299 lines
13 KiB
Markdown
299 lines
13 KiB
Markdown
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> Name
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内含在周期之间的动量策略Momentum-Strategy-between-Contained-Cycles
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> Author
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ChaoZhang
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> Strategy Description
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[trans]
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### 概述
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这个策略的核心思想是利用“内含在周期之间”的K线形态来确定趋势方向,并以此作为入场信号。当出现一个包含前一个K线的内含在周期之间形态时,我们可以推断出当前是一个趋势转换的时点,这个时候我们可以选择在突破前高点时做多,或在突破前低点时做空,并设置好止损和止盈。
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### 策略原理
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1. 判断是否出现内含在周期之间的K线形态。具体判断逻辑是:当前K线的高点低于前一个K线的高点,并且当前K线的低点高于前一个K线的低点。
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2. 判断前一个K线的涨跌情况。如果收盘价高于开盘价,则为涨;如果收盘价低于开盘价,则为跌。
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3. 如果前一个K线为涨势,并且出现了内含在周期之间的形态,我们在前一个K线高点的10%范围内设置买入停止单。
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4. 如果前一个K线为跌势,并且出现了内含在周期之间的形态,我们在前一个K线低点的10%范围内设置卖出停止单。
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5. 一旦停止单被触发形成仓位,我们会设置止损单和止盈单。具体的止损距离和止盈距离均为前一个K线振幅的一定比例。
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6. 如果再次出现内含在周期之间的形态,我们会优先平仓,然后重新设置新的挂单。
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### 策略优势分析
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这种策略的优势有:
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1. 运用了K线内在逻辑,入场时机把握准确。内含在周期之间形态往往意味着即将出现趋势反转或者加速,这为我们提供了一个较好的入场时机。
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2. 策略规则清晰易懂,容易实际操作。
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3. 利用前一个周期的高低点设定止损止盈位置,可以控制风险。
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4. 每次重新出现符合形态时,会重新设定新的挂单,可以追随新的趋势。
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### 策略风险分析
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这种策略也存在一些风险:
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1. 内含在周期之间形态不一定会导致趋势反转或者加速,存在一定的假信号风险。
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2. 止损距离可能设置过小,无法承受行情中较大的震荡。
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3. 止盈距离可能设置过大,无法及时获利。
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4. 该策略更依赖趋势行情,在盘整行情中获利空间有限。
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5. 交易次数可能过于频繁,交易成本较高。
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对策:
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1. 可以结合其它指标过滤内含在周期之间形态的确认信号,降低假信号率。
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2. 可以适当放宽止损距离,但不要超过前一个K线振幅的50%。
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3. 可以缩短止盈距离至前一个K线振幅的50%左右。
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4. 优化资金管理,降低单笔仓位,应对盘整行情。
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5. 适当放宽入场条件,减少交易次数。
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### 策略优化方向
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这种策略可以从以下几个方面进行优化:
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1. 结合趋势指标判断趋势方向,避免在盘整中频繁交易。例如加入MACD判断趋势,只有在MACD同向的时候才考虑入场。
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2. 优化止损止盈策略,采用移动止损或盈利保护止损等方式,让止损更有弹性。
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3. 测试不同的止损止盈比例设置,找到最优参数组合。
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4. 加入重新入场机制,在止损退出后再次捕捉趋势。
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5. 优化仓位管理,根据市场波动程度调整单笔仓位。
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6. 优化资金管理,例如固定资金利用率等。
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7. 测试该策略在不同品种和时间周期上的效果。
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### 总结
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综上所述,这是一个利用内含在周期之间形态判断趋势转折点,设置挂单捕捉反转趋势的策略。它具有入场时机清晰,策略规则简单,可控风险等优势,但也存在一定的假信号风险和优化空间。我们可以通过结合趋势指标、优化止损止盈、调整仓位等方式进一步提高策略的稳定性和盈利能力。这种策略更适合趋势性行情,在具体运用中还需要针对不同市场的特点进行优化测试,以发挥其最大效用。
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### Overview
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The core idea of this strategy is to determine the trend direction using the "contained between cycles" candlestick pattern and use it as the entry signal. When a contained between cycles pattern appears that contains the previous candlestick, we can infer that this is a point where the trend is reversing, at which point we can go long on a breakout above the previous high or go short on a breakout below the previous low, with proper stop loss and take profit setup.
