趋势追踪止损策略

Author: ChaoZhang, Date: 2024-02-05 16:00:35
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趋势追踪止损策略

概述

趋势追踪止损策略是一个基于趋势指标TrendAlert的追踪止损交易策略。它通过TrendAlert指标判断趋势方向,实现趋势跟踪入场。同时它利用ATR指标设定止损位,实现风险控制。

策略原理

该策略主要由以下几个部分组成:

TrendAlert指标判断趋势方向。当TrendAlert大于0时为看涨信号,小于0时为看跌信号。
ATR指标计算近期价格波动范围。ATR乘以ATR止损倍数atrStopMultiplier作为固定止损位。
最低价lowestLow和最高价highestHigh结合ATR止损构建追踪止损。使用structure参数控制是否启用。
根据趋势信号方向进入做多或做空头寸。入场后设置Take Profit和Stop Loss。
当价格触发止损或止盈后平仓头寸。

该策略通过趋势判断过滤假信号,追踪止损控制风险,目标获利确保盈利,全面提高交易系统稳定性。

优势分析

该策略主要具有以下优势:

趋势过滤和追踪止损双重保证,避免追逐市场噪音,确保交易风险可控。
ATR自适应止损设定防止过度优化,适用于多种市场环境。
目标止盈确保盈利,避免吃掉利润。
策略逻辑清晰简洁,容易理解修改,适合量化交易者二次开发。
Pine脚本语言编写,可直接在TradingView平台使用,不需编程基础。

风险分析

该策略也存在一些风险:

趋势判断失误可能导致不必要入场和止损被触发。可适当宽松止损位或过滤入场信号。
行情剧烈波动时,ATR可能低估真实波幅。这时可增大ATR止损倍数atrStopMultiplier。
目標止盈可能限制策略获利空间。可根據市场调整limitMultiplier参数。
代码exist逻辑仅基于价格,实际应结合时间管理。

优化方向

该策略可从以下方面进行优化:

优化参数ATR长度atrLength和止损倍数atrStopMultiplier,调整止损算法的敏感度。
尝试不同的趋势判断指标,寻找更好的入场时机。
根据具体交易品种特点选择或调整目标止盈参数。
增加时间止损机制,避免单子过夜带来的风险。
结合交易量指标过滤假突破提高策略稳定性。

总结

本策略总体来说是一个非常实用的趋势跟踪止损策略。它利用指标判断趋势方向实现趋势跟踪,同时设定自适应止损确保风险控制。该策略逻辑清晰,使用简单,非常适合初学者学习。同时也为高级策略开发提供了一个良好的交易策略框架,值得量化交易者深入研究和优化。

/*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"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © jaque_verdatre

//@version=5
strategy("TrendAlert Based", overlay = true)

// Get inputs
TrendAlert = input.source(close, "TrendAlert")
atrLength = input.int(title="ATR Length", defval=15, minval=1)
useStructure = input.bool(title="Use Structure?", defval=true)
lookback = input.int(title="How Far To Look Back For High/Lows", defval=8, minval=1)
atrStopMultiplier = input.float(title="ATR Multiplier", defval=0.2, minval=0.1)
LimitMultiplier = input.float(title = "Limit Multiplier", defval = 0.5, minval = 0.1)
PineConnectorID = input.int(title = "Pine Connector ID",defval = 0)
CurrencyToSend = input.string(title = "personilized currency", defval = "ETHUSD")
Risk = input.int(title = "risk in % to send", defval = 10, minval = 1)

// Calculate data
atr = ta.atr(atrLength)
lowestLow = ta.lowest(low, lookback)
highestHigh = ta.highest(high, lookback)
longStop = (useStructure ? lowestLow : close) - atr * atrStopMultiplier
shortStop = (useStructure ? highestHigh : close) + atr * atrStopMultiplier

// Draw data to chart
plot(atr, color=color.rgb(33, 149, 243), title="ATR", display = display.none)
plot(longStop, color=color.green, title="Long Trailing Stop")
plot(shortStop, color=color.red, title="Short Trailing Stop")

var float LimitL = na
var float LimitS = na
var float LPosPrice = na
var float SPosPrice = na
var float LPosLongStop = na
var float SPosShortStop = na

