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双入场均价追踪止损策略Dual-Entry-Position-Averaging-Trailing-Stop-Loss-Strategy.md

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Name

双入场均价追踪止损策略Dual-Entry-Position-Averaging-Trailing-Stop-Loss-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略采用双入场的方式,在第一个入场点入场后,如果价格没有达到第一个止盈点,则在更高的价格再次入场,实现加仓的效果。同时,策略采用均价追踪止损的方式,实时更新止损线的位置,把止损线设置为入场均价的一定百分比以上,从而锁定利润,控制风险。

策略原理

策略首先判断价格是否低于200日简单移动平均线,如果是,则符合入场条件。策略在每天的14:29 - 15:00之间入场,形成第一个入场点。之后策略会绘制第一个止盈线和止损线。

如果价格上涨,但没有达到第一个止盈目标,则在第一个入场点比入场价格高5%的位置再次入场,实现加仓的效果。这个时候,策略会更新止损线的位置,将其设置为当前持仓的平均入场价的1.15倍。同时也会绘制出第二个止盈线。

该策略可以通过两个止盈目标和追踪止损来锁定利润,同时通过加仓来获得更多利润。

优势分析

该策略具有以下几个优势:

  1. 采用双入场加仓的方式,可以在不增加风险的前提下获得更高的收益。

  2. 实时更新止损线位置,采用均价追踪止损方式,可以很好的控制风险,锁定利润。

  3. 在跌势中开仓,具有一定的逆市操作能力。

  4. 入场时间和点位设置合理,避免被套。

  5. 参数设置合理,止盈止损点位够紧,收益风险比高。

风险分析

该策略也存在一些风险:

  1. 双入场加仓方式可能会放大损失。如果两个入场点最后都止损了,损失会加大。

  2. 如果止损点位设置不当,无法有效控制风险,可能导致超出可承受的损失。

  3. 如果入场时间选择不当,可能导致迎头入场,被套的概率大大增加。

  4. 参数设置如果不当,止盈点过远或者止损点过近,都可能导致收益下降。

这些风险可以通过合理的参数优化,严格的风险控制来减少和规避。

优化方向

该策略还可以从以下几个方向进行优化:

  1. 测试不同的技术指标作为入场条件,寻找更好的入场点位。

  2. 对止盈止损点位进行测试和优化,使收益风险比最大化。

  3. 测试不同的加仓方式,确定最优加仓倍数。

  4. 加入趋势判断规则,避免逆势入场。

  5. 优化入场时间段的选择,确保不会迎头入场。

总结

该策略总体来说非常实用,具有较强的实战意义。采用双入场加仓的方式可以在控制风险的前提下获得更高收益,均价追踪止损可以很好地锁定利润,控制风险。通过合理参数优化和严格风险控制,该策略可以获得稳定持续的Alpha。

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Overview

This strategy adopts a dual entry approach. After the first entry, if the price does not reach the first take profit level, it will enter again at a higher price to achieve the effect of adding positions. At the same time, the strategy adopts a position averaging trailing stop loss method to update the stop loss line in real time and set it to a certain percentage above the average entry price to lock in profits and control risks.

Strategy Logic

The strategy first judges if the price is below the 200-day simple moving average. If yes, the entry criteria are met. The strategy enters between 14:29 and 15:00 every day to form the first entry. After that, the strategy will plot the first take profit and stop loss lines.

If the price rises but does not reach the first take profit target, it will enter again at 5% above the first entry price to add positions. At this point, the strategy will update the stop loss line to 1.15 times the current average holding price. At the same time, the second take profit line will be plotted.

The strategy can lock in profits through two take profit targets and trailing stop loss, while obtaining more profits through adding positions.

Advantage Analysis

The strategy has the following advantages:

  1. Adopting dual entry add-on method can obtain higher returns without increasing risks.

  2. Real-time update of stop loss line position. The position averaging trailing stop loss method can effectively control risks and lock in profits.

  3. Opening positions in a downtrend, it has certain countertrend trading capability.

  4. Reasonable entry time and price levels avoid being trapped.

  5. Reasonable parameter settings, tight take profit and stop loss levels mean high risk-reward ratio.

Risk Analysis

The strategy also has some risks:

  1. The dual entry add-on method may amplify losses. If both entries finally hit stop loss, the loss would be greater.

  2. If the stop loss level is set improperly, it may fail to effectively control risks and lead to unacceptable losses.

  3. If the entry time is chosen poorly, it may result in adverse entry and higher probability of being trapped.

  4. Unreasonable parameter settings like take profit being too distant or stop loss being too close may reduce profits.

These risks could be reduced and avoided through reasonable parameter optimization and strict risk control.

