趋势跟踪均值回归通道策略
Author: ChaoZhang, Date: 2023-11-01 16:20:45Tags:
概述
本策略基于CCI指标设计了一个灵活的跟踪趋势的自动交易系统。它可以根据CCI指标的0轴上穿或下穿发出交易信号,也可以通过自定义上下通道带及通道带交叉发出信号。策略可以设置固定止损、止盈比例,同时拥有时间段交易和每日固定时间段交易等多种功能。
策略原理
利用CCI指标的0轴交叉来判断市场趋势,CCI上穿0轴为看涨信号,CCI下穿0轴为看跌信号。
通过自定义CCI上下通道带,当CCI上穿上通道带为看涨信号,CCI下穿下通道带为看跌信号。通道带交叉为止损信号。
可设置只在特定时间段交易,未交易时段平仓。可设置每日固定时间段交易。
可设置固定止损、止盈比例。
可自定义交易开平仓的Alert消息。
策略完全自定义灵活,可调整CCI参数、通道带参数、止损止盈参数等优化策略。
优势分析
使用CCI指标判断市场趋势,CCI对价格变化敏感,能快速捕捉市场转折点。
自定义通道带可根据不同市场调整参数,通道带交叉止损可有效控制风险。
支持多种交易时间设置,可根据不同时间段调整策略参数,利用不同时间段的特征获得超额收益。
支持固定止损止盈设置,可以预设盈亏比,有效控制个别交易的风险。
完全可自定义参数,可以针对不同品种、市场行情进行策略优化,获得更好的效果。
风险分析
CCI指标对价格变化敏感,可能产生部分假信号,应结合较长周期指标进行验证。
固定止损止盈比例无法根据市场变化进行调整,应适当保守设置比例。
固定交易时间可能错过市场短线调整的机会,应适当选择有交易价值的时间段。
需要频繁优化参数,如果优化不当可能导致过度交易或漏掉交易机会。
需要与行业情况、宏观环境等多方面因素结合,单纯依靠参数优化无法完全规避风险。
优化方向
结合长短周期指标进行验证,避免CCI产生假信号。
利用ATR等指标设定动态止损止盈。
测试不同时间段参数效果,选择交易高效时段。
优化CCI参数、通道带参数,适应市场变化。
考虑结合趋势、波动性、成交量等多因素进行综合判断。
根据交易品种特点选择合适交易时间段。
考虑加入机器学习算法,实现策略的自动优化。
总结
本策略整体来说是一个非常灵活和可定制的趋势跟踪交易系统。策略具有利用CCI判断趋势、自定义通道带控制风险、设置固定止盈止损、选择交易时间段等多项优势。同时也需要注意CCI易产生假信号、固定止盈止损比例无法动态调整等问题。未来可从优化参数、筛选交易信号、选择高效时间段等方面进行策略改进,并增加机器学习等算法引入智能化管理,使策略能够自动适应市场变化,从而获得更稳定的超额收益。
/*backtest
start: 2023-10-01 00:00:00
end: 2023-10-31 00:00:00
period: 1h
basePeriod: 15m
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/
// © REV0LUTI0N
//@version=4
strategy(title="CCI Strategy", overlay=true, initial_capital = 10000, default_qty_value = 10000, default_qty_type = strategy.cash)
//CCI Code
length = input(20, minval=1, title="CCI Length")
src = input(close, title="Source")
ma = sma(src, length)
cci = (src - ma) / (0.015 * dev(src, length))
// Strategy Backtesting
startDate = input(timestamp("2099-10-01T00:00:00"), type = input.time, title='Backtesting Start Date')
finishDate = input(timestamp("9999-12-31T00:00:00"), type = input.time, title='Backtesting End Date')
time_cond = true
//Time Restriction Settings
startendtime = input("", title='Time Frame To Enter Trades')
enableclose = input(false, title='Enable Close Trade At End Of Time Frame')
timetobuy = true
timetoclose = true
//Strategy Settings
//Strategy Settings - Enable Check Boxes
enableentry = input(true, title="Enter First Trade ASAP")
enableconfirmation = input(false, title="Wait For Cross To Enter First Trade")
enablezero =input(true, title="Use CCI Simple Cross Line For Entries & Exits")
enablebands = input(false, title="Use Upper & Lower Bands For Entries & Exits")
//Strategy Settings - Band Sources
ccisource = input(0, title="CCI Simple Cross")
upperbandsource =input(100, title="CCI Enter Long Band")
upperbandexitsource =input(100, title="CCI Exit Long Band")
lowerbandsource =input(-100, title="CCI Enter Short Band")
lowerbandexitsource =input(-100, title="CCI Exit Short Band")
//Strategy Settings - Crosses
simplecrossup = crossover(cci, ccisource)
simplecrossdown = crossunder(cci, ccisource)
uppercrossup = crossover(cci, upperbandsource)
lowercrossdown = crossunder(cci, lowerbandsource)
uppercrossdown = crossunder(cci, upperbandexitsource)
lowercrossup = crossover(cci, lowerbandexitsource)
upperstop = crossunder(cci, upperbandsource)
lowerstop = crossover(cci, lowerbandsource)
// Stop Loss & Take Profit % Based
enablesl = input(false, title='Enable Stop Loss')
enabletp = input(false, title='Enable Take Profit')
stopTick = input(5.0, title='Stop Loss %', type=input.float, step=0.1) / 100
takeTick = input(10.0, title='Take Profit %', type=input.float, step=0.1) / 100
longStop = strategy.position_avg_price * (1 - stopTick)
shortStop = strategy.position_avg_price * (1 + stopTick)
shortTake = strategy.position_avg_price * (1 - takeTick)
