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反向K线突破短线交易策略Reversal-Short-term-Breakout-Trading-Strategy.md

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Name

反向K线突破短线交易策略Reversal-Short-term-Breakout-Trading-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略用于捕捉短线反转交易机会。它会在连续N根K线都是上涨后开仓做空,在连续M根K线都是下跌后平仓。同时,该策略加入了时间段限制和止损止盈功能。

原理

  1. 输入参数:连续上涨K线数N,连续下跌K线数M
  2. 定义逻辑:
    • ups统计上涨K线数,price>price[1]则+1,否则reset为0
    • dns统计下跌K线数,price<price[1]则+1,否则reset为0
  3. 入场:当ups≥N时,做空;当dns≥M时,平仓
  4. 出场:固定止损止盈或时间段结束

优势

  1. 捕捉反转交易机会,适合短线操作
  2. 可灵活设置交易时间段,适应不同交易计划
  3. 内置止损止盈功能,有助于风险控制

风险

  1. 短线反转不一定成功,可能再次反转导致损失
  2. 需要合理设置参数N、M,过大或过小都不利
  3. 停止时刻设置不当可能无法及时止损

优化方向

  1. 结合趋势指标避免逆势操作
  2. 动态调整参数N、M
  3. 优化止损机制

总结

该策略通过统计K线形态来捕捉短线交易机会。设置合理的参数以及风控措施对于获得稳定收益至关重要。通过进一步结合趋势判断及动态调整参数,可望获得更好的效果。

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Overview

This strategy aims to capture short-term reversal trading opportunities. It will open short position after N consecutive up-bars and close position after M consecutive down-bars. It also incorporates time frame filter and stop loss/take profit features.

Logic

  1. Input parameters: Number of consecutive up-bars N, consecutive down-bars M
  2. Definition:
    • ups counts number of up-bars, price>price[1] then +1, otherwise reset to 0
    • dns counts number of down-bars, price<price[1] then +1, otherwise reset to 0
  3. Entry: short when ups≥N; close position when dns≥M
  4. Exit: fixed stop loss/take profit or end of time frame

Pros

  1. Capture reversal trading chances, suitable for short-term trading
  2. Flexible time frame setting catering to different trading plans
  3. Embedded stop loss/take profit facilitating risk management

Risks

  1. Short-term reversal may fail and reverse again leading to loss
  2. Reasonable N, M parameters needed, too large or small unfavourable
  3. Improper stop time may unable to stop loss in time

Optimization Directions

  1. Combine with trend indicator to avoid against trend trades
  2. Dynamic adjustment of parameters N, M
  3. Optimize stop loss mechanism

Conclusion

The strategy captures short-term trading opportunities through statistical K-line patterns. Reasonable parameter tuning and risk control measures are crucial for steady profits. Further improvements on combining trend analysis and dynamic parameter adjustment may lead to even better performance.

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Strategy Arguments

Argument Default Description
v_input_1 true Consecutive Bars Up
v_input_2 true Consecutive Bars Down
v_input_3 timestamp(2021-01-01T00:00:00) Backtesting Start Date
v_input_4 timestamp(2021-12-31T00:00:00) Backtesting End Date
v_input_5 Time Frame To Enter Trades
v_input_6 false Enable Close Trade At End Of Time Frame
v_input_7 false Enable Take Profit & Stop Loss
v_input_8 5 Stop Loss Ticks
v_input_9 10 Take Profit Ticks
v_input_10 Long Entry message
v_input_11 Short Entry message
v_input_12 Close Long message
v_input_13 Close Short message
v_input_14 Take Profit message
v_input_15 Stop Loss message

Source (PineScript)

/*backtest
start: 2023-11-13 00:00:00
end: 2023-11-20 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

// Strategy
strategy("Up/Down Short Strategy", overlay=true, initial_capital = 10000, default_qty_value = 10000, default_qty_type = strategy.cash)

// There will be no short entries, only exits from long.
strategy.risk.allow_entry_in(strategy.direction.short)

consecutiveBarsUp = input(1, title='Consecutive Bars Up')
consecutiveBarsDown = input(1, title='Consecutive Bars Down')

price = close

ups = 0.0
ups := price > price[1] ? nz(ups[1]) + 1 : 0

dns = 0.0
dns := price < price[1] ? nz(dns[1]) + 1 : 0

// Strategy Backtesting
startDate  = input(timestamp("2021-01-01T00:00:00"), type = input.time, title='Backtesting Start Date')
finishDate = input(timestamp("2021-12-31T00:00:00"), type = input.time, title='Backtesting End Date')

time_cond  = true

//Time Restriction Settings
startendtime = input("", title='Time Frame To Enter Trades')
enableclose = input(false, title='Enable Close Trade At End Of Time Frame')
timetobuy = (time(timeframe.period, startendtime))
timetoclose = na(time(timeframe.period, startendtime))

// Stop Loss & Take Profit Tick Based
enablesltp = input(false, title='Enable Take Profit & Stop Loss')
stopTick = input(5.0, title='Stop Loss Ticks', type=input.float) / 100
takeTick = input(10.0, title='Take Profit Ticks', type=input.float) / 100

longStop = strategy.position_avg_price - stopTick
shortStop = strategy.position_avg_price + stopTick
shortTake = strategy.position_avg_price - takeTick
longTake = strategy.position_avg_price + takeTick

plot(strategy.position_size > 0 and enablesltp ? longStop : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Long Fixed SL")
plot(strategy.position_size < 0 and enablesltp ? shortStop : na, style=plot.style_linebr, color=color.red, linewidth=1, title="Short Fixed SL")
plot(strategy.position_size > 0 and enablesltp ? longTake : na, style=plot.style_linebr, color=color.green, linewidth=1, title="Long Take Profit")
plot(strategy.position_size < 0 and enablesltp ? shortTake : na, style=plot.style_linebr, color=color.green, linewidth=1, title="Short Take Profit")

// Alert messages
message_enterlong  = input("", title="Long Entry message")
message_entershort = input("", title="Short Entry message")
message_closelong = input("", title="Close Long message")
message_closeshort = input("", title="Close Short message")
message_takeprofit = input("", title="Take Profit message")
message_stoploss = input("", title="Stop Loss message")

// Strategy Execution
if (ups >= consecutiveBarsUp) and time_cond and timetobuy
    strategy.entry("Long", strategy.long, stop = high + syminfo.mintick, alert_message = message_enterlong)
    
if (dns >= consecutiveBarsDown) and time_cond and timetobuy
    strategy.entry("Short", strategy.short, stop = low + syminfo.mintick, alert_message = message_entershort)
    
if strategy.position_size > 0 and timetoclose and enableclose
    strategy.close_all(alert_message = message_closelong)
if strategy.position_size < 0 and timetoclose and enableclose
    strategy.close_all(alert_message = message_closeshort)
    
if strategy.position_size > 0 and enablesltp and time_cond
    strategy.exit(id="Close Long", stop=longStop, limit=longTake, alert_message = message_takeprofit)
if strategy.position_size < 0 and enablesltp and time_cond
    strategy.exit(id="Close Short", stop=shortStop, limit=shortTake, alert_message = message_stoploss)

Detail

https://www.fmz.com/strategy/432806

Last Modified

2023-11-21 17:03:32