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ATR-动态止盈止损策略ATR-Dynamic-Profit-Target-and-Stop-Loss-Strategy.md

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Name

ATR-动态止盈止损策略ATR-Dynamic-Profit-Target-and-Stop-Loss-Strategy

Author

ChaoZhang

Strategy Description

[trans]

策略原理

该策略运用动态止盈止损点来进行交易。止盈止损点根据当前价位和波动率进行实时调整。

具体交易逻辑:

  1. 计算一定周期(如20天)的平均真实波动幅度ATR

  2. 当处于看涨状态时,止盈止损点为最高价减去ATR乘数

  3. 当处于看跌状态时,止盈止损点为最低价加上ATR乘数

  4. 价格超过止盈止损点时进行反向交易

  5. 当价格突破止盈止损点时改变趋势状态

  6. 根据新状态调整止盈止损位

该策略充分利用ATR来自动设置止损止盈位,实现动态跟踪。能够及时锁定利润,避免损失扩大。

策略优势

  • ATR自动计算止盈止损位

  • 动态调整,实时跟踪价格

  • 及时止损止盈,控制风险

策略风险

  • ATR参数需要反复测试优化

  • 止损过于接近,容易被止损

  • 需关注ATR值的实时变化

总结

该策略使用ATR动态设置止盈止损位,实现自动跟踪。优化ATR参数可以获得更好止损效果。但过于接近的止损需谨慎采用。

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Strategy Logic

This strategy uses dynamic profit targets and stop losses that adjust based on current price and volatility.

The logic is:

  1. Calculate Average True Range (ATR) over a period (e.g. 20 days)

  2. In uptrend, profit target/stop is highest price minus ATR multiple

  3. In downtrend, profit target/stop is lowest price plus ATR multiple

  4. Reverse trade when price exceeds profit target/stop

  5. Trend changes when price breaches profit target/stop

  6. Adjust profit target/stop based on new trend state

The strategy leverages ATR to automatically set dynamic trailing profit targets and stops. This allows timely locking in of profits and preventing excessive losses.

Advantages

  • ATR automatically calculates profit/stop levels

  • Dynamic adjustment trails price in real-time

  • Timely profit taking and stopping controls risk

Risks

  • ATR parameters require optimization

  • Stops too close risks being stopped out

  • Need to monitor real-time ATR changes

Summary

This strategy uses ATR to dynamically set profit/stop levels for automatic trailing. ATR tuning can improve stop performance. But over-tight stops require caution.

[/trans]

Strategy Arguments

Argument Default Description
v_input_1 20 length
v_input_2 true mult

Source (PineScript)

/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-13 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy("Dhananjay Volatility stop strategy v1.0", overlay=true)


length = input(20)
mult = input(1)
atr_ = atr(length)
max1 = max(nz(max_[1]), close)
min1 = min(nz(min_[1]), close)
is_uptrend_prev = nz(is_uptrend[1], true)
stop = is_uptrend_prev ? max1 - mult * atr_ : min1 + mult * atr_
vstop_prev = nz(vstop[1])
vstop1 = is_uptrend_prev ? max(vstop_prev, stop) : min(vstop_prev, stop)
is_uptrend = close - vstop1 >= 0
is_trend_changed = is_uptrend != is_uptrend_prev
max_ = is_trend_changed ? close : max1
min_ = is_trend_changed ? close : min1
vstop = is_trend_changed ? is_uptrend ? max_ - mult * atr_ : min_ + mult * atr_ : vstop1
plot(vstop, color = is_uptrend ? green : red, style=line, linewidth=2)

bearish = close < vstop 
bullish = close > vstop 


if (bullish)
    strategy.entry("Buy", strategy.long, 1)
    
    

if (bearish)
    strategy.entry("Sell", strategy.short, 1)

Detail

https://www.fmz.com/strategy/426801

Last Modified

2023-09-14 16:22:53