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顺势均线K线计数策略Moving-Average-Candle-Count-Trend-Following-Strategy.md

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Name

顺势均线K线计数策略Moving-Average-Candle-Count-Trend-Following-Strategy

Author

ChaoZhang

Strategy Description

[trans]

概述

本文将介绍一种基于K线计数的追随趋势策略。该策略通过统计K线的方向,判断行情走势,并在固定根K线后入场。

策略原理

该策略基于以下原理:

  1. 统计K线的方向,判断行情Bias。当N根连续K线方向相同时,判断趋势形成。

  2. 在上涨趋势中,当出现N根连续阴线时做多;在下跌趋势中,当出现N根连续阳线时做空。

  3. N的值较小,可使策略更快捕捉趋势;但N值过小也更容易被震荡市场误导。

  4. 可设定固定止盈止损点,以锁定利润和控制风险。

  5. 反转K线出现时,平仓止盈。

优势分析

该策略具有以下优势:

  1. 使用K线统计判断趋势,简单直接,容易操作。

  2. 顺势入场,可充分捕捉趋势行情。

  3. 固定止盈止损点,可以有效控制风险。

  4. K线计数参数可调,适用于不同市场环境。

  5. 策略思路简单清晰,容易修改和优化。

风险分析

该策略也存在一定风险:

  1. 在震荡行情中,K线计数可能发出错误信号。

  2. 固定止盈止损点可能过于死板,无法充分获利。

  3. 反转信号判断不当可能导致过早止损。

  4. 应适当调整参数,并控制仓位规模。

  5. 交易者需谨慎评估计数参数的合理性。

总结

该策略整合了K线统计和趋势追随的理念。在参数设定合理的前提下,可产生不错的效果。但交易者仍需审慎评估市场环境,并适当调整参数,才能取得长期利润。

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Overview

This article introduces a trend following strategy based on candle count. It judges trend direction by counting candle directions and enters after a fixed number of candles.

Strategy Logic

The strategy is based on:

  1. Counting candle directions to determine market bias. When N consecutive candles go in one direction, a trend is identified.

  2. In uptrends, go long after N consecutive bearish candles. In downtrends, go short after N consecutive bullish candles.

  3. Smaller N values capture trends faster but are more susceptible to whipsaws.

  4. Fixed take profit and stop loss points lock in profits and control risk.

  5. Close positions when reversal candles appear.

Advantage Analysis

Advantages of this strategy:

  1. Simple candle counting for direct trend judgment. Easy to implement.

  2. With-trend entries capture trend moves well.

  3. Fixed stops effectively manage risk.

  4. Adjustable parameters suit different market environments.

  5. Simple logic makes optimization easy.

Risk Analysis

There are also risks to consider:

  1. Counting can mislead in ranging markets.

  2. Fixed stops may limit profit potential.

  3. Premature stop outs from poor reversal judgment.

  4. Adjust parameters and size appropriately.

  5. Count parameters should be evaluated cautiously.

Conclusion

This strategy combines candle counting and trend following. With proper tuning, it can produce decent results. But traders should evaluate markets carefully and adjust parameters for long-term profits.

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Strategy Arguments

Argument Default Description
v_input_1 5 Bar Counter
v_input_2 2017 Backtest Start Year
v_input_3 true Backtest Start Month
v_input_4 true Backtest Start Day
v_input_5 2020 Backtest Stop Year
v_input_6 12 Backtest Stop Month
v_input_7 31 Backtest Stop Day
v_input_8 60 Backtest Profit Goal (in USD)
v_input_9 30 Backtest STOP Goal (in USD)

Source (PineScript)

/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//@author=Daveatt

StrategyName = "BEST Candle Meter Strategy"
ShortStrategyName = "BEST Candle Meter Strategy"

// strategy(title=StrategyName, shorttitle=ShortStrategyName, overlay=true, 
//  pyramiding=0, default_qty_value=100, precision=7, currency=currency.USD,
//  commission_value=0.2,commission_type=strategy.commission.percent, initial_capital=10000)

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////// INPUTS ///////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

// TD Sequential approach would be setting bar_counter == 9
bar_counter = input(5, "Bar Counter",minval=1, step=1)

// if based on same candle
GreenCandle = close > open
RedCandle = close < open

// if based on previous candle open
GreenPrevCandle = close > open[1]
RedPrevCandle = close < open[1]

// conditons
barUP = GreenCandle
barDN = RedCandle

///////////////////////////////////////////////////////////////////////////////
////////////////////////////// COUNTERS ///////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////
var barsFromUp = 0
var barsFromDn = 0
barsFromUp := barUP ? barsFromUp + 1 : 0
barsFromDn := barDN ? barsFromDn + 1 : 0

