追踪熊市策略
Author: ChaoZhang, Date: 2024-02-26 14:12:09Tags:
概述
追踪熊市策略是一种外汇交易策略,设计目的就是捕捉欧元/美元在欧洲市场开盘时的典型行为模式。该策略利用欧洲开市期间欧元多头被困住从而被迫平仓的特点,建立做空仓位。具体来说,该策略在发现欧元/美元的1小时K线出现涨跌反转形态蜡烛(射击之星或锤头)后,会考察RSI等指标过滤信号,一旦确认符合条件,就会果断做空,止损位设置在反转蜡烛的高点之上,目标利润则根据可接受的风险回报率来设置。
策略原理
追踪熊市策略的核心交易逻辑基于以下假设:欧洲/伦敦开市期间,做多欧元的交易者及算法会推高欧元/美元的价格。但如果随后价格无法继续上涨或出现下跌迹象,这些做多者就会被困住。于是当价格开始回调时,他们会被迫平掉多单,从而加剧跌势。
该策略正是利用这一熊市理论来捕捉短期跌势。具体来说,它会在欧洲时区(例如2am-7am)寻找1小时K线上的反转形态蜡烛信号。这里反转形态蜡烛信号的判断标准是:蜡烛实体部分收盘价低于开盘价,并且收盘价不超过0.5倍的整体蜡烛波动范围(即收盘价接近蜡烛低点)。
出现这样反转形态蜡烛时,说明做多者面临套牢风险。为了进一步验证信号,该策略还会检查以下过滤条件:
- RSI指标高于超买线(默认70);
- 前一根K线收盘价高于开盘价(多头结束信号);
- 当根K线的高点创近期新高;
满足全部过滤条件后,策略会在反转蜡烛收盘时做空,止损单设在蜡烛高点之上,目标利润基于可接受的风险回报率来定位(默认风险回报率是1赔1)。
需要注意的是,该策略只在欧洲时区活跃,如果价格脱离欧洲时区,则会重置状态,等待下一次时区交易时机。
优势分析
这是一个简单但实用的短线做空策略。主要优势有:
- 捕捉一种可重复的短期行为规律,胜率较高;
- 策略逻辑简单,容易理解和回测优化;
- 夜盘交易,避开白天的市场噪音;
- 风险控制得当,止损策略清晰;
- 可直接连接至MT4/5自动交易;
总的来说,追踪熊市策略作为一个短线夜间套利策略,它的稳定性和实用性都是不错的选择。
风险分析
尽管该策略有一定的优势,但交易任何金融产品都存在风险,主要风险包括:
- 夜盘市场流动性较差,无法及时止损;
- 策略过于简单,容易被算法识破;
- 欧元多头被困的行为规律可能在某些市场环境下失效;
- 需要足够的历史数据来验证策略效果;
- 回测数据和实盘差异可能很大。
针对以上风险,以下几点是应对方法:
- 调整止损幅度,防止失效止损;
- 组合更多指标和过滤条件,使策略更具鲁棒性;
- 优化策略参数,适应更广的市场环境;
- 使用更长的回测周期;
- 多次实盘验证,确保回测结果可靠。
优化方向
考虑到该策略的简单性以及潜在风险,以下是未来可考虑的优化方向:
- 多时间框架验证 - 可以在5分钟或15分钟时间框架上再次验证反转信号,增加稳定性;
- 机器学习过滤 -引入机器学习算法,识别更多模式,过滤掉虚假信号;
- 动态止损 - 根据市场波动程度,实时调整止损点位防止失效止损;
- 稳定资金管理优化 - 优化资金管理策略,通过调整仓位让收益更加平稳。
总结
追踪熊市策略是一个简单,交易风险可控的短线做空策略。它通过捕捉欧元多头被套现象带来的短期调整,实现稳定盈利。该策略易于理解和优化,是夜间套利交易的理想选择。当然,交易任何金融产品都有风险,需要调整参数并适当优化以适应市场环境的变化。
/*backtest
start: 2024-02-18 00:00:00
end: 2024-02-25 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © ZenAndTheArtOfTrading / PineScriptMastery
// FTB Strategy (PineConnector Version)
// Last Updated: 21st July, 2021
// @version=4
strategy("[2021] FTB Strategy", shorttitle="FTB", overlay=true)
// Risk Settings
var g_risk = "Risk Settings"
pips = input(title="Stop Pips", type=input.float, defval=2.0, group=g_risk, tooltip="How many pips above high to put stop loss")
rr = input(title="Risk:Reward", type=input.float, defval=1.0, group=g_risk, tooltip="This determines the risk:reward profile of the setup")
// Filters
var g_filter = "Filter Settings"
timezone = input(title="Timezone", type=input.session, defval="0200-0700", group=g_filter, tooltip="Which timezone to search for FTB signals in")
days = input(title="Days To Trade", defval="13457", group=g_filter, tooltip="Which days to trade this strategy on (Monday & Friday disabled by default)")
useRsiFilter = input(title="RSI OB/OS?", type=input.bool, defval=true, group=g_filter, tooltip="If true then the RSI must be considered overbought before a signal is valid")
useCloseFilter = input(title="Previous Bar Must Be Bullish?", type=input.bool, defval=false, group=g_filter, tooltip="If true then the previous bar must have closed bullish")
useHighFilter = input(title="High Filter", type=input.bool, defval=false, group=g_filter, tooltip="If true then the signal bar must be the highest bar over X bars")
highLookback = input(title="High Lookback", type=input.integer, defval=10, group=g_filter, tooltip="This is for setting the High Filter lookback distance")
fib = input(title="Candle Close %", defval=0.5, group=g_filter, tooltip="For identifying shooting star candles (0.5 = must close <= 50% mark of candle size)")
rsiLen = input(title="RSI Length", type=input.integer, defval=3, group=g_filter, tooltip="RSI length")
rsiOB = input(title="RSI OB", type=input.float, defval=70.0, group=g_filter, tooltip="RSI overbought threshold")
// PineConnector Settings
var g_pc = "PineConnector Settings"
pc_id = input(title="License ID", defval="YOUR_ID", type=input.string, group=g_pc, tooltip="This is your PineConnector license ID")
