多重SMA区间突破与动态利润锁定量化交易策略
Author: ChaoZhang, Date: 2024-12-20 16:28:54Tags: SMA
概述
这是一个基于SMA指标的动态趋势跟踪交易策略,结合了价格区间、随机指标和多重利润保护机制。该策略通过监控价格在不同区间的运动,结合短期和长期移动平均线的交叉信号,同时使用随机指标来确定市场状态和趋势强度,实现高效的趋势捕捉。策略设计了百分比和固定点数两种止盈机制,有效平衡了收益和风险。
策略原理
策略的核心逻辑包含以下几个关键部分: 1. 使用19周期和74周期SMA构建趋势框架 2. 通过60周期随机指标判断市场状态,将SMA的颜色区分为黄、绿、红、橙四种状态 3. 在价格区间中划分5个重要水平,用于判断价格强弱 4. 入场条件需同时满足: - SMA为绿色或黄色状态 - 价格突破橙色区域 - 收盘价在短期SMA之上 5. 设置了两种止盈机制: - 基于最高价的百分比回撤保护 - 基于固定点数的利润锁定
策略优势
- 多重确认机制降低了虚假信号
- 动态的区间划分适应不同市场环境
- 双重止盈机制提供了更好的风险控制
- 清晰的市场状态分类有助于把握市场节奏
- 实时的交易状态监控便于策略调试
- 结合技术指标和价格行为分析
策略风险
- 在震荡市场可能产生过多交易
- 固定点数止盈可能错过大行情
- 参数优化可能导致过度拟合
- 市场快速反转时可能损失部分利润
- 多重确认条件可能错过部分交易机会 解决方法:
- 加入波动率过滤器
- 动态调整止盈参数
- 增加市场环境识别机制
- 优化出场时机判断
策略优化方向
- 引入波动率指标动态调整参数
- 根据市场状态自适应调整止盈条件
- 增加成交量确认机制
- 加入趋势强度过滤器
- 优化区间划分方法,考虑市场特征
- 完善风险管理机制,如:
- 每日止损
- 最大回撤控制
- 持仓时间限制
总结
该策略通过综合运用多个技术指标和价格行为分析方法,构建了一个完整的交易系统。策略的优势在于多重确认机制和灵活的止盈体系,但也需要注意市场环境对策略表现的影响。通过持续优化和完善风险管理,策略有望在不同市场环境下保持稳定表现。
/*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(title="SMA Color Strategy",
overlay=true,
initial_capital=10000,
max_bars_back=5000,
max_labels_count=500,
max_boxes_count=500,
default_qty_type=strategy.fixed,
default_qty_value=1,
currency=currency.NONE,
process_orders_on_close=true)
// === INPUTS ===
zoneLength = input.int(20, "Price Zone Length", minval=5)
profitLockPct = input.float(50, "Profit Lock Percentage", minval=1, maxval=100, step=5) / 100
ticksToLock = input.int(12, "Ticks to Activate Lock", minval=1, tooltip="Number of ticks price must move up to activate tick-based lock")
ticksToSecure = input.int(10, "Ticks to Secure", minval=1, tooltip="Number of ticks to lock in once activated")
// Calculate tick values
tickSize = syminfo.mintick
ticksToLockPoints = ticksToLock * tickSize
ticksToSecurePoints = ticksToSecure * tickSize
// Calculate price zones
h = ta.highest(high, zoneLength)
l = ta.lowest(low, zoneLength)
priceRange = h - l
lvl5 = h
lvl4 = l + (priceRange * 0.75) // Orange line
lvl3 = l + (priceRange * 0.50) // Yellow line
lvl2 = l + (priceRange * 0.25) // Green line
lvl1 = l
// Calculate SMAs
sma19 = ta.sma(close, 19)
sma74 = ta.sma(close, 74)
// Stochastic calculation for color logic
k = ta.stoch(close, high, low, 60)
d = ta.sma(k, 10)
// SMA Color Logic with state tracking
var color currentSMAColor = color.orange
var color previousSMAColor = color.orange
var string currentColorName = "ORANGE"
var string previousColorName = "ORANGE"
smaColor = if d >= 80 or d <= 20
color.rgb(255, 215, 0)
else if d > d[1]
color.green
else if d < d[1]
color.red
else
color.orange
// Update color state and names
if smaColor != currentSMAColor
previousSMAColor := currentSMAColor
currentSMAColor := smaColor
previousColorName := currentColorName
currentColorName := if smaColor == color.rgb(255, 215, 0)
"YELLOW"
else if smaColor == color.green
"GREEN"
else if smaColor == color.red
"RED"
else
"ORANGE"
// Color logic for SMA74
sma74Color = if smaColor == color.rgb(255, 215, 0)
color.rgb(255, 215, 0)
else if sma74 < sma19
color.green
else
color.red
// === ENTRY CONDITIONS ===
smaIsGreen = smaColor == color.green
greenCandle = close > open
candleAboveOrange = close > lvl4
candleAboveSMA = close > sma19
crossedAboveOrange = ta.crossover(close, lvl4)
smaIsYellow = smaColor == color.rgb(255, 215, 0)
longCondition1 = smaIsGreen and greenCandle and candleAboveOrange and candleAboveSMA and crossedAboveOrange
longCondition2 = smaIsYellow and crossedAboveOrange and candleAboveSMA
// === PROFIT LOCK SYSTEM ===
var float entryPrice = na
var float maxPrice = na
var float profitLockLevel = na
var bool tickLockActivated = false
var float tickBasedLockLevel = na
// Reset variables on new trade entry
if (longCondition1 or longCondition2)
entryPrice := close
maxPrice := close
profitLockLevel := close * (1 - profitLockPct)
tickLockActivated := false
tickBasedLockLevel := na
// Update maximum price and profit locks when in a trade
if strategy.position_size > 0
maxPrice := math.max(maxPrice, high)
profitLockLevel := math.max(profitLockLevel, maxPrice * (1 - profitLockPct))
// Check if price has moved up enough to activate tick-based lock
