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多时间框架震荡通道趋势追踪策略Multi-Timeframe-Oscillation-Channel-Trend-Tracking-Strategy.md

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Name

多时间框架震荡通道趋势追踪策略Multi-Timeframe-Oscillation-Channel-Trend-Tracking-Strategy

Author

ChaoZhang

Strategy Description

IMG

[trans]

概述

该策略基于超级趋势指标,结合多个时间框架分析市场趋势,采用震荡通道方法identifying入场时机。

策略原理

  • 采用传统超级趋势指标判断趋势方向
  • 增加高时间框架超级趋势,确保高时间框架也存在趋势
  • 根据两个时间框架的超级趋势指标判断总体趋势方向
  • 根据价格突破震荡通道的上下轨,确定具体的入场时机

优势分析

  • 多时间框架分析,判断趋势更可靠
  • 高低时间框架结合,既保证大趋势又能捕捉短期机会
  • 震荡通道设定止损点,有利控制风险

风险及解决

  • 超级趋势本身会有一定滞后现象,可能错过趋势转换点
  • 可以通过参数优化或结合其他指标判断获知趋势转换,降低滞后风险

优化方向

  • 优化超级趋势参数,降低滞后问题
  • 增加趋势过滤指标,确保判断上大趋势更准确
  • 测试并选择更合适的止损方式

总结

该策略整合多时间框架分析和趋势追踪指标,掌握主要趋势的同时寻找具体入场时机。通过不断优化,可望取得长期稳定的超额收益。

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Overview

This strategy is based on the Supertrend indicator, combined with multiple timeframe market trend analysis, and adopts the oscillation channel method to identify entry opportunities.

Strategy Principle

  • Use the traditional Supertrend indicator to determine the trend direction
  • Add Supertrend of higher timeframe to ensure there is a trend in higher timeframe too
  • Determine the overall trend direction based on the Supertrend indicators of two timeframes
  • Identify specific entry opportunities based on the price breakout of the upper and lower rails of the oscillation channel

Advantage Analysis

  • Multi-timeframe analysis makes trend judgment more reliable
  • Combining high and low timeframes ensures catching the major trend while being able to capture short-term opportunities
  • The oscillation channel setting stops loss points which helps risk control

Risks and Solutions

  • The Supertrend itself has some lagging phenomenon, which may miss trend reversal points
  • The lagging risk can be reduced by optimizing parameters or incorporating other indicators to assist in identifying trend changes

Optimization Directions

  • Optimize Supertrend parameters to reduce lagging
  • Add trend filtering indicators to ensure catching the major trend more accurately
  • Test and select more appropriate stop loss methods

Summary

This strategy integrates multi-timeframe analysis and trend tracking indicators to grasp the major trend while seeking specific entry opportunities. With continuous optimization, it is expected to achieve long-term steady excess returns.

Strategy Arguments

Argument Default Description
v_input_1 false Select HTF Automatically for Additional Supertrend
v_input_2 Select Higher Timeframe for Additional Supertrend
v_input_3 3 Multiplier for Default Supertrend
v_input_4 10 Period for Default Supertrend
v_input_5 2 Multiplier for Additional Supertrend
v_input_6 14 Period for Additional Supertrend
v_input_7 true Change Bar Color
v_input_8 false vwapfilter

Source (PineScript)

/*backtest
start: 2022-12-18 00:00:00
end: 2023-12-24 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/
// © ramki_simple
// Thanks to LonesomeTheBlue for the original code
//@version=4
strategy("Multi Supertrend with no-repaint HTF option strategy", overlay = true, shorttitle='Multi Supertrend')
//auto higher time frame
HTFAuto = timeframe.period == '1' ? '5' : 
  timeframe.period == '3' ? '15' : 
  timeframe.period == '5' ? '15' : 
  timeframe.period == '15' ? '60' : 
  timeframe.period == '30' ? '60' : 
  timeframe.period == '45' ? '60' : 
  timeframe.period == '60' ? '240' : 
  timeframe.period == '120' ? '240' : 
  timeframe.period == '180' ? '240' : 
  timeframe.period == '240' ? 'D' : 
  timeframe.period == 'D' ? 'W' :
  '5W'
HTFSelection = input(title='Select HTF Automatically for Additional Supertrend', type=input.bool, defval=false)
HTFUserSel = input(title='Select Higher Timeframe for Additional Supertrend',type=input.resolution, defval ='')
HTF = HTFSelection ? HTFAuto : HTFUserSel


Mult1 = input(title='Multiplier for Default Supertrend', defval=3.0, minval = 0, maxval = 10)
Period1 = input(title='Period for Default Supertrend', defval=10, minval = 1, maxval = 100)
Mult2 = input(title='Multiplier for Additional Supertrend', defval=2.0, minval = 0, maxval = 10)
Period2 = input(title='Period for Additional Supertrend', defval=14, minval = 1, maxval = 100)

chbarcol = input(true, title = "Change Bar Color")

[Trailings, Trend] = supertrend(Mult1, Period1)

linecolor = Trend == -1 and Trend[1] == -1 ? color.teal :
   Trend == 1 and Trend[1] == 1 ? color.red :
   color.new(color.white, 100)
plot(Trailings, color = linecolor,  linewidth = 2,title = "SuperTrend")

f_Security(_symbol, _res, _src) => security(_symbol, _res, _src[1], lookahead = barmerge.lookahead_on)

nonVectorSupertrend(Mult, Period) =>
    [Trail_, Trend_] = supertrend(Mult, Period)
    Trail_*Trend_


[TrailingslHtf, TrendHtf] = supertrend(Mult2, Period2)

if HTF != timeframe.period and HTF != ''
    CompositeTrailHtf = f_Security(syminfo.tickerid, HTF,nonVectorSupertrend(Mult2, Period2) )
    TrailingslHtf := abs(CompositeTrailHtf)
    TrendHtf := CompositeTrailHtf > 0 ? 1 : -1


linecolorHtf = TrendHtf == -1 and TrendHtf[1] == -1 ? color.blue :
   TrendHtf == 1 and TrendHtf[1] == 1 ? color.maroon :
   color.new(color.white, 100)
plot(TrailingslHtf, color = linecolorHtf, linewidth = 3, title = "Supertrend Higher Time Frame")

barcolor_ = Trend == -1 and TrendHtf == -1 ? color.lime :
   Trend == 1 and TrendHtf == 1 ? color.red :
   color.white
barcolor(color = chbarcol ? barcolor_ : na)

vwapfilter = input(false)

Long = Trend == -1 and TrendHtf == -1
Short = Trend == 1 and TrendHtf == 1
strategy.entry("enter long", true, 1, when = Long and not Long[1] and (vwapfilter and close > vwap or not vwapfilter))
strategy.entry("enter short", false, 1, when = Short and not Short[1] and (vwapfilter and close < vwap or not vwapfilter))
strategy.close("enter long", when = Long[1] and not Long)
strategy.close("enter short", when = Short[1] and not Short)

Detail

https://www.fmz.com/strategy/436522

Last Modified

2023-12-25 14:27:06