Skip to content

Latest commit

 

History

History
215 lines (148 loc) · 9.63 KB

基于价格通道的趋势跟踪策略Price-Channel-Trend-Following-Strategy.md

File metadata and controls

215 lines (148 loc) · 9.63 KB

Name

基于价格通道的趋势跟踪策略Price-Channel-Trend-Following-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略是基于价格通道原理设计的趋势跟踪策略。它通过计算一定历史周期内的最高价和最低价,形成价格通道,并以通道边界作为买入和卖出信号,实现追踪价格趋势的目的。

策略原理

价格通道策略的核心思想是:股价在上涨趋势时会突破历史高点,而在下跌趋势时会突破历史低点。因此,可以根据一定历史周期(如21天)内的最高价和最低价构建价格通道,通道上沿和下沿分别作为买入和卖出信号。

具体来说,该策略通过highest()和lowest()函数计算最近21天的最高价和最低价,形成价格通道。如果当天收盘价高于最近21天最高价(即突破通道上沿),则产生买入信号;如果当天收盘价低于最近21天最低价(即突破通道下沿),则产生卖出信号。

此外,该策略还检查是否有缺口,以判断趋势突变的可能性。如果有向下缺口,为防范风险,会设置价格通道为红色;如果有向上缺口,则设置为绿色。

优势分析

价格通道策略的主要优势有:

  1. 策略思路简单、易于理解和实现
  2. 能有效识别股票价格趋势,及时追踪趋势
  3. 通过突破买入和突破卖出,可以减少交易次数,降低交易成本
  4. 设置价格通道可以起到止损的作用
  5. 检查缺口情况,可提示趋势转变

风险分析

该策略也存在一些风险:

  1. 仅基于价格信息,忽略了其他基本面、技术指标等信息
  2. 价格通道参数设置不当可能导致过于激进或保守
  3. 突破买入可能出现回调导致止损
  4. 未考虑股价波动率和流动性的影响
  5. 行业、个股特点的差异性没有考虑进去

为了克服这些风险,可以考虑优化如下几个方面:

  1. 结合关键技术指标判断,避免错误信号
  2. 加入自适应通道参数算法
  3. 结合均线系统,判断趋势持续性
  4. 设置通道宽度因子校正不同波动率
  5. 区分行业和概念来设定参数

优化方向

该策略还有以下几个主要的优化方向:

  1. 优化价格通道的参数计算方法,如引入自适应通道、波动率通道等
  2. 结合其他技术指标判断买入/卖出时机,提高策略效果
  3. 加入止损和止盈策略,控制风险和锁定利润
  4. 区分行业和个股特点,设定动态参数
  5. 结合基本面信息和事件驱动因素提升策略
  6. 应用机器学习算法实现参数自适应和状况判断

总结

价格通道策略通过简单的历史最高价和最低价构建通道,以通道边界作为交易信号,属于典型的趋势跟踪策略。该策略易于理解和实现,能够有效跟踪价格趋势,且设定价格通道具有止损功能。但该策略也存在一定的风险,主要优化方向包括参数优化、与其他指标结合、止损/止盈、动态参数等。总体而言,价格通道策略为量化交易提供了一个简单实用的趋势跟踪思路,但需要进一步优化和改进才能在实际应用中取得更好效果。

||

Overview

This strategy is a trend following strategy based on the price channel principle. It calculates the highest and lowest prices over a certain historical period to form a price channel, and uses the channel boundaries as buy and sell signals to track price trends.

Strategy Logic

The core idea of the price channel strategy is: when the stock price is in an upward trend, it will break through the historical high; when it is in a downward trend, it will break through the historical low. Therefore, a price channel can be constructed based on the highest and lowest prices over a certain historical period (such as 21 days). The upper and lower rails of the channel serve as buy and sell signals respectively.

Specifically, this strategy uses the highest() and lowest() functions to calculate the highest and lowest prices over the most recent 21 days to form a price channel. If the closing price of the day is higher than the 21-day high (i.e. breaking through the upper rail of the channel), a buy signal is generated. If the closing price is lower than the 21-day low (i.e. breaking through the lower rail), a sell signal is generated.

In addition, the strategy also checks for gaps to judge potential trend reversals. If there is a down gap, the price channel will be set to red to hedge risks. If there is an up gap, it will be set to green.

