Name

趋势跟踪止损反转策略-Parabolic-SAR-Trend-Tracking-Stop-Loss-Reversal-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

趋势跟踪止损反转策略是一个利用 Parabolic SAR 指标来识别趋势,并在趋势反转时进入反向头寸的策略。该策略同时结合了止损和止盈机制来控制风险。

策略原理

该策略使用 Parabolic SAR 指标来判断当前市场趋势。Parabolic SAR full name is “Parabolic Stop and Reverse”,表示抛物线止损反转。它的指标线在价格图上像一系列抛物线,这些抛物线点代表可能的反转点。

当 SAR 点下降且低于价格时,代表看涨趋势;当 SAR 点上升且高于价格时,代表看跌趋势。该策略就是根据 SAR 点位置来判断目前的趋势方向。

具体来说,当 SAR 点上升趋势且高于价格时,策略会做空头寸;当 SAR 点下降趋势且低于价格时,策略会做多头寸。也就是在 SAR 点显示趋势反转时,进入反向头寸。

此外,该策略还设置了止损和止盈机制。做多时,有可能设置止损价格来限制亏损;同时有可能设置止盈价格,在价格达到一定目标利润后平仓。做空也是类似的机制。

优势分析

该策略结合趋势指标和止损/止盈机制,有以下主要优势:

能够及时捕捉趋势反转机会,实现反向操作。
设置止损和止盈后,可以主动控制风险和盈利。
Parabolic SAR 是相当常用的趋势反转指标,效果较好。
策略规则简单清晰,容易理解和实现。

风险分析

该策略也存在一些风险需要注意:

Parabolic SAR 指标并不完美,有时候会发出错误信号。
设置止损或止盈价格需要合理,否则可能过早止损或止盈。
交易手续费也会影响最终利润。
反转后新的趋势lengthening可能比较短暂。

针对这些风险,可以通过调整参数优化,或配合其他指标过滤来解决。

优化方向

该策略可以从以下几个方向进行优化:

优化 Parabolic SAR 的参数,寻找最佳参数组合。
尝试不同的止损止盈策略,如尾随止损等。
增加指标或条件来过滤反转交易信号。
添加仓位控制,根据市场情况扩大或缩小仓位。
针对不同交易品种调整参数。

总结

该趋势跟踪止损反转策略,整体来说是一个较为经典的交易策略思路。它起到了识别趋势反转的功能,同时辅以止损和止盈手段控制风险。通过优化可以成为一个值得实盘的策略思路。

||

Overview

The Parabolic SAR Trend Tracking Stop Loss Reversal Strategy is a strategy that uses the Parabolic SAR indicator to identify trends and enter counter trend positions when the trend reverses. The strategy also incorporates stop loss and take profit mechanisms to control risk.

Strategy Logic

The strategy uses the Parabolic SAR indicator to judge the current market trend. Parabolic SAR stands for "Parabolic Stop and Reverse". Its indicator lines form a series of parabolas on the price chart, and these parabola points represent potential reversal points.

When the SAR points are falling and below the price, it represents a bullish trend; when the SAR points are rising and above the price, it represents a bearish trend. The strategy judges the current trend direction based on the SAR points' location.

Specifically, when SAR points show an uptrend and are above prices, the strategy will go short; when SAR points show a downtrend and are below prices, the strategy will go long. That is entering counter trend positions when SAR points indicate trend reversal.

In addition, the strategy also sets stop loss and take profit mechanisms. When going long, it may set a stop loss price to limit losses; at the same time, it may set a take profit price to close positions after reaching a certain target profit. Going short is similar.

Advantage Analysis

The main advantages combining the trend indicator and stop loss/take profit mechanisms are:

Timely capture reverse trend opportunities for counter trend trading.
Actively control risks and profits by setting stop loss and take profit.
Parabolic SAR is a widely used and effective reverse indicator.
Simple and clear strategy rules, easy to understand and implement.

Risk Analysis

There are also some risks to note for the strategy:

Parabolic SAR indicator is not perfect, sometimes it generates wrong signals.
The stop loss and take profit prices need to be set reasonably, otherwise it may stop out or take profit prematurely.
Trading commissions also affect total profits.
The new trend after reversal may be short-lived.

These risks can be solved by parameter optimization, using other filter indicators etc.

Optimization Directions

The strategy can be optimized in the following aspects:

Optimize the Parabolic SAR parameters to find the best combination.
Try different stop loss and take profit strategies like trailing stop loss.
Add indicators or conditions to filter reverse trading signals.
Add position control based on market conditions.
Adjust parameters for different trading instruments.

Conclusion

In general, this is a rather classical trend tracking stop loss reversal strategy. It identifies trend reversals and also controls risks with stop loss and take profit means. After optimizations it can become a worthwhile strategy for live trading.

