Name

突破与智能反转布林带价格通道策略Breakout-and-Intelligent-Bollinger-Bands-Price-Channel-Strategy

Author

ChaoZhang

Strategy Description

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概述

该策略是一个将多个时间范围(1分钟、5分钟、15分钟、1小时和4小时)结合使用的突破策略,它检测图表上的支持和阻力区域。

策略原理

该策略使用布林带和价格通道来确定支持和阻力区域。首先,它根据每个时间范围的收盘价格计算出简单移动平均线(SMA)和标准差(STDEV),以此确定上下轨。然后它检测“突破方块”,这是根据价格从支持或阻力水平的突破情况以及交易量来确定的。当价格在高交易量突破支持或阻力水平时,就形成一个突破方块。

一旦检测到突破方块,如果价格突破下轨,则产生买入信号;如果突破上轨,则产生卖出信号。该策略还为每个时间范围绘制价格通道,表示支持和阻力水平。

此外,该策略为每个时间范围设置了止盈限制级别。这意味着为仓位指定的价格水平应以盈利的方式平仓。同时也设置了止损水平以限制亏损。

优势分析

利用多时间范围分析,更全面判断市场走势
结合突破方块、布林带通道和交易量,使信号更加可靠
设置止盈止损,有助于风险控制

风险分析

布林带参数设置不当可能导致虚假信号
突破可能是短期的市场噪音,从而产生套牢风险
多时间范围判断增加了策略复杂度

可以通过优化布林带参数,增加持仓时间或设置止损进一步规避风险。

优化方向

该策略可以从以下几个方面进行优化:

优化布林带参数,使上下轨更好反映真实的支持与阻力
增加机器学习算法判断突破方向和力度
增加股价波动率指标来确定最佳买入卖出时机
结合更多指标如MACD、KD等判断趋势和能量

总结

该策略整合多时间范围技术指标分析,通过突破交易、止盈止损管理风险,是一种灵活可靠的突破系统交易策略。但参数设置和风险控制仍需根据实际市场不断测试与优化。

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Overview

This strategy is a breakout strategy that combines multiple timeframes (1 min, 5 min, 15 min, 1 hour and 4 hours) to detect support and resistance areas on the chart.

Strategy Logic

The strategy uses Bollinger Bands and price channels to determine support and resistance zones. First, it calculates the Simple Moving Average (SMA) and Standard Deviation (STDEV) of closing prices for each timeframe to determine the upper and lower bands. It then detects “Breaker Blocks” which are determined based on price breakouts from support or resistance levels along with trading volume. A Breaker Block forms when price breaks out of a support or resistance level with high volume.

Once a Breaker Block is detected, a buy signal is generated if price breaks above the lower band, and a sell signal is generated if it breaks below the upper band. The strategy also plots price channels for each timeframe, representing support and resistance levels.

In addition, the strategy sets profit limit levels for each timeframe. This means price levels assigned to positions should be closed out at a profit. Stop-loss levels are also set to limit losses.

Advantage Analysis

Utilizes multi timeframe analysis for more comprehensive market trend judgment
Combining Breaker Blocks, Bollinger Bands channels and volume makes signals more reliable
Setting profit and stop loss targets helps with risk control

Risk Analysis

Poor Bollinger Bands parameter setting may cause false signals
Breakouts could be short term market noise, leading to whipsaws
Multi timeframe judgment increases strategy complexity

Risks can be further mitigated by optimizing Bollinger parameters, increasing holding period or setting stops.

Optimization Directions

This strategy can be optimized in several aspects:

Optimize Bollinger parameters for better reflection of true support and resistance
Add machine learning algorithms to judge breakout direction and momentum
Incorporate volatility indices to determine optimal entry and exit timing
Combine more indicators like MACD, KD to determine trends and energy

Summary

This strategy integrates multi-timeframe technical analysis, manages risks through breakout trading and profit stop loss management. It is a flexible and reliable breakout system. But parameter tuning and risk control according to actual markets need continual testing and optimization.

