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反转PercentR连费通道策略PercentR-Reversa-Channe-Strategy.md

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Name

反转PercentR连费通道策略PercentR-Reversa-Channe-Strategy

Author

ChaoZhang

Strategy Description

IMG

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策略概述

这是一个基于拉鲁连费通道指标的反转交易策略。它通过计算过去一定时间周期内的最高价和最低价,来确定当前价格是否处在超买超卖区域。如果价格接近上轨或下轨,则进行反向开仓,等待价格回归中线。

策略原理

该策略主要基于两个指标:百分比R指标(%R)和拉鲁连费通道上下轨。

百分比R指标是显示当前收盘价距离最近一段时间的最高价和最低价的距离,数值区间为0至-100,数值接近0表示当前收盘价接近最近一段时间的最高点,数值接近-100表示当前收盘价接近最近一段时间的最低点。

拉鲁连费通道由上轨、中线和下轨组成。上轨等于最近一段时间的最高价,下轨等于最近一段时间的最低价,中线为上下轨的平均值。如果价格超过上轨则视为超买,如果价格低于下轨则视为超卖。

该策略首先计算百分比R指标和拉鲁连费通道的上下轨,然后利用两个指标判断目前是否处于超买超卖状态:

  1. 当百分比R低于-87时,认为处于超卖状态。
  2. 当百分比R高于-20时,认为处于超买状态。

如果当前既不处于超买也不处于超卖状态,则在开市时做多开仓。当天收市前平仓退出。

这样通过捕捉价格的反转,可以在短线内获利。

策略优势

  1. 策略简单清晰,容易理解实现。
  2. 利用百分比R指标判断超买超卖状态,比较可靠。
  3. 每日开市做单,收市平仓,避免过夜风险。
  4. 反转交易策略,适合短线获利。

策略风险

  1. 反转未成功,无法获利退出。
  2. 参数设置不当,无法正确判断超买超卖状态。
  3. 单日交易时间太短,交易信号可能较少。

可以通过优化参数,调整做单时间,或与其他指标组合来降低风险。

策略优化

  1. 可以引入止损机制,设定止损线,避免亏损扩大。
  2. 可以优化百分比R的参数,使超买超卖判断更准确。
  3. 可以在多个时间周期同时使用该策略,实现多周期交易。
  4. 可以与其他指标组合,例如KDJ,MACD等,使交易信号更可靠。

总结

该策略整体来说较为简单实用,通过反转交易思路设计,适合短线频繁交易。优化空间较大,可以引入更多技术指标组合使用,也可以建立自动止损机制来控制风险。

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Strategy Overview

This is a reversal trading strategy based on the Laruent Channel indicator. It calculates the highest and lowest prices over a certain period of time in the past to determine if the current price is in the overbought or oversold area. If the price is close to the upper or lower rail, it will open a position in the opposite direction and wait for the price to return to the middle line.

Strategy Principle

The strategy is mainly based on two indicators: PercentR indicator (%R) and Laruent Channel rails.

The PercentR indicator shows the distance between the current closing price and the highest and lowest prices over the most recent period. The value range is from 0 to -100. A value close to 0 means the current closing price is near the highest point recently. And a value close to -100 means the current closing price is near the lowest price recently.

The Laruent Channel consists of upper rail, middle line and lower rail. The upper rail equals the highest price over the most recent period. The lower rail equals the lowest price over that period. The middle line is the mean of the upper and lower rails. If the price exceeds the upper rail, it is considered overbought. If the price is below the lower rail, it is considered oversold.

The strategy first calculates the PercentR indicator and Laruent Channel rails, then uses the two indicators to determine if the current status is overbought or oversold:

  1. When PercentR is below -87, the status is considered oversold.
  2. When PercentR is above -20, the status is considered overbought.

If the current status is neither overbought nor oversold, it will long at market open. And close the position before market close on the same day.

By capturing the price reversal, it can make profits in short term.

Advantages

  1. The strategy is simple and clear, easy to understand and implement.
  2. Using PercentR indicator to judge overbought/oversold status is reliable.
  3. Making orders at market open and closing positions before market close avoids overnight risk.
  4. As a reversal trading strategy, it is suitable for short term profit making.

Risks

  1. Failed reversal, cannot exit with profit.
  2. Improper parameter settings, cannot judge overbought/oversold status correctly.
  3. Too short intraday trading time, fewer trading signals.

Risks can be reduced by optimizing parameters, adjusting order placement time, or combining with other indicators.

Optimization

  1. A stop loss mechanism can be introduced to set a stop loss line to avoid loss expansion.
  2. The parameters of PercentR can be optimized to make overbought/oversold judgment more accurate.
  3. The strategy can be used on multiple timeframes simultaneously to implement multi-timeframe trading.
  4. It can be combined with other indicators like KDJ, MACD to make trading signals more reliable.

Summary

In general, this strategy is quite simple and practical. It is designed based on the reversal trading idea and suitable for short term frequent trading. There is large room for optimization. More technical indicators can be introduced for combination. And automatic stop loss mechanisms can also be established to control risks.

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Strategy Arguments

Argument Default Description
v_input_1 -87 Low Marker
v_input_2 -20 High Marker
v_input_3 3 Length
v_input_4_close 0 Source: close

Source (PineScript)

/*backtest
start: 2023-11-04 00:00:00
end: 2023-12-04 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Binance","currency":"BTC_USDT"}]
*/

//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © zweiprozent original strategy by larry williams

strategy("Daily PercentR Strategy", overlay=false)
D_High = security(syminfo.tickerid, 'D', high[1])
D_Low = security(syminfo.tickerid, 'D', low[1])
D_Close = security(syminfo.tickerid, 'D', close[1])
D_Open = security(syminfo.tickerid, 'D', open[1])

LowMarker = input(-87,"Low Marker",input.integer)

HighMarker =  input(-20,"High Marker",input.integer)

length = input(title="Length", type=input.integer, defval=3)
src = input(close, "Source", type = input.source)
_pr(length) =>
	max = highest(length)
	min = lowest(length)
	100 * (src - max) / (max - min)
percentR = _pr(length)
obPlot = hline(LowMarker, title="Upper Band", color=#606060)
hline(-50, title="Middle Level", linestyle=hline.style_dotted, color=#606060)
osPlot = hline(HighMarker, title="Lower Band", color=#606060)
fill(obPlot, osPlot, title="Background", color=color.new(#9915ff, 90))
plot(percentR, title="%R", color=#3A6CA8, transp=0)

// Go Long - if percentR is not overbought/sold

ordersize=floor(strategy.equity/close) 

if percentR<HighMarker and percentR>LowMarker
    strategy.entry("Long", strategy.long,comment="Long")

//exit at end of session
if low[0]<high[0]
    strategy.close("Long", comment="exit")

Detail

https://www.fmz.com/strategy/434305

Last Modified

2023-12-05 12:04:13