支撑阻力震荡交易策略

Author: ChaoZhang, Date: 2024-01-25 15:53:06
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支撑阻力震荡交易策略

概述

本策略通过结合RSI、随机指标的交叉策略,结合平仓滑点优化策略,实现了交易逻辑的精确控制和准确止损止盈。同时,通过引入信号优化,可以更好地掌控趋势,实现资金的合理管理。

策略原理

RSI指标判断超买超卖区域,配合随机指标K值和D值的金叉死叉形成交易信号。
引入对K线的分型识别,辅助判断趋势信号,避免错误交易。
SMA均线辅助判断趋势方向。当短期均线从下向上突破长期均线时为看涨信号。
平仓滑点策略,根据最高价最低价波动范围来设置止损止盈价格。

优势分析

RSI指标参数优化,很好地判定超买超卖区域,避免错误交易
STO指标参数优化,平滑度参数的调节,可以滤除噪声,提高信号质量
引入Heikin-Ashi技术分析,识别K线实体方向变化,确保交易信号准确性
SMA均线辅助判断大趋势方向,避免逆势交易
结合止盈止损滑点策略,可以最大程度锁定每次交易的盈利

风险分析

大盘持续下跌时,资金面临较大风险
交易频率可能过高,增加交易成本和滑点成本
RSI指标容易形成虚假信号,应结合其他指标过滤

策略优化

调整RSI参数,优化超买超卖判断
调整STO指标参数,平滑度和周期,提高信号质量
调整移动均线周期,优化趋势判断
引入更多技术指标,提高信号判断准确性
优化止损止盈比例,降低单次交易风险

总结

该策略整合了多种主流技术指标优势,通过参数优化和规则完善,实现了交易信号质量和止盈止损的平衡。具有一定的通用性和稳定盈利能力。通过持续优化,可以进一步提高胜率和盈利率。

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//study(title="@sentenzal strategy", shorttitle="@sentenzal strategy", overlay=true)
strategy(title="@sentenzal strategy", shorttitle="@sentenzal strategy", overlay=true  )
smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
overbought = input(80, minval=1)
oversold = input(20, minval=1)
smaLengh = input(100, minval=1)
smaLengh2 = input(50, minval=1)
smaLengh3 = input(20, minval=1)

src = input(close, title="RSI Source")
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testPeriod() =>
    time >= testPeriodStart ? true : false

rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
crossBuy = crossover(k, d) and k < oversold
crossSell = crossunder(k, d) and k > overbought

dcLower = lowest(low, 10)
dcUpper = highest(high, 10)


heikinashi_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
heikinashi_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
heikinashi_low = security(heikinashi(syminfo.tickerid), timeframe.period, low)
heikinashi_high = security(heikinashi(syminfo.tickerid), timeframe.period, high)
heikinashiPositive = heikinashi_close >= heikinashi_open

heikinashiBuy = heikinashiPositive == true and heikinashiPositive[1] == false  and heikinashiPositive[2] == false
heikinashiSell = heikinashiPositive == false and heikinashiPositive[1] == true and heikinashiPositive[2] == true

//plotshape(heikinashiBuy, style=shape.arrowup, color=green, location=location.belowbar, size=size.tiny)
//plotshape(heikinashiSell, style=shape.arrowdown, color=red, location=location.abovebar, size=size.tiny)

buy = (crossBuy == true or crossBuy[1] == true or crossBuy[2] == true) and (heikinashiBuy == true or heikinashiBuy[1] == true or heikinashiBuy[2] == true)
sell = (crossSell == true or crossSell[1] == true or crossSell[2] == true) and (heikinashiSell == true or heikinashiSell[1] == true or heikinashiSell[2] == true)

mult = timeframe.period == '15' ? 4 : 1
mult2 = timeframe.period == '240' ? 0.25 : mult

movingAverage = sma(close, round(smaLengh))
movingAverage2 = sma(close, round(smaLengh2))
movingAverage3 = sma(close, round(smaLengh3))

uptrend = movingAverage < movingAverage2 and movingAverage2 < movingAverage3 and close > movingAverage
downtrend = movingAverage > movingAverage2 and movingAverage2 > movingAverage3 and close < movingAverage

signalBuy = (buy[1] == false and buy[2] == false and buy == true) and uptrend
signalSell = (sell[1] == false and sell[2] == false and sell == true) and downtrend

takeProfitSell = (buy[1] == false and buy[2] == false and buy == true) and uptrend == false
takeProfitBuy = (sell[1] == false and sell[2] == false and sell == true)  and uptrend

plotshape(signalBuy, style=shape.triangleup, color=green, location=location.belowbar, size=size.tiny)
plotshape(signalSell, style=shape.triangledown, color=red, location=location.abovebar, size=size.tiny)



plot(movingAverage, linewidth=3, color=orange, transp=0)
plot(movingAverage2, linewidth=2, color=purple, transp=0)
plot(movingAverage3, linewidth=1, color=navy, transp=0)

alertcondition(signalBuy, title='Signal Buy', message='Signal Buy')
alertcondition(signalSell, title='Signal Sell', message='Signal Sell')


strategy.close("L", when=dcLower[1] > low)
strategy.close("S", when=dcUpper[1] < high)

strategy.entry("L", strategy.long, 1, when = signalBuy and testPeriod() and uptrend) 
strategy.entry("S", strategy.short, 1, when = signalSell and testPeriod() and uptrend ==false) 

//strategy.exit("Exit Long", from_entry = "L", loss = 25000000, profit=25000000)
//strategy.exit("Exit Short", from_entry = "S", loss = 25000000, profit=25000000)

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