反转趋势捕捉与动态止损双重策略

Author: ChaoZhang, Date: 2024-02-05 09:54:13
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反转趋势捕捉与动态止损双重策略

概述

该策略是一种双重策略,结合了反转趋势捕捉策略和动态止损策略,目的是在捕捉反转趋势的同时设置动态止损来控制风险。

策略原理

反转趋势捕捉策略

该策略基于随机指标K值和D值。当价格连续两天下跌,同时K值上升超过D值时生成买入信号;当价格连续两天上涨,同时K值下降低于D值时生成卖出信号。这样可以捕捉价格反转的趋势。

动态止损策略

该策略基于价格波动性和偏度设置动态止损位。它计算最近一段时间内价格高点和低点的波动情况,再结合偏度判断目前是在上行通道还是下行通道,从而动态设置止损价格。这样可以根据市场环境调整止损位置。

两种策略结合使用,在捕捉反转信号的同时设置动态止损来控制风险。

优势分析

能够捕捉价格反转点,适合反转交易
设置动态止损,能根据市场环境调整止损位置
双重信号确认,避免假信号
控制风险,保证盈利

风险分析

反转失败风险。价格反转信号可能失败
参数设置风险。参数设置不当可能影响策略效果
流动性风险。某些交易品种流动性差,无法止损

可以通过优化参数、严格止损、选择流动性好的品种来控制风险。

优化方向

优化随机指标参数,寻找最佳参数组合
优化止损参数,找到最佳的止损位置
增加过滤条件,避免在震荡市场开仓
增加仓位管理模块,控制最大损失

通过综合优化,使策略在控制风险的前提下尽可能捕捉反转趋势。

总结

该策略结合反转趋势捕捉和动态止损双重策略,既能捕捉价格反转点,又能设置动态止损控制风险,是一种相对稳定的短线交易策略。通过持续优化监控,该策略有望获取稳定收益。

/*backtest
start: 2024-01-05 00:00:00
end: 2024-02-04 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 07/12/2020
// This is combo strategies for get a cumulative signal. 
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The 
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close 
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50. 
// The strategy sells at market, if close price is lower than the previous close price 
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
//  The Kase Dev Stops system finds the optimal statistical balance between letting profits run, 
//  while cutting losses.  Kase DevStop seeks an ideal stop level by accounting for volatility (risk),
//  the variance in volatility (the change in volatility from bar to bar), and volatility skew 
//  (the propensity for volatility to occasionally spike incorrectly).
//  Kase Dev Stops are set at points at which there is an increasing probability of reversal against 
//  the trend being statistically significant based on the log normal shape of the range curve.  
//  Setting stops will help you take as much risk as necessary to stay in a good position, but not more.
//
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
    vFast = sma(stoch(close, high, low, Length), KSmoothing) 
    vSlow = sma(vFast, DLength)
    pos = 0.0
    pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
	         iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0))) 
	pos

KaseDevStops(Length, Level) =>
    pos = 0.0
    RWH = (high - low[Length]) / (atr(Length) * sqrt(Length))
    RWL = (high[Length] - low) / (atr(Length) * sqrt(Length))
    Pk = wma((RWH-RWL),3)
    AVTR = sma(highest(high,2) - lowest(low,2), 20)
    SD = stdev(highest(high,2) - lowest(low,2),20)
    Val4 = iff(Pk>0, highest(high-AVTR-3*SD,20), lowest(low+AVTR+3*SD,20))
    Val3 = iff(Pk>0, highest(high-AVTR-2*SD,20), lowest(low+AVTR+2*SD,20))
    Val2 = iff(Pk>0, highest(high-AVTR-SD,20), lowest(low+AVTR+SD,20))
    Val1 = iff(Pk>0, highest(high-AVTR,20), lowest(low+AVTR,20))
    ResPrice = iff(Level == 4, Val4,
                 iff(Level == 3, Val3,
                  iff(Level == 2, Val2,
                     iff(Level == 1, Val1, Val4))))
    pos := iff(close < ResPrice , -1, 1)
    pos

strategy(title="Combo Backtest 123 Reversal & Kase Dev Stops", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthKDS = input(30, minval=2, maxval = 100)
LevelKDS = input(title="Trade From Level", defval=4, options=[1, 2, 3, 4])
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posKaseDevStops = KaseDevStops(LengthKDS, LevelKDS)
pos = iff(posReversal123 == 1 and posKaseDevStops == 1 , 1,
	   iff(posReversal123 == -1 and posKaseDevStops == -1, -1, 0)) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

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