ChaoZhang
该策略是一个基于线性回归通道和海因安士蜡烛图的量化交易系统，结合了动态止盈止损机制，专门用于把握市场中的快速波动机会。
策略概述
本策略使用线性回归通道作为主要交易框架，通过监测价格在通道内的运动来识别潜在的交易机会。当价格突破通道下轨并出现1.8%以上的上涨时，系统会发出做多信号；当价格突破通道上轨并出现0.2%以上的下跌时，系统会发出做空信号。策略还整合了基于海因安士蜡烛图的动态出场系统，以及10%止盈和5%止损的风险管理机制。
策略原理
策略的核心是基于30个周期的线性回归计算，通过标准差的2倍来设定通道宽度。入场信号基于以下条件： 1. 多头入场要求价格突破下轨后出现1.8%以上的上涨，且2小时内涨幅未超过5% 2. 空头入场需要价格突破上轨后出现0.2%以上的下跌 3. 使用3分钟时间框架的海因安士蜡烛图来确定出场时机 4. 设置了10%的止盈和5%的止损以控制风险
策略优势
- 结合了趋势和反转交易的特点，可以捕捉快速的市场机会
- 使用海因安士蜡烛图作为出场指标，提供了更稳健的出场机制
- 具有明确的风险控制措施，包括止盈止损设置
- 通过线性回归通道过滤市场噪音，提高信号质量
- 考虑了长期价格走势，避免在大幅上涨后做多
策略风险
- 在高波动市场中可能频繁触发止损
- 对于快速反转的市场反应可能较慢
- 固定的止盈止损比例可能不适合所有市场环境
- 在横盘市场中可能产生过多假信号
- 需要实时数据计算，对执行速度有一定要求
策略优化方向
- 建议根据市场波动率动态调整止盈止损比例
- 可以添加成交量指标作为信号确认
- 考虑引入自适应的线性回归周期
- 优化海因安士出场条件，可能需要增加额外的确认指标
- 建议加入交易时间过滤，避免在低流动性时段交易
总结
该策略通过线性回归通道和价格突破相结合的方式，为交易者提供了一个相对完整的交易系统。其优势在于结合了多个技术指标和风险控制措施，但仍需要根据实际市场情况进行优化和调整。建议在实盘交易前进行充分的回测和参数优化。
策略源码
/*backtest
start: 2024-02-19 00:00:00
end: 2025-02-16 08:00:00
period: 12h
basePeriod: 12h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=6
strategy('STRATEGY WITH SL', overlay=true)
// Parameters for Linear Regression
length = input.int(30, title='Linear Regression Length')
mult = input.float(2.0, title='Channel Multiplier', step=0.1)
// Calculate Linear Regression
regression_line = ta.linreg(close, length, 0)
// Calculate Standard Deviation
stddev = ta.stdev(close, length)
// Upper and Lower Channel Boundaries
upper_channel = regression_line + mult * stddev
lower_channel = regression_line - mult * stddev
// Plot the Linear Regression and Channel
plot(regression_line, color=color.blue, linewidth=2, title='Linear Regression Line')
plot(upper_channel, color=color.green, linewidth=1, title='Upper Channel')
plot(lower_channel, color=color.red, linewidth=1, title='Lower Channel')
// Parameters for Price Move Check (Indicator 1: 1.8% Move)
threshold_move = 1.8
large_threshold_move = 5.0
timeframe_for_large_move = 120
// Calculate the percentage change over the last 3 minutes
priceChange = (close - close[3]) / close[3] * 100
// Calculate the percentage change over the last 2 hours (120 minutes)
priceChange2Hour = (close - close[120]) / close[120] * 100
// Condition for a price move greater than 1.8%
isPriceUp = priceChange > threshold_move
// Condition for price move greater than 5% in 2 hours (no alert if true)
isLargePriceMove = priceChange2Hour > large_threshold_move
// Parameters for Price Drop Check (Indicator 2: 0.2% Drop)
threshold_drop = 0.2 / 100 // 0.2% threshold
// Get the price 3 minutes ago
price_3min_ago = request.security(syminfo.tickerid, '3', close[1])
// Calculate the percentage drop over the last 3 minutes
price_drop = (close - price_3min_ago) / price_3min_ago
// Condition for a 0.2% drop
drop_condition = price_drop <= -threshold_drop
// Track whether the price has crossed the upper or lower Linear Regression channel
var bool lower_crossed = false
var bool upper_crossed = false
var bool move_after_cross = false
var bool alert_sent = false
// Reset flags when price crosses channels
if (close < lower_channel)
lower_crossed := true
move_after_cross := false
if (close > upper_channel)
upper_crossed := true
alert_sent := false
// Combine both conditions for price crossing lower and upper channels and move/drop conditions
final_condition_long = lower_crossed and isPriceUp and not move_after_cross and not isLargePriceMove
final_condition_short = upper_crossed and drop_condition and not alert_sent
// Set flags when conditions are met
if (final_condition_long)
move_after_cross := true
if (final_condition_short)
alert_sent := true
// Heikin-Ashi calculation for dynamic timeframe (3-minute)
heikin_open = (open + close) / 2
