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基于峰峰形态的交易策略Peak-to-Peak-Pattern-Based-Trading-Strategy.md

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Name

基于峰峰形态的交易策略Peak-to-Peak-Pattern-Based-Trading-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

本策略名称为“基于峰峰形态的交易策略”,主要利用K线的峰峰形态来确定买入和卖出时机。该策略属于技术分析类策略。

策略原理

该策略通过定义上升峰值(upFractal)和下降峰值(downFractal)来判断K线图形的峰峰形态。

具体来说,上升峰值的判断逻辑是:当前K线的高点是最近n根K线的最高点,并且后续的K线高点都不超过当前K线的高点。

下降峰值的判断逻辑是:当前K线的低点是最近n根K线的最低点,并且后续的K线低点都不低于当前K线的低点。

这里通过布尔变量及循环来判断前n根和后n根K线与当前K线的高低点关系,最终确定上升峰值和下降峰值。

因此,该策略的核心逻辑就是:

  1. 判断上升峰值和下降峰值
  2. 上升峰值时做多,下降峰值时做空

优势分析

该策略具有以下优势:

  1. 峰峰形态容易识别,操作简单
  2. 利用技术形态,不受基本面影响
  3. 回撤可能比较小

风险分析

该策略也存在一些风险:

  1. 峰峰形态判断不准确,可能错过最佳入场时机
  2. 行情剧烈变动时,止损可能较难确定
  3. 只依靠形态,忽略了其他因素

对策:

  1. 调整峰峰形态的参数,优化判断逻辑
  2. 结合其他指标确定止损位置
  3. 与基本面分析或其他策略组合使用

优化方向

该策略还可以从以下几个方向进行优化:

  1. 增加参数调整空间,优化峰峰形态判断
  2. 加入止损逻辑
  3. 考虑交易量或波动率等其他指标
  4. 结合不同时间周期分析

总结

本策略基于峰峰形态原理简单易操作,回撤可能较小。但也存在一定风险,需要与其他分析方法组合使用才能发挥最大效果。下一步将从判断准确性、止损、指标优化等方面进行改进。

||

Overview

The strategy is named "Peak-to-Peak Pattern Based Trading Strategy". It mainly uses the peak-to-peak pattern in candlestick charts to determine entries and exits. This is a technical analysis based strategy.

Strategy Principle

The strategy defines rising peak (upFractal) and falling peak (downFractal) to identify the peak-to-peak pattern in candlestick charts.

Specifically, the judgment logic for rising peak is: the high of current candlestick is the highest of recent n candlesticks, and the high of subsequent candlesticks does not exceed the current one.

The judgment logic for falling peak is: the low of current candlestick is the lowest of recent n candlesticks, and the low of subsequent candlesticks does not break below the current one.

Boolean variables and loops are used here to determine the relationship between previous n and later n candlesticks' high/low and that of the current one, and eventually identify rising and falling peaks.

Therefore, the core logic of this strategy is:

  1. Identify rising peaks and falling peaks
  2. Long on rising peaks and short on falling peaks

Advantage Analysis

The advantages of this strategy include:

  1. Peak-to-peak pattern is easy to identify, simple to operate
  2. Based on technical pattern, not affected by fundamentals
  3. Possible smaller drawdowns

Risk Analysis

There are also some risks with this strategy:

  1. Inaccurate peak-to-peak pattern judgment, may miss best entry timing
  2. Hard to set stop loss when market moves violently
  3. Only relies on pattern, ignores other factors

Counter measures:

  1. Adjust parameters of peak-to-peak pattern to optimize the logic
  2. Combine with other indicators to determine stop loss position
  3. Use together with fundamental or other analysis

Optimization Directions

Some directions to optimize the strategy:

  1. Increase parameter tuning options to better identify peak-to-peak patterns
  2. Add stop loss logic
  3. Consider trading volume, volatility and other indicators
  4. Combine different timeframe analysis

Summary

This strategy is simple to operate with possibly smaller drawdowns based on the peak-to-peak pattern principle. But still has some risks and needs to be combined with other analysis methods to maximize its performance. Next step is to improve on accuracy of pattern judgment, stop loss, indicator optimizations etc.

