ChaoZhang
概述
该策略是一个适用于印度股市的日内交易(Intraday)整合突破指示策略。它结合了时间条件、委托手续费以及止损追踪。本策略的优点是逻辑清晰,参数调节灵活,可以适应市场的变化。但是也存在一定的风险,需要进一步优化。
策略原理
该策略的核心逻辑基于布林带指标。它使用长度为LENGTH的简单移动平均线作为中轴,上轨和下轨分别以MULT倍的标准差计算。当收盘价从下穿上轨时生成买入信号,当收盘价从上穿下轨时生成卖出信号,形成Range Breakout交易策略。
为控制风险,它结合ATR指标计算止损线。同时考虑了印度股市的交易时间,在14:57分钟全平所有仓位。
优势分析
该策略具有以下几个优势:
- 逻辑清晰,参数易调整,可以灵活适应市场情况
- 整合了止损和时间控制逻辑,可以有效控制风险
- 兼容考虑了印度股市的特殊交易机制,适应本地环境
- 交易频率适中,避免过度交易
- 可扩展性好,可在其基础上进行算法优化
风险分析
该策略也存在一定的风险:
- 布林带的参数设置依赖经验,不适宜全部环境
- 单一指标容易产生虚假信号
- ATR止损只能有效控制部分风险
- 未考虑重大黑天鹅事件的影响
可以通过以下方式降低风险:
- 结合多个指标过滤信号
- 优化参数设置规则
- 结合跳空缺口判断
- 增加止损算法的鲁棒性
- 结合市场情绪指标
优化方向
该策略可以从以下几个方向进行优化:
- 优化参数设置规则,使之更具有适应性
- 增加多个指标判断,避免虚假信号
- 优化和增强止损算法的鲁棒性
- 结合更多分析方法判断趋势方向
- 考虑自动调整仓位大小
通过算法和模型优化,可以使该策略 Parameter Tuning 和 Signal Filtering 能力得到提升,从而适应更广泛的市场环境,并可以承受更大的风险。
总结
该策略总体来说是一个清晰易懂的日内突破交易策略。它考虑了印度市场的特点,控制了交易风险。本策略具有一定的优势,也存在可以优化的空间。通过Parameter Tuning和Signal Filtering等方法的改进,可以使该策略达到商业营运的要求。
策略源码
/*backtest
start: 2022-12-08 00:00:00
end: 2023-12-14 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=5
strategy("Consolidation Breakout [Indian Market Timing]",overlay = true , pyramiding = 0 ,initial_capital = 50000, default_qty_value=5, currency = currency.NONE,commission_type = strategy.cash, commission_value = 30, slippage = 1 )
// ══════════════════════════════════//
// ————————> INPUT VALUES <————————— //
// ══════════════════════════════════//
LENGTH = input.int(title='LENGTH', defval = 75, minval = 10 ,maxval = 300)
MULT = input.float(title='MULT_STDEV',defval = 3.2 , minval = 1 , maxval = 7 , step =0.1)
//EMA1 = input.int(title='EMA1', defval = 50, minval = 10 ,maxval = 550)
//EMA2 = input.int(title='EMA2', defval = 135, minval = 10 ,maxval = 550)
factor_tr = input.float(title = "ATR TRAIL", defval = 10, step = 0.1)
// ══════════════════════════════════//
// ————————> DAY TIME LIMIT <——————— //
// ══════════════════════════════════//
t = time(timeframe.period, '0935-1430:1234567')
time_condition = not na(t)
//**********************// ════════════════════════════════//
//**********************// ————————> ATR & PLOT <————————— //
//**********************// ════════════════════════════════//
//ema1 = ta.ema(close,EMA1)
//ema2 = ta.ema(close,EMA2)
//plot(ema1, color=color.new(color.blue, 0), style=plot.style_linebr, title='ema1')
//plot(ema2, color=color.new(color.yellow, 0), style=plot.style_linebr, title='ema2')
atr_tr = ta.atr(16)*factor_tr
longStop = close - atr_tr
shortStop = close + atr_tr
Entry = close
length = LENGTH
mult = MULT
basis = ta.sma(Entry , length)
dev = mult * ta.stdev(Entry , length)
upper = (basis + dev)
lower = (basis - dev)
buyEntry = ta.crossover(Entry , upper)
sellEntry = ta.crossunder(Entry , lower)
//plot(upper, color=color.new(color.red, 0), style=plot.style_linebr, title="short stop")
//plot(lower, color=color.new(color.green, 0), style=plot.style_linebr, title="Long stop")
plot(upper, color=close[1] > upper and close > upper ? color.green : color.red, linewidth=2)
plot(lower, color=close[1] > lower and close > lower ? color.green : color.red, linewidth=2)
// ══════════════════════════════════//
// ————————> LONG POSITIONS <————————//
// ══════════════════════════════════//
//******barinstate.isconfirmed used to avoid repaint in real time*******
if ( buyEntry and strategy.opentrades==0 and barstate.isconfirmed and time_condition)
strategy.entry(id= "Long" ,direction = strategy.long, comment = "B")
plot(longStop , color=color.new(color.blue, 0), style=plot.style_linebr, title='long Stop')
if strategy.position_size > 0
strategy.exit("long tsl", "Long" , stop = longStop , comment='S')
// ═════════════════════════════════════//
// ————————> SHORT POSITIONS <————————— //
// ═════════════════════════════════════//
if ( sellEntry and strategy.opentrades==0 and barstate.isconfirmed and time_condition)
strategy.entry(id = "Short" ,direction = strategy.short, comment = "S")
if strategy.position_size < 0
strategy.exit("short tsl", "Short" , stop = shortStop ,comment='B')
// ════════════════════════════════════════════════//
// ————————> CLOSE ALL POSITIONS BY 3PM <————————— //
// ════════════════════════════════════════════════//
strategy.close_all(when = hour == 14 and minute == 57)