两重分形突破策略
Author: ChaoZhang, Date: 2024-01-30 15:53:27Tags:
概述
两重分形突破策略是一种基于技术形态的量化交易策略。该策略通过识别双重底分形和双重顶分形的形成,并在价格突破这些分形时发出买入和卖出信号。
策略原理
该策略的核心思想基于分形理论。当出现类似M或W型的短期转折点时,这表明当前趋势可能发生反转。具体来说,当连续5根K线形成较高高度或者较低低度的特定组合时,就会形成底分形或顶分形。例如,如果K线图中,前2根K线中的最高价高于其后3根K线的最高价,那么就形成了顶分形。
当价格跌破底分形或涨破顶分形时,这表明反转的可能性较大,因此策略会分别产生买入和卖出信号。
策略优势
这种策略的主要优势在于能识别潜在的趋势反转点,这对于跟踪趋势类型的交易策略非常有用。此外,相比于仅依赖单一K线形态的策略,两重分形的识别使得交易信号更加可靠。
策略风险
该策略的主要风险在于分形识别并不能百分之百确保价格反转。有时价格可能只是短期调整,并没有发生趋势转变。这时,如果策略产生错误信号,将导致不必要的损失。要降低这种风险,可以结合其他指标如交易量来验证价格反转的可能性。
策略优化
这种策略可以通过以下方式来进一步优化:
增加过滤条件,如交易量指标等,避免被假反转误导。
调整参数,识别更大时间周期的双重分形,以便捕捉大趋势的反转。
结合移动止损策略,来减少亏损单的损失。
总结
两重分形突破策略通过识别特定K线形态来判断潜在的价格反转,是一种常见的技术指标驱动型策略。它可以有效地跟踪市场的短期和中期趋势,并具有较高的盈亏比,是一种可靠且实用的交易策略。
/*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
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © ceyhun
strategy("Fractal Breakout Strategy", overlay=true)
FUp = high[4] < high[2] and high[3] < high[2] and high[1] < high[2] and high < high[2] or
high[5] < high[2] and high[4] < high[2] and high[3] <= high[2] and
high[1] < high[2] and high < high[2] or
high[6] < high[2] and high[5] < high[2] and high[4] <= high[2] and
high[3] <= high[2] and high[1] < high[2] and high < high[2] or
high[7] < high[2] and high[6] < high[2] and high[5] <= high[2] and
high[4] <= high[2] and high[3] <= high[2] and high[1] < high[2] and
high < high[2] or
high[8] < high[2] and high[7] < high[2] and high[6] <= high[2] and
high[5] <= high[2] and high[4] <= high[2] and high[3] <= high[2] and
high[1] < high[2] and high < high[2]
FractalUp = valuewhen(FUp, high[2], 1)
plot(FractalUp, color=#0000FF,title="FractalUp")
FDown = low[4] > low[2] and low[3] > low[2] and low[1] > low[2] and low > low[2] or
low[5] > low[2] and low[4] > low[2] and low[3] >= low[2] and low[1] > low[2] and
low > low[2] or
low[6] > low[2] and low[5] > low[2] and low[4] >= low[2] and low[3] >= low[2] and
low[1] > low[2] and low > low[2] or
low[7] > low[2] and low[6] > low[2] and low[5] >= low[2] and low[4] >= low[2] and
low[3] >= low[2] and low[1] > low[2] and low > low[2] or
low[8] > low[2] and low[7] > low[2] and low[6] >= low[2] and low[5] >= low[2] and
low[4] >= low[2] and low[3] >= low[2] and low[1] > low[2] and low > low[2]
FractalDown = valuewhen(FDown, low[2], 1)
plot(FractalDown, color=#FF0000,title="FractalDown")
if crossover(close, FractalUp)
strategy.entry("Long", strategy.long, comment="Long")
if crossunder(close, FractalDown)
strategy.entry("Short", strategy.short, comment="Short")
更多内容