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Strategy Arguments

Argument	Default	Description
v_input_int_1	14	Longueur 1 min
v_input_float_1	2	Déviations 1 min
v_input_float_2	true	Multiplicateur 1 min
v_input_float_3	0.618	Niveau de Fibonacci 1 min
v_input_int_2	3	Décalage de Displacement 1 min
v_input_float_4	true	Seuil de Volume 1 min
v_input_float_5	false	Niveau de Limite de Profit 1 min
v_input_int_3	14	Longueur 5 min
v_input_float_6	2	Déviations 5 min
v_input_float_7	true	Multiplicateur 5 min
v_input_float_8	0.618	Niveau de Fibonacci 5 min
v_input_int_4	3	Décalage de Displacement 5 min
v_input_float_9	true	Seuil de Volume 5 min
v_input_float_10	false	Niveau de Limite de Profit 5 min
v_input_int_5	14	Longueur 15 min
v_input_float_11	2	Déviations 15 min
v_input_float_12	true	Multiplicateur 15 min
v_input_float_13	0.618	Niveau de Fibonacci 15 min
v_input_int_6	3	Décalage de Displacement 15 min
v_input_float_14	true	Seuil de Volume 15 min
v_input_float_15	false	Niveau de Limite de Profit 15 min
v_input_int_7	14	Longueur 1 h
v_input_float_16	2	Déviations 1 h
v_input_float_17	true	Multiplicateur 1 h
v_input_float_18	0.618	Niveau de Fibonacci 1 h
v_input_int_8	3	Décalage de Displacement 1 h
v_input_float_19	true	Seuil de Volume 1 h
v_input_float_20	false	Niveau de Limite de Profit 1 h
v_input_int_9	14	Longueur 4 h
v_input_float_21	2	Déviations 4 h
v_input_float_22	true	Multiplicateur 4 h
v_input_float_23	0.618	Niveau de Fibonacci 4 h
v_input_int_10	3	Décalage de Displacement 4 h
v_input_float_24	true	Seuil de Volume 4 h
v_input_float_25	false	Niveau de Limite de Profit 4 h

Source (PineScript)

/*backtest
start: 2023-12-05 00:00:00
end: 2024-01-04 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("DZ Strategy ICT", overlay=true)

// Paramètres de l'indicateur
length1 = input.int(14, minval=1, title='Longueur 1 min')
deviations1 = input.float(2.0, title='Déviations 1 min')
multiplier1 = input.float(1.0, minval=0.1, maxval=10, title='Multiplicateur 1 min')
fibonacciLevel1 = input.float(0.618, title='Niveau de Fibonacci 1 min')
displacement1 = input.int(3, minval=1, title='Décalage de Displacement 1 min')
volumeThreshold1 = input.float(1.0, minval=0, title='Seuil de Volume 1 min')
fibLevelInput1 = input.float(0.0, "Niveau de Limite de Profit 1 min", minval=0.0)

length5 = input.int(14, minval=1, title='Longueur 5 min')
deviations5 = input.float(2.0, title='Déviations 5 min')
multiplier5 = input.float(1.0, minval=0.1, maxval=10, title='Multiplicateur 5 min')
fibonacciLevel5 = input.float(0.618, title='Niveau de Fibonacci 5 min')
displacement5 = input.int(3, minval=1, title='Décalage de Displacement 5 min')
volumeThreshold5 = input.float(1.0, minval=0, title='Seuil de Volume 5 min')
fibLevelInput5 = input.float(0.0, "Niveau de Limite de Profit 5 min", minval=0.0)

length15 = input.int(14, minval=1, title='Longueur 15 min')
deviations15 = input.float(2.0, title='Déviations 15 min')
multiplier15 = input.float(1.0, minval=0.1, maxval=10, title='Multiplicateur 15 min')
fibonacciLevel15 = input.float(0.618, title='Niveau de Fibonacci 15 min')
displacement15 = input.int(3, minval=1, title='Décalage de Displacement 15 min')
volumeThreshold15 = input.float(1.0, minval=0, title='Seuil de Volume 15 min')
fibLevelInput15 = input.float(0.0, "Niveau de Limite de Profit 15 min", minval=0.0)

length60 = input.int(14, minval=1, title='Longueur 1 h')
deviations60 = input.float(2.0, title='Déviations 1 h')
multiplier60 = input.float(1.0, minval=0.1, maxval=10, title='Multiplicateur 1 h')
fibonacciLevel60 = input.float(0.618, title='Niveau de Fibonacci 1 h')
displacement60 = input.int(3, minval=1, title='Décalage de Displacement 1 h')
volumeThreshold60 = input.float(1.0, minval=0, title='Seuil de Volume 1 h')
fibLevelInput60 = input.float(0.0, "Niveau de Limite de Profit 1 h", minval=0.0)

length240 = input.int(14, minval=1, title='Longueur 4 h')
deviations240 = input.float(2.0, title='Déviations 4 h')
multiplier240 = input.float(1.0, minval=0.1, maxval=10, title='Multiplicateur 4 h')
fibonacciLevel240 = input.float(0.618, title='Niveau de Fibonacci 4 h')
displacement240 = input.int(3, minval=1, title='Décalage de Displacement 4 h')
volumeThreshold240 = input.float(1.0, minval=0, title='Seuil de Volume 4 h')
fibLevelInput240 = input.float(0.0, "Niveau de Limite de Profit 4 h", minval=0.0)

