ChaoZhang
概述
本策略的核心思路是结合超级趋势指标和平均趋向指标(ADX),实现对趋势的判断和追踪。超级趋势指标用于辨别当前价格趋势方向,ADX用于判断趋势力度,只有在强势趋势下才进行交易。此外,策略还利用K线实体颜色、交易量指标等进行确认,形成比较完整的交易规则。
总体来说,该策略属于趋势追踪策略,旨在捕捉中长线明确趋势,而避免受到盘整和震荡的干扰。
策略原理
使用超级趋势指标判断价格趋势方向。当价格站上超级趋势时为多头信号,站下超级趋势时为空头信号。
使用ADX判断趋势力度。仅在ADX大于设置门槛时才产生交易信号,这样可以过滤掉盘整不明朗的时期。
K线实体颜色判断当前为上涨格局或下跌格局,与超级趋势指标进行组合,形成確認。
交易量放大作为确認信号。仅在交易量上涨时才进行建仓。
设置止损位和止盈位,以锁定利润和控制风险。
在设置的盘中时间结束前平掉所有仓位。
策略优势
追踪中长线明确趋势,避开震荡,可获得较高的盈利率。
策略参数较少,容易理解和实施。
风险控制到位,设置了止损和止盈。
利用多个指标进行确认,可减少虚假信号。
策略风险
大盘深度调整时可能遭遇较大亏损。
个股业绩变化时可能产生剧烈反转。
政策面发生重大变化的黑天鹅事件。
对应风险的解决方法:
适当调整ADX参数,确保只在强势趋势下交易。
加大止损幅度,控制单笔损失。
密切关注政策和重要事件,必要时主动止损。
策略优化方向
可以测试不同的超级趋势参数组合,选择产生信号较稳定的参数。
可以测试ADX的不同参数,确定最佳的参数组合。
可以增加其他指标进行确认,如波动率、布林带等,进一步减少假信号。
可以结合突破等策略,在趋势破裂时及时止损。
总结
本策略总体思路清晰,以超级趋势判断价格趋势方向,以ADX判断趋势力度,在强势趋势下进行趋势追踪。同时设置止损止盈来控制风险。策略参数较少,易于优化。可作为学习简单有效趋势策略的良好示例。后续可通过参数优化、信号过滤等方法进一步完善。
策略源码
/*backtest
start: 2023-02-15 00:00:00
end: 2024-02-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Intraday Strategy Template
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © vikris
//@version=4
strategy("[VJ]Hulk Smash Intra", overlay=true, calc_on_every_tick = false, pyramiding=0,default_qty_type=strategy.percent_of_equity, default_qty_value=100,initial_capital=2000)
// ********** Strategy inputs - Start **********
// Used for intraday handling
// Session value should be from market start to the time you want to square-off
// your intraday strategy
// Important: The end time should be at least 2 minutes before the intraday
// square-off time set by your broker
var i_marketSession = input(title="Market session", type=input.session,
defval="0915-1455", confirm=true)
// Make inputs that set the take profit % (optional)
longProfitPerc = input(title="Long Take Profit (%)",
type=input.float, minval=0.0, step=0.1, defval=1) * 0.01
shortProfitPerc = input(title="Short Take Profit (%)",
type=input.float, minval=0.0, step=0.1, defval=1) * 0.01
// Set stop loss level with input options (optional)
longLossPerc = input(title="Long Stop Loss (%)",
type=input.float, minval=0.0, step=0.1, defval=0.5) * 0.01
shortLossPerc = input(title="Short Stop Loss (%)",
type=input.float, minval=0.0, step=0.1, defval=0.5) * 0.01
var float i_multiplier = input(title = "ST Multiplier", type = input.float,
defval = 2, step = 0.1, confirm=true)
var int i_atrPeriod = input(title = "ST ATR Period", type = input.integer,
defval = 10, confirm=true)
len = input(title="ADX Length", type=input.integer, defval=14)
th = input(title="ADX Threshold", type=input.integer, defval=20)
adxval = input(title="ADX Momemtum Value", type=input.integer, defval=25)
// ********** Strategy inputs - End **********
// ********** Supporting functions - Start **********
// A function to check whether the bar or period is in intraday session
barInSession(sess) => time(timeframe.period, sess) != 0
// ********** Supporting functions - End **********
// ********** Strategy - Start **********
[superTrend, dir] = supertrend(i_multiplier, i_atrPeriod)
colResistance = dir == 1 and dir == dir[1] ? color.new(color.red, 0) : color.new(color.red, 100)
colSupport = dir == -1 and dir == dir[1] ? color.new(color.green, 0) : color.new(color.green, 100)
// Super Trend Long/short condition
stlong = close > superTrend
stshort = close < superTrend
// Figure out take profit price
longExitPrice = strategy.position_avg_price * (1 + longProfitPerc)
shortExitPrice = strategy.position_avg_price * (1 - shortProfitPerc)
// Determine stop loss price
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
shortStopPrice = strategy.position_avg_price * (1 + shortLossPerc)
//Vol Confirmation
vol = volume > volume[1]
//Candles colors
greenCandle = (close > open)
redCandle = (close < open)
// See if intraday session is active
bool intradaySession = barInSession(i_marketSession)
// Trade only if intraday session is active
TrueRange = max(max(high - low, abs(high - nz(close[1]))), abs(low - nz(close[1])))
DirectionalMovementPlus = high - nz(high[1]) > nz(low[1]) - low ? max(high - nz(high[1]), 0) : 0
DirectionalMovementMinus = nz(low[1]) - low > high - nz(high[1]) ? max(nz(low[1]) - low, 0) : 0
SmoothedTrueRange = 0.0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - nz(SmoothedTrueRange[1]) / len + TrueRange
SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) -
nz(SmoothedDirectionalMovementPlus[1]) / len + DirectionalMovementPlus
SmoothedDirectionalMovementMinus = 0.0
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) -
nz(SmoothedDirectionalMovementMinus[1]) / len + DirectionalMovementMinus
DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIPlus - DIMinus) / (DIPlus + DIMinus) * 100
ADX = sma(DX, len)
// a = plot(DIPlus, color=color.green, title="DI+", transp=100)
// b = plot(DIMinus, color=color.red, title="DI-", transp=100)
//Final Long/Short Condition
longCondition = stlong and redCandle and vol and ADX>adxval
shortCondition = stshort and greenCandle and vol and ADX >adxval
//Long Strategy - buy condition and exits with Take profit and SL
if (longCondition and intradaySession)
stop_level = longStopPrice
profit_level = longExitPrice
strategy.entry("My Long Entry Id", strategy.long)
strategy.exit("TP/SL", "My Long Entry Id",stop=stop_level, limit=profit_level)
//Short Strategy - sell condition and exits with Take profit and SL
if (shortCondition and intradaySession)
stop_level = shortStopPrice
profit_level = shortExitPrice
strategy.entry("My Short Entry Id", strategy.short)
strategy.exit("TP/SL", "My Short Entry Id", stop=stop_level, limit=profit_level)
// Square-off position (when session is over and position is open)
squareOff = (not intradaySession) and (strategy.position_size != 0)
strategy.close_all(when = squareOff, comment = "Square-off")
// ********** Strategy - End **********
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