跨越式价格突破趋势策略基于多周期关键价格水平的量化交易系统

多维度价格参考:通过监控多个时间周期的关键价格水平,全面把握市场走势。
突破交易逻辑清晰:基于价格突破产生交易信号,交易规则明确且易于理解。
自动化程度高:系统自动计算各个价格水平并执行交易,减少人为干预。
可视化效果强:通过不同颜色的水平线直观显示各个价格水平,便于分析判断。
适应性强:策略可以适用于不同的交易品种和时间周期。

策略风险

假突破风险:市场可能出现假突破导致错误信号。
波动率依赖:策略在低波动率环境下可能表现欠佳。
风险控制不足:缺乏动态止损和获利了结机制。
市场环境依赖:在趋势不明显的横盘市场中可能频繁交易。
滑点影响:在流动性较差的市场中可能面临较大滑点。

策略优化方向

增加技术指标过滤:

引入RSI指标过滤超买超卖
使用ATR设置动态止损位
结合ADX判断趋势强度

完善风险管理:

设置动态止损机制
加入移动止损功能
建立分批获利机制

优化信号确认:

增加成交量确认
添加多周期趋势确认
设置信号延迟确认机制

总结

该策略通过监控和利用多个关键价格水平来捕捉市场机会,具有逻辑清晰、自动化程度高的特点。但同时也存在一定的风险,需要通过增加技术指标过滤、完善风险管理机制等方式来优化。策略的核心优势在于其多维度的价格参考系统,这使其能够较好地把握市场走势,但在实际应用中需要根据不同市场环境进行针对性的参数调整。

策略源码

/*backtest
start: 2024-12-06 00:00:00
end: 2025-01-04 08:00:00
period: 1h
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © tradingbauhaus

//@version=6
strategy("HOD/LOD/PMH/PML/PDH/PDL Strategy by tradingbauhaus ", shorttitle="HOD/LOD Strategy", overlay=true)

// Daily high and low
dailyhigh = request.security(syminfo.tickerid, 'D', high)
dailylow = request.security(syminfo.tickerid, 'D', low)

// Previous day high and low
var float previousdayhigh = na
var float previousdaylow = na
high1 = request.security(syminfo.tickerid, 'D', high[1])
low1 = request.security(syminfo.tickerid, 'D', low[1])
high0 = request.security(syminfo.tickerid, 'D', high[0])
low0 = request.security(syminfo.tickerid, 'D', low[0])

// Yesterday high and low
if (hour == 9 and minute > 30) or hour > 10
    previousdayhigh := high1
    previousdaylow := low1
else
    previousdayhigh := high0
    previousdaylow := low0

// Premarket high and low
t = time("1440", "0000-0930") // 1440 is the number of minutes in a whole day.
is_first = na(t[1]) and not na(t) or t[1] < t
ending_hour = 9
ending_minute = 30

var float pm_high = na
var float pm_low = na

if is_first and barstate.isnew and ((hour < ending_hour or hour >= 16) or (hour == ending_hour and minute < ending_minute))
    pm_high := high
    pm_low := low
else 
    pm_high := pm_high[1]
    pm_low := pm_low[1]

if high > pm_high and ((hour < ending_hour or hour >= 16) or (hour == ending_hour and minute < ending_minute))
    pm_high := high
    
if low < pm_low and ((hour < ending_hour or hour >= 16) or (hour == ending_hour and minute < ending_minute))
    pm_low := low

// Plotting levels
plot(dailyhigh, style=plot.style_line, title="Daily high", color=color.white, linewidth=1, trackprice=true)
plot(dailylow, style=plot.style_line, title="Daily low", color=color.purple, linewidth=1, trackprice=true)
plot(previousdayhigh, style=plot.style_line, title="Previous Day high", color=color.orange, linewidth=1, trackprice=true)
plot(previousdaylow, style=plot.style_line, title="Previous Day low", color=color.blue, linewidth=1, trackprice=true)
plot(pm_high, style=plot.style_line, title="Premarket high", color=color.green, linewidth=1, trackprice=true)
plot(pm_low, style=plot.style_line, title="Premarket low", color=color.red, linewidth=1, trackprice=true)

// Strategy logic
// Long entry: Price crosses above PMH or PDH
if (ta.crossover(close, pm_high) or ta.crossover(close, previousdayhigh)) and strategy.opentrades == 0
    strategy.entry("Long", strategy.long)

// Short entry: Price crosses below PML or PDL
if (ta.crossunder(close, pm_low) or ta.crossunder(close, previousdaylow)) and strategy.opentrades == 0
    strategy.entry("Short", strategy.short)

// Exit long: Price reaches HOD
if strategy.position_size > 0 and ta.crossover(close, dailyhigh)
    strategy.close("Long")

// Exit short: Price reaches LOD
if strategy.position_size < 0 and ta.crossunder(close, dailylow)
    strategy.close("Short")

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