动态止损布林带策略
Author: ChaoZhang, Date: 2024-02-01 10:48:52Tags:
概述
该策略利用布林带的上下轨,实现动态止损。当价格突破布林带上轨时做空,突破下轨时做多,并设置动态止损,追踪价格运行。
原理
该策略的核心在于布林带的上下轨。布林带中轨为n日移动平均线,上轨为中轨+k*n日标准差,下轨为中轨-k*n日标准差。当价格从下轨反弹向上时,做多;当价格从上轨向下回落时,做空。同时,策略设置止损位,在价格运行过程中,动态调整止损位,并设置止盈位,实现谨慎的风险控制。
优势
- 利用布林带具有较强的回归中轨性质,捕捉中长线趋势;
- 做多做空信号清晰,容易操作;
- 设置动态滑点止损,最大程度锁定盈利,控制风险;
- 可根据市场调整参数,适应不同行情。
风险及解决
- 布林带在震荡行情中会有多次做多做空信号,容易被套。解决方法是合理设置止损位,控制单笔损失。
- 参数设置不当可能导致胜率下降。解决方法是根据不同品种合理优化参数。
优化方向
- 优化移动平均线参数,适应品种特性;
- 加入趋势过滤,避免震荡行情;
- 结合其他指标作为过滤条件,提高策略稳定性。
总结
该策略利用布林带的回归属性,配合动态滑点止损,在控制风险的前提下获取中长线趋势利润,是一种适应性强、稳定性高的量化策略。通过参数优化和规则优化,可以适应更多品种,在实盘中获得稳定收益。
/*backtest
start: 2024-01-24 00:00:00
end: 2024-01-31 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy(shorttitle="BB Strategy", title="Bollinger Bands Strategy", overlay=true)
length = input.int(20, minval=1, group = "Bollinger Bands")
maType = input.string("SMA", "Basis MA Type", options = ["SMA", "EMA", "SMMA (RMA)", "WMA", "VWMA"], group = "Bollinger Bands")
src = input(close, title="Source", group = "Bollinger Bands")
mult = input.float(2.0, minval=0.001, maxval=50, title="StdDev", group = "Bollinger Bands")
ma(source, length, _type) =>
switch _type
"SMA" => ta.sma(source, length)
"EMA" => ta.ema(source, length)
"SMMA (RMA)" => ta.rma(source, length)
"WMA" => ta.wma(source, length)
"VWMA" => ta.vwma(source, length)
basis = ma(src, length, maType)
dev = mult * ta.stdev(src, length)
upper = basis + dev
lower = basis - dev
offset = input.int(0, "Offset", minval = -500, maxval = 500, group = "Bollinger Bands")
plot(basis, "Basis", color=#FF6D00, offset = offset)
p1 = plot(upper, "Upper", color=#2962FF, offset = offset)
p2 = plot(lower, "Lower", color=#2962FF, offset = offset)
fill(p1, p2, title = "Background", color=color.rgb(33, 150, 243, 95))
lo = input.bool(true, "Long", group = "Strategy")
sh = input.bool(true, "Short", group = "Strategy")
x = input.float(3.0, "Target Multiplier (X)", group = "Strategy", minval = 1.0, step = 0.1)
token = input.string(defval = "", title = "Token", group = "AUTOMATION")
Buy_CE = '{"auth-token":"' + token + '","key":"Value1","value":"' + str.tostring(1) + '"}'
Buy_PE = '{"auth-token":"' + token + '","key":"Value1","value":"' + str.tostring(2) + '"}'
Exit_CE = '{"auth-token":"' + token + '","key":"Value1","value":"' + str.tostring(-1) + '"}'
Exit_PE = '{"auth-token":"' + token + '","key":"Value1","value":"' + str.tostring(-2) + '"}'
Exit_PE_CE = '{"auth-token":"' + token + '","key":"Value1","value":"' + str.tostring(2.5) + '"}'
Exit_CE_PE = '{"auth-token":"' + token + '","key":"Value1","value":"' + str.tostring(1.5) + '"}'
long = high < lower
short = low > upper
var sl_b = 0.0
var tar_b = 0.0
var sl_s = 0.0
var tar_s = 0.0
var static_sl = 0.0
entry = strategy.opentrades.entry_price(strategy.opentrades - 1)
if long and lo and strategy.position_size == 0
strategy.entry("Long", strategy.long, alert_message = Buy_CE, stop = high)
strategy.exit("LX", "Long", profit = (math.abs(high - low) * x)/syminfo.mintick, stop = low, alert_message = Exit_CE)
sl_b := low
tar_b := high + (math.abs(high - low) * x)
static_sl := math.abs(low - high)
if short and sh and strategy.position_size == 0
strategy.entry("Short", strategy.short, alert_message = Buy_PE, stop = low)
strategy.exit("SX", "Short", profit = (math.abs(high - low) * x)/syminfo.mintick, stop = high, alert_message = Exit_PE)
sl_s := high
tar_s := low - (math.abs(high - low) * x)
static_sl := math.abs(high - low)
// if long and strategy.position_size < 0
// strategy.entry("Long", strategy.long, alert_message = Exit_PE_CE, stop = high)
// strategy.exit("LX", "Long", profit = (math.abs(high - low) * x)/syminfo.mintick, stop = low, alert_message = Exit_CE)
// sl_b := low
// tar_b := high + (math.abs(high - low) * x)
// if short and strategy.position_size > 0
// strategy.entry("Short", strategy.short, alert_message = Exit_CE_PE, stop = low)
// strategy.exit("SX", "Short", profit = (math.abs(high - low) * x)/syminfo.mintick, stop = high, alert_message = Exit_PE)
// sl_s := math.max(high[1], high)
// tar_s := low - (math.abs(high - low) * x)
if ta.change(dayofmonth) or (long[1] and not long[2])
strategy.cancel("Long")
if ta.change(dayofmonth) or (short[1] and not short[2])
strategy.cancel("Short")
var count = 1
if strategy.position_size != 0
if strategy.position_size > 0
if close > (entry + (static_sl * count))
strategy.exit("LX", "Long", limit = tar_b, stop = sl_b, alert_message = Exit_CE)
sl_b := entry + (static_sl * (count - 1))
count += 1
else
if close < (entry - (static_sl * count))
strategy.exit("SX", "Short", limit = tar_s, stop = sl_s, alert_message = Exit_PE)
sl_s := entry - (static_sl * (count - 1))
count += 1
// label.new(bar_index, high, str.tostring(static_sl))
if strategy.position_size == 0
count := 1
plot(strategy.position_size > 0 ? sl_b : na, "", color.red, style = plot.style_linebr)
plot(strategy.position_size < 0 ? sl_s : na, "", color.red, style = plot.style_linebr)
plot(strategy.position_size > 0 ? tar_b : na, "", color.green, style = plot.style_linebr)
plot(strategy.position_size < 0 ? tar_s : na, "", color.green, style = plot.style_linebr)
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