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基于ATR和波动性指数的趋势跟踪策略ATR-and-Volatility-Index-Based-Trend-Tracking-Strategy.md

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Name

基于ATR和波动性指数的趋势跟踪策略ATR-and-Volatility-Index-Based-Trend-Tracking-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略运用平均真实振幅(ATR)和波动性指数(CHOP)作为主要技术指标,实现对趋势的识别和跟踪。当指数突破上下轨时,结合趋势方向作为入场信号;当指数重新进入带状区域时,采取止损或止盈退出位置。

策略原理

  1. 使用ATR计算出箱体大小,构建瑞波克通道,判断价格趋势方向。
  2. 应用CHOP指标判断市场是否适合交易,该指标结合最高价、最低价和ATR,当其处于38.2-61.8区间时表示市场波动平缓;否则表示市场波动较大,不宜交易。
  3. 当CHOP指标从61.8的上轨向下突破时,价格进入下降趋势,如果短期快速EMA也显示价格领先,则做空;相反当CHOP从38.2的下轨向上突破并且短期EMA价格拉升时,做多。
  4. 使用止盈止损策略,当价格重新进入CHOP的38.2-61.8带状区域时止损或止盈。

策略优势分析

该策略结合趋势判断和波动性控制,既能捕捉价格趋势,又能控制风险,是一种相对稳定的趋势跟踪策略。

  1. 应用ATR构建的瑞波克通道,可以有效跟踪价格趋势。
  2. CHOP指标判断市场波动率,避免在剧烈波动中错误交易。
  3. 结合快速EMA判断短期趋势方向,避免反向操作。
  4. 止盈止损策略控制单笔损失。

风险分析

该策略主要面临的风险有:

  1. 在震荡行情中,ATR通道和CHOP指标可能产生错误信号。可适当调整参数以滤除错误信号。
  2. 单一技术指标组合无法完全避免亏损,需要人工干预确定大趋势。
  3. 止损位置设定过于宽松,单笔损失可能过大。应适当缩小止损幅度。

策略优化方向

该策略可从以下几个方面进行优化:

  1. 增加其他辅助指标判断信号,如K线形态、成交量等,提高信号准确率。
  2. 优化ATR和CHOP的参数,使其更好地捕捉价格波动。
  3. 设定动态止损止盈位置,让止盈空间更大,止损更快。
  4. 在大级别判断趋势后,适当放宽止损范围,以便在趋势中获得更大利润。

总结

该策略整合常用技术指标,简单实用。在参数调整优化下,可以获得不错的跟踪效果。但仍需人工判断大趋势,无法完全自动化。可作为辅助决策工具,也可供其他策略参考借鉴。

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Overview

This strategy uses Average True Range (ATR) and CHOP index as the main technical indicators to identify and track trends. It enters when the index breaks through the upper and lower rails, combined with the trend direction as entry signals; and exits with stop loss or take profit when the index re-enters the belt area.

Strategy Principle

  1. Use ATR to calculate the box size and construct the Renko channel to determine the price trend direction.

  2. Apply the CHOP index to judge if the market is suitable for trading. This index incorporates highest price, lowest price and ATR. When it is between 38.2-61.8, it indicates low market volatility; otherwise, it signals high volatility and unsuitable trading market.

  3. When the CHOP index breaks down the 61.8 upper rail, the price enters a downward trend. If the short-term fast EMA also shows the price is leading, go short. Conversely, when CHOP breaks up the 38.2 lower rail and the short-term EMA rises, go long.

  4. Use stop loss/take profit strategy. When the price re-enters the 38.2-61.8 belt area of CHOP, close the position with stop loss or take profit.

Advantage Analysis

This strategy combines trend judgment and volatility control, which can both capture price trends and control risks. It is a relatively stable trend tracking strategy.

  1. The Renko channel constructed by ATR can effectively track price trends.

  2. The CHOP index judges market volatility rate to avoid incorrect trading in violent fluctuations.

  3. Combining fast EMA to determine short-term trend direction avoids reverse operation.

  4. Stop loss/take profit strategy controls single loss.

Risk Analysis

The main risks this strategy faces:

  1. In sideways market, ATR channel and CHOP signals may produce incorrect signals. Fine tune parameters to filter out wrong signals appropriately.

  2. Single technical indicator combo cannot fully avoid losses. Manual intervention is needed to determine major trends.

  3. Stop loss position set too loose may lead to oversized single loss. Should narrow down stop loss magnitude properly.

Optimization Direction

This strategy can be optimized in the following aspects:

  1. Increase other auxiliary indicators to determine signals, like candlestick patterns, volume etc to improve signal accuracy.

  2. Optimize parameters of ATR and CHOP to capture price fluctuations better.

  3. Set dynamic stop loss/take profit positions for larger profit margins and faster stop loss.

  4. Properly loosen stop loss range after determining major trend to gain more profits in the trend.

Conclusion

This strategy integrates commonly-used technical indicators and is simple & practical. With parameter adjustment and optimization, satisfactory tracking effects can be obtained. But it still requires manual judgment of major trends and cannot be fully automated. It can serve as an auxiliary decision-making tool and reference for other strategies.

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Strategy Arguments

Argument Default Description
v_input_1 true Max Intraday Loss(%)
v_input_2 0 Renko Assignment Method: ATR
v_input_3 14 Value
v_input_4 0 Price Source: Close
v_input_5 0 Use True Range instead of Volume: Auto
v_input_6 false Oscillating
v_input_7 false Normalize
v_input_8 14 length
v_input_9 false Offset

Source (PineScript)

/*backtest
start: 2022-12-28 00:00:00
end: 2024-01-03 00:00:00
period: 1d
basePeriod: 1h
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/
// © sharatgbhat

//@version=4
strategy("Weis Chop Strategy", overlay=false, default_qty_type = strategy.percent_of_equity, default_qty_value = 10,max_lines_count = 500, max_labels_count = 500)
maxIdLossPcnt = input(1, "Max Intraday Loss(%)", type=input.float)
// strategy.risk.max_intraday_loss(maxIdLossPcnt, strategy.percent_of_equity)

method = input(defval="ATR", options=["ATR", "Traditional", "Part of Price"], title="Renko Assignment Method")
methodvalue = input(defval=14.0, type=input.float, minval=0, title="Value")
pricesource = input(defval="Close", options=["Close", "Open / Close", "High / Low"], title="Price Source")
useClose = pricesource == "Close"
useOpenClose = pricesource == "Open / Close" or useClose
useTrueRange = input(defval="Auto", options=["Always", "Auto", "Never"], title="Use True Range instead of Volume")
isOscillating = input(defval=false, type=input.bool, title="Oscillating")
normalize = input(defval=false, type=input.bool, title="Normalize")
vol = useTrueRange == "Always" or useTrueRange == "Auto" and na(volume) ? tr : volume
op = useClose ? close : open
hi = useOpenClose ? close >= op ? close : op : high
lo = useOpenClose ? close <= op ? close : op : low

if method == "ATR"
    methodvalue := atr(round(methodvalue))
if method == "Part of Price"
    methodvalue := close / methodvalue

currclose = float(na)
prevclose = nz(currclose[1])
prevhigh = prevclose + methodvalue
prevlow = prevclose - methodvalue
currclose := hi > prevhigh ? hi : lo < prevlow ? lo : prevclose

direction = int(na)
direction := currclose > prevclose ? 1 : currclose < prevclose ? -1 : nz(direction[1])
directionHasChanged = change(direction) != 0
directionIsUp = direction > 0
directionIsDown = direction < 0

barcount = 1
barcount := not directionHasChanged and normalize ? barcount[1] + barcount : barcount
vol := not directionHasChanged ? vol[1] + vol : vol
res = barcount > 1 ? vol / barcount : vol

plot(isOscillating and directionIsDown ? -res : res, style=plot.style_columns, color=directionIsUp ? color.green : color.red, transp=75, linewidth=3, title="Wave Volume")

length = input(14, minval=1)
ci = 100 * log10(sum(atr(1), length) / (highest(length) - lowest(length))) / log10(length)
offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
plot(ci, "CHOP", color=#2962FF, offset = offset)
band1 = hline(61.8, "Upper Band", color=#787B86, linestyle=hline.style_dashed)
band0 = hline(38.2, "Lower Band", color=#787B86, linestyle=hline.style_dashed)
fill(band1, band0, color = color.rgb(33, 150, 243, 90), title = "Background")

MomentumBull = close>ema(close,8)
MomentumBear = close<ema(close,8)
Tradecon = crossunder(ci,61.8)

if (MomentumBull and directionIsUp and Tradecon)
	strategy.entry("Buy", strategy.long)
if (MomentumBear and directionIsDown and Tradecon )
    strategy.entry("Sell", strategy.short)
    strategy.exit("exit","Buy",when=directionIsDown,qty_percent=100,profit=20,loss=10)
    strategy.exit("exit","Sell",when=directionIsUp,qty_percent=100,profit=20,loss=10)

Detail

https://www.fmz.com/strategy/437652

Last Modified

2024-01-04 15:31:34