Skip to content

Latest commit

 

History

History
194 lines (148 loc) · 7.55 KB

趋势追踪止损止盈策略Trend-Tracking-Stop-Loss-Take-Profit-Strategy.md

File metadata and controls

194 lines (148 loc) · 7.55 KB

Name

趋势追踪止损止盈策略Trend-Tracking-Stop-Loss-Take-Profit-Strategy

Author

ChaoZhang

Strategy Description

IMG

[trans]

概述

这是一个基于布林带指标判断趋势,并利用ATR指标设定止损止盈的趋势追踪策略。该策略首先判断市场趋势,在IRONMENT线,并在平仓时设定止损止盈点。

策略原理

  1. 计算布林带的上轨、下轨。
  2. 判断收盘价是否高于上轨或低于下轨,如果是则判断为趋势市场,分别为多头和空头市场。
  3. 如果是趋势市场,则计算环境线。环境线基于最低价减去ATR的值(多头市场)或最高价加上ATR的值(空头市场)。
  4. 如果不是趋势市场,则环境线保持与前一根K线的环境线值相同。
  5. 比较ENVIRONMENT线,判断趋势方向。如果上升为多头,下跌为空头。
  6. 在ENVIRONMENT线方向转变时,产生买入/卖出信号。
  7. 设置止损止盈:固定止损距离为入场价的100倍;浮动止盈距离为入场价的1.1倍(多头)或0.9倍(空头)。

优势分析

  1. 能够判断市场趋势,减少假突破操作。
  2. 设定ENVIRONMENT线,避免被套。
  3. 止损止盈设置合理,能够在保证盈利的同时控制风险。

风险分析

  1. 参数设置不当可能导致错失交易机会。
  2. 布林带指标在震荡行情中判断错误概率较大。
  3. 止损点过于接近可能被秒出场。

优化方向

  1. 优化布林带的参数,使之更适合不同品种。
  2. 优化ENVIRONMENT线的计算方式,如引入其他指标等。
  3. 测试并优化止损止盈的参数设置。

总结

这是一个以布林带判断趋势,利用ENVIRONMENT线设置止损止盈的策略。核心优势是趋势判断清晰、止损止盈设置合理,能有效控制风险。主要风险在于布林带趋势判断错误和止损点过近。未来优化方向包括参数优化、ENVIRONMENT线计算方式优化和止损止盈优化等。

||

Overview

This is a trend tracking strategy that uses Bollinger Bands to determine trend and ATR to set stop loss and take profit. It first judges the market trend, draws a trend line, and sets stop loss and take profit when closing positions.

Strategy Logic

  1. Calculate the upper and lower rails of Bollinger Bands.
  2. Judge if the closing price is above the upper rail or below the lower rail. If yes, judge it as a trending market, bullish or bearish respectively.
  3. If it is a trending market, calculate the trend line. The trend line is based on the lowest price minus the ATR value (bull market) or the highest price plus the ATR value (bear market).
  4. If it is not a trending market, keep the trend line the same as previous bar.
  5. Compare the trend line to determine the trend direction. Uptrend for bullish, downtrend for bearish.
  6. Generate buy/sell signals when trend line direction changes.
  7. Set stop loss and take profit: fixed stop loss distance is 100 times of entry price; floating take profit is 1.1 times (bull) or 0.9 times (bear) of entry price.

Advantage Analysis

  1. Can determine market trend, avoid false breakout trades.
  2. Set trend line to avoid being trapped.
  3. Reasonable stop loss and take profit settings to control risk while ensuring profit.

Risk Analysis

  1. Improper parameter settings may miss trading opportunities.
  2. Bollinger Bands has a high probability of judging wrongly in range-bound markets.
  3. Stop loss being too close may get stopped out easily.

Optimization Directions

  1. Optimize Bollinger Bands parameters for different products.
  2. Optimize the trend line calculation methods, e.g. introducing other indicators.
  3. Test and optimize the stop loss and take profit parameter settings.

