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过渡区间策略Transient-Zones-Strategy.md

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Name

过渡区间策略Transient-Zones-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

过渡区间策略是一种基于价格波动区间的短线交易策略。它利用价格在一定时间区间内形成的波动区间来判断市场趋势,在区间突破时入场做多/空。

策略原理

该策略通过计算过去N根K线的最高价和最低价,构建出价格的波动区间。当最新K线 penetrates 该区间时,判断趋势发生转折,产生交易信号。

具体来说,策略持续追踪最后N根K线(可调节参数N)的最高价和最低价,其中:

  • 最低价 = 过去N根K线中的最低点
  • 最高价 = 过去N根K线中的最高点

这样便构建出了价格的波动区间。

当最新K线的收盘价高于区间最高价时,说明区间突破,产生做多信号;当最新K线的收盘价低于区间最低价时,说明区间突破,产生做空信号。

此外,策略还加入了颜色过滤器和实体过滤器。颜色过滤器根据K线的颜色来过滤信号;实体过滤器根据K线实体的大小来过滤信号。这可以过滤掉一些假信号。

策略优势

该策略具有如下优势:

  1. 捕捉价格区间,判断趋势转折点,精确做多做空
  2. 颜色过滤和实体过滤,可过滤假信号
  3. 策略逻辑简单清晰,容易理解和调整参数
  4. 可调整的参数较多,可以优化策略

风险分析

该策略也存在一些风险:

  1. 参数设置不当可能导致过于频繁交易,产生过高交易费用
  2. 区间范围设置不当,可能导致区间突破假信号太多
  3. 行情剧烈波动时,价格区间预测效果较差
  4. 无法处理价格跳空缺口的情况

可以通过调整区间参数,优化信号过滤条件等方法来降低这些风险。

优化方向

该策略可以从以下几个方向进行优化:

  1. 动态调整价格区间的范围,而不是固定的N根K线
  2. 加入止损逻辑,降低亏损风险
  3. 优化过滤器参数,提高信号质量
  4. 增加对价格缺口的处理逻辑
  5. 结合多个时间周期判断信号,避免被套

总结

过渡区间策略整体来说是一种较为简单实用的短线交易策略。它通过价格区间判断趋势转折点,可以快速抓住行情机会。同时也存在一些风险需要注意。通过参数调整和优化,可以进一步完善该策略,提高盈利效果。

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Overview

The Transient Zones strategy is a short-term trading strategy based on price fluctuation zones. It uses the fluctuation zones formed by prices within a certain time period to judge market trends and take positions when the zones are penetrated.

Strategy Logic

The strategy calculates the highest and lowest prices of the past N candlesticks to construct a price fluctuation zone. When the latest candlestick penetrates this zone, it judges that a trend reversal has occurred and generates trading signals.

Specifically, the strategy continuously tracks the highest and lowest prices of the last N candlesticks (adjustable parameter N), where:

  • Lowest price = lowest point in past N candlesticks
  • Highest price = highest point in past N candlesticks

This constructs the price fluctuation zone.

When the close price of the latest candlestick is higher than the highest price of the zone, it signals that the zone has been penetrated, generating a long signal; when the close price is lower than the lowest price of the zone, it signals that the zone has been penetrated, generating a short signal.

In addition, the strategy also incorporates color and body filters. The color filter filters signals based on the color of the candlestick; the body filter filters signals based on the size of the candlestick body. This helps filter out some false signals.

Advantages

The strategy has the following advantages:

  1. Captures price zones and determines trend reversal points for accurate long/short entries
  2. Color and body filters help filter out false signals
  3. Simple and clear strategy logic, easy to understand and adjust parameters
  4. Many adjustable parameters allow optimizing the strategy

Risks

The strategy also has some risks:

  1. Inappropriate parameter settings may cause over-trading and high fees
  2. Incorrect zone range settings may generate too many false breakout signals
  3. Poor price zone prediction power during violent market swings
  4. Unable to handle price gaps

These risks can be reduced by adjusting zone parameters, optimizing signal filters etc.

