Name

康乃狄克海龟系统Connecticut-Turtle-System

Author

ChaoZhang

Strategy Description

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概述

该策略是基于著名的海龟交易系统开发的,尽可能遵循原始规则。它是一个追踪趋势的系统,通过双均线形成进入和退出信号。

策略原理

使用最高价计算 N1 日线和 N2 日线(默认 20 日和 55 日)构建双均线。
使用最低价计算 N3 日线和 N4 日线(默认 10 日和 20 日)构建双均线。
当收盘价超过 N2 日线时,做多;当收盘价低于 N4 日线时,平仓。
做多后,每上涨一个 N 倍ATR(默认1倍),加仓一次,最多加仓5次。
设置一个固定止损,默认为入场价以下 N 倍ATR(默认 2 倍)。
仅在上一交易为胜出后才允许进入新仓。

优势分析

该策略具有以下优势:

遵循趋势交易原则,能够捕捉中长线趋势。
双均线形成过滤条件,避免在震荡中频繁交易。
追踪止损设定合理,避免止损过于宽松或过于窄。
采用参数化设置,方便调整系统的风险收益特征。
允许加仓,能够在趋势中获得更多收益。

风险分析

该策略也存在一些风险:

在趋势反转时无法及时止损,可能带来较大亏损。
加仓次数过多可能带来过度交易的风险。
参数设置不当可能导致系统过于激进或保守。
回测数据拟合风险,实盘效果可能弱于回测。

可以通过以下方式降低风险:

增加反转信号判断,如MACD背离等,减少逆势损失。
优化参数,使系统的参数稳健。
增加 Position Sizing 方法。在大亏损出现时降低仓位。

优化方向

该策略可以从以下几个方面进行优化:

增加空头交易逻辑,使策略能够在下跌行情中也获得收益。
增加止损线优化模块,使止损线能随价格波动适当调整。
增加仓位管理模块,优化每次加仓仓位的大小。
结合趋势指数如ADX判断趋势强弱,避免错误交易。
优化参数以获得更平稳的收益曲线。
考虑实盘交易的滑点,手续费等交易成本。

总结

本策略通过追踪趋势获得收益,具有一定的回测优势。但实盘效果仍需检验,需要进一步优化参数稳健性,完善止损和仓位管理模块,才能使策略更适合实盘交易。总体来说,该策略思路合理,有很大的改进潜力。

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Overview

This strategy is based on the famous turtle trading system and tries to follow the original rules as much as possible. It is a trend following system that generates entry and exit signals using double moving averages.

Trading Logic

N1-day high (default 20 days) and N2-day high (default 55 days) are used to build double moving averages.
N3-day low (default 10 days) and N4-day low (default 20 days) are used to build double moving averages.
Go long when close price exceeds N2-day high. Close position when close price falls below N4-day low.
Pyramid up to 5 additional long positions, each 1 x ATR (default 1) above previous entry price.
Set a fixed stop loss at N x ATR (default 2) below entry price.
Only allow new entry after previous trade is a winner.

Advantage Analysis

The advantages of this strategy:

Follows trend trading principle and captures mid-to-long term trends.
Double MAs form filters, avoiding excessive trading during consolidation.
The stop loss setting is reasonable, avoiding too wide or too narrow.
Parameters are configurable for adjusting risk-reward profile.
Allow pyramiding for more profit during strong trends.

Risk Analysis

There are also some risks:

Unable to exit timely when trend reverses, leading to large losses.
Too much pyramiding increases trading frequency.
Improper parameter tuning makes the system too aggressive or too conservative.
Backtest bias, real performance may underperform.

Risks can be reduced by:

Adding reversal signals like MACD divergence to cut losses.
Robust parameter optimization.
Adding position sizing to lower position size after big losses.

Improvement Areas

The strategy can be improved in the following ways:

Add short trade logic to profit from falling prices.
Add stop loss optimization to adjust stops based on price action.
Add position sizing module to optimize pyramid size.
Incorporate trend strength index like ADX to avoid false signals.
Optimize parameters for smoother returns.
Consider real trading costs like slippage and commissions.

Conclusion

The strategy profits by following the trend and has good backtest results. But real performance needs to be validated. Further optimization on parameter robustness, stop loss and position sizing is needed before applying it in live trading. Overall it has sound logic and much potential for improvement.

