Name
Bollinger-Band-Breakout-strategy
Author
ChaoZhang
Strategy Description
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该策略基于布林带的突破信号进行交易。布林带由中轨、上轨和下轨组成。中轨为n周期的移动平均线,布林带通过在中轨的基础上进行标准差计算,得到上轨和下轨。上轨等于中轨加上标准差,下轨等于中轨减去标准差。当价格从下轨向上突破上轨时,表示当前处于强势的上升趋势,这时做多;当价格从上轨向下跌破下轨时,表示当前处于强势的下跌趋势,这时做空。该策略构建布林带的参数包括:中轨周期n和标准差倍数m。典型的参数组合为20周期及1.5倍标准差。参数n和m的设置直接影响布林带的宽度,从而影响突破信号的频繁程度。周期n可设置在10-20之间,标准差倍数m可设置在1-2倍之间,一般参数设置越保守,突破信号越少且越可靠。
该策略的优势在于利用布林带判断市场趋势和波动率,根据突破信号判断入场时机,回撤出场。但是该策略也存在布林带滞后、突破信号不一定可靠、没有止损设置等问题。总体来说,该策略更适用于具有明显趋势的市场,但需要谨慎使用,可通过参数优化、加入止损和指标过滤来提高策略稳定性。
综上所述,布林带突破策略虽具有一定优势,但也存在不少风险。只有在参数优化和风险控制到位的情况下,才能将该策略稳定运用于实盘交易中。
||Strategy Principles
This strategy trades based on Bollinger Band breakouts. The Bollinger Bands consist of a middle band, upper band and lower band. The middle band is an n-period moving average, while the upper and lower bands are calculated by adding/subtracting x standard deviations from the middle band. A breakout above the upper band indicates an uptrend, while a breakout below the lower band signals a downtrend. The key parameters for constructing the Bollinger Bands are the middle band period n and standard deviation multiplier m. Typical values are 20 periods and 1.5x standard deviations. The settings of n and m directly affect the width of the bands, and therefore the frequency of breakout signals. The period n can be set between 10-20, while the standard deviation multiplier m can be set between 1-2x. More conservative parameter settings generally mean fewer but more reliable breakout signals.
The advantage of this strategy is using Bollinger Bands to determine market trends and volatility, and entering based on breakout signals and exiting on pullbacks. However, issues like band lagging, unreliable breakout signals, and lack of stop loss exist. Overall, this strategy works better in markets with clear trends, but should be used cautiously. Optimization of parameters, adding stops, and signal filters can improve the stability of the strategy.
In summary, while the Bollinger Band breakout strategy has some merits, it also carries significant risks. Only with proper optimization, risk control and money management can this strategy be applied in live trading in a stable manner.
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Strategy Arguments
| Argument | Default | Description |
|---|---|---|
| v_input_1 | 20 | Period |
| v_input_2 | 1.5 | Standard Deviation |
Source (PineScript)
/*backtest
start: 2022-09-04 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(title="Bollinger Band Breakout", shorttitle = "BB-BO",default_qty_type = strategy.percent_of_equity,default_qty_value = 100, overlay=true)
source = close
length = input(20, minval=1, title = "Period") //Length of the Bollinger Band
mult = input(1.5, minval=0.001, maxval=50, title = "Standard Deviation") // Use 1.5 SD for 20 period MA; Use 2 SD for 10 period MA
basis = sma(source, length)
dev = mult * stdev(source, length)
upper = basis + dev
lower = basis - dev
if (crossover(source, upper))
strategy.entry("Long", strategy.long)
if(crossunder(source, basis))
strategy.close("Long")
plot(basis, color=color.red,title= "SMA")
p1 = plot(upper, color=color.blue,title= "UB")
p2 = plot(lower, color=color.blue,title= "LB")
fill(p1, p2)
Detail
https://www.fmz.com/strategy/426339
Last Modified
2023-09-11 12:24:43