本策略专门针对周末的价格波动进行交易,通过事先设定的涨跌幅区间判断多空方向。属于典型的震荡交易策略。
策略原理:
参考上周周五收盘价,设定涨跌幅区间,例如区间上限为收盘价上涨4.5%。
当价格超过区间上限时,进行做空操作;当价格低于下限时,做多操作。
在已有仓位的情况下,根据超过新一层区间继续加仓,比如加空或加多。
累计盈利达到一定比例时,平仓止盈,例如10%。
每次最多持有两个方向的仓位。周一开盘前全部平仓。
该策略的优势:
设定固定的涨跌幅区间,进行机械化操作。
分阶段加仓可获得较好成本价。
周期性规律稳定,不受基本面影响。
该策略的风险:
无法限制单笔亏损大小,存在大单亏损的风险。
固定的参数无法适应不同时间段的市场波动率。
周期性规律可能发生变化,带来模型失效风险。
总之,该策略利用周期性规律进行频繁交易,但存在一定盈利锁定困难的问题。需警惕参数失效及单笔亏损过大的风险,谨慎操作。
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-12 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Copyright Boris Kozak
// strategy("XBT Weekend Trade Strategy", overlay=true, default_qty_type=strategy.percent_of_equity,)
strategy.initial_capital=50000
leverage = input(10,"Leverage")
profitTakingPercentThreshold = input(0.10,"Profit Taking Percent Threshold")
//****Code used for setting up backtesting.****///
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(12, "Backtest Start Month")
testStartDay = input(10, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2025, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FFFF : na
bgcolor(testPeriodBackgroundColor, transp=50)
testPeriod() => true
//****END Code used for setting up backtesting.****///
//*** Main entry point is here***//
// Figure out how many days since the Friday close
days_since_friday = if dayofweek == 6
0
else
if dayofweek == 7
1
else
if dayofweek == 1
2
else
if dayofweek == 2
3
else
if dayofweek == 3
4
else
if dayofweek == 4
5
else
6
// Grab the Friday close price
fridaycloseprice = security(syminfo.ticker,'D',close[days_since_friday])
plot(fridaycloseprice)
// Only perform backtesting during the window specified
if testPeriod()
// If we've reached out profit threshold, exit all positions
if ((strategy.openprofit/strategy.initial_capital) > profitTakingPercentThreshold)
strategy.close_all()
// Only execute this trade on saturday and sunday (UTC)
if (dayofweek == 7.0 or dayofweek == 1.0)
// Begin - Empty position (no active trades)
if (strategy.position_size == 0)
// If current close price > threshold, go short
if ((close>fridaycloseprice*1.045))
strategy.entry("Short Entry", strategy.short, leverage)
else
// If current close price < threshold, go long
if (close<(fridaycloseprice*0.955))
strategy.entry("Long Entry",strategy.long, leverage)
// Begin - we already have a position
if (abs(strategy.position_size) > 0)
// We are short
if (strategy.position_size < 0)
if ((close>strategy.position_avg_price*1.045))
// Add to the position
strategy.entry("Adding to Short Entry", strategy.short, leverage)
else
if ((close<strategy.position_avg_price*0.955))
strategy.entry("Adding to Long Entry",strategy.long,leverage)
// On Monday, if we have any open positions, close them
if (dayofweek==2.0)
strategy.close_all()