KnowLimit (PosPrice, PosStop) =>
    (PosPrice-PosStop)*LimitMultiplier+PosPrice


NotInTrade = strategy.position_size == 0
InLongTrade = strategy.position_size > 0
InShortTrade = strategy.position_size < 0

longCondition = TrendAlert > 0 and NotInTrade
if (longCondition)
    LPosPrice := close
    LPosLongStop := longStop
    LimitL := KnowLimit(LPosPrice, LPosLongStop)
    strategy.entry("long", strategy.long)
    LTPPip = LimitL-LPosPrice
    LSLPip = LPosPrice-longStop
    alert(str.tostring(PineConnectorID)+',buy,'+str.tostring(CurrencyToSend)+',risk='+str.tostring(Risk)+',sl='+str.tostring(LSLPip)+'tp='+str.tostring(LTPPip), alert.freq_once_per_bar_close)
    strategy.exit("exit", "long", stop = longStop, limit = LimitL)

shortCondition = TrendAlert < 0 and NotInTrade
if (shortCondition)
    SPosPrice := close
    SPosShortStop := shortStop
    LimitS := KnowLimit(SPosPrice, SPosShortStop)
    strategy.entry("short", strategy.short)
    STPPip = SPosPrice-LimitS
    SSLPip = shortStop - SPosPrice
    alert(str.tostring(PineConnectorID)+',sell,ETHUSD,risk=10,sl='+str.tostring(SSLPip)+'tp='+str.tostring(STPPip), alert.freq_once_per_bar_close)
    strategy.exit("exit", "short", stop = shortStop, limit = LimitS)

plotshape(longCondition, color = color.green, style = shape.labelup, location = location.belowbar, size = size.normal, title = "Long Condition")
plotshape(shortCondition, color = color.red, style = shape.labeldown, location = location.abovebar, size = size.normal, title = "Short Condition")

if (InShortTrade)
    LimitL := close
    LPosLongStop := close
    LPosPrice := close

PlotLongTakeProfit = plot(LimitL, color = InLongTrade ? color.rgb(0, 255, 64) : color.rgb(120, 123, 134, 100), title = "Long Take Profit")
PlotLongStopLoss = plot(LPosLongStop, color = InLongTrade ? color.rgb(255, 0, 0) : color.rgb(120, 123, 134, 100), title = "Long Stop Loss")
PlotLongPosPrice = plot(LPosPrice, color = InLongTrade ? color.gray : color.rgb(120, 123, 134, 100), title = "Long Position Price")

if (InLongTrade)
    LimitS := close
    SPosShortStop := close
    SPosPrice := close

PlotShortTakeProfit = plot(LimitS, color = InShortTrade ? color.rgb(0, 255, 64) : color.rgb(120, 123, 134, 100), title = "Short Take Profit")
PlotShortStopLoss = plot(SPosShortStop, color = InShortTrade ? color.rgb(255, 0, 0) : color.rgb(120, 123, 134, 100), title = "Short Stop Loss")
PlotShortPosPrice = plot(SPosPrice, color = InShortTrade ? color.gray : color.rgb(120, 123, 134, 100), title = "Short Position Price")

fill(PlotLongPosPrice, PlotLongTakeProfit, color = InLongTrade ? color.rgb(0, 255, 0, 95) : color.rgb(0, 255, 0, 100))
fill(PlotShortPosPrice, PlotShortTakeProfit, color = InShortTrade ? color.rgb(0, 255, 0, 95) : color.rgb(0, 255, 0, 100))

fill(PlotLongPosPrice, PlotLongStopLoss, color = InLongTrade ? color.rgb(255, 0, 0, 95) : color.rgb(255, 0, 0, 100))
fill(PlotShortPosPrice, PlotShortStopLoss, color = InShortTrade ? color.rgb(255, 0, 0, 95) : color.rgb(255, 0, 0, 100))

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