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### Strategy Logic
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1. Check if the contained between cycles pattern occurs. The specific logic is: the current candle's high is lower than the previous candle's high, and the current candle's low is higher than the previous candle's low.
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2. Determine if the previous candle was bullish or bearish. If the close was higher than the open, it was bullish. If the close was lower than the open, it was bearish.
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3. If the previous candle was bullish and the contained pattern occurs, place a buy stop order at the previous candle's high plus 10% of its range.
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4. If the previous candle was bearish and the contained pattern occurs, place a sell stop order at the previous candle's low minus 10% of its range.
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5. Once the stop order is triggered and position is opened, set the stop loss and take profit. The stop loss and take profit distances are a certain percentage of the previous candle's range.
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6. If another inside bar pattern forms, close existing positions first and then place new pending orders.
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### Advantage Analysis
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The advantages of this strategy include:
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1. It utilizes the inherent logic of candlesticks and provides an accurate entry timing. The contained pattern often implies upcoming trend reversal or acceleration.
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2. The rules are simple and easy to follow for actual trading.
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3. The stop loss and take profit based on previous candle's range helps control risk.
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4. New pending orders are placed each time a qualified pattern appears, allowing us to follow the new trend.
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### Risk Analysis
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There are also some risks:
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1. The contained pattern does not always result in trend reversal or acceleration. There are some false signals.
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2. The stop loss distance may be too small to withstand large fluctuations in the market.
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3. The take profit target may be too wide, preventing timely profits.
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4. The strategy relies more on trending markets. The profit potential is limited during consolidation.
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5. The high trading frequency leads to large transaction costs.
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Solutions:
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1. Add other indicators to confirm the signals and reduce false signals.
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2. Widen the stop loss slightly but not more than 50% of the previous candle's range.
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3. Shorten the take profit target to around 50% of the previous candle's range.
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4. Optimize capital management, reduce individual position size for ranging markets.
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5. Loosen the entry criteria to reduce trading frequency.
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### Optimization Directions
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Some ways to optimize the strategy:
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1. Add a trend indicator like MACD to determine trend direction, avoiding whipsaws during consolidation.
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2. Use more advanced stop loss techniques like trailing stop or profit protection stop loss.
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3. Test different stop loss and take profit ratios to find the optimal parameters.
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4. Add re-entry logic to capture the trend again after stop loss.
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5. Optimize the position sizing based on market volatility.
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6. Optimize capital management, such as fixed fractional position sizing.
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7. Test the strategy on different products and timeframes.
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### Conclusion
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In summary, this is a strategy that uses the contained between cycles pattern to determine trend turning points and place pending orders to capture trend reversals. It has the advantages of clear entry signals, simple rules, and controllable risks, but also has some false signal risks and room for optimization. We can further improve its stability and profitability by combining trend filters, optimizing stops, adjusting position sizes etc. It is more suitable for trending markets, and needs to be optimized and tested for different market conditions before actual usage to maximize its effectiveness.
