基于均线和威廉指标的日线策略
Author: ChaoZhang, Date: 2024-01-29 14:35:48Tags:
概述
本策略结合使用均线、ATR指标和威廉指标,针对GBP/JPY这个外汇品种进行日线级别的交易。策略先通过均线判断价格趋势和可能的反转点,然后利用威廉指标进一步确认交易信号,同时用ATR指标计算止损位和交易量。
策略原理
- 使用20日线的均线(基线)判断价格整体趋势,价格从均线下方上扫为买入信号,从均线上方下破为卖出信号
- 威廉指标用来确认价格反转。指标上穿-35时为买入确认,下穿-70时为卖出确认
- ATR指标计算过去2天的平均波动范围。该数值乘以系数后设定为止损距离
- 按照账户权益的50%进行风险控制。交易量按照止损距离和风险比例计算
- 进入长仓后,止损点为价格低点减去止损距离。止盈点为入场点加100点。Exiting logic用于进一步确认退出信号
- 进入短仓后,止损和止盈同上。Exiting logic用于进一步确认退出信号
优势分析
- 综合使用均线判断趋势和指标确认进场,可以有效过滤假突破带来的损失
- ATR动态止损可以据市场波动幅度设定合理的止损距离
- 风险控制和动态交易量计算可以最大限度控制单笔损失
- Exiting logic结合均线判断能进一步确认退出时机,避免过早停利
风险分析
- 均线判断产生错误信号的概率较大,需要指标进一步确认
- 指标本身也会产生错误信号,无法完全避免亏损的发生
- 该策略更适合趋势品种,对于范围波动品种效果可能较差
- 风险控制的比例设置不当也可能影响策略收益
可以通过调整均线周期,组合更多指标,或人工干预交易等方法进一步优化和改进。
总结
该策略结合趋势判断和指标过滤,针对GBP/JPY日线级别交易进行方法设计。同时运用动态止损、风险控制等手段控制交易风险。优化空间还很大,通过参数调整和方法组合可以进一步改进策略效果。
/*backtest
start: 2023-12-29 00:00:00
end: 2024-01-28 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("GBPJPY DAILY FX",initial_capital = 1000,currency="USD", overlay=true)
UseHAcandles = input(false, title="Use Heikin Ashi Candles in Algo Calculations")
//
// === /INPUTS ===
// === BASE FUNCTIONS ===
haClose = UseHAcandles ? security(heikinashi(syminfo.tickerid), timeframe.period, close) : close
haOpen = UseHAcandles ? security(heikinashi(syminfo.tickerid), timeframe.period, open) : open
haHigh = UseHAcandles ? security(heikinashi(syminfo.tickerid), timeframe.period, high) : high
haLow = UseHAcandles ? security(heikinashi(syminfo.tickerid), timeframe.period, low) : low
//INDICATOR---------------------------------------------------------------------
//Average True Range (1. RISK)
atr_period = 2
atr = atr(atr_period)
//Ichimoku Cloud - Kijun Sen (2. BASELINE)
ks_period = 20
kijun_sen = (highest(haHigh,ks_period) + lowest(haLow,ks_period))/2
base_long = haOpen < kijun_sen and haClose > kijun_sen
base_short = haOpen > kijun_sen and haClose < kijun_sen
//Williams Percent Range (3. Confirmation#1)
use_wpr = true
wpr_len = 4
wpr = -100*(highest(haHigh,wpr_len) - haClose)/(highest(haHigh,wpr_len) - lowest(haLow,wpr_len))
wpr_up = -35
wpr_low = -70
conf1_long = wpr >= wpr_up
conf1_short = wpr <= wpr_low
if(use_wpr == false)
conf1_long := true
conf1_short := true
//TRADE LOGIC-------------------------------------------------------------------
//Long Entry
//if -> WPR crosses below -39 AND MACD line is less than signal line
l_en = base_long and conf1_long
//Long Exit
//if -> WPR crosses above -14
l_ex = haClose < kijun_sen
//Short Entry
//if -> WPR crosses above -39 AND MACD line is greater than signal line
s_en = base_short and conf1_short
//Short Exit
//if -> WPR crosses under -14
s_ex = haClose > kijun_sen
strategy.initial_capital = 50000
//MONEY MANAGEMENT--------------------------------------------------------------
balance = strategy.netprofit + strategy.initial_capital //current balance
floating = strategy.openprofit //floating profit/loss
isTwoDigit = input(true,"Is this a 2 digit pair? (JPY, XAU, XPD...")
risk = input(50,"Risk %")/100 //risk % per trade
equity_protector = input(30,"Equity Protection %")/100 //equity protection %
stop = atr*100000*input(1,"Average True Range multiplier") //Stop level
if(isTwoDigit)
stop := stop/100
target = input(100, "Target TP in Points") //TP level
//Calculate current DD and determine if stopout is necessary
equity_stopout = false
if(floating<0 and abs(floating/balance)>equity_protector)
equity_stopout := true
//Calculate the size of the next trade
temp01 = balance * risk //Risk in USD
temp02 = temp01/stop //Risk in lots
temp03 = temp02*100000 //Convert to contracts
size = temp03 - temp03%1000 //Normalize to 1000s (Trade size)
if(size < 1)
size := 1 //Set min. lot size
//TRADE EXECUTION---------------------------------------------------------------
strategy.close_all(equity_stopout) //Close all trades w/equity protector
is_open = strategy.opentrades > 0
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2000, title = "From Year", minval = 1970)
//monday and session
// To Date Inputs
toDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2021, title = "To Year", minval = 1970)
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
if(time_cond)
strategy.entry("l_en",true,1,oca_name="a",when=l_en and not is_open) //Long entry
strategy.entry("s_en",false,1,oca_name="a",when=s_en and not is_open) //Short entry
strategy.exit("S/L","l_en",loss=stop, profit=target) //Long exit (stop loss)
strategy.close("l_en",when=l_ex) //Long exit (exit condition)
strategy.exit("S/L","s_en",loss=stop, profit=target) //Short exit (stop loss)
strategy.close("s_en",when=s_ex) //Short exit (exit condition)
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