基于突破布林带震荡交易策略
Author: ChaoZhang, Date: 2024-02-21 14:39:14Tags:
概述
突破布林带震荡交易策略是一种当市场处于震荡状态时的交易策略。该策略利用布林带指标判断市场的震荡状况,在价格触碰布林带上下轨时发出交易信号。与传统趋势跟随策略不同,该策略更适用于横盘整理的市场环境。
策略原理
该策略主要基于布林带指标实现。布林带由中轨、上轨和下轨组成。当价格接近上轨或下轨时,代表着市场过度看涨或看跌,这时就有较大概率发生反转。
具体来说,该策略首先利用DMI指标判断市场是否处于震荡状态。当+DMI和-DMI的差值小于20时,认为市场处于横盘震荡。在此条件下,当价格上穿下轨时做多,当价格下破上轨时做空。止损点设在相反轨道附近。
策略优势
相对于趋势跟随策略,该策略更适合横盘震荡的市场环境,不会因追逐趋势而息损。与传统震荡交易策略相比,该策略利用布林带指标能更准确判断市场的超买超卖情况,从而提高入场的概率。
策略风险
该策略主要依赖布林带判断市场震荡和超买超卖情况,当布林带发散或收缩失常时,会导致错误信号。此外,止损点靠近,单笔止损可能较大。建议采用资金管理优化止损策略。
策略优化方向
可以考虑结合其他指标过滤入场信号,例如RSI等震荡指标,提高入场准确率。此外,优化止损策略也很重要,避免单笔较大止损。还可以选择更适合该策略的交易品种,例如低市值币。
总结
该策略整体来说适合震荡市场,可以在趋势策略失效时使用。但其依赖指标判断市场状态的效果仍有优化空间。我们可以通过多指标组合、资金管理等方法进一步完善该策略,使其效果更加稳定优异。
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(shorttitle='Sideways Strategy DMI + Bollinger Bands',title='Sideways Strategy DMI + Bollinger Bands (by Coinrule)', overlay=true, initial_capital = 100, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.1)
// Works on ETHUSD 3h, 1h, 2h, 4h
//Backtest dates
fromMonth = input(defval = 1, title = "From Month", type = input.integer, minval = 1, maxval = 12)
fromDay = input(defval = 1, title = "From Day", type = input.integer, minval = 1, maxval = 31)
fromYear = input(defval = 2021, title = "From Year", type = input.integer, minval = 1970)
thruMonth = input(defval = 12, title = "Thru Month", type = input.integer, minval = 1, maxval = 12)
thruDay = input(defval = 31, title = "Thru Day", type = input.integer, minval = 1, maxval = 31)
thruYear = input(defval = 2022, title = "Thru Year", type = input.integer, minval = 1970)
showDate = input(defval = true, title = "Show Date Range", type = input.bool)
start = timestamp(fromYear, fromMonth, fromDay, 00, 00) // backtest start window
finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) // backtest finish window
window() => true
[pos_dm, neg_dm, adx] = dmi(14, 14)
lengthBB = input(20, minval=1)
src = input(close, title="Source")
mult = input(2.0, minval=0.001, maxval=50, title="StdDev")
basis = sma(src, lengthBB)
dev = mult * stdev(src, lengthBB)
upper = basis + dev
lower = basis - dev
offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
sideways = (abs(pos_dm - neg_dm) < 20)
//Stop_loss= ((input (3))/100)
//Take_profit= ((input (2))/100)
//longStopPrice = strategy.position_avg_price * (1 - Stop_loss)
//longTakeProfit = strategy.position_avg_price * (1 + Take_profit)
//closeLong = close < longStopPrice or close > longTakeProfit or StopRSI
//Entry
strategy.entry(id="long", long = true, when = sideways and (crossover(close, lower)) and window())
//Exit
strategy.close("long", when = (crossunder(close, upper)))
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