均线黄金分割放大ATR突破策略
Author: ChaoZhang, Date: 2024-02-26 15:02:26Tags:
概述
本策略是一个利用ATR指标构建交易信号的突破策略。该策略运用均线系统产生交易信号,通过黄金分割放大后的ATR指标上下通道构建多空仓位。能够在趋势中大幅获利,在震荡行情中获得小额稳定收益。
策略原理
代码中通过求取收盘价的ATR周期指标,并放大1.618倍作为上轨,放大2.618倍作为下轨,与均线ema结合构建布林通道突破交易系统。当价格从下轨突破向上时做多,价格从上轨突破向下时做空,实现趋势跟踪获利。
策略优势
- ATR指标能有效地捕捉市场波动率,利用波动率构建自适应交易通道,避免使用固定参数导致的过拟合。
- 黄金分割放大后的ATR上下轨能在不增加交易频率的前提下扩大收益空间。
- 均线系统过滤了短期噪音,与ATR通道配合能锁定中长线趋势。
策略风险
- ATR指标对极端行情的应对存在滞后。
- 黄金分割放大倍数不当可能导致交易频率过高。
- 长周期均线切换信号发生滞后。
策略优化
- ATR指标可以考虑与市场波动率指数VIX结合使用或调整放大倍数。
- 均线系统可以引入多时间周期EMA,构建自适应交易系统。
- 可以设立止损机制降低单笔交易最大损失。
总结
本策略综合运用均线过滤、ATR通道跟踪和黄金分割原理。能够有效跟踪中长线趋势,具有良好的稳定性。通过参数调整可以适应不同品种不同周期的应用,值得探索其良好的市场适应性。
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy("ATR Long Only Strategy lower band buy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)
len = input(52, type=input.integer, minval=1, title="Length")
mul = input(1.618, type=input.float, minval=0, title="Length")
mullow = input(2.618, type=input.float, minval=0, title="Length")
price = sma(close, 1)
average = ema(close, len)
diff = atr(len) * mul
difflow = atr(len) * mullow
bull_level = average + diff
bear_level = average - difflow
bull_cross = crossunder(price, bear_level)
bear_cross = crossunder(bull_level, price)
FromMonth = input(defval = 8, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 18, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2008, title = "From Year", minval = 2008)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 2020, title = "To Year", minval = 2019)
start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
startTimeOk() => true
if (startTimeOk())
strategy.entry("KOP", strategy.long, when=bull_cross)
strategy.close("KOP", when=bear_cross) //strategy.entry("Sell", strategy.short, when=bear_cross)
plot(price, title="price", color=color.black, transp=50, linewidth=2)
a0 = plot(average, title="average", color=color.red, transp=50, linewidth=1)
a1 = plot(bull_level, title="bull", color=color.green, transp=50, linewidth=1)
a2 = plot(bear_level, title="bear", color=color.red, transp=50, linewidth=1)
fill(a0, a1, color=color.green, transp=97)
fill(a0, a2, color=color.red, transp=97)
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