该策略是一种双重震荡追踪反转交易策略,它综合运用随机指标反转策略和某耶肯波动率指标,以获取更可靠的交易信号。该策略旨在在趋势反转点捕捉利润,适用于中长线交易。
该策略由两部分组成:
该部分运用随机指标的快线和慢线生成交易信号。当收盘价连续两日低于上一日收盘价,且快线高于慢线时做多;当收盘价连续两日高于上一日收盘价,且快线低于慢线时做空。
该指标计算一段时间内的最高价和最低价之差的变化情况。当该差值扩大时,表示波动率上升,可做空;当差值缩小时,表示波动率下降,可做多。
最终交易信号为两部分信号的综合。当随机指标信号和波动率指标信号一致时,采取该信号;若两信号不一致,则不交易。
该策略具有以下优势:
综合运用两种不同类型指标,可提高信号准确率。
采用双重确认机制,可减少假信号,控制风险。
以反转为主要交易方向,可在趋势转换点获利。
参数设置灵活,可调整至适合不同品种和周期。
可细调指标参数,达到最佳状况。
该策略也存在以下风险:
反转信号可能出现误判,从而形成损失。可适当调整参数以减少误判概率。
波动率急剧扩大时,做空方向存在亏损风险。可设置止损以控制风险。
行情剧烈波动时,双重指标组合可能失效。此时可考虑暂停交易,等待指标重新稳定。
需要同时监控两个指标,增加了交易者的工作量。可编制自动交易程序降低工作量。
该策略可从以下方面进行优化:
测试更多参数组合,寻找最佳参数。
增加其他确认指标,如量价指标等,形成多重确认。
加入止损机制,如随动止损、区间止损等,进一步控制风险。
优化资金管理策略,如固定份额、Kelly等,提高盈利效率。
不同品种和周期参数设置不同,可以测试更多品种和周期的适用性。
该策略综合运用双重指标形成交易信号,以捕捉市场反转为主要交易方向。具有信号准确率高、风险控制好等优势,也存在一定的改进空间。通过参数优化、止损以及资金管理等方面的改进,可以将该策略优化成一个较强的中长线反转交易策略。
/*backtest
start: 2023-09-10 00:00:00
end: 2023-10-10 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 29/07/2019
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// Chaikin's Volatility indicator compares the spread between a security's
// high and low prices. It quantifies volatility as a widening of the range
// between the high and the low price.
// You can use in the xPrice1 and xPrice2 any series: Open, High, Low, Close, HL2,
// HLC3, OHLC4 and ect...
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
ChaikinVolatility(Length, ROCLength, Trigger) =>
pos = 0
xPrice1 = high
xPrice2 = low
xPrice = xPrice1 - xPrice2
xROC_EMA = roc(ema(xPrice, Length), ROCLength)
pos := iff(xROC_EMA < Trigger, 1,
iff(xROC_EMA > Trigger, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Chaikin Volatility", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthCV = input(10, minval=1)
ROCLength = input(12, minval=1)
Trigger = input(0, minval=0)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posChaikinVolatility = ChaikinVolatility(LengthCV, ROCLength, Trigger)
pos = iff(posReversal123 == 1 and posChaikinVolatility == 1 , 1,
iff(posReversal123 == -1 and posChaikinVolatility == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )