基于ABCD形态且带止损追踪和止盈追踪的全新量化交易策略
Author: ChaoZhang, Date: 2024-02-19 11:22:48Tags:
一、策略概述
该策略名称为“最佳ABCD形态交易策略(带止损追踪和止盈追踪)”。它是一个基于明确的ABCD价格形态模型进行交易操作的量化策略。主要思想是识别出完整的ABCD形态模型后,根据形态的方向做多做空,并设置止损和止盈追踪来管理头寸。
二、策略原理
使用布林辅助判断法识别价格的顶底分型点,得到价格的ZigZag曲线。
在ZigZag曲线上识别完整的ABCD形态模型,A、B、C、D四点需满足一定的比例关系。识别到符合条件的ABCD形态后,做多或做空。
做多做空后设置止损追踪来控制风险。止损开始时使用固定止损,当盈利达到一定比例后转为移动止损以锁定部分利润。
同样,对止盈线也进行追踪设置,以在获得足够利润后及时止盈,避免利润回吐。止盈追踪也分两阶段,先使用固定止盈获取部分利润,之后转为移动止盈继续追踪价格。
当价格触发移动止损或止盈时,平掉头寸,完成一次交易循环。
三、策略优势分析
使用布林辅助判断法识别ZigZag曲线,避免了传统ZigZag曲线的回溯问题,使交易信号更可靠。
ABCD形态交易模型成熟稳定,交易机会比较充裕。并且ABCD形态方向明确,容易判断入市方向。
设置两阶段的止损止盈追踪,可以更好的控制风险和获得利润。移动止损止盈让策略适应更加灵活。
策略参数设计合理,止损止盈百分比、移动启动百分比都可以自定义,使用起来很灵活。
该策略可用于任何品种,包括外汇、加密货币和股票指数等。
四、策略风险分析
ABCD形态虽然较为明确,但交易机会相对有限,不能保证足够的交易频率。
在震荡行情中,可能出现止损止盈频繁被触发的情况。这时需要适当调整参数,扩大止损止盈范围。
需要关注交易品种本身的流动性。流动性较差的标的,止损止盈难以准确执行。
策略对交易成本比较敏感,需要选择手续费低廉的券商和账户。
部分参数可以继续优化,比如移动止损和止盈的启动条件可以测试更多取值,找到最佳点位。
五、策略优化方向
可以结合其他指标,设置更多过滤条件,避免部分HW形态。这可以减少无效交易的出现。
增加对市场三段式结构的判断,只在第三段行情中寻找交易机会。这可以提高策略胜率。
测试优化起始资金规模,找到最佳的起始资金水平。Too big too small都不利于获得最优回报率。
可以测试样本外数据,验证参数健壮性。这对掌握策略中长期稳定性非常必要。
继续优化移动止损/盈启动条件和滑点大小,提高策略执行效率。SETTINGS优化永无止境。
六、策略总结
该策略主要依赖于ABCD价格形态进行判断和入市。设置两阶段式的止损止盈追踪来管理风险和收益。策略较为成熟稳定,但交易频率可能偏低。我们可以通过增加过滤条件来获得更高效的交易机会。此外,继续对参数和资金规模进行优化,也能进一步提升策略的稳定盈利能力。总体而言,该策略思路清晰,易于理解实现,是一款值得深入研究和应用的量化交易策略。
/*backtest
start: 2024-02-11 00:00:00
end: 2024-02-18 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// @version=4
// @author=Daveatt - BEST
// ABCD Pattern Strat
StrategyName = "BEST ABCD Pattern Strategy (Trailing SL + TP)"
ShortStrategyName = "BEST ABCD Strategy (Trailing)"
strategy(title=StrategyName, shorttitle=ShortStrategyName, overlay=true )
filterBW = input(false, title="filter Bill Williams Fractals?")
