AlphaTrend自适应ATR通道突破策略
AlphaTrend策略运用ATR自适应通道来捕捉价格趋势方向,根据通道的突破情况进行趋势追踪。具体来说,该策略构建了一个以ATR为基础的动态通道,通道的上轨为最低价减去ATR值,下轨为最高价加上ATR值。当价格上穿上轨时,做多进入;当价格下穿下轨时,做空进入。
ATR能够实时反映市场的波动性和热度,上下轨形成的通道可以判断价格走势和力度。当价格突破通道时,说明趋势出现反转或加速的可能,这时进行追踪是较为合理的。AlphaTrend策略的优势在于运用ATR指标的自适应性来捕捉价格变化,同时还结合RSI等其他指标来确定趋势方向,这可以提高entries的准确性。
但是,该策略也存在一些问题需要注意。ATR指标本身有反应滞后的特点,可能导致entries出现在趋势反转后。另外,未设置止损导致持仓期间存在较大的回撤风险。最后,参数设置如ATR周期长度需要优化以适应不同品种和周期。
总的来说,AlphaTrend策略利用动态ATR通道判断趋势反转点有其独特优势,但实盘时仍需严格的资金管理。设置止损,控制单笔仓位规模,优化参数等都是必要的。只有做到风险控制到位,才能长期应用该策略。
/*backtest
start: 2023-01-01 00:00:00
end: 2023-04-10 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// author © KivancOzbilgic
// developer © KivancOzbilgic
//@version=5
strategy("AlphaTrend Strategy", shorttitle='ATst', overlay=true, format=format.price, precision=2, margin_long=100, margin_short=100)
coeff = input.float(1, 'Multiplier', step=0.1)
AP = input(14, 'Common Period')
ATR = ta.sma(ta.tr, AP)
src = input(close)
showsignalsk = input(title='Show Signals?', defval=false)
novolumedata = input(title='Change calculation (no volume data)?', defval=false)
upT = low - ATR * coeff
downT = high + ATR * coeff
AlphaTrend = 0.0
AlphaTrend := (novolumedata ? ta.rsi(src, AP) >= 50 : ta.mfi(hlc3, AP) >= 50) ? upT < nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : upT : downT > nz(AlphaTrend[1]) ? nz(AlphaTrend[1]) : downT
color1 = AlphaTrend > AlphaTrend[2] ? #00E60F : AlphaTrend < AlphaTrend[2] ? #80000B : AlphaTrend[1] > AlphaTrend[3] ? #00E60F : #80000B
k1 = plot(AlphaTrend, color=color.new(#0022FC, 0), linewidth=3)
k2 = plot(AlphaTrend[2], color=color.new(#FC0400, 0), linewidth=3)
fill(k1, k2, color=color1)
buySignalk = ta.crossover(AlphaTrend, AlphaTrend[2])
sellSignalk = ta.crossunder(AlphaTrend, AlphaTrend[2])
K1 = ta.barssince(buySignalk)
K2 = ta.barssince(sellSignalk)
O1 = ta.barssince(buySignalk[1])
O2 = ta.barssince(sellSignalk[1])
plotshape(buySignalk and showsignalsk and O1 > K2 ? AlphaTrend[2] * 0.9999 : na, title='BUY', text='BUY', location=location.absolute, style=shape.labelup, size=size.tiny, color=color.new(#0022FC, 0), textcolor=color.new(color.white, 0))
plotshape(sellSignalk and showsignalsk and O2 > K1 ? AlphaTrend[2] * 1.0001 : na, title='SELL', text='SELL', location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.new(color.maroon, 0), textcolor=color.new(color.white, 0))
longCondition = buySignalk
if (longCondition)
strategy.entry("Long", strategy.long)
shortCondition = sellSignalk
if (shortCondition)
strategy.entry("Short", strategy.short)