ChaoZhang
策略原理
该策略结合狭幅(NR7)和里程确定做空时机。
交易逻辑是:
识别NR7,即最高价最低价范围处于近7日最窄
识别里程,即最高价低于前一日,最低价高于前一日
当NR7和里程同日出现时,并且收盘价低于开盘价
并且简单移动平均线方向向下时,做空
当下一交易日再次收盘价低于开盘价时,平仓
该策略充分利用狭幅和里程表示盘整态势。结合均线判断和收盘价位置,可提高做空效率。
策略优势
狭幅和里程判定反转时机
条件组合避免假信号
可选多空操作
策略风险
NR7和里程组合较为少见
需要优化均线参数
仅做空无法利用多头机会
总结
该策略通过高效的反转识别和验证方式进行做空。但交易频率较低,需评估策略效果。参数优化和多空交易可扩展策略。
策略源码
/*backtest
start: 2023-08-14 00:00:00
end: 2023-09-13 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy("NR7ID: Narrow Range + Inside Day, Short Only Strategy (by ChartArt)", shorttitle="CA_-_NR7ID_Short_Strat", overlay=true) // max_bars_back=5000
// ChartArt's Narrow Range + Inside Day Strategy (Short Only)
//
// Version 1.1
// Idea by ChartArt on Oktober 22, 2016.
//
// This short only strategy determines when there is both
// a NR7 (narrow range 7, a trading day in which the range
// is narrower than any of the previous six days), plus a
// inside day (high of the current day is lower than the high
// of the previous day and the low of the current day is higher
// than the low of the previous day) both on the same trading day
// and enters a short trade when the close is lower than the
// open and the slope of the simple moving average is downwards, too.
//
// The strategy exits the short trade next time the close is
// lower than the open in any of the next trading days.
//
// In addition the NR7ID can be colored (if close lower open
// colored in red, else in green) and the SMA can be drawn
// with a color based on the direction of the SMA slope.
//
// List of my work:
// https://www.tradingview.com/u/ChartArt/
//
// __ __ ___ __ ___
// / ` |__| /\ |__) | /\ |__) |
// \__, | | /~~\ | \ | /~~\ | \ |
//
//
// NR7 Identifier
show_NR7=input(true, type=bool,title="Show Narrow Range 7 (NR7) ?")
range=(high-low)
nr7=(range < range[1]) and (range < range[2]) and (range < range[3]) and (range < range[4]) and (range < range[5]) and (range < range[6])
plotchar(show_NR7?nr7:na, char="7", location=location.abovebar, color=blue)
// Inside Day Identifier
show_insidebar = input(true, type=bool,title="Show Inside Day (I) ?")
insidebar = (high < high[1] and low > low[1])
plotchar(show_insidebar?insidebar:na, char="i", location=location.abovebar, color=blue)
// NR7 + Inside Day Identifier
show_NR7ID_bear = input(true, type=bool,title="Show NR7ID (NR7 + Inside Day) bear color ?")
NR7ID = nr7 and insidebar
NR7ID_bear_color = NR7ID and open > close ? red : na
barcolor(show_NR7ID_bear?NR7ID_bear_color:na)
show_NR7ID_bull = input(false, type=bool,title="Show NR7ID (NR7 + Inside Day) bull color ?")
NR7ID_bull_color = NR7ID and open < close ? green : na
barcolor(show_NR7ID_bull?NR7ID_bull_color:na)
// Simple Moving Average
show_ma = input(true, type=bool,title="Show SMA ?")
ma_length = input(14,title="SMA Length")
ma = sma(close,ma_length)
ma_change = change(ma) > 0
ma_change_color = change(ma) > 0 ? green : change(ma) < 0 ? red : blue
plot(show_ma?ma:na,color=ma_change_color,linewidth=3)
// Short Strategy: NR7 + Inside Day + close is smaller than open + change of SMA is downwards
strategy.entry("sell", strategy.short, when = NR7ID and open > close and ma_change == false, comment="Short")
strategy.close("sell", when = open > close )
// (not enabled) Long Strategy: NR7 + Inside Day + close is larger than open + change of SMA is upwards
//strategy.entry("long", strategy.long, when = NR7ID and open < close and ma_change == true, comment="Long")
//strategy.close("long", when = open < close )