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[/trans]
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|2018|From Year|
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|v_input_2|true|From Month|
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|v_input_3|true|From Day|
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|v_input_4|9999|To Year|
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|v_input_5|true|To Month|
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|v_input_6|true|To Day|
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|v_input_7|10|Stop Buy Order Percentage From Previous Candle's Range|
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|v_input_8|20|Stop Loss Distance from High/Low of Previous Candle|
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|v_input_9|80|Take Profit Distance from High/Low of Previous Candle|
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|v_input_10|2|Percentage Of EQUITY to risk per trade|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2023-01-01 00:00:00
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end: 2023-03-10 00:00:00
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period: 1d
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basePeriod: 1h
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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//@version=3
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// Inside Bar Momentum Strategy
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// As defined on Babypips.com
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// https://www.babypips.com/trading/forex-inside-bar-20170113
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// strategy("Babypips: Inside Bar Momentum Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=5)
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From_Year = input(defval = 2018, title = "From Year")
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From_Month = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
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From_Day = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
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To_Year = input(defval = 9999, title = "To Year")
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To_Month = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
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To_Day = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
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Start = timestamp(From_Year, From_Month, From_Day, 00, 00) // backtest start window
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Finish = timestamp(To_Year, To_Month, To_Day, 23, 59) // backtest finish window
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Window = true
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Stop_Buy_Perc = input(10, "Stop Buy Order Percentage From Previous Candle's Range")/100
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Stop_Loss_Perc = input(20, "Stop Loss Distance from High/Low of Previous Candle")/100
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Take_Prof_Perc = input(80, "Take Profit Distance from High/Low of Previous Candle")/100
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Risk = input(2, "Percentage Of EQUITY to risk per trade", step=0.1, minval=0, maxval=100)/100
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Inside_Bar = high[1] > high[0] and low[1] < low[0]
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Prev_Range = high[1] - low[1]
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Bullish = open[1] < close[1]
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Bearish = open[1] > close[1]
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// Get Key Levels
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Long_Stop_Buy_Level = high[1] + (Prev_Range * Stop_Buy_Perc)
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Short_Stop_Buy_Level = low[1] - (Prev_Range * Stop_Buy_Perc)
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Long_Stop_Loss_Level = high[1] - (Prev_Range * Stop_Loss_Perc)
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Short_Stop_Loss_Level = low[1] + (Prev_Range * Stop_Loss_Perc)
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Long_Take_Prof_Level = high[1] + (Prev_Range * Take_Prof_Perc)
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Short_Take_Prof_Level = low[1] - (Prev_Range * Take_Prof_Perc)
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// Position Sizing
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long_qty = floor((strategy.equity * Risk) / (Long_Stop_Buy_Level - Long_Stop_Loss_Level))
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short_qty = floor((strategy.equity * Risk) / (Short_Stop_Loss_Level - Short_Stop_Buy_Level))
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// -------------------------- LONG CONDITIONS --------------------------------//
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// The first candlestick must be bullish (green or white) and if the second
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// candlestick is completely contained by the first, set a buy stop order at
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// the first candle’s high plus 10% of its range (high minus low).
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// Place the stop loss at the first candle’s high minus 20% of its range
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// and set the target at the first candle’s high plus 80% of its range
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// If another inside bar pattern forms, the current position should be closed
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// or the pending buy/sell order must be canceled and entry orders must be
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// updated to the latest candles.
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Long_Condition = Window and Inside_Bar and Bullish
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if (Long_Condition)
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// Incase we still have a buy stop order in the market
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strategy.cancel_all()
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// Close any existing positions according to the rules
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strategy.close_all()
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strategy.entry("Bullish IB", strategy.long, stop=Long_Stop_Buy_Level)
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strategy.exit("Bullish Exit","Bullish IB", stop=Long_Stop_Loss_Level, limit=Long_Take_Prof_Level)
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// -------------------------- SHORT CONDITIONS -------------------------------//
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// The first candlestick must be bearish (red or black) and if the second
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// candlestick is completely contained by the first, set a sell stop order at
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// the first candle’s low minus 10% of its range (high minus low).
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// Place the stop loss at the first candle’s low plus 20% of its range and
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// set the target at the first candle’s low minus 80% of its range.
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// If another inside bar pattern forms, the current position should be closed
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// or the pending buy/sell order must be canceled and entry orders must be
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// updated to the latest candles.
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Short_Condition = Window and Inside_Bar and Bearish
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if (Short_Condition)
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// Incase we still have a buy stop order in the market
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strategy.cancel_all()
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// Close any existing positions according to the rules
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strategy.close_all()
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strategy.entry("Bearish IB", strategy.short, stop=Short_Stop_Buy_Level)
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strategy.exit("Bearish Exit","Bearish IB", stop=Short_Stop_Loss_Level, limit=Short_Take_Prof_Level)
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// ----------------------------- PLOTTING ------------------------------------//
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plotshape(Inside_Bar, style=shape.arrowdown, location=location.abovebar, color=purple)
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```
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> Detail
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https://www.fmz.com/strategy/427378
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> Last Modified
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2023-09-20 14:59:37
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