ChaoZhang
本文将详细介绍一种应用ATR作为止损、均线作为入场的量化交易策略。该策略同时结合威廉指标进行信号验证,以控制交易风险。
一、策略原理
该策略的核心指标包括:
ATR作为止损指标,它能动态反映市场波动程度;
一目均衡线判断趋势方向提供入场信号;
威廉指标进行额外验证,避免假入场。
具体交易逻辑如下:
当价格跌破一目均衡线而后收复时,做多;当价格突破均线而后跌破时,做空。这可以进行趋势追踪。
同时,检查威廉指标是否与方向一致,若不一致则放弃入场。这可以过滤假信号。
每次入场时候,设置以ATR计算的止损点。ATR能动态反映市场波动程度,进而设置合理的止损幅度。
当止损或止盈水平触发时,平仓盈利。
二、策略优势
该策略主要优势如下:
首先,ATR止损根据市场波动度设置风险控制,可以有效规避大额亏损;
其次,均线入场结合威廉指标验证,可以提高信号质量;
最后,止损止盈设置也使每单交易具有定义的风险回报。
三、潜在风险
然而,我们也应考虑以下风险:
首先,在趋势突变时,均线信号可能滞后,无法及时反应;
其次,止损过于激进可能造成止损被突破;
最后,参数优化不当也可能导致过拟合。
四、内容总结
本文详细介绍了一种以ATR为止损、均线为入场依据的量化交易策略。它可以通过动态止损和信号过滤实现良好的风险控制效果。但我们也要防范趋势突变、止损被突破等问题的发生。总体来说,该策略提供了一种简单有效的趋势跟踪方法。
策略源码
/*backtest
start: 2023-09-06 00:00:00
end: 2023-09-13 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// strategy("NNFX ft. ATR, Kijun-Sen, %R","NNFX-2",true,pyramiding=1,calc_on_order_fills=true,calc_on_every_tick=true,initial_capital = 1000, currency="USD",slippage=5,commission_type=strategy.commission.cash_per_contract,commission_value=0.000035)
strategy.initial_capital = 50000
//INDICATOR---------------------------------------------------------------------
//Average True Range (1. RISK)
atr_period = input(14, "Average True Range Period")
atr = atr(atr_period)
//Ichimoku Cloud - Kijun Sen (2. BASELINE)
ks_period = input(20, "Kijun Sen Period")
kijun_sen = (highest(high,ks_period) + lowest(low,ks_period))/2
base_long = open < kijun_sen and close > kijun_sen
base_short = open > kijun_sen and close < kijun_sen
//Williams Percent Range (3. Confirmation#1)
use_wpr = input(true,"Use W%R?")
wpr_len = input(1, "Williams % Range Period")
wpr = -100*(highest(high,wpr_len) - close)/(highest(high,wpr_len) - lowest(low,wpr_len))
wpr_up = input(-25, "%R Upper Level")
wpr_low = input(-75, "%R Lower Level")
conf1_long = wpr >= wpr_up
conf1_short = wpr <= wpr_low
if(use_wpr == false)
conf1_long := true
conf1_short := true
//TRADE LOGIC-------------------------------------------------------------------
//Long Entry
//if -> WPR crosses below -39 AND MACD line is less than signal line
l_en = base_long and conf1_long
//Long Exit
//if -> WPR crosses above -14
l_ex = close < kijun_sen
//Short Entry
//if -> WPR crosses above -39 AND MACD line is greater than signal line
s_en = base_short and conf1_short
//Short Exit
//if -> WPR crosses under -14
s_ex = close > kijun_sen
//MONEY MANAGEMENT--------------------------------------------------------------
balance = strategy.netprofit + strategy.initial_capital //current balance
floating = strategy.openprofit //floating profit/loss
isTwoDigit = input(false,"Is this a 2 digit pair? (JPY, XAU, XPD...")
risk = input(5,"Risk %")/100 //risk % per trade
equity_protector = input(30,"Equity Protection %")/100 //equity protection %
stop = atr*100000*input(1.5,"Average True Range multiplier") //Stop level
if(isTwoDigit)
stop := stop/100
target = input(150, "Target TP in Points") //TP level
//Calculate current DD and determine if stopout is necessary
equity_stopout = false
if(floating<0 and abs(floating/balance)>equity_protector)
equity_stopout := true
//Calculate the size of the next trade
temp01 = balance * risk //Risk in USD
temp02 = temp01/stop //Risk in lots
temp03 = temp02*100000 //Convert to contracts
size = temp03 - temp03%1000 //Normalize to 1000s (Trade size)
if(size < 1000)
size := 1000 //Set min. lot size
//TRADE EXECUTION---------------------------------------------------------------
strategy.close_all(equity_stopout) //Close all trades w/equity protector
is_open = strategy.opentrades > 0
if(true)
strategy.entry("l_en",true,oca_name="a",when=l_en and not is_open) //Long entry
strategy.entry("s_en",false,oca_name="a",when=s_en and not is_open) //Short entry
strategy.exit("S/L","l_en",loss=stop, profit=target) //Long exit (stop loss)
strategy.close("l_en",when=l_ex) //Long exit (exit condition)
strategy.exit("S/L","s_en",loss=stop, profit=target) //Short exit (stop loss)
strategy.close("s_en",when=s_ex) //Short exit (exit condition)
//PLOTTING----------------------------------------------------------------------
plot(kijun_sen,"Kijun-Sen",color.blue,2)