[/trans]

Strategy Arguments

Argument Default Description
v_input_int_1 2 Periods

Source (PineScript)

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("sanju parmar", shorttitle="sanju trading empire", overlay=true)

// Define "n" as the number of periods and keep a minimum value of 2 for error handling.
n = input.int(title="Periods", defval=2, minval=2)

// UpFractal
bool upflagDownFrontier = true
bool upflagUpFrontier0 = true
bool upflagUpFrontier1 = true
bool upflagUpFrontier2 = true
bool upflagUpFrontier3 = true
bool upflagUpFrontier4 = true

for i = 1 to n
    upflagDownFrontier := upflagDownFrontier and (high[n-i] < high[n])
    upflagUpFrontier0 := upflagUpFrontier0 and (high[n+i] < high[n])
    upflagUpFrontier1 := upflagUpFrontier1 and (high[n+1] <= high[n] and high[n+i + 1] < high[n])
    upflagUpFrontier2 := upflagUpFrontier2 and (high[n+1] <= high[n] and high[n+2] <= high[n] and high[n+i + 2] < high[n])
    upflagUpFrontier3 := upflagUpFrontier3 and (high[n+1] <= high[n] and high[n+2] <= high[n] and high[n+3] <= high[n] and high[n+i + 3] < high[n])
    upflagUpFrontier4 := upflagUpFrontier4 and (high[n+1] <= high[n] and high[n+2] <= high[n] and high[n+3] <= high[n] and high[n+4] <= high[n] and high[n+i + 4] < high[n])
flagUpFrontier = upflagUpFrontier0 or upflagUpFrontier1 or upflagUpFrontier2 or upflagUpFrontier3 or upflagUpFrontier4

upFractal = (upflagDownFrontier and flagUpFrontier)


// downFractal
bool downflagDownFrontier = true
bool downflagUpFrontier0 = true
bool downflagUpFrontier1 = true
bool downflagUpFrontier2 = true
bool downflagUpFrontier3 = true
bool downflagUpFrontier4 = true

for i = 1 to n
    downflagDownFrontier := downflagDownFrontier and (low[n-i] > low[n])
    downflagUpFrontier0 := downflagUpFrontier0 and (low[n+i] > low[n])
    downflagUpFrontier1 := downflagUpFrontier1 and (low[n+1] >= low[n] and low[n+i + 1] > low[n])
    downflagUpFrontier2 := downflagUpFrontier2 and (low[n+1] >= low[n] and low[n+2] >= low[n] and low[n+i + 2] > low[n])
    downflagUpFrontier3 := downflagUpFrontier3 and (low[n+1] >= low[n] and low[n+2] >= low[n] and low[n+3] >= low[n] and low[n+i + 3] > low[n])
    downflagUpFrontier4 := downflagUpFrontier4 and (low[n+1] >= low[n] and low[n+2] >= low[n] and low[n+3] >= low[n] and low[n+4] >= low[n] and low[n+i + 4] > low[n])
flagDownFrontier = downflagUpFrontier0 or downflagUpFrontier1 or downflagUpFrontier2 or downflagUpFrontier3 or downflagUpFrontier4

downFractal = (downflagDownFrontier and flagDownFrontier)

plotshape(downFractal, style=shape.triangleup, location=location.belowbar, offset=-n, color=#18f523, size = size.small)
plotshape(upFractal, style=shape.triangledown, location=location.abovebar, offset=-n, color=#cf3d11, size = size.small)

// Strategy Conditions
longCondition = upFractal
shortCondition = downFractal

// Strategy Entry and Exit
if (longCondition)
    strategy.entry("Buy", strategy.long)
if (shortCondition)
    strategy.entry("Sell", strategy.short)

Detail

https://www.fmz.com/strategy/442255

Last Modified

2024-02-20 15:40:58