pc_risk = input(title="Risk Per Trade", defval=1, step=0.5, type=input.float, group=g_pc, tooltip="This is how much to risk per trade (% of balance or lots)")
pc_prefix = input(title="MetaTrader Prefix", defval="", type=input.string, group=g_pc, tooltip="This is your broker's MetaTrader symbol prefix")
pc_suffix = input(title="MetaTrader Suffix", defval="", type=input.string, group=g_pc, tooltip="This is your broker's MetaTrader symbol suffix")
pc_spread = input(title="Spread", defval=0.5, type=input.float, group=g_pc, tooltip="Enter your average spread for this pair (used for offsetting limit order)")
pc_limit = input(title="Use Limit Order?", defval=true, type=input.bool, group=g_pc, tooltip="If true a limit order will be used, if false a market order will be used")
// Generate PineConnector alert string
var symbol = pc_prefix + syminfo.ticker + pc_suffix
var limit = pc_limit ? "limit" : ""
pc_entry_alert(direction, sl, tp) =>
price = pc_limit ? "price=" + tostring(pc_spread) + "," : ""
pc_id + "," + direction + limit + "," + symbol + "," + price + "sl=" + tostring(sl) + ",tp=" + tostring(tp) + ",risk=" + tostring(pc_risk)
// Get RSI filter
rsiValue = rsi(close, rsiLen)
rsiFilter = not useRsiFilter or rsiValue >= rsiOB
// Check high & close filter
highFilter = not useHighFilter or high == highest(high, highLookback)
closeFilter = not useCloseFilter or close[1] > open[1]
// InSession() determines if a price bar falls inside the specified session
inSession(sess) => na(time(timeframe.period, sess + ":" + days)) == false
// Calculate 50% mark of candle size
bearFib = (high - low) * fib + low
// Check filters
filters = inSession(timezone) and closeFilter and high > high[1] and rsiFilter and highFilter and open != close
// Detect valid shooting star pinbar pattern
var takenTradeAlready = false
star = true
// Calculate stops & targets
shortStopPrice = high + (syminfo.mintick * pips * 10)
shortStopDistance = shortStopPrice - close
shortTargetPrice = close - (shortStopDistance * rr)
// Save stops & targets for the current trade
var tradeStopPrice = 0.0
var tradeTargetPrice = 0.0
// If we detect a valid shooting star, save our stops & targets, enter short and generate alert
if star and barstate.isconfirmed
tradeStopPrice := shortStopPrice
tradeTargetPrice := shortTargetPrice
takenTradeAlready := true
alertString = pc_entry_alert("sell", tradeStopPrice, tradeTargetPrice)
alert(alertString, alert.freq_once_per_bar_close)
strategy.entry(id="Short", long=strategy.short, when=strategy.position_size == 0, comment=alertString)
// If we have exited the FTB session then reset our takenTradeAlready flag for the next session
if not inSession(timezone) and inSession(timezone)[1]
takenTradeAlready := false
// If price has exceeded target then cancel limit order if it's still active
if pc_limit and low <= tradeTargetPrice and strategy.position_size == 0
alert(pc_id + ",cancelshort," + symbol)
tradeTargetPrice := na
// Draw stops & targets
plot(star ? tradeStopPrice : na, color=color.red, style=plot.style_linebr, title="SL")
plot(star ? shortTargetPrice : na, color=color.green, style=plot.style_linebr, title="TP")
// Draw short signals
plotshape(star ? 1 : na, style=shape.triangledown, color=color.red)
// Change background color to highlight detection zone
bgcolor(color=inSession(timezone) ? color.new(color.red,80) : na, title="Session")
// Exit trade whenever our stop or target is hit
strategy.exit(id="Short Exit", from_entry="Short", limit=tradeTargetPrice, stop=tradeStopPrice, when=strategy.position_size != 0)
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