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基于通道突破的趋势策略Trend-Following-Strategy-Based-on-Channel-Breakouts.md

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Name

基于通道突破的趋势策略Trend-Following-Strategy-Based-on-Channel-Breakouts

Author

ChaoZhang

Strategy Description

[trans]

本文将详细介绍一种利用通道突破进行趋势交易的量化策略。该策略通过EMA通道识别趋势方向,以及布林带判断反转做反向操作。

一、策略原理

该策略主要包括以下几个要素:

  1. 设置中线EMA,并根据比例扩展出上下通道;

  2. 当价格突破上通道线时,做多追涨;突破下通道线时,做空追踪;

  3. 当布林带收窄时,判断趋势反转,做反向操作;

  4. 设置ATR止损来限制亏损风险。

  5. 可自定义通道参数,找到最佳参数组合。

该策略通过EMA通道判断主流趋势方向,利用布林带识别反转机会,组成完整的趋势系统。

二、策略优势

该策略最大的优势是指标运用合理,EMA判断主流,布林带捕捉反转。

另一优势是止损设置直接有效,可以把控风险。

最后,参数可自定义,可以针对不同品种进行优化。

三、潜在风险

但该策略也存在以下问题:

首先,EMA和布林带指标都存在滞后性。

其次,反转操作的失败风险需要考虑。

最后,参数优化需要大量工作以防过优化。

四、内容总结

本文详细介绍了一种利用EMA通道突破进行趋势交易的策略。它可以识别主流趋势并在反转点做反向操作。该策略可以通过参数优化获得稳定收益,但也需要防控优化难度和指标滞后等问题。

||

This article explains in detail a trend trading strategy utilizing channel breakouts. It identifies trend direction with EMA channels and makes counter-trend trades using Bollinger Bands.

I. Strategy Logic

The main components are:

  1. Set middle EMA and extend upper/lower channels based on percentages.

  2. Go long on upper channel breakouts and short on lower channel breaks to follow trends.

  3. When BB narrows, judge trend reversal for counter-trend trades.

  4. Use ATR stops to limit loss risks.

  5. Customizable channel parameters for optimization.

It combines EMA channels for trend direction and BB for reversals to form a complete system.

II. Advantages of the Strategy

The biggest advantage is the sensible indicator usage, with EMA determining mainstream trend and BB for reversals.

Another advantage is the direct and effective stop loss for risk control.

Finally, customizable parameters allow optimization across products.

III. Potential Risks

However, some risks exist:

Firstly, both EMA and BB have lagging issues.

Secondly, failed reversal trades need consideration.

Lastly, extensive optimization is required to prevent overfitting.

IV. Summary

In summary, this article has explained a trend following strategy based on EMA channel breakouts, with counter-trend trades at reversals. It can achieve steady profits through parameter optimization but requires managing optimization difficulty and indicator lags.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 100 EMA Length
v_input_2_close 0 EMA Source: close
v_input_3 true Inside Channel (%)
v_input_4 2 Outside Channel (%)
v_input_5 20 length
v_input_6_close 0 Close price: close
v_input_7 2 Multiplier
v_input_8 14 (?ATR Stoploss)ATR Period
v_input_9 1.75 ATR Multiplier

Source (PineScript)

/*backtest
start: 2023-08-15 00:00:00
end: 2023-09-14 00:00:00
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(title="[mdeacey] EMA Percentage Channel + Bollinger Band Trending Strategy", shorttitle="[mdeacey] EMA% Channel + BB Trend Strategy", overlay=true)

//EMA 200

len = input(title="EMA Length", type=input.integer, defval=100)
srce = input(title="EMA Source", type=input.source, defval=close)

ema1= ema(srce,len)

percent = input(title="Inside Channel (%)", type=input.float, defval= 1) 
valuee = (percent*ema1)/100
upperbande = ema1 + valuee
lowerbande = ema1 - valuee
///2
percent2 = input(title="Outside Channel (%)", type=input.float, defval= 2) 
valuee2 = (percent2*ema1)/100
upperbande2 = ema1 + valuee2
lowerbande2 = ema1 - valuee2

plot(upperbande, title='Inside Channel Upperband', color=color.black, linewidth=1, style=plot.style_line )
plot(lowerbande, title='Inside Channel Lowerband', color=color.black, linewidth=1, style=plot.style_line )
plot(upperbande2, title='Outside Channel Upperband', color=color.black, linewidth=1, style=plot.style_line )
plot(lowerbande2, title='Outside Channel Lowerband', color=color.black, linewidth=1, style=plot.style_line )

length = input(20, minval=2)
src = input(close, title="Close price")
mult = input(2.0, title="Multiplier", minval=0.001, maxval=50)

MA2 = sma(src, length)
dev = mult * stdev(src, length)
upper = MA2 + dev
lower = MA2 - dev

signalColor = crossunder(close, upper) ? color.red : crossover(close, lower) ? color.green : color.white

barcolor(color=signalColor)
nopo= strategy.position_size==0

upperBand = plot(upper, title='Upper Bollinger Band', color=color.gray, linewidth=1)
lowerBand = plot(lower, title='Lower Bollinger Band', color=color.gray, linewidth=1)
fill(upperBand, lowerBand, title='Bollinger Band', color=color.black)
strategy.entry("Long",true,when = crossover(close,lower)  and close <lowerbande and close>lowerbande2)
strategy.close("Long",when = crossunder(close,lowerbande2))//crossunder(close,lowerbande) or crossunder(close,lowerbande2))

strategy.entry("Short",false,when = crossunder(close,upper)  and close >upperbande and close<upperbande2)
strategy.close("Short",when = crossover(close,upperbande2) )//crossover(close,upperbande) or crossover(close,upperbande2) )

//Inputs
atrPeriod = input(defval=14, title="ATR Period",group='ATR Stoploss', type=input.integer) // Adjust this to change the ATR calculation length
multiplierPeriod = input(defval=1.75, title="ATR Multiplier",group='ATR Stoploss',  type=input.float)// Adjust this to change the distance between your candles and the line

//ATR Calculation
pine_rma(x, y) =>
    alpha = y
    sum = 0.0
    sum := (x + (alpha - 1) * nz(sum[1])) / alpha

true_range() =>
    max(high - low, max(abs(high - close[1]), abs(low - close[1])))

//Long SL
plot(low - pine_rma(true_range() * multiplierPeriod, atrPeriod), "Long Stop", color=color.red, offset = 1)
// Short SL
plot(high +pine_rma(true_range() * multiplierPeriod, atrPeriod), "Short Stop", color=color.red, offset = 1)
strategy.exit("Exit","Long",limit=upper ,stop = low - pine_rma(true_range() * multiplierPeriod, atrPeriod)  )
strategy.exit("Exit","Short",limit=lower ,stop =high +pine_rma(true_range() * multiplierPeriod, atrPeriod)  )

/////////////////////new strategy
strategy.entry("Long",true,stop =upperbande  ,when = close <upperbande and  close[1] <upperbande and nopo )
strategy.close("Long",when = crossunder(close,upper) )//  and close <upperbande and close>lowerbande)

strategy.entry("Short",false,stop =lowerbande  ,when = close >lowerbande and close[1] >lowerbande and nopo )
strategy.close("Short",when = crossover(close, lower) )

strategy.exit("Exit","Long",stop = low - pine_rma(true_range() * multiplierPeriod, atrPeriod)  )
strategy.exit("Exit","Short",stop =high +pine_rma(true_range() * multiplierPeriod, atrPeriod)  )

Detail

https://www.fmz.com/strategy/426890

Last Modified

2023-09-15 12:02:10