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单边趋势震荡突破策略Single-Side-Trend-Shock-Breakout-Strategy.md

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Name

单边趋势震荡突破策略Single-Side-Trend-Shock-Breakout-Strategy

Author

ChaoZhang

Strategy Description

IMG

[trans]

概述

单边趋势震荡突破策略(Single Side Trend Shock Breakout Strategy)是一个利用价格通道和趋势判断的突破策略。它旨在识别趋势方向,在震荡区间突破入场,达到设置的获利目标后退出。

策略原理

该策略通过计算价格通道的上下轨,判断价格是否突破通道进行操作。具体来说,策略首先计算最近N周期的最高价、最低价,并计算价格中线。然后计算价格与中线的平均绝对距离,得到上下轨。

在判断趋势时,策略检查最近几根K线是否全部收于通道之上(多头信号)或通道之下(空头信号)。当判断到趋势后,strategy等待价格震荡,在通道上轨或下轨附近突破形成信号,采取反向入场的方式进入场内。

此外,策略还会判断K线实体突破,作为补充的入场信号。当实体长度突破平均实体长度的一定倍数时 Generates signal. 策略会在入场后设置一个获利目标,当价格达到目标时主动止盈。

优势分析

该策略有以下几个优势:

  1. 利用价格通道判断趋势方向,可以减少假突破的概率
  2. 反向入场,可在趋势震荡的时候获利
  3. 实体突破作为补充信号,提高入场精确度
  4. 设置止盈目标,可以主动止盈

风险分析

该策略也存在一些风险:

  1. 价格通道参数设置不当,可能导致通道范围太大或太小
  2. 强势趋势中反向操作可能造成较大亏损
  3. 实体突破容易形成头假信号
  4. 止盈设置不当,可能损失部分利润

为了降低风险,可以调整参数缩小通道范围,避免强势趋势中反向建仓,优化止盈逻辑等。

优化方向

该策略还可以从以下几个方向进行优化:

  1. 增加趋势判断指标,确保趋势判断准确性
  2. 优化实体突破的参数,降低头假信号率
  3. 结合更多指标过滤入场时机
  4. 动态调整止盈位置

总结

单边趋势震荡突破策略通过价格通道和趋势判断,在震荡区间反向建仓的方法获利。它有判断趋势、止盈主动的优点,但也存在一定风险。通过多指标确认,参数优化等手段可以减少风险提高盈利空间。该策略适用于短线交易,可以作为趋势策略的补充。

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Overview

The Single Side Trend Shock Breakout Strategy is a breakout strategy that utilizes price channels and trend judgment. It aims to identify trend direction, enter on breakouts during range-bound periods, and exit when a profit target is reached.

Strategy Logic

The strategy calculates upper and lower bands of a price channel using highest and lowest prices over a recent N periods. It then computes a price midline. Distances between prices and midline are averaged to obtain the channel bands.

For trend detection, the strategy checks if recent candles all close above (bullish) or below (bearish) the channel. Upon trend confirmation, it awaits price shocks near the bands and enters in reverse direction.

Body breakouts supplement the entry signals when body length exceeds a multiple of average body length. The strategy sets a profit target after entry and takes profit when price reaches it.

Advantage Analysis

The main advantages of this strategy are:

  1. Price channel filters reduce false breakout risks
  2. Reverse entries profit from trend shocks
  3. Body breakouts improve entry accuracy
  4. Profit target allows taking gains actively

Risk Analysis

There are also some risks:

  1. Improper channel parameter may widen/narrow the channel excessively
  2. Reversals against strong trends can lead to large losses
  3. Body breakouts tend to generate false signals on tops
  4. Rigid profit target may leave profits on the table

These can be addressed via parameter tuning, avoiding reversals during strong trends, optimizing exit logic etc.

