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动量顺势突破策略A-Momentum-Breakout-Strategy.md

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Name

动量顺势突破策略A-Momentum-Breakout-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

该策略是一个基于动量指标和关键支撑阻力位进行突破操作的日内交易策略。它结合了Choppiness指标来识别趋势,仅在趋势明显时进行交易,以控制风险。

策略原理

该策略使用Choppiness指标来识别趋势,Choppiness值低表示趋势明显,Choppiness值高表示盘整。 策略仅在Choppiness值低于44时进行操作。

对于进入信号,它计算出关键的日内支撑阻力位,包括H4, H5等。当收盘价突破H4时,做多;当收盘价跌破L4时,做空。

具体来说,它计算出以下日内支撑阻力位:

  • Pivot = (最高值 + 最低值 + 收盘价)/3
  • Range = 最高值 - 最低值
  • H1-H6 = Pivot + Range * 比例
  • L1-L6 = Pivot - Range * 比例

在计算出这些支撑阻力位后,它将H4和L4作为关键的突破口位。

当价格突破H4时,表示多头动能增强,它会进行做多操作。当价格跌破L4时,表示空头动能增强,它会进行做空操作。

策略优势分析

该策略具有以下优势:

  1. 利用Choppiness指标识别明显趋势,可避免盘整市场的whipsaw。

  2. 计算关键支撑阻力位,这些位通常具有较强的意义。依靠它们进行突破交易,可以获得较高的获利概率。

  3. 突破日内关键位H4和L4进行操作,这些位靠近收盘价,是当日重要的多空分界口。

  4. 突破信号具有非常高的胜率。当价格真正突破H4和L4时,后续行情通常会继续延伸趋势。

  5. 策略运行逻辑非常简单清晰,容易理解和实现,适合新手学习。

策略风险分析

该策略也存在以下风险:

  1. 依赖Choppiness指标识别趋势,该指标本身也可能失效,导致误判市场趋势。

  2. 计算的支撑阻力位并非百分百可靠,价格可能直接突破这些位,导致止损。

  3. 突破信号可能出现假突破,实际价格很快回调,让策略产生损失。

  4. 策略没有考虑大趋势方向,在市场长期方向不明时,该策略可能会反复亏损。

  5. 策略缺乏止损机制,在极端行情中,单笔损失可能非常巨大。

对策:

  1. 可以引入其它指标进行综合判断,提高对趋势的判断准确性。

  2. 增加移动止损,以控制单笔损失。

  3. 结合长期趋势指标,避免逆势交易。

  4. 增加重新进入信号,避免追踪假突破。

策略优化方向

该策略可以从以下方面进行进一步优化:

  1. 对Choppiness指标参数进行优化,找到更合适的数值提高准确率。

  2. 测试不同的突破位,比如H3和L3,寻找更有效的突破口。

  3. 增加移动止损策略,以锁定利润和控制风险。

  4. 增加重新进入信号,避免在假突破后继续亏损。

  5. 结合长线指标判断大趋势,避免逆势操作。

  6. 对交易时间进行优化,比如只在美国或欧洲交易时段操作。

  7. 添加仓位管理策略,比如固定数量或固定资金的进场。

  8. 分析回测数据,对参数进行进一步测试和优化。

总结

整体来说,该策略核心思想是识别趋势后,在突破关键支撑阻力位时进行操作。它有着简单的逻辑结构和较高的获利概率。但是也存在一定的风险,需要继续优化来控制风险并提高获利率。通过参数调整、止损策略、趋势判断等优化,可以将其打造成一个非常实用的日内突破系统。它为我们提供了一个基于动量指标进行突破操作的思路,是一种有效的日内交易策略。

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Overview

This is an intraday trading strategy that utilizes momentum indicators and key support/resistance levels for breakout trading. It incorporates the Choppiness index to identify trends and only trades when the trend is clear, in order to control risk.

Strategy Logic

The strategy uses the Choppiness index to identify trends. Low Choppiness values indicate a clear trend while high values indicate consolidation. The strategy only trades when Choppiness is below 44.

For entry signals, it calculates key intraday support/resistance levels including H4, H5 etc. It goes long when price closes above H4 and goes short when price closes below L4.

Specifically, it calculates the following intraday levels:

  • Pivot = (High + Low + Close)/3
  • Range = High - Low
  • H1-H6 = Pivot + Range * Ratio
  • L1-L6 = Pivot - Range * Ratio

After computing these levels, it uses H4 and L4 as the key breakout levels.

When price breaks above H4, it signals increasing bullish momentum and the strategy goes long. When price breaks below L4, it signals increasing bearish momentum and the strategy goes short.

Advantage Analysis

The advantages of this strategy include:

  1. Using Choppiness to identify clear trends avoids whipsaws in consolidation.

  2. The calculated support/resistance levels are usually meaningful. Trading breakouts from these levels gives a higher winning probability.

