双向自适应布林带趋势追踪策略

Author: ChaoZhang, Date: 2024-02-04 15:30:46
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双向自适应布林带趋势追踪策略

概述

本策略采用双向自适应布林带指标来识别趋势方向,并结合市价单进行追踪止损,实现高效率的趋势追踪交易。

策略原理

根据一定周期计算布林中轨,上轨和下轨
判断价格突破上轨则做多追踪,突破下轨则做空追踪
采用市价单快速进场
设置止损位置,止盈位置进行持仓管理

优势分析

自适应布林带指标,对市场波动敏感,能快速判断趋势转向
采用市价单快速进入场内,减少滑点风险
自动止损止盈,严格控制风险,锁定利润

风险分析

布林带本身具有滞后性,不能完全避免假突破
采用市价单无法控制成交价格
需要合理设置止损位和止盈位

优化方向

调整布林带的参数,优化判断趋势的灵敏度
加入成交量或MACD等指标过滤假突破
优化止损位和止盈位的设置

总结

本策略充分利用布林带判断趋势方向和变化的优势,结合快速出场的市价单进行双向追踪,在控制风险的前提下获得超额收益。通过进一步优化布林带参数,加入辅助过滤指标,调整止损止盈逻辑等手段,可以获得更好的策略表现。该策略思路清晰易于实现,是一种高效可靠的趋势追踪交易策略。

/*backtest
start: 2024-01-04 00:00:00
end: 2024-02-03 00:00:00
period: 1h
basePeriod: 15m
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/
// © CryptoRox

//@version=4
//Paste the line below in your alerts to run the built-in commands.
//{{strategy.order.alert_message}}
strategy("Automated - Fibs with Market orders", "Strategy", true)

//Settings 
testing = input(false, "Live")
//Use epochconverter or something similar to get the current timestamp.
starttime = input(1600976975, "Start Timestamp") * 1000
//Wait XX seconds from that timestamp before the strategy starts looking for an entry.
seconds = input(60, "Start Delay") * 1000
testPeriod = true


leverage = input(1, "Leverage")
tp = input(1.0, "Take Profit %") / leverage
dca = input(-1.0, "DCA when < %") / leverage *-1
fibEntry = input("1", "Entry Level", options=["1", "2", "3", "4", "5", "6", "7", "8", "9", "10"])

//Strategy Calls
equity = strategy.equity
avg = strategy.position_avg_price
symbol = syminfo.tickerid
openTrades = strategy.opentrades
closedTrades = strategy.closedtrades
size = strategy.position_size

//Fibs
lentt = input(60, "Pivot Length")
h = highest(lentt)
h1 = dev(h, lentt) ? na : h
hpivot = fixnan(h1)
l = lowest(lentt)
l1 = dev(l, lentt) ? na : l
lpivot = fixnan(l1)
z = 400
p_offset= 2
transp = 60
a=(lowest(z)+highest(z))/2
b=lowest(z)
c=highest(z)

fib0 = (((hpivot - lpivot)) + lpivot)
fib1 = (((hpivot - lpivot)*.21) + lpivot)
fib2 = (((hpivot - lpivot)*.3) + lpivot)
fib3 = (((hpivot - lpivot)*.5) + lpivot)
fib4 = (((hpivot - lpivot)*.62) + lpivot)
fib5 = (((hpivot - lpivot)*.7) + lpivot)
fib6 = (((hpivot - lpivot)* 1.00) + lpivot)
fib7 = (((hpivot - lpivot)* 1.27) + lpivot)
fib8 = (((hpivot - lpivot)* 2) + lpivot)
fib9 = (((hpivot - lpivot)* -.27) + lpivot)
fib10 = (((hpivot - lpivot)* -1) + lpivot)

notna = nz(fib10[60])
entry = 0.0
if fibEntry == "1"
    entry := fib10
if fibEntry == "2"
    entry := fib9
if fibEntry == "3"
    entry := fib0
if fibEntry == "4"
    entry := fib1
if fibEntry == "5"
    entry := fib2
if fibEntry == "6"
    entry := fib3
if fibEntry == "7"
    entry := fib4
if fibEntry == "8"
    entry := fib5
if fibEntry == "9"
    entry := fib6
if fibEntry == "10"
    entry := fib7
profit = avg+avg*(tp/100)
pause = 0
pause := nz(pause[1])
paused = time < pause

fill = 0.0
fill := nz(fill[1])
count = 0.0
count := nz(fill[1])

filled = count > 0 ? entry > fill-fill/100*dca : 0
signal = testPeriod and notna and not paused and not filled ? 1 : 0

neworder = crossover(signal, signal[1])
moveorder = entry != entry[1] and signal and not neworder ? true : false
cancelorder = crossunder(signal, signal[1]) and not paused
filledorder = crossunder(low[1], entry[1]) and signal[1]

last_profit = 0.0
last_profit := nz(last_profit[1])

// if neworder and signal
//     strategy.order("New", 1, 0.0001, alert_message='New Order|e=binancefuturestestnet s=btcusdt b=long q=0.0011 fp=' + tostring(entry)) 
// if moveorder
//     strategy.order("Move", 1, 0.0001, alert_message='Move Order|e=binancefuturestestnet s=btcusdt b=long c=order|e=binancefuturestestnet s=btcusdt b=long q=0.0011 fp=' + tostring(entry))
if filledorder and size < 1
    fill := entry
    count := count+1 
    pause := time + 60000
    p = close+close*(tp/100)
    strategy.entry("Buy", 1, 1,  alert_message='Long|e=binancefuturestestnet s=btcusdt b=long q=0.0011 t=market')
if filledorder and size >= 1
    fill := entry
    count := count+1 
    pause := time + 60000
    strategy.entry("Buy", 1, 1,  alert_message='Long|e=binancefuturestestnet s=btcusdt b=long q=0.0011 t=market')

// if cancelorder and not filledorder
//     pause := time + 60000
//     strategy.order("Cancel", 1, 0.0001,  alert_message='Cancel Order|e=binancefuturestestnet s=btcusdt b=long c=order')

if filledorder
    last_profit := profit

closeit = crossover(high, profit) and size >= 1
if closeit
    strategy.entry("Close ALL", 0, 0, alert_message='Close Long|e=binancefuturestestnet s=btcusdt b=long c=position t=market')
    count := 0
    fill := 0.0
    last_profit := 0.0
    
//Plots
// bottom = signal ? color.green : filled ? color.red : color.white
// plot(entry, "Entry", bottom)

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