di bawah entri pendek isyarat band bawah. 2. Pengesahan momentum RSI: RSI di atas 50 mengesahkan momentum bullish, di bawah 50 mengesahkan momentum bearish, mengelakkan perdagangan tanpa trend. 3. Penapisan trend EMA: Menggunakan EMA 200 tempoh untuk menentukan trend utama, hanya berdagang dalam arah trend.
Pengesahan perdagangan memerlukan: - Keadaan pecah dikekalkan untuk dua lilin berturut-turut - Volume di atas purata 20 tempoh - Stop-loss dinamik yang dikira berdasarkan ATR - Sasaran keuntungan ditetapkan pada nisbah risiko-balasan 1.5 kali
Cadangan kawalan risiko: - Melaksanakan disiplin stop-loss yang ketat - Kawalan risiko perdagangan tunggal - Validiti parameter backtest biasa - Mengintegrasikan analisis asas - Elakkan overtrading
Pendekatan pengoptimuman utama: - Sesuaikan parameter secara dinamik berdasarkan kitaran pasaran yang berbeza - Tambah penapis perdagangan - Mengoptimumkan tetapan nisbah risiko-balasan - Meningkatkan mekanisme stop-loss - Membangunkan sistem pengesahan isyarat yang lebih pintar
Strategi ini membina sistem perdagangan yang lengkap melalui gabungan organik Bollinger Bands, RSI dan penunjuk teknikal EMA. Semasa memastikan kualiti perdagangan, sistem menunjukkan nilai praktikal yang kuat melalui kawalan risiko yang ketat dan ruang pengoptimuman parameter yang fleksibel.
/*backtest start: 2019-12-23 08:00:00 end: 2024-12-10 08:00:00 period: 2d basePeriod: 2d exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy("Improved Bollinger Breakout with Trend Filtering", overlay=true) // === Inputs === length = input(20, title="Bollinger Bands Length", tooltip="The number of candles used to calculate the Bollinger Bands. Higher values smooth the bands, lower values make them more reactive.") mult = input(2.0, title="Bollinger Bands Multiplier", tooltip="Controls the width of the Bollinger Bands. Higher values widen the bands, capturing more price movement.") rsi_length = input(14, title="RSI Length", tooltip="The number of candles used to calculate the RSI. Shorter lengths make it more sensitive to recent price movements.") rsi_midline = input(50, title="RSI Midline", tooltip="Defines the midline for RSI to confirm momentum. Higher values make it stricter for bullish conditions.") risk_reward_ratio = input(1.5, title="Risk/Reward Ratio", tooltip="Determines the take-profit level relative to the stop-loss.") atr_multiplier = input(1.5, title="ATR Multiplier for Stop-Loss", tooltip="Defines the distance of the stop-loss based on ATR. Higher values set wider stop-losses.") volume_filter = input(true, title="Enable Volume Filter", tooltip="If enabled, trades will only execute when volume exceeds the 20-period average.") trend_filter_length = input(200, title="Trend Filter EMA Length", tooltip="The EMA length used to filter trades based on the market trend.") trade_direction = input.string("Both", title="Trade Direction", options=["Long", "Short", "Both"], tooltip="Choose whether to trade only Long, only Short, or Both directions.") confirm_candles = input(2, title="Number of Confirming Candles", tooltip="The number of consecutive candles that must meet the conditions before entering a trade.") // === Indicator Calculations === basis = ta.sma(close, length) dev = mult * ta.stdev(close, length) upper_band = basis + dev lower_band = basis - dev rsi_val = ta.rsi(close, rsi_length) atr_val = ta.atr(14) vol_filter = volume > ta.sma(volume, 20) ema_trend = ta.ema(close, trend_filter_length) // === Helper Function for Confirmation === confirm_condition(cond, lookback) => count = 0 for i = 0 to lookback - 1 count += cond[i] ? 1 : 0 count == lookback // === Trend Filter === trend_is_bullish = close > ema_trend trend_is_bearish = close < ema_trend // === Long and Short Conditions with Confirmation === long_raw_condition = close > upper_band * 1.01 and rsi_val > rsi_midline and (not volume_filter or vol_filter) and trend_is_bullish short_raw_condition = close < lower_band * 0.99 and rsi_val < rsi_midline and (not volume_filter or vol_filter) and trend_is_bearish long_condition = confirm_condition(long_raw_condition, confirm_candles) short_condition = confirm_condition(short_raw_condition, confirm_candles) // === Trade Entry and Exit Logic === if long_condition and (trade_direction == "Long" or trade_direction == "Both") strategy.entry("Long", strategy.long) strategy.exit("Exit Long", "Long", stop=close - (atr_multiplier * atr_val), limit=close + (atr_multiplier * risk_reward_ratio * atr_val)) if short_condition and (trade_direction == "Short" or trade_direction == "Both") strategy.entry("Short", strategy.short) strategy.exit("Exit Short", "Short", stop=close + (atr_multiplier * atr_val), limit=close - (atr_multiplier * risk_reward_ratio * atr_val)) // === Plotting === plot(upper_band, color=color.green, title="Upper Band") plot(lower_band, color=color.red, title="Lower Band") plot(basis, color=color.blue, title="Basis") plot(ema_trend, color=color.orange, title="Trend Filter EMA")