[/trans]

Strategy Arguments

Argument	Default	Description
v_input_1	0.02	start
v_input_2	0.02	increment
v_input_3	0.2	maximum
v_input_4	false	(?Stop Loss and Take Profit)Short Stop Loss
v_input_5	5	(%)
v_input_6	false	Long Stop Loss
v_input_7	5	(%)
v_input_8	false	Short Take Profit
v_input_9	20	(%)
v_input_10	false	Long Take Profit
v_input_11	20	(%)

Source (PineScript)

/*backtest
start: 2024-01-24 00:00:00
end: 2024-01-31 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("Parabolic SAR Strategy", overlay=true)
start = input(0.02)
increment = input(0.02)
maximum = input(0.2)
var bool uptrend = na
var float EP = na
var float SAR = na
var float AF = start
var float nextBarSAR = na
if bar_index > 0
	firstTrendBar = false
	SAR := nextBarSAR
	if bar_index == 1
		float prevSAR = na
		float prevEP = na
		lowPrev = low[1]
		highPrev = high[1]
		closeCur = close
		closePrev = close[1]
		if closeCur > closePrev
			uptrend := true
			EP := high
			prevSAR := lowPrev
			prevEP := high
		else
			uptrend := false
			EP := low
			prevSAR := highPrev
			prevEP := low
		firstTrendBar := true
		SAR := prevSAR + start * (prevEP - prevSAR)
	if uptrend
		if SAR > low
			firstTrendBar := true
			uptrend := false
			SAR := max(EP, high)
			EP := low
			AF := start
	else
		if SAR < high
			firstTrendBar := true
			uptrend := true
			SAR := min(EP, low)
			EP := high
			AF := start
	if not firstTrendBar
		if uptrend
			if high > EP
				EP := high
				AF := min(AF + increment, maximum)
		else
			if low < EP
				EP := low
				AF := min(AF + increment, maximum)
	if uptrend
		SAR := min(SAR, low[1])
		if bar_index > 1
			SAR := min(SAR, low[2])
	else
		SAR := max(SAR, high[1])
		if bar_index > 1
			SAR := max(SAR, high[2])
	nextBarSAR := SAR + AF * (EP - SAR)
	if barstate.isconfirmed
		if uptrend
			strategy.entry("ParSE", strategy.short, stop=nextBarSAR, comment="ParSE")
			strategy.cancel("ParLE")
		else
			strategy.entry("ParLE", strategy.long, stop=nextBarSAR, comment="ParLE")
			strategy.cancel("ParSE")
plot(SAR, style=plot.style_cross, linewidth=3, color=color.orange)
plot(nextBarSAR, style=plot.style_cross, linewidth=3, color=color.aqua)
//Stop Loss Inputs
use_short_stop_loss = input(false, title="Short Stop Loss", group="Stop Loss and Take Profit", inline="Short_SL")
short_stop_loss = input(title="(%)", type=input.float, minval=0.0, step=0.1, 
     defval=5, group="Stop Loss and Take Profit", inline="Short_SL") * 0.01
use_long_stop_loss = input(false, title="Long Stop Loss", group="Stop Loss and Take Profit", inline="Long_SL")
long_stop_loss = input(title="(%)", type=input.float, minval=0.0, step=0.1, 
     defval=5, group="Stop Loss and Take Profit", inline="Long_SL") * 0.01

//Take Profit Inputs     
use_short_take_profit = input(false, title="Short Take Profit", group="Stop Loss and Take Profit", inline="Short_TP")
short_take_profit = input(title="(%)", type=input.float, minval=0.0, step=0.1,
     defval = 20, group="Stop Loss and Take Profit", inline="Short_TP") * .01
use_long_take_profit = input(false, title="Long Take Profit", group="Stop Loss and Take Profit", inline="Long_TP")
long_take_profit = input(title="(%)", type=input.float, minval=0.0, step=0.1,
     defval = 20, group="Stop Loss and Take Profit", inline="Long_TP") * .01


longStopPrice  = strategy.position_avg_price * (1 - long_stop_loss)
shortStopPrice = strategy.position_avg_price * (1 + short_stop_loss)
longLimitPrice = strategy.position_avg_price * (1 + long_take_profit)
shortLimitPrice = strategy.position_avg_price * (1 - short_take_profit)


if (strategy.position_size > 0.0)
    if (use_long_stop_loss and not use_long_take_profit)
        strategy.exit("Long", stop = longStopPrice)
    if (use_long_take_profit and not use_long_stop_loss)
        strategy.exit("Long", limit = longLimitPrice)
    if (use_long_take_profit and use_long_stop_loss)
        strategy.exit("Long", stop = longStopPrice, limit=longLimitPrice)
if (strategy.position_size < 0.0)
    if (use_short_stop_loss and not use_short_take_profit)
        strategy.exit("Short", stop = shortStopPrice)
    if (use_short_take_profit and not use_short_stop_loss)
        strategy.exit("Short", limit = shortLimitPrice)
    if (use_short_take_profit and use_short_stop_loss)
        strategy.exit("Short", stop = shortStopPrice, limit = shortLimitPrice)

//plot(strategy.equity, title="equity", color=color.red, linewidth=2, style=plot.style_areabr)

Detail

https://www.fmz.com/strategy/440722

Last Modified

2024-02-01 14:54:09

Provide feedback

Saved searches

Use saved searches to filter your results more quickly

趋势跟踪止损反转策略-Parabolic-SAR-Trend-Tracking-Stop-Loss-Reversal-Strategy.md

趋势跟踪止损反转策略-Parabolic-SAR-Trend-Tracking-Stop-Loss-Reversal-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

Conclusion

Files

趋势跟踪止损反转策略-Parabolic-SAR-Trend-Tracking-Stop-Loss-Reversal-Strategy.md

Latest commit

History

趋势跟踪止损反转策略-Parabolic-SAR-Trend-Tracking-Stop-Loss-Reversal-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

Conclusion