Optimization Directions

The strategy can also be optimized in the following aspects:

  1. Test different technical indicators as entry signals to find better entry points.

  2. Test and optimize take profit and stop loss levels to maximize risk-reward ratio.

  3. Test different add-on methods to determine the optimal add-on multiples.

  4. Add trend judgment rules to avoid countertrend entries.

  5. Optimize the selection of entry time periods to ensure no adverse entries.

Conclusion

Overall, this strategy is very practical and has strong practical significance. The dual entry add-on method can obtain higher returns while controlling risks. The position averaging trailing stop loss can lock in profits and control risks effectively. With reasonable parameter optimization and strict risk control, this strategy can achieve steady and consistent Alpha.

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Strategy Arguments

Argument Default Description
v_input_1 1.15 Total Stop Loss
v_input_2 1.05 Enter Second trade @ what higher 5%?
v_input_3 0.95 First Trade Profit % Target
v_input_4 0.9 Second Trade Profit % Target

Source (PineScript)

/*backtest
start: 2023-11-23 00:00:00
end: 2023-11-28 00:00:00
period: 1m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//              @version=4
strategy("8 Whittle Down", "8 WD", 1, initial_capital=0)


//              DUAL ENTRIES
//              ADDS ON MORE SHARES IF THE PILOT TRADE DOES NOT REACH PROFIT TARGET
//              RED     LINE        == STOP LOSS LINE
//              GREEN   LINE        == PROFIT TARGET FOR THE 1ST TRADE
//              YELLOW  LINE        == ADD ON SHARES TO THE TRADE
//              WHITE   LINE        == PROFIT TARGET FOR THE 1ST & SECOND TRADE COMBINED


StopLossPerc        = input(1.15, "Total Stop Loss", step=0.01)


T2EntTrgPerc        = input(1.05, "Enter Second trade @ what higher 5%?", step=0.01)    //  BUY STOP LIMIT ONLY WHEN ONE TRADE IS ALREADY OPEN & AIMS TO BUY DOUBLE THE OWNED SHARES AT A HIGHER ENTRY PRICE // YELLOW LINE

T1ProfTrgPerc       = input(0.95, "First Trade Profit % Target", step=0.01)
T2ProfTrgPerc       = input(0.90, "Second Trade Profit % Target", step=0.01)


RiskRange           = close*(StopLossPerc)-1
Shares              = floor(1000*1000/RiskRange) / 3                                    //  SPLITS THE RISK OVER THREE TRADES

F1                  = close < sma(security(syminfo.tickerid, "D", close[2]), 200)       //  HIGH OF OLD DATA -- SO NO REPAINTING
F2                  = strategy.opentrades == 0
buyTime             = time(timeframe.period, "1429-1500")                               //  BUY AT THE END OF THE  DAY
 
 
StopLossLine        = strategy.position_avg_price * StopLossPerc
StopLossCol         = strategy.opentrades != 0 ? #FF0000 : na
plot(StopLossLine,  "StopLossLine", StopLossCol, 2)



strategy.cancel_all()                                                                   //  CANCELS ALL ORDERS: BECAUSE THE SYSTEM WILL ADD A BUY STOP LIMIT ORDER FOR ENTRY TWO



///==============   ENTRY 1   ==============   
if  F1 and buyTime and strategy.opentrades == 0
    strategy.entry("S1", false, qty=Shares)


T1Prof              = strategy.position_avg_price * T1ProfTrgPerc
plot(T1Prof,        "1st Profit Target", strategy.opentrades == 1 ? #00FF00 : na, 2)

strategy.exit("S1 Ex", "S1", limit=T1Prof, stop=StopLossLine )


///==============   ENTRY 2   ==============   
T2EntryTrg          = strategy.position_avg_price * T2EntTrgPerc // enters on higher target than 1st entry
plot(T2EntryTrg,    "ent2EntryTrg", strategy.opentrades == 1 ? color.yellow : na, 2)
    
    
if  strategy.opentrades == 1
    strategy.order("S2", false, stop=T2EntryTrg, limit= T2EntryTrg, qty=Shares * 2)     //  BUYS MORE SHARES

T2Prof              = strategy.position_avg_price * T2ProfTrgPerc
    
T2Col               = strategy.opentrades == 2 ? color.white : na
plot(T2Prof,        "2nd Profit Target", T2Col, 2)
    
    
strategy.exit("S2 Ex", "S2", limit=T2Prof, stop=StopLossLine )

Detail

https://www.fmz.com/strategy/433898

Last Modified

2023-12-01 13:33:48