ChaoZhang
概述
该策略是一种基于多条均线设置限价单进行交易的策略。它会根据价格突破不同的均线位设置不同数量的做多或做空限价单,形成金字塔式的多单持仓。当价格重新突破均线时,则进行反向限价开仓。有持仓时,价格突破中轴均线则进行反向市价平仓。
策略原理
该策略使用均线指标判断趋势方向。具体来说,根据价格是否突破上行3条均线,来判断设置做多限价单的数量;根据价格是否突破下行3条均线,来判断设置做空限价单的数量。
这样,价格趋势越强,会设置更多同向的限价单;当价格出现反转信号时,则进行反向开仓。中轴均线用于判断持仓的突破,发出平仓信号。
整个策略形成金字塔式的开仓与突破式的平仓相结合的交易方式。旨在多单均价开仓,降低成本;中轴均线止损,控制风险。
优势分析
该策略具有以下优势:
使用均线判断趋势,操作简单直观。
金字塔式开仓,可在趋势初期获得较好成本。
中轴均线止损,可以及时止损,控制风险。
限价开仓避免滑点。
可自定义参数,适应不同品种。
结构清晰,易于理解和扩展。
风险分析
该策略也存在以下风险:
均线指标存在滞后,可能导致误判。
限价单失败可能导致错过入场时机。
中轴均线止损可能过于粗放,无法对突破进 行判断。
参数设置不当可能导致金字塔仓位过大。
回测时间范围不充分可能导致曲线过拟合。
没有考虑手续费因素。
对应风险的解决方法如下:
结合其他指标进行确认,优化参数。
设置有效期限,调整限价单价格。
中轴均线处设置止盈,或增加突破判断逻辑。
优化参数,评估盈亏比。
扩大回测时间范围,多市场回测。
加入手续费和滑点逻辑。
优化方向
该策略可以从以下方面进行优化:
优化参数,适配更多品种。可以使用机器学习方法。
增加其他指标过滤确认。例如MACD、KDJ等。
在中轴均线增加止盈逻辑。
动态调整开仓比例和止损位置。
优化限价单设置,改进成本。例如根据波动范围设置价格。
增加对成本的管理,防止过度追涨。
测试不同品种参数效果,构建参数池。
总结
该策略通过均线设置限价单形成金字塔开仓,以获得较优成本。使用中轴均线止损来控制风险。策略结构简单清晰,易于理解和扩展。但可通过引入其他指标、优化参数、改进限价单逻辑等进行改进,使策略更具鲁棒性。总体来说,该策略提供了一种简单实用的限价交易思路,有一定的参考借鉴价值。
策略源码
/*backtest
start: 2022-09-15 00:00:00
end: 2023-09-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2019
//@version=4
strategy(title = "Robot WhiteBox MultiMA", shorttitle = "Robot WhiteBox MultiMA", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 3)
//Settings
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot")
len = input(3, minval = 1, title = "MA Length")
s = input(defval = "7. OHLC4", options = ["1. Open", "2. High", "3. Low", "4. Close", "5. HL2", "6. HLC3", "7. OHLC4", "8. OC2", "9. PCMA"], title = "Data")
short3 = input(true, title = "short 3")
short2 = input(true, title = "short 2")
short1 = input(true, title = "short 1")
long1 = input(true, title = "long 1")
long2 = input(true, title = "long 2")
long3 = input(true, title = "long 3")
shortlevel3 = input(15.0, title = "Short line 3")
shortlevel2 = input(10.0, title = "Short line 2")
shortlevel1 = input(5.0, title = "Short line 1")
longlevel1 = input(-5.0, title = "Long line 1")
longlevel2 = input(-10.0, title = "Long line 2")
longlevel3 = input(-15.0, title = "Long line 3")
needoffset = input(true, title = "Offset")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Variables
size = strategy.position_size
mult = 1 / syminfo.mintick
needtime = time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)
//MA
oc2 = (open + close) / 2
pcma = (highest(high, len) + lowest(low, len)) / 2
src = s == "1. Open" ? open : s == "2. High" ? high : s == "3. Low" ? low : s == "4. Close" ? close : s == "5. HL2" ? hl2 : s == "6. HLC3" ? hlc3 : s == "7. OHLC4" ? ohlc4 : s == "8. OC2" ? oc2: close
sma = sma(src, len)
ma = s == "9. PCMA" ? round(pcma * mult) / mult : round(sma * mult) / mult
//Levels
longline1 = long1 ? round(ma * ((100 + longlevel1) / 100) * mult) / mult : close
longline2 = long2 ? round(ma * ((100 + longlevel2) / 100) * mult) / mult : close
longline3 = long3 ? round(ma * ((100 + longlevel3) / 100) * mult) / mult : close
shortline1 = short1 ? round(ma * ((100 + shortlevel1) / 100) * mult) / mult : close
shortline2 = short2 ? round(ma * ((100 + shortlevel2) / 100) * mult) / mult : close
shortline3 = short3 ? round(ma * ((100 + shortlevel3) / 100) * mult) / mult : close
//Lines
colorlong1 = long1 ? color.lime : na
colorlong2 = long2 ? color.lime : na
colorlong3 = long3 ? color.lime : na
colorshort1 = short1 ? color.red : na
colorshort2 = short2 ? color.red : na
colorshort3 = short3 ? color.red : na
offset = needoffset ? 1 : 0
plot(shortline3, offset = offset, color = colorshort3, title = "Short line 3")
plot(shortline2, offset = offset, color = colorshort2, title = "Short line 2")
plot(shortline1, offset = offset, color = colorshort1, title = "Short line 1")
plot(ma, offset = offset, color = color.blue, title = "MA line")
plot(longline1, offset = offset, color = colorlong1, title = "Long line 1")
plot(longline2, offset = offset, color = colorlong2, title = "Long line 2")
plot(longline3, offset = offset, color = colorlong3, title = "Long line 3")
//Trading
lot = 0.0
lot := size == 0 ? strategy.equity / close * capital / 100 : lot[1]
lots = 0.0
if ma > 0
lots := round(size / lot)
strategy.entry("L1", strategy.long, lot, limit = longline1, when = (lots == 0 and long1 and needtime))
lots := round(size / lot)
strategy.entry("L2", strategy.long, lot, limit = longline2, when = (lots <= 1 and long2 and needtime))
lots := round(size / lot)
strategy.entry("L3", strategy.long, lot, limit = longline3, when = (lots <= 2 and long3 and needtime))
lots := round(size / lot)
strategy.entry("S1", strategy.short, lot, limit = shortline1, when = (lots == 0 and short1 and needtime))
lots := round(size / lot)
strategy.entry("S2", strategy.short, lot, limit = shortline2, when = (lots >= -1 and short2 and needtime))
lots := round(size / lot)
strategy.entry("S3", strategy.short, lot, limit = shortline3, when = (lots >= -2 and short3 and needtime))
if size > 0
strategy.entry("TPL", strategy.short, 0, limit = ma)
if size < 0
strategy.entry("TPS", strategy.long, 0, limit = ma)
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()