该策略是一个基于多个技术指标组合的趋势跟踪期权交易策略。主要使用EMA交叉作为核心信号,结合SMA、VWAP确认趋势方向,同时使用MACD和RSI作为辅助指标进行信号过滤。策略采用固定止盈点位管理风险,通过严格的入场条件和位置管理来提高交易的成功率。
策略使用8周期和21周期EMA的交叉作为主要交易信号,当短期EMA上穿长期EMA且满足以下条件时触发做多信号:价格位于100和200周期SMA之上,MACD线在信号线上方,RSI大于50。做空信号的触发条件相反。策略引入VWAP作为价格权重参考,帮助判断当前价格相对位置。每次交易使用固定的1个合约作为交易量,并设置5%的止盈点位。策略通过positionOpen标志来追踪持仓状态,确保同一时间只持有一个位置。
这是一个结构完整、逻辑清晰的多指标趋势跟踪期权交易策略。策略通过多个技术指标的协同配合来提高交易信号的可靠性,并使用固定止盈点位来管理风险。虽然策略存在一些固有的风险,但通过提出的优化方向可以进一步提升策略的稳定性和盈利能力。策略的可视化设计也有助于交易者直观地理解和执行交易信号。
/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-18 08:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("OptionsMillionaire Strategy with Take Profit Only", overlay=true, default_qty_type=strategy.fixed, default_qty_value=1)
// Define custom magenta color
magenta = color.rgb(255, 0, 255) // RGB for magenta
// Input settings for Moving Averages
ema8 = ta.ema(close, 8)
ema21 = ta.ema(close, 21)
sma100 = ta.sma(close, 100)
sma200 = ta.sma(close, 200)
vwap = ta.vwap(close) // Fixed VWAP calculation
// Input settings for MACD and RSI
[macdLine, signalLine, _] = ta.macd(close, 12, 26, 9)
rsi = ta.rsi(close, 14)
// Define trend direction
isBullish = ema8 > ema21 and close > sma100 and close > sma200
isBearish = ema8 < ema21 and close < sma100 and close < sma200
// Buy (Call) Signal
callSignal = ta.crossover(ema8, ema21) and isBullish and macdLine > signalLine and rsi > 50
// Sell (Put) Signal
putSignal = ta.crossunder(ema8, ema21) and isBearish and macdLine < signalLine and rsi < 50
// Define Position Size and Take-Profit Level
positionSize = 1 // Position size set to 1 (each trade will use one contract)
takeProfitPercent = 5 // Take profit is 5%
// Variables to track entry price and whether the position is opened
var float entryPrice = na // To store the entry price
var bool positionOpen = false // To check if a position is open
// Backtesting Execution
if callSignal and not positionOpen
// Enter long position (call)
strategy.entry("Call", strategy.long, qty=positionSize)
entryPrice := close // Store the entry price
positionOpen := true // Set position as opened
if putSignal and not positionOpen
// Enter short position (put)
strategy.entry("Put", strategy.short, qty=positionSize)
entryPrice := close // Store the entry price
positionOpen := true // Set position as opened
// Only check for take profit after position is open
if positionOpen
// Calculate take-profit level (5% above entry price for long, 5% below for short)
takeProfitLevel = entryPrice * (1 + takeProfitPercent / 100)
// Exit conditions (only take profit)
if strategy.position_size > 0
// Long position (call)
if close >= takeProfitLevel
strategy.exit("Take Profit", "Call", limit=takeProfitLevel)
if strategy.position_size < 0
// Short position (put)
if close <= takeProfitLevel
strategy.exit("Take Profit", "Put", limit=takeProfitLevel)
// Reset position when it is closed (this happens when an exit is triggered)
if strategy.position_size == 0
positionOpen := false // Reset positionOpen flag
// Plot EMAs
plot(ema8, color=magenta, linewidth=2, title="8 EMA")
plot(ema21, color=color.green, linewidth=2, title="21 EMA")
// Plot SMAs
plot(sma100, color=color.orange, linewidth=1, title="100 SMA")
plot(sma200, color=color.blue, linewidth=1, title="200 SMA")
// Plot VWAP
plot(vwap, color=color.white, style=plot.style_circles, title="VWAP")
// Highlight buy and sell zones
bgcolor(callSignal ? color.new(color.green, 90) : na, title="Call Signal Background")
bgcolor(putSignal ? color.new(color.red, 90) : na, title="Put Signal Background")
// Add buy and sell markers (buy below, sell above)
plotshape(series=callSignal, style=shape.labelup, location=location.belowbar, color=color.green, text="Buy", title="Call Signal Marker")
plotshape(series=putSignal, style=shape.labeldown, location=location.abovebar, color=color.red, text="Sell", title="Put Signal Marker")