Name

震荡突破-市场结构转变策略Oscillation-Breakthrough-Market-Structure-Shift-Strategy

Author

ChaoZhang

Strategy Description

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概述

震荡突破-市场结构转变策略(Oscillation Breakthrough - Market Structure Shift Strategy)是一个利用不同时间周期之间的关系,识别市场结构转变的趋势跟踪策略。该策略采用不同时间周期之间的关系作为市场结构转变的信号,以捕捉新的趋势方向。

策略原理

该策略的核心逻辑是利用短周期时段的向下和向上吞没形态作为中长周期市场结构转变的信号。具体来说,策略会同时监控中长周期(如60分钟线)和短周期时段(如15分钟线)的K线。当短周期出现向下吞没的红色K线,同时中长周期是绿色K线时,认为市场结构发生转变,做多;当短周期出现向上吞没的绿色K线,同时中长周期是红色K线时,认为市场结构发生转变,做空。

进入方向后,策略会利用短周期的最高价或最低价作为止损位,以控制风险。当中长周期K线收盘价触发止盈位时,策略会平仓止盈。

策略优势分析

该策略具有以下优势:

可靠的市场结构转变信号。利用不同周期之间的关系判断市场结构,避免被单一周期的噪音误导。
自动判断新的趋势方向。市场结构转变信号出现时自动做多做空,无需手动判断。
风险控制到位。利用短周期最高最低价进行风险控制,有助于控制单笔损失。
回撤控制相对较好。利用短周期极值进行开仓和止损,可以一定程度上控制回撤。

策略风险分析

该策略的主要风险点如下:

市场结构判断失误的风险。当短周期噪音过大时,市场结构转变信号可能失效,需要调整周期参数。
趋势反转的风险。市场出现V型反转时,该策略难以控制回撤。可以适当调整止损算法。
参数不匹配的风险。中长短周期参数设置不当时,信号效果可能不佳,需要反复优化测试。

策略优化方向

该策略还可以从以下几个方向进行进一步优化:

增加积累指标或趋势判断,避免趋势反转中的错误信号。
优化中长短周期的参数匹配度,提高信号质量。
利用机器学习等技术最优化止盈止损算法。
增加附加条件过滤误导信号,如大级别趋势判断等。
丰富策略类型,开发衍生策略,形成策略组合。

总结

震荡突破-市场结构转变策略整体来说是一个较为可靠的跟踪策略。它能够利用市场结构的变化自动判断新的趋势方向,而风险控制也做得较好。下一步,该策略可以从提高信号质量、优化止盈止损、防止反转等方面进行深化优化,使之成为一个商业级的策略产品。

||

The Oscillation Breakthrough - Market Structure Shift Strategy (ICT_MSS) is a trend following strategy that identifies market structure shifts using the relationships between different timeframes. The strategy uses timeframe relationships as a signal for market structure shifts in order to capture new trend directions.

Strategy Logic

The core logic of this strategy is to use short timeframe downward and upward engulfing patterns as signals for longer timeframe market structure shifts. Specifically, the strategy concurrently monitors a longer timeframe (e.g. 60m bars) and a shorter timeframe (e.g. 15m bars). When a downward engulfing red bar appears on the shorter timeframe while the longer timeframe bar is green, it is determined that a market structure shift has occurred and a long position is taken. When an upward engulfing green bar appears on the shorter timeframe while the longer timeframe bar is red, it is determined that a market structure shift has occurred and a short position is taken.

After entering a directional position, the strategy utilizes the short timeframe high/low to set a stop loss in order to control risk. When the longer timeframe bar close price hits the take profit level, the strategy will close out the position for profit.

Advantage Analysis

The advantages of this strategy are:

Reliable market structure shift signals. Using timeframe relationships avoids being misled by noise from a single timeframe.
Automatically determines new trend direction. Market structure shifts automatically trigger long/short entries without needing manual judgment.
Effective risk control. Short timeframe high/low used for risk control helps limit single trade loss.
Relatively better drawdown control. Using short timeframe extremes for entry and stop loss can help control drawdowns to some extent.

Risk Analysis

The main risks of this strategy are:

Risk of incorrect market structure assessment. Signals may fail when short timeframe noise is high. Timeframe parameters need to be adjusted.
Risk of trend reversal. Strategy struggles to control drawdown during V-shaped reversals. Stop loss algorithm needs to be tweaked.
Parameter mismatch risk. Incorrect long/short timeframe combo leads to poor signal quality and needs optimization testing.

Optimization Directions

Further optimization directions for the strategy include:

Add trend filters to avoid incorrect signals during trend reversal.
Optimize timeframe parameter matching to improve signal quality.
Utilize machine learning for optimal take profit/stop loss.
Add supplementary filters like larger timeframe trend.
Expand strategy variants to form strategy ensemble.

Conclusion

The ICT_MSS strategy is an overall reliable trend following strategy. It automatically determines new trend direction based on market structure shifts and also has good risk control built in. Next steps are further enhancements around improving signal quality, optimizing exits, and preventing reversals to make it a commercial grade strategy.

