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双ATR尾随止损策略Dual-ATR-Trailing-Stop-Strategy.md

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Name

双ATR尾随止损策略Dual-ATR-Trailing-Stop-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

双ATR尾随止损策略是基于平均真实波幅(ATR)指标的一个短线交易策略。该策略同时设置快速ATR线和慢速ATR线两个止损线,根据两条止损线的交叉情况判断入场和出场。策略简单易懂,响应迅速,适合高波动的市场。

策略原理

该策略主要利用ATR指标来设置两条止损线。一条是快速ATR线,ATR周期短,乘数小,反应迅速;另一条是慢速ATR线,ATR周期长,乘数大,起到过滤的作用。当快速ATR线上穿慢速ATR线时产生买入信号;当快速ATR线下穿慢速ATR线时产生卖出信号。这样通过两条ATR线交叉决定入场出场,可以有效控制止损。

具体操作逻辑是:计算快速ATR线和慢速ATR线;快速线价格高于慢速线则用快速线尾随止损,否则用慢速线尾随止损。Kline颜色表示目前使用的止损线,绿色和蓝色表示用快速线止损,红色和黄色表示用慢速线止损。当市场价格触碰到止损线则出场。

优势分析

双ATR尾随止损策略具有以下优势:

  1. 操作逻辑简单清晰,容易理解实现。
  2. 快速响应市场变化,适合高波动的市场。
  3. 双ATR止损控制风险,有效止损。
  4. ATR指标参数化,可以调整止损幅度。
  5. 可视化的Kline颜色清晰表示止损情况。

风险分析

该策略也存在一些风险:

  1. 容易出现过频交易的情况。
  2. ATR指标对曲线拟合性差,可能出现放大损失。
  3. 无法有效过滤横盘和趋势两个市场阶段。

可以通过优化ATR周期,调整ATR乘数,结合其他指标过滤等方法来减小这些风险。

优化方向

双ATR尾随止损策略可进一步优化的方向包括:

  1. 优化ATR参数,调整止损幅度。
  2. 增加过滤指标,避免无效交易。例如增加均线指标判断趋势。
  3. 增加开仓条件,避免误交易。例如增加交易量能量指标。
  4. 增加持仓时间 exits,避免过于频繁交易。

总结

双ATR尾随止损策略整体易于理解实现,特别适合高波动率的场景,可以有效进行风险控制。优化空间也较大,可通过参数调整、加入过滤器等方法进行提升。是一种值得推荐的短线策略。

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Overview

The Dual ATR Trailing Stop strategy is a short-term trading strategy based on the Average True Range (ATR) indicator. The strategy sets two stop loss lines, fast ATR line and slow ATR line, at the same time, and determines entry and exit based on the crossover of the two lines. The strategy is simple, responsive, and suitable for high volatility markets.

Strategy Principle

The core of this strategy is using two ATR stop loss lines. One is the fast ATR line with short period and small multiplier for fast reaction. The other is the slow ATR line with longer period and bigger multiplier for filtration. When fast ATR line crosses above slow ATR line, it generates buy signal. When fast ATR line crosses below slow ATR line, it generates sell signal. So the strategy uses the crossover of two ATR lines to determine entry and exit, which can effectively control the stop loss.

The specific logic is: calculate fast ATR line and slow ATR line. When price is above slow line, use fast line to trail stop loss. Otherwise, use slow line to trail stop loss. The color of Kline represents current stop loss line. Green and blue means using fast line. Red and yellow means using slow line. Exit when market price touches the stop loss lines.

Advantage Analysis

The advantages of this strategy are:

  1. Simple and clear logic, easy to understand and implement.
  2. Fast response to market change, suitable for high volatility market.
  3. Dual ATR stop loss controls risk effectively.
  4. ATR indicator is parametric for adjusting stop loss range.
  5. Visual Kline color indicates stop loss situation clearly.

Risk Analysis

There are also some risks:

  1. Prone to over-trading.
  2. ATR has poor curve fitting, may amplify losses.
  3. Cannot effectively filter sideways and trending markets.

We can reduce risks by optimizing ATR period, adjusting ATR multiplier, combining other indicators for filtration etc.

