该策略将动量指标与相对强弱指标(RSI)相结合,辅以可调尾随停损机制,旨在捕捉趋势方向,同时控制风险。当价格存在较强势头时,买入做多;当价格存在较弱势头时,卖出做空。策略同时设置止盈止损条件,利用尾随停损追踪最高盈利水平,能够锁定利润并减少亏损。
使用动量指标ADX判断价格趋势方向
ADX大于20表示趋势存在
当+DI线上穿-DI线时为看涨信号
当-DI线下穿+DI线时为看跌信号
RSI指标判断超买超卖
RSI高于70为超买区,看跌信号
RSI低于30为超卖区,看涨信号
当ADX判断趋势存在,且RSI指标发出确认信号时,做出相应的多空操作。
策略采用动态可调整的尾随停损机制,包括两个参数:
激活比例:开仓后价格达到设定比例时激活尾随停损
跟踪比例:尾随停损距离最近最高收益的比例距离
当价格达到激活条件后,尾随停损线会跟踪最高盈利水平。当价格回落,止损线会随之下移。如果回落幅度超过设定跟踪比例,则止损线会被触发,关闭所有仓位。
动量指标判断趋势方向,避免企业费力冲顶
RSI指标确保不会错过反转机会
可调尾随停损,既能锁定盈利,又能减少亏损
策略思路清晰简洁,容易理解实现
可广泛适用于不同市场和时间周期
ADX判断假突破产生错误信号
RSI产生多次假信号
可调停损参数设置不当
大幅度跳空难以止损
测试不同ADX和RSI参数组合优化入场
回测不同止损激活点和跟踪幅度找最优参数
考虑加入其他指标进行过滤,提高信号质量
测试不同市场确定通用参数设置
该策略整合动量分析、RSI指标和尾随停损机制,能够有效判断趋势方向、识别反转点位和控制交易风险。策略思路清晰,实施简单,可广泛用于股票、外汇、数字货币等市场的趋势交易。通过参数优化和指标过滤,可以进一步提高策略表现。该策略为交易者提供了一个简单可靠的量化交易方案。
/*backtest
start: 2023-10-01 00:00:00
end: 2023-10-03 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Trailing Stop with RSI", overlay=true)
length = input.int(12, "Momentum Length")
price = close
momentum(seria, length) =>
mom = seria - seria[length]
mom
mom0 = momentum(price, length)
mom1 = momentum(mom0, 1)
rsiLength = input.int(14, "RSI Length")
rsiOverbought = input(70, "RSI Overbought Level")
rsiOversold = input(30, "RSI Oversold Level")
rsiValue = ta.rsi(close, rsiLength)
tsact = input.float(0.0, "Trailing Stop Activation (%)", group="strategy", tooltip="Activates the Trailing Stop once this PnL is reached.") / 100
tsact := tsact ? tsact : na
ts = input.float(0.0, "Position Trailing Stop (%)", group="strategy", tooltip="Trails your position with a stop loss at this distance from the highest PnL") / 100
ts := ts ? ts : na
in_long = strategy.position_size > 0
in_short = strategy.position_size < 0
var ts_ = array.new_float()
ts_size = array.size(ts_)
ts_get = ts_size > 0 ? array.get(ts_, ts_size - 1) : 0
if in_long
if tsact and high > strategy.position_avg_price + strategy.position_avg_price * tsact
if ts_size > 0 and ts_get < high
array.push(ts_, high)
if ts_size < 1
array.push(ts_, high)
if not tsact
if ts_size > 0 and ts_get < high
array.push(ts_, high)
if ts_size < 1
array.push(ts_, high)
if in_short
if tsact and low < strategy.position_avg_price - strategy.position_avg_price * tsact
if ts_size > 0 and ts_get > low
array.push(ts_, low)
if ts_size < 1
array.push(ts_, low)
if not tsact
if ts_size > 0 and ts_get > low
array.push(ts_, low)
if ts_size < 1
array.push(ts_, low)
trail = in_long and ts_size > 0 ? low < ts_get - ts_get * ts : in_short and ts_size > 0 ? high > ts_get + ts_get * ts : na
if (mom0 > 0 and mom1 > 0)
strategy.entry("MomLE", strategy.long, stop=high+syminfo.mintick, comment="MomLE")
else
strategy.cancel("MomLE")
if (mom0 < 0 and mom1 < 0)
strategy.entry("MomSE", strategy.short, stop=low-syminfo.mintick, comment="MomSE")
else
strategy.cancel("MomSE")
tsClose = in_long ? ts_get - ts_get * ts : in_short ? ts_get + ts_get * ts : na
if trail
strategy.close_all()
if not strategy.opentrades
array.clear(ts_)
rsiOverboughtCondition = rsiValue >= rsiOverbought
rsiOversoldCondition = rsiValue <= rsiOversold
if rsiOverboughtCondition
strategy.close("SHORT", "SX")
strategy.entry("LONG", strategy.long)
if rsiOversoldCondition
strategy.close("LONG", "LX")
strategy.entry("SHORT", strategy.short)
plotchar(ts_get, "GET", "")
plot(strategy.position_avg_price > 0 ? strategy.position_avg_price : na, "Average", color.rgb(251, 139, 64), 2, plot.style_cross)
plot(tsClose > 0 ? tsClose : na, "Trailing", color.rgb(251, 64, 64), 2, plot.style_cross)
plot(strategy.position_avg_price - strategy.position_avg_price * tsact > 0 ? strategy.position_avg_price - strategy.position_avg_price * tsact : na, "TS Activation", color.fuchsia, 2, plot.style_cross)