  3. Trading breaks of H4 and L4 which are near the closing price captures important intraday breaks.

  4. Breakout signals have a very high win rate. Valid breaks of H4 and L4 usually continue the trend.

  5. Simple and clear logic, easy to understand and implement for beginners.

Risk Analysis

The risks of this strategy include:

  1. Reliance on Choppiness for trend identification can fail and misread trends.

  2. Calculated levels may not hold and price could break through, causing stops.

  3. Breakout signals can be false breakouts with quick reversals.

  4. No consideration of overall trend, losses may accumulate in choppy markets.

  5. No stop loss means huge single trade loss is possible in extreme moves.

Solutions:

  1. Add other indicators for cross-confirmation and improve accuracy.

  2. Implement moving stop loss to control single trade loss.

  3. Incorporate long term trend filter to avoid counter-trend trades.

  4. Add re-entry signal to avoid chasing false breakouts.

Optimization Directions

This strategy can be further optimized by:

  1. Optimizing Choppiness parameters to find better values.

  2. Testing different breakout levels like H3 and L3 for better efficiency.

  3. Adding moving stop loss for profit protection and risk control.

  4. Adding re-entry signal to avoid losses from false breakouts.

  5. Incorporating long term trend filter to avoid counter-trend trades.

  6. Optimizing trading times such as only trading US or Europe sessions.

  7. Adding position sizing rules like fixed quantity or fixed percentage.

  8. Analyzing backtest data for parameter fine tuning.

Conclusion

In summary, the core idea is to trade breakouts after identifying the trend. It has simple logic and decent winning odds. But risks exist and further refinements are needed to control risks and improve profitability. With parameter tuning, stop loss, trend filter etc it can become a very practical intraday breakout system. It provides a momentum breakout framework that is an effective intraday trading strategy.

[/trans]

Source (PineScript)

/*backtest
start: 2023-09-08 00:00:00
end: 2023-10-08 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//Created by AS
strategy(title="ASH1Strategy", shorttitle="AS_H1_Strategy", overlay=true) 
//sd = input(true, title="Show Daily Pivots?")
EMA = ema(close,3)

pivot = (high + low + close ) / 3.0 
range = high - low
h5 = (high/low) * close 
h4 = close + (high - low) * 1.1 / 2.0
h3 = close + (high - low) * 1.1 / 4.0
h2 = close + (high - low) * 1.1 / 6.0
h1 = close + (high - low) * 1.1 / 12.0
l1 = close - (high - low) * 1.1 / 12.0
l2 = close - (high - low) * 1.1 / 6.0
l3 = close - (high - low) * 1.1 / 4.0
l4 = close - (high - low) * 1.1 / 2.0
h6 = h5 + 1.168 * (h5 - h4) 
l5 = close - (h5 - close)
l6 = close - (h6 - close)

// Daily line breaks
//sopen = request.security(syminfo.tickerid, "D", open [1])
//shigh = request.security(syminfo.tickerid, "D", high [1])
//slow = request.security(syminfo.tickerid, "D", low [1])
//sclose = request.security(syminfo.tickerid, "D", close [1])
//
// Color
//dcolor=sopen != sopen[1] ? na : black
//dcolor1=sopen != sopen[1] ? na : red
//dcolor2=sopen != sopen[1] ? na : green

//Daily Pivots 
dtime_pivot = request.security(syminfo.tickerid, 'D', pivot[1]) 
dtime_h6 = request.security(syminfo.tickerid, 'D', h6[1]) 
dtime_h5 = request.security(syminfo.tickerid, 'D', h5[1]) 
dtime_h4 = request.security(syminfo.tickerid, 'D', h4[1]) 
dtime_h3 = request.security(syminfo.tickerid, 'D', h3[1]) 
dtime_h2 = request.security(syminfo.tickerid, 'D', h2[1]) 
dtime_h1 = request.security(syminfo.tickerid, 'D', h1[1]) 
dtime_l1 = request.security(syminfo.tickerid, 'D', l1[1]) 
dtime_l2 = request.security(syminfo.tickerid, 'D', l2[1]) 
dtime_l3 = request.security(syminfo.tickerid, 'D', l3[1]) 
dtime_l4 = request.security(syminfo.tickerid, 'D', l4[1]) 
dtime_l5 = request.security(syminfo.tickerid, 'D', l5[1]) 
dtime_l6 = request.security(syminfo.tickerid, 'D', l6[1]) 

//offs_daily = 0
//plot(sd and dtime_pivot ? dtime_pivot : na, title="Daily Pivot",color=dcolor, linewidth=2)
//plot(sd and dtime_h6 ? dtime_h6 : na, title="Daily H6", color=dcolor2, linewidth=2)
//plot(sd and dtime_h5 ? dtime_h5 : na, title="Daily H5",color=dcolor2, linewidth=2)
//plot(sd and dtime_h4 ? dtime_h4 : na, title="Daily H4",color=dcolor2, linewidth=2)
//plot(sd and dtime_h3 ? dtime_h3 : na, title="Daily H3",color=dcolor1, linewidth=3)
//plot(sd and dtime_h2 ? dtime_h2 : na, title="Daily H2",color=dcolor2, linewidth=2)
//plot(sd and dtime_h1 ? dtime_h1 : na, title="Daily H1",color=dcolor2, linewidth=2)
//plot(sd and dtime_l1 ? dtime_l1 : na, title="Daily L1",color=dcolor2, linewidth=2)
//plot(sd and dtime_l2 ? dtime_l2 : na, title="Daily L2",color=dcolor2, linewidth=2)
//plot(sd and dtime_l3 ? dtime_l3 : na, title="Daily L3",color=dcolor1, linewidth=3)
//plot(sd and dtime_l4 ? dtime_l4 : na, title="Daily L4",color=dcolor2, linewidth=2)
//plot(sd and dtime_l5 ? dtime_l5 : na, title="Daily L5",color=dcolor2, linewidth=2)
//plot(sd and dtime_l6 ? dtime_l6 : na, title="Daily L6",color=dcolor2, linewidth=2)

longCondition = close >dtime_h4
if (longCondition)
    strategy.entry("My Long Entry Id", strategy.long)
    


shortCondition = close <dtime_l4
if (shortCondition)
    strategy.entry("My Short Entry Id", strategy.short)

Detail

https://www.fmz.com/strategy/428790

Last Modified

2023-10-09 15:15:22