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////// UTILITIES ///////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
// ||-----------------------------------------------------------------------------------------------------||
// ||--- Fractal Recognition Functions: ---------------------------------------------------------------||
isRegularFractal(mode, _high, _low) =>
ret = mode == 1 ? _high[4] < _high[3] and _high[3] < _high[2] and _high[2] > _high[1] and _high[1] > _high[0] :
mode == -1 ? _low[4] > _low[3] and _low[3] > _low[2] and _low[2] < _low[1] and _low[1] < _low[0] : false
isBWFractal(mode, _high, _low) =>
ret = mode == 1 ? _high[4] < _high[2] and _high[3] <= _high[2] and _high[2] >= _high[1] and _high[2] > _high[0] :
mode == -1 ? _low[4] > _low[2] and _low[3] >= _low[2] and _low[2] <= _low[1] and _low[2] < _low[0] : false
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
////////////////////////////// ABCD PATTERN ///////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
f_abcd()=>
_r = timeframe.period
_g = barmerge.gaps_off
_l = barmerge.lookahead_on
_high = high
_low = low
filteredtopf = filterBW ? isRegularFractal(1, _high, _low) : isBWFractal(1, _high, _low)
filteredbotf = filterBW ? isRegularFractal(-1, _high, _low) : isBWFractal(-1, _high, _low)
// ||--- ZigZag:
istop = filteredtopf
isbot = filteredbotf
topcount = barssince(istop)
botcount = barssince(isbot)
zigzag = (istop and topcount[1] > botcount[1] ? _high[2] :
isbot and topcount[1] < botcount[1] ? _low[2] : na)
x = valuewhen(zigzag, zigzag, 4)
a = valuewhen(zigzag, zigzag, 3)
b = valuewhen(zigzag, zigzag, 2)
c = valuewhen(zigzag, zigzag, 1)
d = valuewhen(zigzag, zigzag, 0)
xab = (abs(b-a)/abs(x-a))
xad = (abs(a-d)/abs(x-a))
abc = (abs(b-c)/abs(a-b))
bcd = (abs(c-d)/abs(b-c))
// ABCD Part
_abc = abc >= 0.382 and abc <= 0.886
_bcd = bcd >= 1.13 and bcd <= 2.618
_bull_abcd = _abc and _bcd and d < c
_bear_abcd = _abc and _bcd and d > c
_bull = _bull_abcd and not _bull_abcd[1]
_bear = _bear_abcd and not _bear_abcd[1]
[_bull, _bear, zigzag]
lapos_x = timenow + round(change(time)*12)
[isLong, isShort, zigzag] = f_abcd()
plot(zigzag, title= 'ZigZag', color=color.black, offset=-2)
plotshape(isLong, style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), size=size.normal, text="ABCD", textcolor=color.white)
plotshape(isShort, style=shape.labeldown, location=location.abovebar, color=color.new(color.maroon, 0), size=size.normal, text="ABCD", textcolor=color.white)
long_entry_price = valuewhen(isLong, close, 0)
short_entry_price = valuewhen(isShort, close, 0)
sinceNUP = barssince(isLong)
sinceNDN = barssince(isShort)
buy_trend = sinceNDN > sinceNUP
sell_trend = sinceNDN < sinceNUP
change_trend = (buy_trend and sell_trend[1]) or (sell_trend and buy_trend[1])
entry_price = buy_trend ? long_entry_price : short_entry_price
///////////////////////////////
//======[ Trailing STOP ]======//
///////////////////////////////
// use SL?
useSL = input(true, "Use stop Loss")
// Configure trail stop level with input
StopTrailPerc = input(title="Trail Loss (%)", type=input.float, minval=0.0, step=0.1, defval=3) * 0.01
// Will trigger the take profit trailing once reached
use_SL_Trigger = input(true, "Use stop Loss Trigger")
StopTrailTrigger = input(2.0, "SL Trigger (%)",minval=0,step=0.5,type=input.float) * 0.01
StopLossPriceTrigger = 0.0
StopLossPriceTrigger := if (use_SL_Trigger)
if buy_trend
entry_price * (1 + StopTrailTrigger)
else
entry_price * (1 - StopTrailTrigger)
else
-1
var SL_Trigger_Long_HIT = false
SL_Trigger_Long_HIT := useSL and use_SL_Trigger and buy_trend and high >= StopLossPriceTrigger
? true : SL_Trigger_Long_HIT[1]
var SL_Trigger_Short_HIT = false
SL_Trigger_Short_HIT := useSL and use_SL_Trigger and sell_trend and low <= StopLossPriceTrigger
? true : SL_Trigger_Short_HIT[1]
display_long_SL_trigger = useSL and buy_trend and use_SL_Trigger
and SL_Trigger_Long_HIT == false and StopLossPriceTrigger != -1
display_short_SL_trigger = useSL and sell_trend and use_SL_Trigger
and SL_Trigger_Short_HIT == false and StopLossPriceTrigger != -1
display_SL_trigger = display_long_SL_trigger or display_short_SL_trigger
plot(display_SL_trigger ? StopLossPriceTrigger : na, title='SLPriceTrigger', transp=0,
color=color.maroon, style=plot.style_circles, linewidth=3)
// Determine trail stop loss prices
longStopPrice = 0.0, shortStopPrice = 0.0
longStopPrice := if useSL and buy_trend
stopValue = low * (1 - StopTrailPerc)
max(stopValue, longStopPrice[1])
else
0
shortStopPrice := if useSL and sell_trend
stopValue = high * (1 + StopTrailPerc)
min(stopValue, shortStopPrice[1])
else
999999
//////////////////////////////////////////////////////////////////////////////////////////
//*** STOP LOSS HIT CONDITIONS ***//
//////////////////////////////////////////////////////////////////////////////////////////
cond_long_stop_loss_hit = useSL and buy_trend and crossunder(low, longStopPrice[1])
and (SL_Trigger_Long_HIT or use_SL_Trigger == false)
cond_short_stop_loss_hit = useSL and sell_trend and crossover(high, shortStopPrice[1])
and (SL_Trigger_Short_HIT or use_SL_Trigger == false)
// Plot stop loss values for confirmation
plot(series=useSL and buy_trend and low >= longStopPrice
and (SL_Trigger_Long_HIT or use_SL_Trigger == false)
? longStopPrice : na,
color=color.fuchsia, style=plot.style_cross,
linewidth=2, title="Long Trail Stop")
plot(series=useSL and sell_trend and high <= shortStopPrice
and (SL_Trigger_Short_HIT or use_SL_Trigger == false)
? shortStopPrice : na,
color=color.fuchsia, style=plot.style_cross,
linewidth=2, title="Short Trail Stop")
///////////////////////////////
//======[ Take Profit ]======//
///////////////////////////////
// Use TP?