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Strategy Arguments

Argument	Default	Description
v_input_1	2	Stop N
v_input_2	true	Pyramid N
v_input_3	20	L1 Long
v_input_4	55	L2 Long
v_input_5	10	L1 Long Exit
v_input_6	20	L2 Long Exit
v_input_7	2000	From Year
v_input_8	true	From Month
v_input_9	true	From Day
v_input_10	9999	To Year
v_input_11	true	To Month
v_input_12	true	To Day

Source (PineScript)

/*backtest
start: 2022-10-30 00:00:00
end: 2023-11-05 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy(title="Turtle", overlay=true, initial_capital=100000, default_qty_type=strategy.percent_of_equity, default_qty_value=10, commission_type=strategy.commission.percent, commission_value=0.1, pyramiding=5)

stopInput = input(2.0, "Stop N", step=.5)
pyramidInput = input(1, "Pyramid N", step=.5)
l1LongInput = input(20, "L1 Long", minval=5)
l2LongInput = input(55, "L2 Long", minval=5)
l1LongExitInput = input (10, "L1 Long Exit", minval=5)
l2LongExitInput = input (20, "L2 Long Exit", minval=5)

FromYear = input(2000, "From Year", minval=1900),   FromMonth = input(1, "From Month", minval=1, maxval=12),    FromDay = input(1, "From Day", minval=1, maxval=31)
ToYear = input(9999, "To Year", minval=1900),       ToMonth = input(1, "To Month", minval=1, maxval=12),        ToDay = input(1, "To Day", minval=1, maxval=31)
FromDate = timestamp(FromYear, FromMonth, FromDay, 00, 00),     ToDate = timestamp(ToYear, ToMonth, ToDay, 23, 59)
TradeDateIsAllowed() => time >= FromDate and time <= ToDate
l1Long = highest(l1LongInput)
l1LongExit = lowest(l1LongExitInput)
l2Long = highest(l2LongInput)
l2LongExit = lowest(l2LongExitInput)

// 
// ADX, +-DI
// https://www.tradingview.com/script/rlMJ05yl-ADX-and-DI-pine-script-3-0/
//
len = 14
th = 20
TrueRange = max(max(high-low, abs(high-nz(close[1]))), abs(low-nz(close[1])))
DirectionalMovementPlus = high-nz(high[1]) > nz(low[1])-low ? max(high-nz(high[1]), 0): 0
DirectionalMovementMinus = nz(low[1])-low > high-nz(high[1]) ? max(nz(low[1])-low, 0): 0
SmoothedTrueRange = 0.0
SmoothedTrueRange := nz(SmoothedTrueRange[1]) - (nz(SmoothedTrueRange[1])/len) + TrueRange
SmoothedDirectionalMovementPlus = 0.0
SmoothedDirectionalMovementPlus := nz(SmoothedDirectionalMovementPlus[1]) - (nz(SmoothedDirectionalMovementPlus[1])/len) + DirectionalMovementPlus
SmoothedDirectionalMovementMinus = 0.0
SmoothedDirectionalMovementMinus := nz(SmoothedDirectionalMovementMinus[1]) - (nz(SmoothedDirectionalMovementMinus[1])/len) + DirectionalMovementMinus

DIPlus = SmoothedDirectionalMovementPlus / SmoothedTrueRange * 100
DIMinus = SmoothedDirectionalMovementMinus / SmoothedTrueRange * 100
DX = abs(DIPlus-DIMinus) / (DIPlus+DIMinus)*100
ADX = sma(DX, len)

// Back to Turtle

filter = true // not (DIPlus < ADX and DIMinus < ADX) and DIPlus > DIMinus
var win = false
var totalPrice = 0.0
var buyPrice = 0.0
var avgPrice = 0.0
var nextBuyPrice = 0.0
var stopPrice = 0.0
var totalBuys = 0

var bool inBuy = false
var float l1LongPlot = highest(l1LongInput)
var float l2LongPlot = highest(l2LongInput)

n = atr(14)

var mode = 'L1'
string longLevel = na

if not inBuy 
    l1LongPlot := highest(l1LongInput)[1]
    l2LongPlot := highest(l2LongInput)[1]
    