Optimization Directions

The strategy can be optimized in several directions:

  1. Dynamically adjust the price zone range instead of fixed N candlesticks
  2. Incorporate stop loss logic to limit losses
  3. Optimize filter parameters to improve signal quality
  4. Add logic to handle price gaps
  5. Combine multiple timeframes to judge signals and avoid traps

Conclusion

The Transient Zones strategy is an easy-to-use short-term trading strategy overall. It determines trend reversal points through price zones and can quickly capitalize on market opportunities. It also has some risks to note. Further improvements can be made through parameter adjustment and optimization to enhance profitability.
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Strategy Arguments

Argument Default Description
v_input_1 true Long
v_input_2 true Short
v_input_3 100 Capital, %
v_input_4 true Use Color-Filter
v_input_5 true Use Body-Filter
v_input_6 10 H left
v_input_7 5000 Sample bars for % TZ
v_input_8 true Show PTZ
v_input_9 true Show channel
v_input_10 2018 From Year
v_input_11 2100 To Year
v_input_12 true From Month
v_input_13 12 To Month
v_input_14 true From day
v_input_15 31 To day

Source (PineScript)

/*backtest
start: 2023-11-28 00:00:00
end: 2023-12-28 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//Noro
//2018

//@version=2
strategy("Noro's Transient Zones Strategy v1.0", shorttitle = "TZ str 1.0", overlay=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)

//Settings 
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")

usecol = input(true, defval = true, title = "Use Color-Filter")
usebod = input(true, defval = true, title = "Use Body-Filter")

h_left = input(title = "H left", defval = 10)
h_right = -1
sample_period = input(title = "Sample bars for % TZ",  defval = 5000)
show_ptz = input(title = "Show PTZ", type = bool, defval = true)
show_channel = input(title = "Show channel", type = bool, defval = true)

fromyear = input(2018, defval = 2018, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")

//By Jurij w/ TZ percent occurrence by SPYderCrusher

//barCount = nz(barCount[1]) + 1
//check history and realtime PTZ
h_left_low = lowest(h_left)
h_left_high = highest(h_left)
newlow = low <= h_left_low
newhigh = high >= h_left_high
plotshape(newlow and show_ptz, style=shape.triangledown, location=location.belowbar, color=red)
plotshape(newhigh and show_ptz, style=shape.triangleup, location=location.abovebar, color=green)
channel_high = plot(show_channel ? h_left_low : 0, color=silver)
channel_low = plot (show_channel ? h_left_high : 0, color=silver)

//check true TZ back in history
central_bar_low = low[h_right + 1]
central_bar_high = high[h_right + 1]
full_zone_low = lowest(h_left + h_right + 1)
full_zone_high = highest(h_left + h_right + 1)
central_bar_is_highest = central_bar_high >= full_zone_high
central_bar_is_lowest = central_bar_low <= full_zone_low
plotarrow(central_bar_is_highest ? -1 : 0, offset=-h_right-1)
plotarrow(central_bar_is_lowest ? 1 : 0, offset=-h_right-1)

//Color Filter
bar = close > open ? 1 : close < open ? -1 : 0

//Body Filter
nbody = abs(close - open)
abody = sma(nbody, 10)
body = nbody > abody / 3 or usebod == false

//Signals
up1 = central_bar_is_lowest and body and (bar == -1 or usecol == false)
dn1 = central_bar_is_highest and body and (bar == 1 or usecol == false)
exit = ((strategy.position_size > 0 and close > open) or (strategy.position_size < 0 and close < open)) and body

//Trading
lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 : lot[1]

if up1
    if strategy.position_size < 0
        strategy.close_all()
        
    strategy.entry("long", strategy.long, needlong == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))

if dn1
    if strategy.position_size > 0
        strategy.close_all()
        
    strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)))
    
if time > timestamp(toyear, tomonth, today, 23, 59) or exit
    strategy.close_all()

Detail

https://www.fmz.com/strategy/437043

Last Modified

2023-12-29 17:03:27