useTP = input(true, "Use take profit")
// TP trailing
ProfitTrailPerc = input(1.0, "Trailing Profit (%)",minval=0,step=0.5,type=input.float) * 0.01
use_TP_Trigger = input(true, "Use Take Profit Trigger")
// Will trigger the take profit trailing once reached
takeProfitTrigger = input(3.0, "Take Profit Trigger (%)",minval=0,step=0.5,type=input.float) * 0.01
// ttp := ttp>tp ? tp : ttp
takeprofitPriceTrigger = 0.0
takeprofitPriceTrigger := if (use_TP_Trigger)
if (buy_trend)
entry_price * (1 + takeProfitTrigger)
else
entry_price * (1 - takeProfitTrigger)
else
-1
//plot(entry_price, title='entry_price', transp=100)
var TP_Trigger_Long_HIT = false
TP_Trigger_Long_HIT := useTP and use_TP_Trigger and buy_trend and high >= takeprofitPriceTrigger
? true : TP_Trigger_Long_HIT[1]
var TP_Trigger_Short_HIT = false
TP_Trigger_Short_HIT := useTP and use_TP_Trigger and sell_trend and low <= takeprofitPriceTrigger
? true : TP_Trigger_Short_HIT[1]
display_long_TP_trigger = useTP and buy_trend and TP_Trigger_Long_HIT == false
and takeprofitPriceTrigger != -1
display_short_TP_trigger = useTP and sell_trend and TP_Trigger_Short_HIT == false
and takeprofitPriceTrigger != -1
display_TP_trigger = display_long_TP_trigger or display_short_TP_trigger
//🔷🔷🔷
// @hugo: Will display the TP trigger as long as not hit
// once the TP trigger is hit, the TP trailing will activate
plot(display_TP_trigger ? takeprofitPriceTrigger : na, title='takeprofitPriceTrigger', transp=0, color=color.orange,
style=plot.style_cross, linewidth=3)
longTrailTP= 0.0, shortTrailTP = 0.0
// Trailing Profit
// Start trailing once trigger is reached
longTrailTP := if useTP and buy_trend
tpValue = high * (1 + ProfitTrailPerc)
max(tpValue, longTrailTP[1])
else
0
shortTrailTP := if useTP and sell_trend
tpValue = low * (1 - ProfitTrailPerc)
min(tpValue, shortTrailTP[1])
else
999999
//plot(longTrailTP, title='debug longTrailTP', transp=100)
//plot(shortTrailTP, title='debug shortTrailTP', transp=100)
//////////////////////////////////////////////////////////////////////////////////////////
//*** TRAILING TAKE PROFIT HIT CONDITIONS TO BE USED IN ALERTS ***//
//////////////////////////////////////////////////////////////////////////////////////////
//🔷🔷🔷
// @hugo: I use crossover/crossunder for the alerts to trigger the events only once
cond_long_trail_tp_hit = useTP and buy_trend and crossover(high, longTrailTP[1])
and (TP_Trigger_Long_HIT or use_TP_Trigger == false)
cond_short_trail_tp_hit = useTP and sell_trend and crossunder(low, shortTrailTP[1])
and (TP_Trigger_Short_HIT or use_TP_Trigger == false)
// 🔷🔷🔷
// Plot take profits values for confirmation
// Display the trailing TP until not hit
plot(series= useTP and buy_trend and high <= longTrailTP and
(TP_Trigger_Long_HIT or use_TP_Trigger == false) ? longTrailTP : na,
color=color.aqua, style=plot.style_circles,
linewidth=2, title="Long Trail TP")
plot(series= useTP and sell_trend and low >= shortTrailTP and
(TP_Trigger_Short_HIT or use_TP_Trigger == false) ? shortTrailTP : na,
color=color.aqua, style=plot.style_circles,
linewidth=2, title="Short Trail TP")
close_long = cond_long_trail_tp_hit or cond_long_stop_loss_hit
close_short = cond_short_trail_tp_hit or cond_short_stop_loss_hit
strategy.entry("Long", 1, when=isLong)
strategy.close("Long", when=close_long)
strategy.entry("Short", 0, when=isShort)
strategy.close("Short", when=close_short)
if change_trend
SL_Trigger_Long_HIT := false
SL_Trigger_Short_HIT := false
TP_Trigger_Long_HIT := false
TP_Trigger_Short_HIT := false
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