strategies/基于历史数据的动态支撑阻力策略Dynamic-Support-and-Resistance-Strategy-Based-on-Historical-Data.md at master

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Name

基于历史数据的动态支撑阻力策略Dynamic-Support-and-Resistance-Strategy-Based-on-Historical-Data

Author

ChaoZhang

Strategy Description

[trans]

概述

本策略基于历史高点、低点和收盘价的动态计算,得到支撑阻力位,并以此进行交易信号生成。该策略适用于中长线持仓,可以有效利用市场中的支撑阻力进行获利。

策略原理

计算上一周期的最高价、最低价和收盘价的平均值,得到基准点PP。
计算3条支撑线:S1 = 2PP - 最高价;S2 = PP - (R1-S1); S3 = 最低价 - 2(最高价-PP)。
计算3条阻力线:R1 = 2PP - 最低价;R2 = PP + (R1-S1); R3 = 最高价 + 2(PP-最低价)。
当价格上穿阻力线时,做多;当价格下穿支撑线时,做空。

优势分析

基于历史数据计算的支撑阻力位变化动态,能够实时捕捉市场结构。
多层级的支撑阻力设定,可以进行风险管理优化。
简单直观的交易信号和止损方式。

风险分析

在高波动行情中,历史数据提供的参考价位可能会失效。
多空仓位之间的切换需要考虑交易成本。
需要确保数据质量,避免计算错误。

优化方向

可以考虑引入更多历史数据的参考,如百日线等。
优化仓位管理,如基于波动率调整仓位比例。
增加止损策略,如跟踪止损或资金管理止损。

总结

本策略基于历史支撑阻力概念,提供多层级的参考价位。策略简单直接,适合中长线持仓获利。同时也需要注意高波动市场的风险,以及交易成本的控制。通过进一步优化,可以使策略在复杂环境中依然稳定运行。

Overview

This strategy dynamically calculates support and resistance levels based on historical high, low and close prices, and generates trading signals accordingly. It is suitable for medium-to-long-term positions and can effectively utilize support and resistance levels in the market for profit.

Strategy Logic

Calculate the average of previous period's high, low and close prices as the pivot point (PP).
Calculate 3 support lines: S1 = 2PP - highest price; S2 = PP - (R1-S1); S3 = lowest price - 2(highest price - PP).
Calculate 3 resistance lines: R1 = 2PP - lowest price; R2 = PP + (R1-S1); R3 = highest price + 2(PP - lowest price).
Take long position when price breaks through resistance lines, take short position when price breaks through support lines.

Advantage Analysis

The dynamic support and resistance levels based on historical data can capture market structure changes timely.
The multi-layer support and resistance settings allow better risk management optimization.
Simple and intuitive trading signals and stop loss mechanism.

Risk Analysis

The reference price levels provided by historical data may become invalid in high volatility scenarios.
The switching between long and short positions should consider trading cost.
Data quality needs to ensured to avoid calculation errors.

Optimization Directions

Consider incorporating more historical data references like 100-day moving average etc.
Optimize position sizing, e.g. adjust position size based on volatility.
Add stop loss strategies like trailing stop loss or risk-based stop loss.

Summary

This strategy provides multi-layer support and resistance reference price levels based on history. It has simple and straightforward logic suitable for medium-to-long-term positions. Meanwhile, risks under high volatility market and trading costs should be monitored. Further optimizations can make the strategy robust under complex environments.

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Strategy Arguments

Argument	Default	Description
v_input_1	D	Resolution
v_input_2	0	Sell from : R1
v_input_3	0	Buy from : S1
v_input_4	true	width
v_input_5	false	Trade reverse

Source (PineScript)

/*backtest
start: 2023-10-28 00:00:00
end: 2023-11-27 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 09/06/2020
// Pivot points simply took the high, low, and closing price from the previous period and 
// divided by 3 to find the pivot. From this pivot, traders would then base their 
// calculations for three support, and three resistance levels. The calculation for the most 
// basic flavor of pivot points, known as ‘floor-trader pivots’, along with their support and 
// resistance levels.
//
// WARNING:
//  - For purpose educate only
//  - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Pivot Point V2", shorttitle="Pivot Point V2", overlay = true)
res = input(title="Resolution", type=input.resolution, defval="D")
SellFrom = input(title="Sell from ", defval="R1", options=["R1", "R2", "R3"])
BuyFrom = input(title="Buy from ", defval="S1", options=["S1", "S2", "S3"])
width = input(1, minval=1)
reverse = input(false, title="Trade reverse")
xHigh  = security(syminfo.tickerid,res, high)
xLow   = security(syminfo.tickerid,res, low)
xClose = security(syminfo.tickerid,res, close)
vPP = (xHigh+xLow+xClose) / 3
vS1 = 2*vPP - xHigh 
vR1 = 2*vPP-xLow
vS2 = vPP - (vR1 - vS1)
vR2 = vPP + (vR1 - vS1)
vS3 = xLow - 2 * (xHigh - vPP)
vR3 = xHigh + 2 * (vPP - xLow) 
pos = 0
S = iff(BuyFrom == "S1", vS1, 
      iff(BuyFrom == "S2", vS2,
         iff(BuyFrom == "S3", vS3,0)))
B = iff(SellFrom == "R1", vR1, 
      iff(SellFrom == "R2", vR2,
         iff(SellFrom == "R3", vR3,0)))
pos := iff(close > B, 1,
       iff(close < S, -1, nz(pos[1], 0))) 
possig = iff(reverse and pos == 1, -1,
          iff(reverse and pos == -1 , 1, pos))	   
if (possig == 1) 
    strategy.entry("Long", strategy.long)
if (possig == -1)
    strategy.entry("Short", strategy.short)	 
if (possig == 0) 
    strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )

Detail

https://www.fmz.com/strategy/433589

Last Modified

2023-11-28 17:04:16

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概述