ChaoZhang
概述
该策略根据周五收盘价设定长仓和空仓的入场条件,在周六和周日开盘时做多做空,周一开盘前平仓。策略通过捕捉周五收盘价附近的价格波动来实现盈利。
原理
- 记录周五的收盘价作为参考价
- 周六周日开盘时:
- 如果价格高于周五收盘价的4.5%,做空
- 如果价格低于周五收盘价的4.5%,做多
- 止盈设置为初始资金的3%
- 周一开盘前平仓所有头寸
优势分析
- 利用周六周日的低交易量导致的价格波动进行交易,降低市场风险
- 明确的入场和出场条件,降低策略实施难度
- 短线操作,追求稳定的小盈利
- 周期短,资金周转快
风险分析
- 周六周日价格波动可能小于预期,无法打开仓位
- 波动过大导致止损
- 周一重大事件导致价格跳空,无法及时止损
风险解决方案:
- 调整入场条件的波动幅度
- 合理设置止损点
- 提前平仓,不持仓过周末
优化方向
- 根据不同品种的特点调整入场幅度
- 根据回测结果优化止盈条件
- 根据资金规模选择不同的杠杆
- 结合均线指标过滤入场时机
总结
该策略作为一个短线交易策略,具有非常明确的交易逻辑和风险控制措施。通过合理的参数设置和不断测试优化,可以获得稳定的投资收益。同时也需要注意周未价格波动过大导致的亏损风险,通过风险管理来控制损失。
策略源码
/*backtest
start: 2023-10-16 00:00:00
end: 2023-11-15 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
//Copyright Boris Kozak
strategy("XBT Weekend Trade Strategy", overlay=true, default_qty_type=strategy.percent_of_equity,initial_capital=20000)
leverage = input(1,"Leverage")
profitTakingPercentThreshold = input(0.03,"Profit Taking Percent Threshold")
//****Code used for setting up backtesting.****///
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(12, "Backtest Start Month")
testStartDay = input(10, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testStopYear = input(2025, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FFFF : na
bgcolor(testPeriodBackgroundColor, transp=50)
testPeriod() => true
//****END Code used for setting up backtesting.****///
//*** Main entry point is here***//
// Figure out how many days since the Friday close
days_since_friday = if dayofweek == 6
0
else
if dayofweek == 7
1
else
if dayofweek == 1
2
else
if dayofweek == 2
3
else
if dayofweek == 3
4
else
if dayofweek == 4
5
else
6
// Grab the Friday close price
fridaycloseprice = request.security(syminfo.tickerid,'D',close[days_since_friday])
plot(fridaycloseprice)
strategy.initial_capital = 50000
// Only perform backtesting during the window specified
if testPeriod()
// If we've reached out profit threshold, exit all positions
if ((strategy.openprofit/strategy.initial_capital) > profitTakingPercentThreshold)
strategy.close_all()
// Only execute this trade on saturday and sunday (UTC)
if (dayofweek == 7.0 or dayofweek == 1.0)
// Begin - Empty position (no active trades)
if (strategy.position_size == 0)
// If current close price > threshold, go short
if ((close>fridaycloseprice*1.045))
strategy.entry("Short Entry", strategy.short, leverage)
else
// If current close price < threshold, go long
if (close<(fridaycloseprice*0.955))
strategy.entry("Long Entry",strategy.long, leverage)
// Begin - we already have a position
if (abs(strategy.position_size) > 0)
// We are short
if (strategy.position_size < 0)
if ((close>strategy.position_avg_price*1.045))
// Add to the position
strategy.entry("Adding to Short Entry", strategy.short, leverage)
else
strategy.entry("Long Entry",strategy.long,leverage)
// On Monday, if we have any open positions, close them
if (dayofweek==2.0)
strategy.close_all()