ChaoZhang
概述
该策略集成了多种技术指标和交易概念,可用于自动生成买入和卖出信号。主要特点是结合趋势分析指标实现优化止损,同时利用均线交叉产生交易信号。
策略原理
技术指标
定制UTSTC指标:基于平均真实波幅实现了一个自适应追踪止损指标,可根据市场波动性调整止损范围。
STC指标:快速简单移动平均线和慢速简单移动平均线的差值,用于判断市场趋势方向和潜在反转点。
简单移动平均线(SMA)和指数移动平均线(EMA):计算不同周期的移动平均线并绘画,提供额外的趋势判断信息。
交易信号
买入信号:当收盘价上穿UTSTC指标并且STC指标处于看涨状态时产生。
卖出信号:当收盘价下穿UTSTC指标并且STC指标处于看跌状态时产生。
策略优势
整合多种指标判断市场趋势,可提高信号准确率。
UTSTC指标根据真实波幅自动调整止损范围,可有效控制每单亏损。
利用均线交叉产生简单有效的交易信号。
不同参数设置组合可以适应更多市场环境。
策略风险
STC等趋势判断指标存在滞后,可能错过短期反转机会。
均线交叉信号可能产生假信号。
需要仔细评估各个参数设置,不当组合可能降低盈利或增加亏损。
止损范围过大可能增加亏损风险,过小可能过早止损。
优化方向
测试不同长度周期的STC指标参数,寻找对策略影响最小的设置。
尝试结合其他指标过滤假信号,如KDJ、MACD等。
根据回测结果调整止损参数,找到最优参数组合。
评估不同持仓时间设置,寻找最优持仓周期。
总结
该策略整合趋势判断、自动止损管理和交易信号判断多个模块,形成一个较为全面的量化交易方案。通过参数调优和功能扩展,可望获得稳定的收益。但任何策略都无法完全规避亏损,需要谨慎验证效果并做好风险控制。
策略源码
/*backtest
start: 2022-12-01 00:00:00
end: 2023-12-07 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("OB+LQ+UTSTC+SMA+EMA-NORA-MIP21-Jashore-Bangladesh-OneMinuteTF", shorttitle="OB+LS+UTSTC-MIP21-Jashore-Bangladesh-OneMinuteTF", overlay=true)
// Order Block + Liquidity Swings [NORA] Settings
pivot_length = input(14, title="Pivot Lookback")
bull_ext_last = input(3, title="Bullish OB Extension")
bear_ext_last = input(3, title="Bearish OB Extension")
swing_length = input(5, title="Swing Length")
area = input("Wick Extremity", title="Swing Area", options=["Wick Extremity", "Full Range"])
min_profit = input(0.5, title="Minimum Profit Target")
max_loss = input(0.5, title="Maximum Loss Stop")
// Variables
var float bull_ob_price = na
var float bear_ob_price = na
var float swing_high = na
var float swing_low = na
// Calculate Order Block Prices
var float low_lowest = na
var float high_highest = na
if bar_index >= pivot_length
low_lowest := lowest(low, pivot_length)
high_highest := highest(high, pivot_length)
bull_ob_price := low_lowest
bear_ob_price := high_highest
// Calculate Swing High/Low Prices
var float low_lowest_swing = na
var float high_highest_swing = na
if area == "Wick Extremity"
low_lowest_swing := lowest(low, swing_length)
high_highest_swing := highest(high, swing_length)
else
low_lowest_swing := lowest(high - low, swing_length)
high_highest_swing := highest(high - low, swing_length)
swing_low := low_lowest_swing
swing_high := high_highest_swing
// Trading Logic for Order Block + Liquidity Swings
buy_liquidity = crossover(close, bull_ob_price) and close > swing_low
sell_liquidity = crossunder(close, bear_ob_price) and close < swing_high
// Plot Buy/Sell Signals for Order Block + Liquidity Swings
plotshape(series=buy_liquidity, style=shape.labelup, location=location.belowbar, color=color.rgb(39, 166, 175), size=size.small, title="Bullish LQ")
plotshape(series=sell_liquidity, style=shape.labeldown, location=location.abovebar, color=color.rgb(248, 95, 215), size=size.small, title="Bearish LQ")
// UTSTC-SMA-EMA-NORA-New Settings
keyvalue = input(3, title="UT Bot Key Value", step=0.5)
atrperiod = input(10, title="UT Bot ATR Period")
src = close
xATR = atr(atrperiod)
nLoss = keyvalue * xATR
xATRTrailingStop = 0.0
xATRTrailingStop := iff(src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0), max(nz(xATRTrailingStop[1]), src - nLoss),
iff(src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0), min(nz(xATRTrailingStop[1]), src + nLoss),
iff(src > nz(xATRTrailingStop[1], 0), src - nLoss, src + nLoss)))
pos = 0
pos := iff(src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0), 1,
iff(src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0), -1, nz(pos[1], 0)))
xcolor = pos == -1 ? color.red: pos == 1 ? color.green : color.blue
plot(xATRTrailingStop, color=xcolor, title="UT Bot Trailing Stop")
// STC Settings
stc_length = input(12, title="STC Length")
fastLength = input(26, title="STC Fast Length")
slowLength = input(50, title="STC Slow Length")
fastMA = ema(close, fastLength)
slowMA = ema(close, slowLength)
STC = fastMA - slowMA
STCColor = STC > STC[1] ? color.green : color.red
plot(STC, color=STCColor, title="STC")
// Add SMAs
sma21 = sma(close, 21)
sma44 = sma(close, 44)
plot(sma21, color=color.blue, title="SMA 21")
plot(sma44, color=color.orange, title="SMA 44")
// Add EMA
ema5 = ema(close, 5)
plot(ema5, color=color.yellow, title="EMA 5")
// Combined Strategy
buySignal = crossover(src, xATRTrailingStop) and STC < 25 and STCColor == color.green
sellSignal = crossunder(src, xATRTrailingStop) and STC > 75 and STCColor == color.red
// Plot Buy and Sell signals as triangles
plotshape(series=buySignal, title="Buy Signal", location=location.belowbar, color=color.green, style=shape.triangleup, size=size.small)
plotshape(series=sellSignal, title="Sell Signal", location=location.abovebar, color=color.red, style=shape.triangledown, size=size.small)
strategy.entry("Buy", strategy.long, when=buySignal)
strategy.entry("Sell", strategy.short, when=sellSignal)