ChaoZhang
概述
该策略基于均线的多时间框架级差,追踪中长线趋势,采用级差仓位追涨模式,实现资金的指数增长。策略最大优势是能抓住中长线趋势,进行分批分阶段的追涨,从而获取超额收益。
策略原理
- 基于9日均线,100日均线和200日均线构建多时间框架。
- 当短周期均线从下向上突破长周期均线时产生买入信号。
- 采用7级差仓位追涨模式,每次开新仓时判断之前的仓位是否已满,如果已经有6个仓位了,则不再增仓。
- 每个仓位设置固定止盈止损点为3%,进行风险控制。
以上就是该策略的基本交易逻辑。
策略优势
- 能够有效抓住中长线趋势,最大程度享受行情的指数级增长。
- 采用多时间周期均线进行级差,能够有效避免被短线市场噪音干扰。
- 设置固定止盈止损点,有效控制每个仓位的风险。
- 采用级差追涨模式,分批建仓,能够把握趋势机会,获得超额收益。
策略风险及解决方法
- 存在被终结的风险。如果行情出现转势,无法及时止损退出,可能面临巨额亏损。解决方法是缩短均线周期,加快止损速度。
- 存在仓位风险。如果突发事件导致亏损超过承受范围,会面临追加保证金或爆仓的风险。解决方法是适当减少初始仓位比例。
- 存在亏损过大的风险。如果行情剧烈下跌,级差追涨转为空头,可能亏损高达700%以上。解决方法是加大固定止损比例,加快止损速度。
策略优化方向
- 可以测试不同参数的均线组合,寻找更优参数。
- 可以优化建仓的仓位数。测试不同的级差仓位数,找到最优解。
- 可以测试固定止损止盈的设置。适当放大止盈范围,追求更高收益率。
总结
该策略总体来说非常适合捕捉行情中长线趋势,采用分批分阶段追涨的方式,能获得风险收益比极高的超额收益。同时也存在一定操作风险,需要通过调整参数等方法加以控制,在获利和风险之间找到平衡。总的来说,该策略非常值得实盘验证,根据实盘结果进一步调整优化。
策略源码
/*backtest
start: 2023-12-27 00:00:00
end: 2024-01-03 00:00:00
period: 1m
basePeriod: 1m
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/
// © Coinrule
//@version=3
strategy(shorttitle='Pyramiding Entry On Early Trends',title='Pyramiding Entry On Early Trends (by Coinrule)', overlay=false, pyramiding= 7, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 20, commission_type=strategy.commission.percent, commission_value=0.1)
//Backtest dates
fromMonth = input(defval = 1, title = "From Month")
fromDay = input(defval = 10, title = "From Day")
fromYear = input(defval = 2020, title = "From Year")
thruMonth = input(defval = 1, title = "Thru Month")
thruDay = input(defval = 1, title = "Thru Day")
thruYear = input(defval = 2112, title = "Thru Year")
showDate = input(defval = true, title = "Show Date Range")
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => true // create function "within window of time"
//MA inputs and calculations
inSignal=input(9, title='MAfast')
inlong1=input(100, title='MAslow')
inlong2=input(200, title='MAlong')
MAfast= sma(close, inSignal)
MAslow= sma(close, inlong1)
MAlong= sma(close, inlong2)
Bullish = crossover(close, MAfast)
longsignal = (Bullish and MAfast > MAslow and MAslow < MAlong and window())
//set take profit
ProfitTarget_Percent = input(3)
Profit_Ticks = (close * (ProfitTarget_Percent / 100)) / syminfo.mintick
//set take profit
LossTarget_Percent = input(3)
Loss_Ticks = (close * (LossTarget_Percent / 100)) / syminfo.mintick
//Order Placing
strategy.entry("Entry 1", strategy.long, when = (strategy.opentrades == 0) and longsignal)
strategy.entry("Entry 2", strategy.long, when = (strategy.opentrades == 1) and longsignal)
strategy.entry("Entry 3", strategy.long, when = (strategy.opentrades == 2) and longsignal)
strategy.entry("Entry 4", strategy.long, when = (strategy.opentrades == 3) and longsignal)
strategy.entry("Entry 5", strategy.long, when = (strategy.opentrades == 4) and longsignal)
strategy.entry("Entry 6", strategy.long, when = (strategy.opentrades == 5) and longsignal)
strategy.entry("Entry 7", strategy.long, when = (strategy.opentrades == 6) and longsignal)
if (strategy.position_size > 0)
strategy.exit(id="Exit 1", from_entry = "Entry 1", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 2", from_entry = "Entry 2", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 3", from_entry = "Entry 3", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 4", from_entry = "Entry 4", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 5", from_entry = "Entry 5", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 6", from_entry = "Entry 6", profit = Profit_Ticks, loss = Loss_Ticks)
strategy.exit(id="Exit 7", from_entry = "Entry 7", profit = Profit_Ticks, loss = Loss_Ticks)