// Calcul des supports et résistances pour chaque plage de temps
basis1 = ta.sma(close, length1)
range_1 = multiplier1 * ta.stdev(close, length1)
upper1 = basis1 + deviations1 * range_1
lower1 = basis1 - deviations1 * range_1

basis5 = ta.sma(close, length5)
range_5 = multiplier5 * ta.stdev(close, length5)
upper5 = basis5 + deviations5 * range_5
lower5 = basis5 - deviations5 * range_5

basis15 = ta.sma(close, length15)
range_15 = multiplier15 * ta.stdev(close, length15)
upper15 = basis15 + deviations15 * range_15
lower15 = basis15 - deviations15 * range_15

basis60 = ta.sma(close, length60)
range_60 = multiplier60 * ta.stdev(close, length60)
upper60 = basis60 + deviations60 * range_60
lower60 = basis60 - deviations60 * range_60

basis240 = ta.sma(close, length240)
range_240 = multiplier240 * ta.stdev(close, length240)
upper240 = basis240 + deviations240 * range_240
lower240 = basis240 - deviations240 * range_240

// Calcul du volume moyen sur chaque période donnée
averageVolume1 = ta.sma(volume, length1)
averageVolume5 = ta.sma(volume, length5)
averageVolume15 = ta.sma(volume, length15)
averageVolume60 = ta.sma(volume, length60)
averageVolume240 = ta.sma(volume, length240)

// Détection du Breaker Block en fonction du déplacement et du volume pour chaque plage de temps
breakerBlock1 = ta.crossover(close[displacement1], lower1) and volume > volumeThreshold1 * averageVolume1
breakerBlock1 := breakerBlock1 or (ta.crossunder(close[displacement1], upper1) and volume > volumeThreshold1 * averageVolume1)

breakerBlock5 = ta.crossover(close[displacement5], lower5) and volume > volumeThreshold5 * averageVolume5
breakerBlock5 := breakerBlock5 or (ta.crossunder(close[displacement5], upper5) and volume > volumeThreshold5 * averageVolume5)

breakerBlock15 = ta.crossover(close[displacement15], lower15) and volume > volumeThreshold15 * averageVolume15
breakerBlock15 := breakerBlock15 or (ta.crossunder(close[displacement15], upper15) and volume > volumeThreshold15 * averageVolume15)

breakerBlock60 = ta.crossover(close[displacement60], lower60) and volume > volumeThreshold60 * averageVolume60
breakerBlock60 := breakerBlock60 or (ta.crossunder(close[displacement60], upper60) and volume > volumeThreshold60 * averageVolume60)

breakerBlock240 = ta.crossover(close[displacement240], lower240) and volume > volumeThreshold240 * averageVolume240
breakerBlock240 := breakerBlock240 or (ta.crossunder(close[displacement240], upper240) and volume > volumeThreshold240 * averageVolume240)

// Affichage du Breaker Block sur le graphique
bgcolor(breakerBlock1 ? color.new(color.yellow, 70) : na)
bgcolor(breakerBlock5 ? color.new(color.yellow, 70) : na)
bgcolor(breakerBlock15 ? color.new(color.yellow, 70) : na)
bgcolor(breakerBlock60 ? color.new(color.yellow, 70) : na)
bgcolor(breakerBlock240 ? color.new(color.yellow, 70) : na)

// Définition de la zone limite de l'ordre de profit pour chaque plage de temps
fibLevel1 = basis1 * fibonacciLevel1
fibLevel5 = basis5 * fibonacciLevel5
fibLevel15 = basis15 * fibonacciLevel15
fibLevel60 = basis60 * fibonacciLevel60
fibLevel240 = basis240 * fibonacciLevel240

// Signal d'achat modifié en fonction du Breaker Block et du déplacement pour chaque plage de temps
buySignal1 = ta.crossover(close[displacement1], lower1) and volume > volumeThreshold1 * averageVolume1
buySignal5 = ta.crossover(close[displacement5], lower5) and volume > volumeThreshold5 * averageVolume5
buySignal15 = ta.crossover(close[displacement15], lower15) and volume > volumeThreshold15 * averageVolume15
buySignal60 = ta.crossover(close[displacement60], lower60) and volume > volumeThreshold60 * averageVolume60
buySignal240 = ta.crossover(close[displacement240], lower240) and volume > volumeThreshold240 * averageVolume240

