Skip to content

Latest commit

 

History

History
272 lines (178 loc) · 9.63 KB

基于会话突破的短线扩散交易策略Session-Breakout-Scalping-Strategy.md

File metadata and controls

272 lines (178 loc) · 9.63 KB
Raw

Name

基于会话突破的短线扩散交易策略Session-Breakout-Scalping-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

该策略结合多时间框架的多空停板,在会话时间段内捕捉短线突破进行扩散交易。属于短线扩散类策略。

策略原理

  1. 计算当日和短期的多空中轨,形成两个时间框架下的突破口。

  2. 仅在自定义的交易时段内进行交易。时段开始进入突破口,时段结束平仓。

  3. 计算价格实时EMA作为入场价格。价格超过中轨则产生突破信号。

  4. 设置突破口外的止损线。突破失效时止损。

  5. 当价格回落到中轨附近时,确认突破失败而平仓。

优势分析

  1. 结合多时间框架,可以有效过滤假突破。

  2. 限定交易时段可以避开重要新闻事件。

  3. EMA跟踪价格可以顺势而为,及时入场。

  4. 设置止损线有助于控制风险。

  5. 按时段强制平仓可以避免过夜风险。

风险分析

  1. 短线突破可能出现止损被触发的情况。

  2. 部分突破可能在时段结束前无法完整获利。

  3. 时段设置不当也可能错过交易机会。

  4. 不能保证每次突破都能达到预期获利。

  5. 优化参数时可能存在过拟合问题。

优化方向

  1. 测试不同突破参数找到最优组合。

  2. 评估其他指标来提高入场的准确性。

  3. 优化交易时段,在盈利和风险之间寻找平衡。

  4. 研究如何搭配止盈策略来锁定利润。

  5. 测试不同品种参数设置的差异性。

  6. 采用机器学习算法动态优化参数。

总结

该策略试图通过限定会话突破来进行短线扩散交易。针对假突破和风险控制方面进行优化,可以将其改进为一个务实高效的短线交易策略。

||

Overview

This strategy combines multi-timeframe donchians to scalp short-term breakouts during a user-defined session. It belongs to short-term scalping strategies.

Strategy Logic

  1. Calculate day and short-term mid-points to form breakout zones across timeframes.

  2. Only trade during a customizable trading session. Enter on session start, exit on session end.

  3. Use real-time EMA of price as entry price. Breakout when price exceeds mid-point.

  4. Set stops outside breakout zones. Stop out when breakout fails.

  5. Close positions when price falls back near mid-point, confirming failed breakout.

Advantages

  1. Multi-timeframe combines to effectively filter false breakouts.

  2. Defined sessions avoid risks around major news events.

  3. EMA tracking allows timely entries in line with momentum.

  4. Stops help control risks.

  5. Forced session exit avoids overnight risks.

Risks

  1. Short-term breakouts may face whipsaws and stop outs.

  2. Some breakouts may not fully profit before session ends.

  3. Poor session definition could miss opportunities.

  4. No guarantee each breakout reaches expected profit.

  5. Optimization risks overfitting parameters.

Enhancement

  1. Test breakout parameters to find optimal combinations.

  2. Evaluate additional indicators to improve entry accuracy.

  3. Optimize trading session for profit vs risk balance.

  4. Research integrating take profit strategies to lock in gains.

  5. Test parameter differences across various symbols.

  6. Employ machine learning for dynamic parameter optimization.

Conclusion

This strategy attempts short-term scalping on limited session breakouts. With optimizations around false breakouts and risk controls, it can be refined into a pragmatic and efficient short-term system.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 13 Fast Window
v_input_2 52 Slow Window
v_input_3 3 Instant Period
v_input_4 true Minimum Cloud ATR Multiplier
v_input_5 1000-1500 Trading Session

Source (PineScript)

/*backtest
start: 2023-08-20 00:00:00
end: 2023-09-19 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
strategy("Breakout Scalper", overlay=true)

// -------------------------------------------------------------------------------------------------
// INPUTS
// -------------------------------------------------------------------------------------------------
// Period of the "fast" donchian channel
fast_window = input(title="Fast Window",  defval=13, minval=1)
// Used for the volatility (atr) period
slow_window = input(title="Slow Window",  defval=52, minval=1)
// Period of EMA used as the current price
instant_period = input(title="Instant Period",  defval=3, minval=1)
// Minimum ratio of cloud width to ATR in order for trade to be active
cloud_min_percent = input(title="Minimum Cloud ATR Multiplier", type=float, defval=1.0, minval=0)
// Session where we allow trades to be active
trading_sesh = input(title="Trading Session",  defval='1000-1500')
// -------------------------------------------------------------------------------------------------