if not tickLockActivated and (maxPrice - entryPrice) >= ticksToLockPoints
tickLockActivated := true
tickBasedLockLevel := entryPrice + ticksToSecurePoints
// === EXIT CONDITIONS ===
exitOnYellowLine = close < lvl3
exitOnProfitLock = low < profitLockLevel and strategy.position_size > 0
exitOnTickLock = tickLockActivated and low < tickBasedLockLevel
// === TRADE MANAGEMENT ===
if (longCondition1 or longCondition2)
strategy.entry("Long", strategy.long)
if strategy.position_size > 0
if exitOnYellowLine
strategy.close("Long", comment="Close below yellow")
if exitOnProfitLock
strategy.close("Long", comment="Profit lock triggered")
if exitOnTickLock
strategy.close("Long", comment="Tick-based lock triggered")
// Plot indicators
plot(sma19, "SMA 19", color=smaColor, linewidth=2)
plot(sma74, "SMA 74", color=sma74Color, linewidth=2)
plot(lvl5, "Upper Zone Top", color=color.red, linewidth=2)
plot(lvl4, "Upper Zone Bottom", color=color.orange, linewidth=2)
plot(lvl3, "Middle Line", color=color.yellow, linewidth=2)
plot(lvl2, "Lower Zone Top", color=color.green, linewidth=2)
plot(lvl1, "Lower Zone Bottom", color=color.blue, linewidth=2)
// Plot profit lock levels
plot(strategy.position_size > 0 ? profitLockLevel : na, "Profit Lock Level", color=color.purple, style=plot.style_linebr, linewidth=2)
plot(strategy.position_size > 0 and tickLockActivated ? tickBasedLockLevel : na, "Tick Lock Level", color=color.fuchsia, style=plot.style_linebr, linewidth=2)
// Fill zones
var p1 = plot(lvl5, display=display.none)
var p2 = plot(lvl4, display=display.none)
var p3 = plot(lvl2, display=display.none)
var p4 = plot(lvl1, display=display.none)
fill(p1, p2, color=color.new(color.red, 90))
fill(p3, p4, color=color.new(color.green, 90))
// Debug Table
if barstate.islast
var table debugTable = table.new(position.top_right, 2, 13, bgcolor=color.new(color.black, 70), frame_width=1)
table.cell(debugTable, 0, 0, "Current Color", text_color=color.white)
table.cell(debugTable, 1, 0, currentColorName, text_color=currentSMAColor)
table.cell(debugTable, 0, 1, "Previous Color", text_color=color.white)
table.cell(debugTable, 1, 1, previousColorName, text_color=previousSMAColor)
table.cell(debugTable, 0, 2, "Entry 1 (Green)", text_color=color.white)
table.cell(debugTable, 1, 2, str.tostring(longCondition1), text_color=color.white)
table.cell(debugTable, 0, 3, "Entry 2 (Yellow)", text_color=color.white)
table.cell(debugTable, 1, 3, str.tostring(longCondition2), text_color=color.white)
table.cell(debugTable, 0, 4, "Current Position", text_color=color.white)
table.cell(debugTable, 1, 4, str.tostring(strategy.position_size), text_color=color.white)
table.cell(debugTable, 0, 5, "Entry Price", text_color=color.white)
table.cell(debugTable, 1, 5, str.tostring(entryPrice), text_color=color.white)
table.cell(debugTable, 0, 6, "Max Price", text_color=color.white)
table.cell(debugTable, 1, 6, str.tostring(maxPrice), text_color=color.white)
table.cell(debugTable, 0, 7, "Profit Lock Level", text_color=color.white)
table.cell(debugTable, 1, 7, str.tostring(profitLockLevel), text_color=color.white)
table.cell(debugTable, 0, 8, "Tick Lock Active", text_color=color.white)
table.cell(debugTable, 1, 8, str.tostring(tickLockActivated), text_color=color.white)
table.cell(debugTable, 0, 9, "Tick Lock Level", text_color=color.white)
table.cell(debugTable, 1, 9, str.tostring(tickBasedLockLevel), text_color=color.white)
table.cell(debugTable, 0, 10, "Price Move (Ticks)", text_color=color.white)
table.cell(debugTable, 1, 10, str.tostring(strategy.position_size > 0 ? (maxPrice - entryPrice) / tickSize : 0), text_color=color.white)
table.cell(debugTable, 0, 11, "Locked Profit %", text_color=color.white)
table.cell(debugTable, 1, 11, str.tostring(strategy.position_size > 0 ? ((maxPrice - entryPrice) / entryPrice * 100) : 0.0) + "%", text_color=color.white)
table.cell(debugTable, 0, 12, "Exit Signals", text_color=color.white)
table.cell(debugTable, 1, 12, "Y:" + str.tostring(exitOnYellowLine) + " P:" + str.tostring(exitOnProfitLock) + " T:" + str.tostring(exitOnTickLock), text_color=color.white)
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