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Strategy Arguments

Argument	Default	Description
v_input_timeframe_1	60	Focused Time Frame
v_input_timeframe_2	15	Focused Time Frame(LTF)

Source (PineScript)

/*backtest
start: 2022-11-28 00:00:00
end: 2023-12-04 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © jl01794

//@version=5
strategy(title="ICT_MSS[PROTOTYPE]", overlay=true, initial_capital=10000, currency="USD", margin_long=15, margin_short=15, max_lines_count=500)


// INPUTS
Time_Frame  = input.timeframe("60", title="Focused Time Frame")
FTF_LTF = input.timeframe("15", title="Focused Time Frame(LTF)")
//

// SECURITY DATA [FOR ONE TIMEFRAME REFERENCE]

FTF_Close = request.security(syminfo.tickerid, Time_Frame, close)
FTF_Open = request.security(syminfo.tickerid, Time_Frame, open)
FTFLTF_High = request.security(syminfo.tickerid, FTF_LTF, ta.highest(2)) 
FTFLTF_Low = request.security(syminfo.tickerid, FTF_LTF, ta.lowest(2)) 
FTFLTF_Close = request.security(syminfo.tickerid, FTF_LTF, close)
FTFLTF_Open = request.security(syminfo.tickerid, FTF_LTF, open)

// TIME BASED CLOSE AND OPEN
_close = FTF_Close
_open = FTF_Open
_LTFclose = FTFLTF_Close
_LTFopen = FTFLTF_Open

// CANDLE STATE
greenCandle = close > open
redCandle = close < open
LTFgreenCandle = FTFLTF_Close > FTFLTF_Open
LTFredCandle = FTFLTF_Close < FTFLTF_Open

// ENGULFING TIMEFRAME REFERENCE
FTF_greenCandle = request.security(syminfo.tickerid, Time_Frame, greenCandle)
FTF_redCandle = request.security(syminfo.tickerid, Time_Frame, redCandle)
FTFLTF_greenCandle = request.security(syminfo.tickerid, FTF_LTF, LTFgreenCandle)
FTFLTF_redCandle = request.security(syminfo.tickerid, FTF_LTF, LTFredCandle)

//--------------------------------------------------------------------------------------------------------------

//ENGULFING_FTF_LTF
B_EnP_mss = FTFLTF_redCandle[1] and        // 1E PIVOT BUY
     FTFLTF_greenCandle
//


B_EnPs_mss = FTFLTF_greenCandle[1] and        // 1E PIVOT SELL
     FTFLTF_redCandle
//  

//--------------------------------------------------------------------------------------------------------------

display_LTF = timeframe.isintraday and timeframe.multiplier <= 15

//--------------------------------------------------------------------------------------------------------------

// STORED DATAS
var float EH_MSS1 = na
var float EL_MSS1 = na
var bool can_draw = false
var line l1_mss = na
var line l1s_mss = na

//--------------------------------------------------------------------------------------------------------------

// MSS BUY
if (B_EnPs_mss) and (display_LTF)                                                 
    EH_MSS1 := FTFLTF_High 
    can_draw := true                                                            
    l1_mss := line.new(bar_index, EH_MSS1, bar_index -3, EH_MSS1, color=color.purple)     
else
    if (can_draw)
        if (FTFLTF_High > EH_MSS1)                                                    
            can_draw := false                                                  
        else
            line.set_x2(l1_mss, bar_index) 
//

// MSS SELL
if (B_EnP_mss) and (display_LTF)                                                 
    EL_MSS1 := FTFLTF_Low 
    can_draw := true                                                            
    l1s_mss := line.new(bar_index, EL_MSS1, bar_index -3, EL_MSS1, color=color.purple)     
else
    if (can_draw)
        if (FTFLTF_Low < EL_MSS1)                                                    
            can_draw := false                                                  
        else
            line.set_x2(l1s_mss, bar_index) 
          

//--------------------------------------------------------------------------------------------------------------

// ORDER

// BUY
longCondition_mssB = B_EnPs_mss and FTFLTF_High and close and high[1]
openOr = FTFLTF_High 

//SELL
shortCondition_mssS = B_EnP_mss and FTFLTF_Low and close and low[1]
openOrs = FTFLTF_Low 


if (longCondition_mssB) 
    strategy.entry("Buy", strategy.long, 1, stop = openOr, when = longCondition_mssB)
//

if (shortCondition_mssS) 
    strategy.entry("Sell", strategy.short, 1, stop = openOrs, when = shortCondition_mssS)
//

// EXIT 
long_tp = open < FTFLTF_Close[1]
short_tp = open > FTFLTF_Close[1]

//if (long_tp)
    //strategy.close("Buy", qty_percent = 100, when = long_tp)
//

//if (short_tp)
    //strategy.close("Sell", qty_percent = 100, when = short_tp)
//

Detail

https://www.fmz.com/strategy/434333

Last Modified

2023-12-05 15:17:01

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震荡突破-市场结构转变策略Oscillation-Breakthrough-Market-Structure-Shift-Strategy.md

震荡突破-市场结构转变策略Oscillation-Breakthrough-Market-Structure-Shift-Strategy.md

概述

策略原理

策略优势分析

策略风险分析

策略优化方向

总结

Strategy Logic

Advantage Analysis

Risk Analysis

Optimization Directions

Conclusion

Files

震荡突破-市场结构转变策略Oscillation-Breakthrough-Market-Structure-Shift-Strategy.md

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History

震荡突破-市场结构转变策略Oscillation-Breakthrough-Market-Structure-Shift-Strategy.md

File metadata and controls

概述

策略原理

策略优势分析

策略风险分析

策略优化方向

总结

Strategy Logic

Advantage Analysis

Risk Analysis

Optimization Directions

Conclusion