// Signal de vente modifié en fonction du Breaker Block et du déplacement pour chaque plage de temps
sellSignal1 = ta.crossunder(close[displacement1], upper1) and volume > volumeThreshold1 * averageVolume1
sellSignal5 = ta.crossunder(close[displacement5], upper5) and volume > volumeThreshold5 * averageVolume5
sellSignal15 = ta.crossunder(close[displacement15], upper15) and volume > volumeThreshold15 * averageVolume15
sellSignal60 = ta.crossunder(close[displacement60], upper60) and volume > volumeThreshold60 * averageVolume60
sellSignal240 = ta.crossunder(close[displacement240], upper240) and volume > volumeThreshold240 * averageVolume240


// Tracé des niveaux de limite de profit pour chaque plage de temps
hline(fibLevelInput1, color=color.green, linestyle=hline.style_dashed, title="Niveau de Limite de Profit 1 min")
hline(fibLevelInput5, color=color.green, linestyle=hline.style_dashed, title="Niveau de Limite de Profit 5 min")
hline(fibLevelInput15, color=color.green, linestyle=hline.style_dashed, title="Niveau de Limite de Profit 15 min")
hline(fibLevelInput60, color=color.green, linestyle=hline.style_dashed, title="Niveau de Limite de Profit 1 h")
hline(fibLevelInput240, color=color.green, linestyle=hline.style_dashed, title="Niveau de Limite de Profit 4 h")

// Définition des ordres de vente et d'achat pour chaque plage de temps
if buySignal1
    strategy.entry("Achat 1 min", strategy.long)
    
if sellSignal1
    strategy.entry("Vente 1 min", strategy.short)

if buySignal5
    strategy.entry("Achat 5 min", strategy.long)
    
if sellSignal5
    strategy.entry("Vente 5 min", strategy.short)

if buySignal15
    strategy.entry("Achat 15 min", strategy.long)
    
if sellSignal15
    strategy.entry("Vente 15 min", strategy.short)

if buySignal60
    strategy.entry("Achat 1 h", strategy.long)
    
if sellSignal60
    strategy.entry("Vente 1 h", strategy.short)

if buySignal240
    strategy.entry("Achat 4 h", strategy.long)
    
if sellSignal240
    strategy.entry("Vente 4 h", strategy.short)

// Configuration des ordres de sortie (Take Profit) pour chaque plage de temps
profitRatio = 2
stopLossRatio = 1

stopLossLevel1 = strategy.position_avg_price * (1 - stopLossRatio / (stopLossRatio + profitRatio))
stopLossLevel5 = strategy.position_avg_price * (1 - stopLossRatio / (stopLossRatio + profitRatio))
stopLossLevel15 = strategy.position_avg_price * (1 - stopLossRatio / (stopLossRatio + profitRatio))
stopLossLevel60 = strategy.position_avg_price * (1 - stopLossRatio / (stopLossRatio + profitRatio))
stopLossLevel240 = strategy.position_avg_price * (1 - stopLossRatio / (stopLossRatio + profitRatio))

strategy.exit("Stop Loss 1 min", "Achat 1 min", stop=stopLossLevel1)
strategy.exit("Stop Loss 1 min", "Vente 1 min", stop=stopLossLevel1)

strategy.exit("Stop Loss 5 min", "Achat 5 min", stop=stopLossLevel5)
strategy.exit("Stop Loss 5 min", "Vente 5 min", stop=stopLossLevel5)

strategy.exit("Stop Loss 15 min", "Achat 15 min", stop=stopLossLevel15)
strategy.exit("Stop Loss 15 min", "Vente 15 min", stop=stopLossLevel15)

strategy.exit("Stop Loss 1 h", "Achat 1 h", stop=stopLossLevel60)
strategy.exit("Stop Loss 1 h", "Vente 1 h", stop=stopLossLevel60)

Detail

https://www.fmz.com/strategy/437754

Last Modified

2024-01-05 13:14:11

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突破与智能反转布林带价格通道策略Breakout-and-Intelligent-Bollinger-Bands-Price-Channel-Strategy.md

突破与智能反转布林带价格通道策略Breakout-and-Intelligent-Bollinger-Bands-Price-Channel-Strategy.md

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Logic

Advantage Analysis

Risk Analysis

Optimization Directions

Summary

Files

突破与智能反转布林带价格通道策略Breakout-and-Intelligent-Bollinger-Bands-Price-Channel-Strategy.md

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突破与智能反转布林带价格通道策略Breakout-and-Intelligent-Bollinger-Bands-Price-Channel-Strategy.md

File metadata and controls

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Strategy Logic

Advantage Analysis

Risk Analysis

Optimization Directions

Summary