    if (close > l2Long[1] and filter)
        mode := 'L2'
        if TradeDateIsAllowed() 
            strategy.close_all()
            strategy.entry("long", strategy.long, comment="L2")
            longLevel := 'L2'

        win := false
        buyPrice := close
        totalBuys := 1
        totalPrice := buyPrice
        avgPrice := buyPrice
        stopPrice := close-(stopInput*n)
        nextBuyPrice := high+(pyramidInput*n)
        inBuy := true
    else 
        if (close > l1Long[1] and filter)
            mode := 'L1'
            if not win
                if TradeDateIsAllowed()
                    strategy.close_all()
                    strategy.entry("long", strategy.long, comment="L1")
                    longLevel := 'L1'
            win := false
            buyPrice := close
            totalBuys := 1
            totalPrice := buyPrice
            avgPrice := buyPrice
            stopPrice := close-(stopInput*n)
            nextBuyPrice := high+(pyramidInput*n)
            inBuy := true
        else 
            inBuy := false

else
    l1LongPlot := l1LongPlot[1]
    l2LongPlot := l2LongPlot[1]
    
    if close > nextBuyPrice and TradeDateIsAllowed() and totalBuys < 6
        strategy.entry("long", strategy.long, comment="LP")
        longLevel := 'P'
        stopPrice := close-(stopInput*n)
        nextBuyPrice := high+(pyramidInput*n)
        totalBuys := totalBuys + 1
        totalPrice := totalPrice + buyPrice
        avgPrice := totalPrice / totalBuys

    if (close < stopPrice) 
        inBuy := false
        if TradeDateIsAllowed()
            if (close >= avgPrice)
                longLevel := 'SG'
            else 
                longLevel := 'SR'
            strategy.close("long", strategy.long)
        win := false
        buyPrice := 0
        avgPrice := 0
    else
        if (mode == 'L1' and close > l2Long[1] and filter)
            if win
                inBuy := true
                win := false
                mode := 'L2'
                if TradeDateIsAllowed()
                    strategy.close_all()
                    longLevel := 'L2'
                    strategy.entry("long", strategy.long, comment="L2")
                buyPrice := close
                totalBuys := 1
                totalPrice := buyPrice
                avgPrice := buyPrice
                stopPrice := close-(stopInput*n)
                nextBuyPrice := close+(pyramidInput*n)
        else
            if (close < l1LongExit[1] or close < l2LongExit[1])
                inBuy := false
                if TradeDateIsAllowed()
                    strategy.close("long", strategy.long)
                if close < avgPrice
                    longLevel := 'SR'
                    win := false
                else
                    longLevel := 'SG'
                    win := true
                buyPrice := 0

plot(l1LongPlot, title="l1 long", linewidth=3, style=plot.style_stepline, color=color.green)
plot(l1LongExit[1], title="l1 exit", linewidth=3, style=plot.style_stepline, color=color.red)

plot(l2LongPlot, title="l2 long", linewidth=2, style=plot.style_stepline, color=color.green)
plot(l2LongExit[1], title="l2 exit", linewidth=2, style=plot.style_stepline, color=color.red)

plot(stopPrice, title="stop", linewidth=2, style=plot.style_stepline, color=color.purple)

plotarrow(longLevel == 'L1' ? 1 : 0, colordown=color.black, colorup=color.green, transp=40)
plotarrow(longLevel == 'L2' ? 1 : 0, colordown=color.black, colorup=color.purple, transp=40)
plotarrow(longLevel == 'SR' ? -1 : 0, colordown=color.red, colorup=color.purple, transp=40)
plotarrow(longLevel == 'SG' ? -1 : 0, colordown=color.green, colorup=color.purple, transp=40)

Detail

https://www.fmz.com/strategy/431221

Last Modified

2023-11-06 10:23:12

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康乃狄克海龟系统Connecticut-Turtle-System.md

康乃狄克海龟系统Connecticut-Turtle-System.md

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Trading Logic

Advantage Analysis

Risk Analysis

Improvement Areas

Conclusion

Files

康乃狄克海龟系统Connecticut-Turtle-System.md

Latest commit

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康乃狄克海龟系统Connecticut-Turtle-System.md

File metadata and controls

概述

策略原理

优势分析

风险分析

优化方向

总结

Overview

Trading Logic

Advantage Analysis

Risk Analysis

Improvement Areas

Conclusion