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支撑阻力趋势追踪策略Support-and-Resistance-Trend-Tracking-Strategy.md

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Name

支撑阻力趋势追踪策略Support-and-Resistance-Trend-Tracking-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

该策略运用支撑、阻力以及趋势线这三个技术指标来自动化入场和止损。策略首先识别关键的支撑和阻力位,然后结合趋势方向判断入场时机。

策略原理

  1. 识别关键支撑位和阻力位。
  2. 利用趋势线判断市场趋势方向。当价格高于昨日收盘价时定义为上涨趋势,否则为下跌趋势。
  3. 当价格接近支撑位且属于上涨趋势时,发出买入信号。
  4. 当价格接近阻力位且属于下跌趋势时,发出卖出信号。
  5. 止盈目标根据风险回报比例计算,止损位设置在支撑位附近。
  6. 可选择使用跟踪止损来锁定利润。

优势分析

  1. 充分利用支撑、阻力和趋势三个强大指标的优势。
  2. 自动判断入场时机,避免主观错误。
  3. 风险可控,止损控制在关键支撑位附近。
  4. 可选跟踪止损锁定利润,避免盈利回吐。

风险分析

  1. 突破失败风险。价格突破支撑或阻力位后可能再次回调,造成钝化。
  2. 趋势判断失败风险。使用趋势线判断趋势方向可能会有错误。
  3. 止损被打破风险。尽管止损距离支撑位不远,但在剧烈波动中仍可能被直接推破。

应对方法:

  1. 适当放宽支撑阻力判定幅度。
  2. 采用多种指标验证趋势判断。
  3. 采用范围止损或及时人工干预。

优化方向

  1. 加入更多指标验证入场信号,提高准确率。例如量价指标、移动平均线等。
  2. 优化支撑阻力位和止损位的设置。可以测试不同参数对结果的影响。
  3. 尝试机器学习方法自动优化参数。

总结

本策略整合多种技术指标的优势,在合理参数设置的前提下,可以获得较好的回报风险比。关键是参数设置和入场顺序的优化。总体而言,该策略框架合理,有很大的改进空间。

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Overview

This strategy utilizes three technical indicators - support, resistance and trendlines - to automate entries and stop losses. It first identifies key support and resistance levels, then combines trend direction to determine entry timing.

Strategy Logic

  1. Identify key support and resistance levels.
  2. Use trendlines to determine market trend direction. An uptrend is defined when price is higher than previous close, otherwise it's a downtrend.
  3. When price approaches support level and there is an uptrend, a buy signal is triggered.
  4. When price approaches resistance level and there is a downtrend, a sell signal is triggered.
  5. Take profit target is calculated based on risk-reward ratio, stop loss is set near support level.
  6. Trailing stop loss can be used to lock in profits.

Advantage Analysis

  1. Fully utilizes the power of support, resistance and trend - three strong technical indicators.
  2. Automated entry timing eliminates subjective errors.
  3. Controllable risk with stop loss near key support levels.
  4. Optional trailing stop loss to avoid giving back profits.

Risk Analysis

  1. Failed breakout risk - price may retest the broken support or resistance level after initial breakout.
  2. Trend misjudgement risk - using trendlines alone may result in inaccurate trend bias.
  3. Stop loss being taken out risk - stop loss can still be hit by volatile price swings despite close distance from support.

Solutions:

  1. Allow wider range for support/resistance validation.
  2. Employ multiple indicators to confirm trend bias.
  3. Adopt range-based stop loss or timely manual intervention.

Optimization Directions

  1. Add more indicators to confirm entry signals, e.g. volume-based indicators, moving averages etc. This can improve accuracy.
  2. Optimize support, resistance and stop loss levels by testing different parameters.
  3. Try machine learning methods to auto-optimize parameters.

Conclusion

This strategy combines the power of multiple technical tools. With proper parameter tuning, it can achieve good risk-adjusted returns. The key is to optimize the parameters and entry sequence. Overall the strategy framework is sound and has lots of potential for improvements.\

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Strategy Arguments

Argument Default Description
v_input_1 100 Support Level
v_input_2 200 Resistance Level
v_input_3 2 Risk-Reward Ratio
v_input_4 true Use Trailing Stop Loss

Source (PineScript)

/*backtest
start: 2024-01-27 00:00:00
end: 2024-02-26 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Support Resistance Trend Strategy", overlay=true)

// Input parameters
supportLevel = input(100, title="Support Level")
resistanceLevel = input(200, title="Resistance Level")
riskRewardRatio = input(2, title="Risk-Reward Ratio")
trailStopLoss = input(true, title="Use Trailing Stop Loss")

// Calculate trend direction based on trend lines
trendUp = close > request.security(syminfo.tickerid, "D", close[1])
trendDown = close < request.security(syminfo.tickerid, "D", close[1])

// Buy signal condition
buySignal = close < supportLevel and trendUp

// Sell signal condition
sellSignal = close > resistanceLevel and trendDown

// Entry point and exit conditions
strategy.entry("Buy", strategy.long, when=buySignal)
strategy.entry("Sell", strategy.short, when=sellSignal)

// Calculate targets and stop-loss levels
targetPrice = close + (close - supportLevel) * riskRewardRatio
stopLossLevel = supportLevel

// Plot support and resistance levels
plot(supportLevel, color=color.green, linewidth=2, title="Support Level")
plot(resistanceLevel, color=color.red, linewidth=2, title="Resistance Level")

// Plot targets and stop-loss levels
plot(targetPrice, color=color.blue, linewidth=2, title="Target Price")
plot(stopLossLevel, color=color.orange, linewidth=2, title="Stop Loss Level")

// Trailing stop-loss
strategy.exit("Take Profit/Stop Loss", from_entry="Buy", loss=stopLossLevel, profit=targetPrice)
strategy.exit("Take Profit/Stop Loss", from_entry="Sell", loss=targetPrice, profit=stopLossLevel)

// Plot trail stop loss
if (trailStopLoss)
    strategy.exit("Trailing Stop Loss", from_entry="Buy", loss=stopLossLevel)
    strategy.exit("Trailing Stop Loss", from_entry="Sell", loss=stopLossLevel)

Detail

https://www.fmz.com/strategy/442940

Last Modified

2024-02-27 15:11:04