Skip to content

Latest commit

 

History

History
213 lines (145 loc) · 8.93 KB

震荡跟踪短线策略Oscillation-Tracking-Short-term-Strategy.md

File metadata and controls

213 lines (145 loc) · 8.93 KB
Raw

Name

震荡跟踪短线策略Oscillation-Tracking-Short-term-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略运用K线的最高价和最低价的变化判断市场的震荡方向和力度,结合均线判断整体趋势,实现短线操作。主要适用于震荡比较明显的品种。

策略原理

该策略首先判断K线的最高价和最低价相对前一根K线的变化,如果最高价上涨则记为1,如果最低价下跌则记为-1,否则记为0。然后分别计算一定周期内最高价和最低价的变化均值,判断市场的震荡方向和力度。

同时策略记录最近周期内的最高价和最低价。当均线判断趋势转折时,结合记录的价格判断关键价格位,形成止损和止盈水平。

进入方向按照均线判断,多头在上轨之上买入,空头在下轨之下卖出。止损和止盈水平则通过判断关键价格位形成。

优势分析

该策略最大的优势在于充分利用短线的震荡特点盈利。通过判断关键价格位形成止损止盈,使得策略在明确的规则下运行。同时结合趋势判断过滤掉不利行情,避免无谓亏损。

风险分析

该策略主要面临以下风险:

  1. 行情不震荡,则无法获利。

  2. 价格突破止损位造成不必要的亏损。可以适当放宽止损范围。

  3. 错误判断趋势,可能错过行情或做反向操作。可以适当调整均线参数。

优化方向

该策略可以从以下几个方面进行优化:

  1. 调整均线周期,适应不同品种的特点。

  2. 优化止盈止损范围,平衡获利和亏损。

  3. 增加其他指标判断,避免错误操作。

  4. 增加自动止损,控制最大亏损。

总结

该策略总体来说是一个利用短线震荡特点的策略。充分利用价格的小范围运行获取利润。同时严格控制风险,在趋势不利时及时止损。适合较为谨慎追求稳定收益的投资者。如果参数调整适当,在震荡行情中可以获得不错的效果。

||

Overview

This strategy uses the changes in the highest and lowest prices of K-lines to judge the direction and intensity of market oscillation, and combines moving average to judge the overall trend to implement short-term operations. It is mainly suitable for varieties with obvious oscillations.

Strategy Principle

This strategy first judges the changes in the highest and lowest prices of K-lines relative to the previous K-line. If the highest price rises, it is recorded as 1. If the lowest price falls, it is recorded as -1, otherwise it is recorded as 0. Then calculate the mean value of changes in the highest and lowest prices within a certain cycle to judge the direction and intensity of market oscillation.

At the same time, the strategy records the highest and lowest prices in the most recent cycle. When the moving average determines a trend reversal, combined with the recorded prices to determine key price levels to form stop loss and take profit levels.

The entry direction is determined by the moving average. Go long above the upper rail and go short below the lower rail. The stop loss and take profit levels are formed by judging the key price levels.

Advantage Analysis

The biggest advantage of this strategy is to make full use of the characteristics of short-term fluctuations to make profits. By determining the stop loss and take profit based on key price levels, the strategy runs under clear rules. At the same time, it combines trend judgment to filter out unfavorable markets and avoid unnecessary losses.

Risk Analysis

The main risks this strategy faces are:

  1. No profit if the market is not fluctuating.

  2. Unnecessary losses caused by prices breaking through the stop loss level. The stop loss range can be appropriately expanded.

  3. Wrong judgment of the trend may miss opportunities or make operations in the opposite direction. The moving average parameters can be adjusted accordingly.

Optimization Directions

This strategy can be optimized in the following aspects:

  1. Adjust the moving average cycle to adapt to the characteristics of different varieties.

  2. Optimize the stop profit and stop loss range to balance profit and loss.

  3. Add other indicators for judgment to avoid wrong operations.

  4. Add automatic stop loss to control maximum loss.

Summary

In general, this strategy is one that takes advantage of short-term fluctuations. It makes full use of the small price movements to make profits. At the same time, it strictly controls risks and cuts losses in a timely manner when the trend is unfavorable. It is suitable for investors who pursue stable returns with relatively prudent attitude. With appropriate parameter adjustments, it can achieve good results in fluctuating markets. [/trans]

Strategy Arguments

Argument Default Description
v_input_1 true Long
v_input_2 true Short
v_input_3 100 Capital, %
v_input_4 false Correction, %
v_input_5 true bars
v_input_6 false revers
v_input_7 true Show Levels
v_input_8 false Show Background
v_input_9 false Show Arrows
v_input_10 1900 From Year
v_input_11 2100 To Year
v_input_12 true From Month
v_input_13 12 To Month
v_input_14 true From day
v_input_15 31 To day

Source (PineScript)

/*backtest
start: 2024-01-16 00:00:00
end: 2024-01-16 22:45:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2018

//@version=3
strategy(title = "Noro's ZZ-3 Strategy", shorttitle = "ZZ-3 str", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)

//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
corr = input(0.0, title = "Correction, %")
bars = input(1, minval = 1)
revers = input(false, defval = false, title = "revers")
showll = input(true, defval = true, title = "Show Levels")
showbg = input(false, defval = false, title = "Show Background")
showar = input(false, defval = false, title = "Show Arrows")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//Levels
hbar = 0
hbar := high > high[1] ? 1 : high < high[1] ? -1 : 0
lbar = 0
lbar := low > low[1] ? 1 : low < low[1] ? -1 : 0
uplevel = 0.0
dnlevel = 0.0
hh = highest(high, bars + 1)
ll = lowest(low, bars + 1)
uplevel := hbar == -1 and sma(hbar, bars)[1] == 1 ? hh + ((hh / 100) * corr) : uplevel[1]
dnlevel := lbar == 1 and sma(lbar, bars)[1] == -1 ? ll - ((ll / 100) * corr) : dnlevel[1]

//Lines
upcol = na
upcol := showll == false ? na : uplevel != uplevel[1] ? na : lime
plot(uplevel, color = upcol, linewidth = 2)
dncol = na
dncol := showll == false ? na : dnlevel != dnlevel[1] ? na : red
plot(dnlevel, color = dncol, linewidth = 2)

//Background
size = strategy.position_size
trend = 0
trend := size > 0 ? 1 : size < 0 ? -1 : high >= uplevel ? 1 : low <= dnlevel ? -1 : trend[1]
col = showbg == false ? na : trend == 1 ? lime : trend == -1 ? red : na
bgcolor(col)

//Arrows
longsignal = false
shortsignal = false
longsignal := size > size[1]
shortsignal := size < size[1]
plotarrow(longsignal and showar and needlong ? 1 : na, colorup = blue, colordown = blue, transp = 0)
plotarrow(shortsignal and showar and needshort ? -1 : na, colorup = blue, colordown = blue, transp = 0)

//Trading
lot = 0.0
lot := size != size[1] ? strategy.equity / close * capital / 100 : lot[1]
if uplevel > 0 and dnlevel > 0 and revers == false
    strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, stop = uplevel, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
    strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, stop = dnlevel, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if uplevel > 0 and dnlevel > 0 and revers == true
    strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, limit = dnlevel, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
    strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, limit = uplevel, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
if time > timestamp(toyear, tomonth, today, 23, 59)
    strategy.close_all()

Detail

https://www.fmz.com/strategy/439271

Last Modified

2024-01-18 16:29:34