Optimization Direction

The optimization directions are:

  1. Optimize ATR parameters for better stop loss range.
  2. Add filter indicators to avoid invalid trades, like MA.
  3. Add open conditions to avoid mistrades. For example, add volume indicators.
  4. Add exits for holding period to avoid over-trading.

Conclusion

The Dual ATR Trailing Stop Strategy is easy to understand and implement, especially suitable for high volatility scenarios, and can effectively control risks. There is also large room for optimization. It is a recommended short-term strategy worth trying.

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Strategy Arguments

Argument Default Description
v_input_1_close 0 Source: close
v_input_2 5 Fast ATR period
v_input_3 0.5 Fast ATR multiplier
v_input_4 10 Slow ATR perod
v_input_5 2 Slow ATR multiplier
v_input_6 true Paint color on chart

Source (PineScript)

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © ceyhun

//@version=4
strategy("ATR Trailing Stop Strategy by ceyhun", overlay=true)

/////////notes////////////////////////////////////////
// This is based on the ATR trailing stop indicator //
// width addition of two levels of stops and        //
// different interpretation.                        //
// This is a fast-reacting system and is better     //
// suited for higher volatility markets             //
//////////////////////////////////////////////////////

SC = input(close, "Source", input.source)

// Fast Trail //
AP1 = input(5, "Fast ATR period", input.integer)  // ATR Period
AF1 = input(0.5, "Fast ATR multiplier", input.float)  // ATR Factor
SL1 = AF1 * atr(AP1)  // Stop Loss
Trail1 = 0.0
Trail1 := iff(SC > nz(Trail1[1], 0) and SC[1] > nz(Trail1[1], 0), max(nz(Trail1[1], 0), SC - SL1), iff(SC < nz(Trail1[1], 0) and SC[1] < nz(Trail1[1], 0), min(nz(Trail1[1], 0), SC + SL1), iff(SC > nz(Trail1[1], 0), SC - SL1, SC + SL1)))

// Slow Trail //
AP2 = input(10, "Slow ATR perod", input.integer)  // ATR Period
AF2 = input(2, "Slow ATR multiplier", input.float)  // ATR Factor
SL2 = AF2 * atr(AP2)  // Stop Loss
Trail2 = 0.0
Trail2 := iff(SC > nz(Trail2[1], 0) and SC[1] > nz(Trail2[1], 0), max(nz(Trail2[1], 0), SC - SL2), iff(SC < nz(Trail2[1], 0) and SC[1] < nz(Trail2[1], 0), min(nz(Trail2[1], 0), SC + SL2), iff(SC > nz(Trail2[1], 0), SC - SL2, SC + SL2)))

// Bar color for trade signal //
Green = Trail1 > Trail2 and close > Trail2 and low > Trail2
Blue = Trail1 > Trail2 and close > Trail2 and low < Trail2
Red = Trail2 > Trail1 and close < Trail2 and high < Trail2
Yellow = Trail2 > Trail1 and close < Trail2 and high > Trail2

// Signals //
Bull = barssince(Green) < barssince(Red)
Bear = barssince(Red) < barssince(Green)

Buy = crossover(Trail1, Trail2)
Sell = crossunder(Trail1, Trail2)

TS1 = plot(Trail1, "Fast Trail", style=plot.style_line,color=Trail1 > Trail2 ? color.blue : color.yellow, linewidth=2)
TS2 = plot(Trail2, "Slow Trail", style=plot.style_line,color=Trail1 > Trail2 ? color.green : color.red, linewidth=2)
fill(TS1, TS2, Bull ? color.green : color.red, transp=90)

plotcolor = input(true, "Paint color on chart", input.bool)

bcl = iff(plotcolor == 1, Blue ? color.blue : Green ? color.lime : Yellow ? color.yellow : Red ? color.red : color.white, na)
barcolor(bcl)

if Buy
    strategy.entry("Buy", strategy.long, comment="Buy")
    
if Sell
    strategy.entry("Sell", strategy.short, comment="Sell")

Detail

https://www.fmz.com/strategy/440561

Last Modified

2024-01-31 17:10:32