heikin_close = (open + high + low + close) / 4
heikin_high = math.max(high, math.max(heikin_open, heikin_close))
heikin_low = math.min(low, math.min(heikin_open, heikin_close))
// Conditions for EXIT signals based on Heikin-Ashi candle body
exit_long_condition = (heikin_open > lower_channel and heikin_close < lower_channel) or (heikin_open < lower_channel and heikin_close > lower_channel)
exit_short_condition = heikin_open < upper_channel and heikin_close > upper_channel
// Strategy logic: Enter long or short based on the combined conditions
// Long Entry Condition
if (final_condition_long)
strategy.entry('Long', strategy.long)
// Short Entry Condition
if (final_condition_short)
strategy.entry('Short', strategy.short)
// Exit Conditions (EXIT-LONG and EXIT-SHORT)
if (exit_long_condition)
strategy.close('Long')
if (exit_short_condition)
strategy.close('Short')
// Take Profit and Stop Loss
take_profit = 10 / 100 // 10% Take Profit
stop_loss = 5 / 100 // 5% Stop Loss
// Calculate Take Profit and Stop Loss levels based on entry price
long_take_profit = strategy.position_avg_price * (1 + take_profit)
long_stop_loss = strategy.position_avg_price * (1 - stop_loss)
short_take_profit = strategy.position_avg_price * (1 - take_profit)
short_stop_loss = strategy.position_avg_price * (1 + stop_loss)
// Apply Take Profit and Stop Loss for Long and Short positions
strategy.exit('Take Profit/Stop Loss Long', from_entry='Long', limit=long_take_profit, stop=long_stop_loss)
strategy.exit('Take Profit/Stop Loss Short', from_entry='Short', limit=short_take_profit, stop=short_stop_loss)
// Plot background color when the conditions are met (for visual aid)
bgcolor(final_condition_long ? color.new(color.green, 90) : na, title='Price Move Alert After Lower Channel Crossed')
bgcolor(final_condition_short ? color.new(color.red, 90) : na, title='Price Drop Alert After Upper Channel Crossed')
bgcolor(exit_long_condition ? color.new(color.blue, 90) : na, title='EXIT-LONG Alert')
bgcolor(exit_short_condition ? color.new(color.orange, 90) : na, title='EXIT-SHORT Alert')
// Plot shapes when conditions are met
plotshape(final_condition_long, style=shape.labelup, location=location.belowbar, color=color.green, text='1.8% Move', textcolor=color.white, size=size.small)
plotshape(final_condition_short, style=shape.labeldown, location=location.abovebar, color=color.red, text='0.2% Drop', textcolor=color.white, size=size.small)
plotshape(exit_long_condition, style=shape.labeldown, location=location.abovebar, color=color.purple, text='EXIT-LONG', textcolor=color.white, size=size.small)
plotshape(exit_short_condition, style=shape.labelup, location=location.belowbar, color=color.orange, text='EXIT-SHORT', textcolor=color.white, size=size.small)
// Alert conditions for price moves and exits
alertcondition(final_condition_long, title="Price Move > 1.8% After Lower LR Channel Cross", message="Price crossed the lower Linear Regression Channel and moved more than 1.8% in the last 3 minutes!")
alertcondition(final_condition_short, title="Price Drop > 0.2% After Upper LR Channel Cross", message="Price crossed the upper Linear Regression Channel and dropped more than 0.2% in the last 3 minutes!")
alertcondition(exit_long_condition, title="EXIT-LONG: Heikin-Ashi Candle Body Crossing Lower LR Channel", message="The body of a 3-minute Heikin-Ashi candle is crossing outside the lower Linear Regression Channel.")
alertcondition(exit_short_condition, title="EXIT-SHORT: Heikin-Ashi Candle Body Crossing Upper LR Channel", message="The body of a 3-minute Heikin-Ashi candle is crossing outside the upper Linear Regression Channel.")
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