ChaoZhang
概述
该策略结合布林带(BB)、相对强弱指数(RSI)和Aroon指标,以发挥各指标的优势,为交易提供高效的入场和出场信号。
策略原理
当价格突破布林带下带时,显示多头信号。
当RSI上穿超买线时,显示多头确认信号。
当Aroon上穿下穿时,显示多头确认信号。
当上述三个条件同时满足时,做多。
当价格突破布林带上带时,显示空头信号。
当RSI下穿超卖线时,显示空头确认信号。
当Aroon下穿上穿时,显示空头确认信号。
当上述三个条件同时满足时,做空。
策略优势
- 可配置参数,优化至最佳组合
- 多种指标确认,提高信号准确率
- 适用于多种市场环境
- 简单的交易逻辑,易于实施
策略风险
- 参数优化不当,可能产生过多错误信号
- 多重指标增加滞后,可能错过快速反转
- 反向操作增加交易频率和成本
优化方向
- 多市场多时间框架回测寻找最佳参数
- 评估每种指标的效果,必要时删减
- 尝试基于机器学习的参数优化
- 优化策略代码,减少计算量
- 测试不同持仓时间参数
总结
该策略综合多个指标的优势,形成较强大的入场信号。通过参数优化、去除冗余指标及优化代码,可以将策略效果提升至更高水平。总体而言,该策略为交易提供了有效的定制化解决方案。
策略源码
/*backtest
start: 2023-09-13 00:00:00
end: 2023-09-20 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_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/
// Developed by Marco Jarquin as part of Arkansas 22 Project for Binary Options
// CBRA for binary options (Configurable Bollinger Bands, RSI and Aroon)
//@version=4
// ====================================================================================
//strategy("A22.CBRA.Strat", overlay=true, initial_capital=10000, currency="USD", calc_on_every_tick=true, default_qty_type=strategy.cash, default_qty_value=4000, commission_type=strategy.commission.cash_per_order, commission_value=0)
// Aroonish Parameters
// ====================================================================================
Aroonish_length = input(4, minval=1, title="Aroonish Lenght")
Aroonish_ConfVal = input(50, minval=0, maxval=100, step=25, title="Aroonish Confirmation Value")
Aroonish_upper = 100 * (-highestbars(high, Aroonish_length+1) + Aroonish_length)/Aroonish_length
Aroonish_lower = 100 * (-lowestbars(low, Aroonish_length+1) + Aroonish_length)/Aroonish_length
// Aroonish confirmations
// ====================================================================================
Aroonish_ConfLong = (Aroonish_lower >= Aroonish_ConfVal) and (Aroonish_upper < Aroonish_lower)
Aroonish_ConfShrt = (Aroonish_upper >= Aroonish_ConfVal) and (Aroonish_upper > Aroonish_lower)
plotshape(crossover(Aroonish_lower, Aroonish_upper), color = color.red, style = shape.triangledown, location = location.abovebar, size = size.auto, title = "Ar-B")
plotshape(crossover(Aroonish_upper, Aroonish_lower), color = color.green, style = shape.triangleup, location = location.belowbar, size = size.auto, transp = 0, title = "Ar-S")
// RSI Parameters
// ====================================================================================
RSI_length = input(4, title="RSI Lenght")
RSI_overSold = input(20, title="RSI Oversold Limit")
RSI_overBought = input(80, title="RSI Overbought Limit" )
RSI = rsi(close, RSI_length)
plotshape(crossover(RSI, RSI_overSold), color = color.orange, style = shape.square, location = location.belowbar, size = size.auto, title = "RSI-B")
plotshape(crossunder(RSI, RSI_overBought), color = color.orange, style = shape.square, location = location.abovebar, size = size.auto, transp = 0, title = "RSI-S")
// Bollinger Parameters
// ====================================================================================
BB_length = input(20, minval=1, title="Bollinger Lenght")
BB_mult = input(2.5, minval=0.1, maxval=50, step=0.1, title="Bollinger Std Dev")
// BB_bars = input(3, minval=1, maxval=5, title="Check bars after crossing")
BB_basis = sma(close, BB_length)
BB_dev = BB_mult * stdev(close, BB_length)
BB_upper = BB_basis + BB_dev
BB_lower = BB_basis - BB_dev
p1 = plot(BB_upper, color=color.blue)
p2 = plot(BB_lower, color=color.blue)
// Bars to have the operation open
// ====================================================================================
nBars = input(3, minval=1, maxval=30, title="Bars to keep the operation open")
// Strategy condition short or long
// ====================================================================================
ConditionShrt = ((crossunder(close, BB_upper) or crossunder(close[1], BB_upper[1])) and Aroonish_ConfShrt) and (crossunder(RSI, RSI_overBought) or crossunder(RSI[1], RSI_overBought[1]))
ConditionLong = ((crossover(close, BB_lower) or crossover(close[1], BB_lower[1])) and Aroonish_ConfLong) and (crossover(RSI, RSI_overSold) or crossover(RSI[1], RSI_overSold[1]))
plotshape(crossover(close, BB_lower), color = color.blue, style = shape.circle, location = location.belowbar, size = size.auto, title = "BB-B")
plotshape(crossunder(close, BB_upper), color = color.blue, style = shape.circle, location = location.abovebar, size = size.auto, transp = 0, title = "BB-S")
// Make input options that configure backtest date range
// ====================================================================================
iMo = input(title="Start Month", type=input.integer, defval=1, minval=1, maxval=12)
iDy = input(title="Start Date", type=input.integer, defval=1, minval=1, maxval=31)
iYr = input(title="Start Year", type=input.integer, defval=(2020), minval=1800, maxval=2100)
eMo = input(title="End Month", type=input.integer, defval=1, minval=1, maxval=12)
eDy = input(title="End Date", type=input.integer, defval=1, minval=1, maxval=31)
eYr = input(title="End Year", type=input.integer, defval=(2021), minval=1800, maxval=2100)
// Look if the close time of the current bar falls inside the date range
// ====================================================================================
inDateRange = true
// Evaluates conditions to enter short or long
// ====================================================================================
if (inDateRange and ConditionLong)
strategy.entry("A22.L", strategy.long)
if (inDateRange and ConditionLong[nBars])
strategy.close("A22.L", comment="A22.L Exit")
if (inDateRange and ConditionShrt)
strategy.entry("A22.S", strategy.short)
if (inDateRange and ConditionShrt[nBars])
strategy.close("A22.S", comment="A22.S Exit")
if (not inDateRange)
strategy.close_all()
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