Advantage Analysis

The main advantages of the price channel strategy are:

  1. The strategy logic is simple, easy to understand and implement
  2. Can effectively identify price trends of stocks and track trends in a timely manner
  3. Reduces transaction costs by generating signals through breakouts
  4. The price channel can play the role of stop loss
  5. Checking for gaps indicates possible trend changes

Risk Analysis

There are also some risks with this strategy:

  1. It only relies on price data, ignoring other fundamentals, technical indicators, etc.
  2. Improper settings of the channel parameters could lead to over-aggressiveness or over-conservativeness
  3. Breakout buys can face pullback risks causing a stop loss
  4. It does not consider the impact of price volatility and liquidity
  5. Differences across industries and individual stocks are not taken into account

To overcome these risks, the following optimizations could be considered:

  1. Incorporate key technical indicators to avoid wrong signals
  2. Add adaptive channel parameter algorithms
  3. Use moving averages to judge trend persistence
  4. Set channel width factors to correct different volatility levels
  5. Distinguish parameters by industry and concepts

Optimization Directions

The main directions to optimize this strategy include:

  1. Optimize price channel parameter calculations, e.g. adaptive channels, volatility channels, etc.
  2. Incorporate other technical indicators to improve signal accuracy
  3. Add stop loss and take profit strategies to control risks and lock in profits
  4. Set dynamic parameters across industries and individual stocks
  5. Enhance strategy by incorporating fundamentals and event drives
  6. Apply machine learning algorithms for adaptive optimization and condition judgment

Summary

The price channel strategy builds a simple channel using historical peaks and troughs and uses the channel boundaries as trading signals. It is a typical trend following strategy that is easy to understand and implement and can effectively track price trends, with the price channel serving as a stop loss mechanism. However there are also risks with this strategy. The main optimization dimensions include parameter tuning, combining other indicators, implementing stop loss/profit taking, dynamic parameterization, etc. Overall, the price channel strategy provides a simple and practical trend following framework for quantitative trading, but needs further enhancements and optimizations to achieve better performance in live trading.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1_close 0 通道價格: close
v_input_2 21 通道回溯長度

Source (PineScript)

/*backtest
start: 2023-01-01 00:00:00
end: 2024-01-07 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//
//  作品: [LunaOwl] 樂活投資：價格通道
//  英文: [LunaOwl] LOHAS Investor - PriceChannel
//
///////////////////////////////
//     ~~!!*(๑╹◡╹๑) **      //
//  製作: @LunaOwl 彭彭      //
//  一版: 2019年12月07日     //
//  二版: 2019年12月09日     //
///////////////////////////////
//
//  介紹：
//--價格通道是一個古老的投資策略，對於「肯做功課選股」的上班族投資人非常方便。
//--由於大多數股市散戶沒有時間操作，即時有時間操作也只是加快輸錢的速度，所以，
//--上班族投資法，或「樂活投資」的條件有幾點：
//--**********
//--1) 設定溫和的投資報酬率期望
//--2) 使用適合的選股方式建立投資組合，減少單一股票的失誤率
//--3) 使用簡單的進出場策略，規律的執行它
//--4) 財富依靠時間積累，每天學習
//--**********
//
//==定義回測條件==//

strategy("[LunaOwl] 價格通道",
     initial_capital = 10000, commission_value = 0.07, 
     default_qty_type = strategy.percent_of_equity,
     default_qty_value = 50, overlay = true,
     calc_on_order_fills = true
     )

//==設定價格通道==//

Channel_Price  = input(close, title = "通道價格")
Channel_Length = input(21, title = "通道回溯長度")
Channel_High = highest(high, Channel_Length)
Channel_Low  = lowest(low, Channel_Length)

gapUp   = (low > high[1])
gapDown = (high < low[1])

BackgroundColour = (gapUp == true) ? color.green :
                   (gapDown == true) ? color.red : na
                   
bgcolor(BackgroundColour, transp=60)

BorderlineA = plot(Channel_High, title = "通道上線", color = color.red, style = plot.style_line)
BorderlineB = plot(Channel_Low, title = "通道下線", color = color.blue, style = plot.style_line)
fill(BorderlineA, BorderlineB, title = "通道底色", color = color.gray, transp = 85)

Long_entry = close >= Channel_High
Long_close_all = close <= Channel_Low

if (not na(close[Channel_Length]))
    strategy.entry("買入", strategy.long, comment = "高於近期", stop = Channel_High)
    strategy.entry("賣出", strategy.short, comment = "低於近期", stop = Channel_Low)

Detail

https://www.fmz.com/strategy/438015

Last Modified

2024-01-08 11:05:11