longTake = strategy.position_avg_price * (1 + takeTick)
plot(strategy.position_size > 0 and enablesl ? longStop : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Long Fixed SL")
plot(strategy.position_size < 0 and enablesl ? shortStop : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Short Fixed SL")
plot(strategy.position_size > 0 and enabletp ? longTake : na, style=plot.style_linebr, color=color.green, linewidth=1, title="Long Take Profit")
plot(strategy.position_size < 0 and enabletp ? shortTake : na, style=plot.style_linebr, color=color.green, linewidth=1, title="Short Take Profit")
// Alert messages
message_enterlong = input("", title="Long Entry message")
message_entershort = input("", title="Short Entry message")
message_closelong = input("", title="Close Long message")
message_closeshort = input("", title="Close Short message")
//Strategy Execution
//Strategy Execution - Simple Line Cross
if (cci > ccisource and enablezero and enableentry and time_cond and timetobuy)
strategy.entry("Long", strategy.long, alert_message = message_enterlong)
if (cci < ccisource and enablezero and enableentry and time_cond and timetobuy)
strategy.entry("Short", strategy.short, alert_message = message_entershort)
if (simplecrossup and enablezero and enableconfirmation and time_cond and timetobuy)
strategy.entry("Long", strategy.long, alert_message = message_enterlong)
if (simplecrossdown and enablezero and enableconfirmation and time_cond and timetobuy)
strategy.entry("Short", strategy.short, alert_message = message_entershort)
//Strategy Execution - Upper and Lower Band Entry
if (uppercrossup and enablebands and time_cond and timetobuy)
strategy.entry("Long", strategy.long, alert_message = message_enterlong)
if (lowercrossdown and enablebands and time_cond and timetobuy)
strategy.entry("Short", strategy.short, alert_message = message_entershort)
//Strategy Execution - Upper and Lower Band Exit
if strategy.position_size > 0 and uppercrossdown and enablebands and time_cond and timetobuy
strategy.close_all(alert_message = message_closelong)
if strategy.position_size < 0 and lowercrossup and enablebands and time_cond and timetobuy
strategy.close_all(alert_message = message_closeshort)
//Strategy Execution - Upper and Lower Band Stops
if strategy.position_size > 0 and upperstop and enablebands and time_cond and timetobuy
strategy.close_all(alert_message = message_closelong)
if strategy.position_size < 0 and lowerstop and enablebands and time_cond and timetobuy
strategy.close_all(alert_message = message_closeshort)
//Strategy Execution - Close Trade At End Of Time Frame
if strategy.position_size > 0 and timetoclose and enableclose and time_cond
strategy.close_all(alert_message = message_closelong)
if strategy.position_size < 0 and timetoclose and enableclose and time_cond
strategy.close_all(alert_message = message_closeshort)
//Strategy Execution - Stop Loss and Take Profit
if strategy.position_size > 0 and enablesl and time_cond
strategy.exit(id="Close Long", stop=longStop, limit=longTake, alert_message = message_closelong)
if strategy.position_size < 0 and enablesl and time_cond
strategy.exit(id="Close Short", stop=shortStop, limit=shortTake, alert_message = message_closeshort)
if strategy.position_size > 0 and enabletp and time_cond
strategy.exit(id="Close Long", stop=longStop, limit=longTake, alert_message = message_closelong)
if strategy.position_size < 0 and enabletp and time_cond
strategy.exit(id="Close Short", stop=shortStop, limit=shortTake, alert_message = message_closeshort)
更多内容