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////// PLOTS ///////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

plot_color = barsFromUp > 0 ? color.lime : color.red
//plot(barsFromUp, title="UP Histogram", color=plot_color, style=plot.style_histogram, linewidth=4)
//plot(barsFromDn, title="DN Histogram", color=plot_color, style=plot.style_histogram, linewidth=4)

///////////////////////////////////////////////////////////////////////////////
///////////////////////////////// HLINE ///////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

//hline(9, '9 TD Sequential Line', linestyle=hline.style_solid, linewidth=2, color=color.black)
//hline(13, '12 TD Sequential Line', linestyle=hline.style_solid, linewidth=3, color=color.purple)

///////////////////////////////////////////////////////////////////////////////
/////////////////////////////// PLOTCHAR //////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

// var _lbl_UP = label(na)
// if barsFromUp > 0
//     _lbl_UP := label.new(bar_index, close, tostring(barsFromUp, '#'), textcolor=color.green, style=label.style_none, yloc=yloc.price, xloc=xloc.bar_index, size=size.normal)

// var _lbl_DN = label(na)
// if barsFromDn > 0
//     _lbl_DN := label.new(bar_index, close, tostring(barsFromDn, '#'), textcolor=color.red, style=label.style_none, yloc=yloc.price, xloc=xloc.bar_index, size=size.normal)


//plotshape(barsFromUp > 0, "", shape.arrowup,      location.abovebar, color.green,     text="A")

///////////////////////////////////////////////////////////////////////////////
/////////////////////////////// ALERTS ////////////////////////////////////////
///////////////////////////////////////////////////////////////////////////////

// alertcondition(barsFromUp == 9, title='?Sell 9 Alert?', message="Sell 9 Alert")
// alertcondition(barsFromDn == 9, title='?Buy 9 Alert?', message='Buy 9 Alert')
// alertcondition(barsFromUp > 9, title='?Sell > 9 Alert?', message="Sell > 9 Alert")
// alertcondition(barsFromDn > 9, title='?Buy > 9 Alert?', message='Buy > 9 Alert')

///////////////////////////////////////////////
//* Backtesting Period Selector | Component *//
///////////////////////////////////////////////


StartYear = input(2017, "Backtest Start Year",minval=1980)
StartMonth = input(1, "Backtest Start Month",minval=1,maxval=12)
StartDay = input(1, "Backtest Start Day",minval=1,maxval=31)
testPeriodStart = timestamp(StartYear,StartMonth,StartDay,0,0)

StopYear = input(2020, "Backtest Stop Year",minval=1980)
StopMonth = input(12, "Backtest Stop Month",minval=1,maxval=12)
StopDay = input(31, "Backtest Stop Day",minval=1,maxval=31)
testPeriodStop = timestamp(StopYear,StopMonth,StopDay,0,0)

testPeriod() => true

isLong  = barsFromUp == bar_counter
isShort = barsFromDn == bar_counter

long_entry_price    = valuewhen(isLong, close, 0)
short_entry_price   = valuewhen(isShort, close, 0)

sinceNUP = barssince(isLong)
sinceNDN = barssince(isShort)

buy_trend   = sinceNDN > sinceNUP
sell_trend  = sinceNDN < sinceNUP

//////////////////////////
//* Profit Component *//
//////////////////////////

//////////////////////////// MinTick ///////////////////////////
fx_pips_value = syminfo.type == "forex" ? syminfo.mintick*10 : 1

input_tp_pips = input(60, "Backtest Profit Goal (in USD)",minval=0)*fx_pips_value
input_sl_pips = input(30, "Backtest STOP Goal (in USD)",minval=0)*fx_pips_value

tp = buy_trend? long_entry_price + input_tp_pips : short_entry_price - input_tp_pips
sl = buy_trend? long_entry_price - input_sl_pips : short_entry_price + input_sl_pips

plot_tp = buy_trend and high[1] <= tp ? tp : sell_trend and low[1] <= tp ? tp : na
plot_sl = buy_trend and low[1] >= sl ? sl : sell_trend and high[1] >= sl ? sl : na

plot(plot_tp, title="TP", style=plot.style_circles, linewidth=3, color=color.blue)
plot(plot_sl, title="SL", style=plot.style_circles, linewidth=3, color=color.red)

longClose   = isShort
shortClose  = isLong

if testPeriod()
    strategy.entry("Long", 1, when=isLong)
    strategy.close("Long", when=longClose )
    strategy.exit("XL","Long", limit=tp,  when=buy_trend, stop=sl)

if testPeriod()
    strategy.entry("Short", 0,  when=isShort)
    strategy.close("Short", when=shortClose )
    strategy.exit("XS","Short", when=sell_trend, limit=tp, stop=sl)

Detail

https://www.fmz.com/strategy/426996

Last Modified

2023-09-16 19:04:02