// -------------------------------------------------------------------------------------------------
// SESSION TIMING
// -------------------------------------------------------------------------------------------------
is_newbar(t) =>
    na(t[1]) and not na(t) or t[1] < t

day_time = time("D")
sess_time = time(timeframe.period, trading_sesh)
day_open_bar = is_newbar(day_time)
sess_open_bar = is_newbar(sess_time)
sess_close_bar = na(sess_time) and not na(sess_time[1])
sess_is_open = false
sess_is_open := sess_open_bar ? true : (sess_close_bar ? false : sess_is_open[1])
// -------------------------------------------------------------------------------------------------

// -------------------------------------------------------------------------------------------------
// DONCHIANS
// -------------------------------------------------------------------------------------------------
slow_high = na
slow_high := day_open_bar ? high : (high > slow_high[1] ? high : slow_high[1])
slow_low = na
slow_low := day_open_bar ? low : (low < slow_low[1] ? low : slow_low[1])
slow_mid = (slow_high + slow_low) / 2

fast_low = max(slow_low, lowest(fast_window))
fast_high = min(slow_high, highest(fast_window))
fast_mid = (fast_low + fast_high) / 2
// -------------------------------------------------------------------------------------------------


// -------------------------------------------------------------------------------------------------
// TREND CLOUD
// -------------------------------------------------------------------------------------------------
cloud_width = fast_mid - slow_mid
slow_atr = atr(slow_window)
cloud_percent = cloud_width / slow_atr
cloud_color = cloud_percent > cloud_min_percent ? green : (cloud_percent < -cloud_min_percent ? red : gray)

fp = plot(fast_mid, title="Fast MidR", color=green)
sp = plot(slow_mid, title="Slow MidR", color=red)
fill(fp, sp, color=cloud_color)
// -------------------------------------------------------------------------------------------------


// -------------------------------------------------------------------------------------------------
// INSTANT PRICE
// -------------------------------------------------------------------------------------------------
instant_price = ema(close, instant_period)
plot(instant_price, title="Instant Price", color=black, transp=50)
// -------------------------------------------------------------------------------------------------


// -------------------------------------------------------------------------------------------------
// ENTRY SIGNALS & STOPS
// -------------------------------------------------------------------------------------------------
buy_entry_signal = sess_is_open and (instant_price > fast_mid) and (cloud_percent > cloud_min_percent)
sell_entry_signal = sess_is_open and (instant_price < fast_mid) and (cloud_percent < -cloud_min_percent)
buy_close_signal = sess_close_bar or (cloud_percent < 0)
sell_close_signal = sess_close_bar or (cloud_percent > 0)

entry_buy_stop = slow_high
entry_sell_stop = slow_low
exit_buy_stop = max(slow_low, fast_low)
exit_sell_stop = min(slow_high, fast_high)

entry_buy_stop_color = (strategy.position_size == 0) ? (buy_entry_signal ? green : na) : na
plotshape(entry_buy_stop, location=location.absolute, color=entry_buy_stop_color, style=shape.circle)
entry_sell_stop_color = (strategy.position_size == 0) ? (sell_entry_signal ? red : na) : na
plotshape(entry_sell_stop, location=location.absolute, color=entry_sell_stop_color, style=shape.circle)
exit_buy_stop_color = (strategy.position_size > 0) ? red : na
plotshape(exit_buy_stop, location=location.absolute, color=exit_buy_stop_color, style=shape.xcross)
exit_sell_stop_color = (strategy.position_size < 0) ? green : na
plotshape(exit_sell_stop, location=location.absolute, color=exit_sell_stop_color, style=shape.xcross)
// -------------------------------------------------------------------------------------------------


// -------------------------------------------------------------------------------------------------
// STRATEGY EXECUTION
// -------------------------------------------------------------------------------------------------
strategy.entry("long", strategy.long, stop=entry_buy_stop, when=buy_entry_signal)
strategy.cancel("long", when=not buy_entry_signal)
strategy.exit("stop", "long", stop=exit_buy_stop)
strategy.entry("short", strategy.short, stop=entry_sell_stop, when=sell_entry_signal)
strategy.cancel("short", when=not sell_entry_signal)
strategy.exit("stop", "short", stop=exit_sell_stop)
strategy.close("long", when=buy_close_signal)
strategy.close("short", when=sell_close_signal)
// -------------------------------------------------------------------------------------------------

Detail

https://www.fmz.com/strategy/427394

Last Modified

2023-09-20 17:00:16