Enhancement Opportunities

Some ways to improve the strategy:

  1. Add trend indicators to confirm trends
  2. Optimize body breakout parameters to reduce false signals
  3. Additional filters on entry timing
  4. Dynamic adjustment of profit target

Conclusion

The Single Side Trend Shock Breakout Strategy profits from breakouts against the trend in ranging periods. It has the advantage of trend identification and active profit-taking, but also has some risks. These risks can be reduced through multi-factor confirmation, parameter optimization etc. The strategy suits short-term trading and can complement trend-following strategies. [/trans]

Strategy Arguments

Argument Default Description
v_input_1 true Long
v_input_2 true Short
v_input_3 false take, %
v_input_4 true Bands Entry
v_input_5 false Counter-trend entry
v_input_6 10 Body length
v_input_7 true Trend bars
v_input_8 20 Period
v_input_9 true Show Bands
v_input_10 true Show Background

Source (PineScript)

/*backtest
start: 2024-01-10 00:00:00
end: 2024-01-17 00:00:00
period: 3m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/


//@version=2
strategy("Noro's Bands Scalper Strategy v1.5", shorttitle = "Scalper str 1.5", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value=100.0, pyramiding=0)

//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
takepercent = input(0, defval = 0, minval = 0, maxval = 1000, title = "take, %")
needbe = input(true, defval = true, title = "Bands Entry")
needct = input(false, defval = false, title = "Counter-trend entry")
bodylen = input(10, defval = 10, minval = 0, maxval = 50, title = "Body length")
trb = input(1, defval = 1, minval = 1, maxval = 5, title = "Trend bars")
len = input(20, defval = 20, minval = 2, maxval = 200, title = "Period")
needbb = input(true, defval = true, title = "Show Bands")
needbg = input(true, defval = true, title = "Show Background")
src = close

//PriceChannel 1
lasthigh = highest(src, len)
lastlow = lowest(src, len)
center = (lasthigh + lastlow) / 2

//Distance
dist = abs(src - center)
distsma = sma(dist, len)
hd = center + distsma
ld = center - distsma
hd2 = center + distsma * 2
ld2 = center - distsma * 2

//Trend
chd = close > hd
cld = close < ld
uptrend = trb == 1 and chd ? 1 : trb == 2 and chd and chd[1] ? 1 : trb == 3 and chd and chd[1] and chd[2] ? 1 : trb == 4 and chd and chd[1] and chd[2] and chd[3] ? 1 : trb == 5 and chd and chd[1] and chd[2] and chd[3] and chd[4] ? 1 : 0
dntrend = trb == 1 and cld ? 1 : trb == 2 and cld and cld[1] ? 1 : trb == 3 and cld and cld[1] and cld[2] ? 1 : trb == 4 and cld and cld[1] and cld[2] and cld[3] ? 1 : trb == 5 and cld and cld[1] and cld[2] and cld[3] and cld[4] ? 1 : 0
trend = dntrend == 1 and high < center ? -1 : uptrend == 1 and low > center ? 1 : trend[1]

//trend = close < ld and high < center ? -1 : close > hd and low > center ? 1 : trend[1]

//Lines
colo = needbb == false ? na : black
plot(hd2, color = colo, linewidth = 1, transp = 0, title = "High band 2")
plot(hd, color = colo, linewidth = 1, transp = 0, title = "High band 1")
plot(center, color = colo, linewidth = 1, transp = 0, title = "center")
plot(ld, color = colo, linewidth = 1, transp = 0, title = "Low band 1")
plot(ld2, color = colo, linewidth = 1, transp = 0, title = "Low band 2")

//Background
col = needbg == false ? na : trend == 1 ? lime : red
bgcolor(col, transp = 80)

//Body
body = abs(close - open)
smabody = ema(body, 30) / 10 * bodylen

//Signals
bar = close > open ? 1 : close < open ? -1 : 0
up7 = trend == 1 and ((bar == -1 and bar[1] == -1) or (body > smabody and bar == -1)) ? 1 : 0
dn7 = trend == 1 and ((bar == 1 and bar[1] == 1) or (close > hd and needbe == true)) and close > strategy.position_avg_price * (100 + takepercent) / 100 ? 1 : 0
up8 = trend == -1 and ((bar == -1 and bar[1] == -1) or (close < ld2 and needbe == true)) and close < strategy.position_avg_price * (100 - takepercent) / 100 ? 1 : 0
dn8 = trend == -1 and ((bar == 1 and bar[1] == 1) or (body > smabody and bar == 1)) ? 1 : 0

if up7 == 1 or up8 == 1 
    strategy.entry("Long", strategy.long, needlong == false ? 0 : trend == -1 and needct == false ? 0 : na)

if dn7 == 1 or dn8 == 1
    strategy.entry("Short", strategy.short, needshort == false ? 0 : trend == 1 and needct == false ? 0 : na)

Detail

https://www.fmz.com/strategy/439225

Last Modified

2024-01-18 14:59:30