五日均线通道突破策略
Author: ChaoZhang, Date: 2024-02-05 15:16:05Tags:
概述
本策略结合了5日移动平均线通道和行车理念买卖点,实现了通道突破和短线交易的双重功能。策略首先计算5日高点和低点的移动平均线作为通道上下轨,然后结合通道突破信号和行车理念的形态特征判断入场和出场时机。
策略原理
- 计算5日内的最高价和最低价的移动平均线作为通道上轨和下轨
- 当收盘价上穿上轨时,产生买入信号
- 当收盘价下穿下轨时,产生卖出信号
- 结合行车理念的形态特征,判断价格是否符合行车买入和卖出的特征
- 买入特征:收盘价>开盘价,最高价-收盘价<收盘价-开盘价,开盘价-最低价<收盘价-开盘价
- 卖出特征:开盘价-收盘价>昨日的开盘价-收盘价,并连续3根K线形态如此
- 最终买入条件 = 通道突破信号 与 行车买入特征同时满足
- 最终卖出条件 = 通道突破信号 与 行车卖出特征同时满足
策略优势
- 结合了通道突破策略和行车理念,实现了多级判断,避免了误操作的风险
- 通道突破策略可以捕捉中间周期的趋势
- 行车理念可以判断短线的反转机会
- 参数简单易调整,适合多市场环境
策略风险
- 大幅震荡市场中,通道可能被频繁突破,从而产生错误信号
- 行车理念特征判断不严格时,可能买进超过真实反转点,卖出不足
- 参数设置不当也会影响交易信号的质量
策略优化方向
- 可以测试不同参数下的通道,寻找更好的参数组合
- 可以调整通道周期,测试是否更短或更长周期效果更好
- 可以优化行车理念的特征判断,设置更严格的条件以过滤noise
- 可以测试增加止损策略,以控制单笔损失
总结
本策略综合运用了通道突破策略和行车理念短线交易策略,实现了多级判断和风险控制。优化后可望取得更佳的策略表现。值得注意的是参数设置和风险控制对策略效果有重要影响,需要充分测试和验证。
/*backtest
start: 2023-01-29 00:00:00
end: 2024-02-04 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("5MABAND + Mileage Concept Buy & Sell Strategy", overlay=true)
// Command 1 - 5MABAND Calculation
length = input(5, title="Number of Candles for Average")
avgHigh = ta.sma(high, length)
avgLow = ta.sma(low, length)
// Plotting 5MABAND Bands
plot(avgHigh, color=color.green, title="5MABAND High Line", linewidth=2)
plot(avgLow, color=color.red, title="5MABAND Low Line", linewidth=2)
// Command 2 - Mileage Concept Buy Entry
mileageBuyCondition = close > open and high - close < close - open and open - low < close - open and close - open > close[1] - open[1] and close - open > close[2] - open[2] and close - open > close[3] - open[3] and close > open and open > close[1]
// Command 3 - Mileage Concept Sell Entry
mileageSellCondition = open - close > open[1] - close[1] and open - close > open[2] - close[2] and open - close > open[3] - close[3] and open > close and close > open[1] and close > avgHigh
// Command 4 - 5MABAND Buy Entry
buyAlertCandle_5MABAND = close > avgHigh
plotshape(buyAlertCandle_5MABAND, color=color.green, style=shape.triangleup, location=location.belowbar, size=size.small, title="Buy Signal (5MABAND)")
// Command 5 - 5MABAND Sell Entry
sellAlertCandle_5MABAND = close < avgLow
plotshape(sellAlertCandle_5MABAND, color=color.red, style=shape.triangledown, location=location.abovebar, size=size.small, title="Sell Signal (5MABAND)")
// Command 6 - 5MABAND Exit Trigger
exitTriggerCandle_5MABAND_Buy = low < avgLow
exitTriggerCandle_5MABAND_Sell = high > avgHigh
// Exit Signals for 5MABAND
exitBuySignal_5MABAND = close < avgLow
exitSellSignal_5MABAND = close > avgHigh
// Buy and Sell Conditions for 5MABAND
buyCondition_5MABAND = close > avgHigh and buyAlertCandle_5MABAND
sellCondition_5MABAND = close < avgLow and (exitTriggerCandle_5MABAND_Buy or exitSellSignal_5MABAND)
// Combine Buy Conditions for Mileage Concept and 5MABAND
combinedBuyCondition = mileageBuyCondition and buyCondition_5MABAND
combinedSellCondition = mileageSellCondition and sellCondition_5MABAND
// Execute Buy and Sell Orders
strategy.entry("Buy", strategy.long, when = combinedBuyCondition)
strategy.close("Buy", when = sellCondition_5MABAND)
strategy.entry("Sell", strategy.short, when = combinedSellCondition)
strategy.close("Sell", when = exitBuySignal_5MABAND)
// Exit Buy and Sell Orders for 5MABAND
strategy.close("Buy", when = exitBuySignal_5MABAND)
strategy.close("Sell", when = exitSellSignal_5MABAND)
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