Conclusion

This is a strategy that uses Bollinger Bands to determine trend and sets stop loss and take profit based on trend line. The core advantages are clear trend judgment, reasonable stop loss and take profit settings to effectively control risks. The main risks come from Bollinger Bands’ wrong trend judgment and stop loss being too close. Future optimization directions include parameter optimization, trend line calculation optimization and stop loss take profit optimization.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 21 BB Period
v_input_2 true BB Deviations
v_input_3 true ATR Filter
v_input_4 5 ATR Period
v_input_5 false Hide Labels

Source (PineScript)

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © zhuenrong

// © Dreadblitz
//@version=4
strategy(shorttitle="FLI", title="Follow Line Indicator", overlay=true)
// 
BBperiod      = input(defval = 21,     title = "BB Period",    type = input.integer, minval = 1)
BBdeviations  = input(defval = 1.00,     title = "BB Deviations",    type = input.float, minval = 0.1, step=0.05)
UseATRfilter  = input(defval = true, title = "ATR Filter",  type = input.bool)
ATRperiod     = input(defval = 5,     title = "ATR Period",    type = input.integer, minval = 1)
hl            = input(defval = false, title = "Hide Labels",  type = input.bool)
//
BBUpper=sma (close,BBperiod)+stdev(close, BBperiod)*BBdeviations
BBLower=sma (close,BBperiod)-stdev(close, BBperiod)*BBdeviations
//
TrendLine = 0.0
iTrend = 0.0
buy = 0.0
sell = 0.0
//
BBSignal = close>BBUpper? 1 : close<BBLower? -1 : 0
// 
if BBSignal == 1 and UseATRfilter == 1
    TrendLine:=low-atr(ATRperiod)
    if TrendLine<TrendLine[1] 
        TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 1
    TrendLine:=high+atr(ATRperiod)
    if TrendLine>TrendLine[1]
        TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 1
    TrendLine:=TrendLine[1]
//
if BBSignal == 1 and UseATRfilter == 0
    TrendLine:=low
    if TrendLine<TrendLine[1] 
        TrendLine:=TrendLine[1]
if BBSignal == -1 and UseATRfilter == 0
    TrendLine:=high
    if TrendLine>TrendLine[1]
        TrendLine:=TrendLine[1]
if BBSignal == 0 and UseATRfilter == 0
    TrendLine:=TrendLine[1]
//
iTrend:=iTrend[1]
if TrendLine>TrendLine[1] 
    iTrend:=1
if TrendLine<TrendLine[1] 
    iTrend:=-1
//
buy:=iTrend[1]==-1 and iTrend==1 ? 1 : na
sell:=iTrend[1]==1 and iTrend==-1? 1 : na
//
plot(TrendLine, color=iTrend > 0?color.blue:color.red ,style=plot.style_line,linewidth=2,transp=0,title="Trend Line") 
plotshape(buy == 1 and hl == false? TrendLine-atr(8) :na, text='?', style= shape.labelup, location=location.absolute, color=color.blue, textcolor=color.white, offset=0, transp=0,size=size.auto)
plotshape(sell == 1 and hl == false ?TrendLine+atr(8):na, text='?', style=shape.labeldown, location=location.absolute, color=color.red, textcolor=color.white, offset=0, transp=0,size=size.auto)
//
alertcondition(sell == 1 ,title="Sell",message="Sell")
alertcondition(buy == 1 ,title="Buy",message="Buy")
alertcondition(buy == 1 or sell == 1 ,title="Buy/Sell",message="Buy/Sell")
if (buy==1)
    strategy.entry("Buy", strategy.long)
if (sell==1)
    strategy.entry("Sell", strategy.short)
// === Stop LOSS ===

if strategy.position_size>0
    strategy.exit("Stop Loss/Profit Long","Buy", stop=strategy.position_avg_price*100, limit=strategy.position_avg_price*1.1)
if strategy.position_size<0
    strategy.exit("Stop Loss/Profit Short","Sell", stop=strategy.position_avg_price*100, limit=strategy.position_avg_price*0.9)

Detail

https://www.fmz.com/strategy/439855

Last Modified

2024-01-24 14:17:28