本策略通过观察价格对三重EMA的回调表现,判断趋势走势,在回调结束时进行突破交易。该策略属于趋势跟踪类策略,旨在捕捉中长线趋势的回调机会。
策略原理:
设置快、中、慢三条EMA,典型参数为25、100、200周期。
当价格上方回调触达最快EMA时判断为中长线多头行情,下方回调触达最快EMA时判断为空头行情。
在上方回调结束开始反弹时,在突破最快EMA时做多;在下方回调结束开始反弹时,在跌破最快EMA时做空。
通过颜色标记买卖区间,使视觉直观。
设置固定止损、风险回报比,进行风险管理。
该策略优势:
回调交易具有较高的成功率。
三EMA判断趋势,避免被套。
风险回报比控制增强绩效可持续性。
该策略风险:
回调时间过长可能错过最佳入场点位。
需要优化EMA参数以匹配不同周期。
固定止损可能过于mechanic,需要合理设置。
总之,该策略通过三重EMA回调突破,实现对中长线趋势的跟踪。风险控制机制有助于获得长期稳定收益,但投资者仍需关注参数优化与回调判断。
/*backtest
start: 2023-09-04 00:00:00
end: 2023-09-11 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(title="Pullback", overlay=true, initial_capital=1000, slippage=25)
averageData = input.source(close, title="Source")
target_stop_ratio = input.float(title="Ratio Risk/Reward", defval=2, group="Money Management")
security = input.float(50, title='min of pips (00001.00) for each position', group="Money Management")
risk = input.float(2, title="Risk per Trade %", group="Money Management")
riskt = risk / 100 + 1
ema1V = input.int(25, title="Rapide", group="Ema Period")
ema2V = input.int(100, title="Moyenne", group="Ema Period")
ema3V = input.int(200, title="Lente", group="Ema Period")
ema1 = ta.ema(averageData, ema1V)
ema2 = ta.ema(averageData, ema2V)
ema3 = ta.ema(averageData, ema3V)
useDateFilter = input.bool(true, title="Filter Date Range of Backtest",
group="Backtest Time Period")
backtestStartDate = input(timestamp("5 June 2022"),
title="Start Date", group="Backtest Time Period",
tooltip="This start date is in the time zone of the exchange " +
"where the chart's instrument trades. It doesn't use the time " +
"zone of the chart or of your computer.")
backtestEndDate = input(timestamp("5 July 2022"),
title="End Date", group="Backtest Time Period",
tooltip="This end date is in the time zone of the exchange " +
"where the chart's instrument trades. It doesn't use the time " +
"zone of the chart or of your computer.")
inTradeWindow = true
float pricePullAboveEMA_maxClose = na
float pricePullBelowEMA_minClose = na
if ta.crossover(close, ema1)
pricePullAboveEMA_maxClose := close
else
pricePullAboveEMA_maxClose := pricePullAboveEMA_maxClose[1]
if close > pricePullAboveEMA_maxClose
pricePullAboveEMA_maxClose := close
if ta.crossunder(close, ema1)
pricePullBelowEMA_minClose := close
else
pricePullBelowEMA_minClose := pricePullBelowEMA_minClose[1]
if close < pricePullBelowEMA_minClose
pricePullBelowEMA_minClose := close
BuyZone = ema1 > ema2 and ema2 > ema3
SellZone = ema1 < ema2 and ema2 < ema3
longcondition = ta.crossover(close, ema1) and pricePullBelowEMA_minClose > ema3 and pricePullBelowEMA_minClose < ema1
shortcondition = ta.crossunder(close , ema1) and pricePullAboveEMA_maxClose < ema3 and pricePullAboveEMA_maxClose > ema1
float risk_long = na
float risk_short = na
float stopLoss = na
float takeProfit = na
float entry_price = na
risk_long := risk_long[1]
risk_short := risk_short[1]
lotB = (strategy.equity*riskt-strategy.equity)/(close - ema2)
lotS = (strategy.equity*riskt-strategy.equity)/(ema2 - close)
if strategy.position_size == 0 and BuyZone and longcondition and inTradeWindow
risk_long := (close - ema2) / close
minp = close - ema2
if minp > security
strategy.entry("long", strategy.long, qty=lotB)
if strategy.position_size == 0 and SellZone and shortcondition and inTradeWindow
risk_short := (ema2 - close) / close
minp = ema2 - close
if minp > security
strategy.entry("short", strategy.short, qty=lotS)
if strategy.position_size > 0
stopLoss := strategy.position_avg_price * (1 - risk_long)
takeProfit := strategy.position_avg_price * (1 + target_stop_ratio * risk_long)
entry_price := strategy.position_avg_price
strategy.exit("long exit", "long", stop = stopLoss, limit = takeProfit)
if strategy.position_size < 0
stopLoss := strategy.position_avg_price * (1 + risk_short)
takeProfit := strategy.position_avg_price * (1 - target_stop_ratio * risk_short)
entry_price := strategy.position_avg_price
strategy.exit("short exit", "short", stop = stopLoss, limit = takeProfit)
plot(ema1, color=color.blue, linewidth=2, title="Ema Rapide")
plot(ema2, color=color.orange, linewidth=2, title="Ema Moyenne")
plot(ema3, color=color.white, linewidth=2, title="Ema Lente")
p_ep = plot(entry_price, color=color.new(color.white, 0), linewidth=2, style=plot.style_linebr, title='entry price')
p_sl = plot(stopLoss, color=color.new(color.red, 0), linewidth=2, style=plot.style_linebr, title='stopLoss')
p_tp = plot(takeProfit, color=color.new(color.green, 0), linewidth=2, style=plot.style_linebr, title='takeProfit')
fill(p_sl, p_ep, color.new(color.red, transp=85))
fill(p_tp, p_ep, color.new(color.green, transp=85))
bgcolor(BuyZone ? color.new(color.green, 95) : na)
bgcolor(SellZone ? color.new(color.red, 95) : na)