212 lines
7.4 KiB
Markdown
212 lines
7.4 KiB
Markdown
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> Name
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基于枢轴点和斐波那契回撤的自动趋势追踪策略Pivot-Point-and-Fibonacci-Retracement-Based-Automatic-Trend-Following-Strategy
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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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该策略基于枢轴点和斐波那契回撤比率自动识别股价的ABC波段,并给出长短仓信号。策略利用枢轴点判断股价波段,然后计算ABC波段之间的斐波那契回撤比例,如果符合一定条件就产生交易信号。
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## 策略原理
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1. 计算股票的枢轴高点和低点
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2. 判断价格是否从上一波段高点下落或从上一波段低点上涨
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3. 计算当前波段与上一波段之间的斐波那契回撤比例
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4. 如果上涨波段和下跌波段的回撤比例都在适当范围内,则判定可能形成ABC波段
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5. 在ABC波段确认后,做多时设置止损为C点位,止盈为1.5倍波动;做空时设置止损为A点位,止盈为1.5倍波动
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## 优势分析
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1. 利用枢轴点判断关键支撑阻力区域,提高信号准确率
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2. 应用斐波那契回撤识别ABC形态,自动捕捉趋势转换点
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3. 止盈止损清晰合理,避免出现巨大亏损
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## 风险分析
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1. 枢轴点和斐波那契回撤并不能保证每次都精确判断趋势转换点,可能出现误判
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2. C点和A点止损可能被突破,造成损失扩大
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3. 需要参数优化,比如斐波那契回撤比率的范围
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## 优化方向
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1. 可以结合更多技术指标辅助判断ABC形态,提高信号准确率
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2. 可以优化斐波那契回撤比率的范围,以适应更多市场情况
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3. 可以结合机器学习方法训练判断ABC形态的模型
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## 总结
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该策略基于枢轴点判断关键支撑阻力区域,并利用斐波那契回撤比例自动识别ABC形态,在波段转折点给出长短仓交易信号。策略逻辑清晰简洁,止盈止损设置合理,能够有效控制风险。但是也存在一定误判风险,需要进一步优化和改进以适应更多市场情况。
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## Overview
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This strategy automatically identifies ABC patterns in stock prices based on pivot points and Fibonacci retracement ratios, and generates long/short signals. It uses pivot points to determine price waves and calculates Fibonacci retracement ratios between ABC waves. If the ratios meet certain criteria, trading signals are generated.
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## Strategy Logic
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1. Calculate the stock's pivot high and low points
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2. Judge if the price has fallen from the previous high point or risen from the previous low point
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3. Calculate the Fibonacci retracement ratio between the current wave and previous wave
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4. If the retracement ratios of both up and down waves are within proper ranges, determine a potential ABC pattern
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5. After ABC pattern confirmation, set stop loss at Point C for long, and Point A for short. Set take profit at 1.5 times the price wave range.
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## Advantage Analysis
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1. Pivot points identify key support/resistance levels to improve signal accuracy
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2. Fibonacci retracements catch trend turning points by identifying ABC patterns
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3. Clear profit/loss rules avoid huge losses
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## Risk Analysis
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1. Pivot points and Fibonacci retracements cannot ensure perfect identification of every trend turning point. Misjudgements may occur.
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2. Point C and Point A stops can be broken through, leading to larger losses
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3. Parameters like Fibonacci retracement ratio ranges need further optimization
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## Optimization Directions
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1. Incorporate more technical indicators to assist ABC pattern confirmation, improving signal accuracy
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2. Optimize Fibonacci retracement ratio ranges to suit more market conditions
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3. Utilize machine learning methods to train ABC pattern recognition models
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## Conclusion
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This strategy identifies ABC patterns for generating long/short signals at trend turning points, based on pivot point confirmation of key support/resistance levels, and Fibonacci retracement ratio calculations. The logic is simple and clean, with sensible profit/loss rules that effectively control risks. However, certain misjudgement risks remain, requiring further optimizations and improvements to suit more market conditions.
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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|5|len|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2023-12-01 00:00:00
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end: 2023-12-19 23:59:59
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period: 1m
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basePeriod: 1m
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exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
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*/
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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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// © kerok3g
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//@version=5
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strategy("ABCD Strategy", shorttitle="ABCDS", overlay=true, commission_value=0.04)
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calcdev(fprice, lprice, fbars, lbars) =>
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rise = lprice - fprice
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run = lbars - fbars
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avg = rise/run
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((bar_index - lbars) * avg) + lprice
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len = input(5)
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ph = ta.pivothigh(len, len)
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pl = ta.pivotlow(len, len)
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var bool ishigh = false
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ishigh := ishigh[1]
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var float currph = 0.0
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var int currphb = 0
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currph := nz(currph)
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currphb := nz(currphb)
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var float oldph = 0.0
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var int oldphb = 0
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oldph := nz(oldph)
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oldphb := nz(oldphb)
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var float currpl = 0.0
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var int currplb = 0
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currpl := nz(currpl)
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currplb := nz(currplb)
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var float oldpl = 0.0
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var int oldplb = 0
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oldpl := nz(oldpl)
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oldplb := nz(oldplb)
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if (not na(ph))
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ishigh := true
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oldph := currph
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oldphb := currphb
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currph := ph
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currphb := bar_index[len]
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else
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if (not na(pl))
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ishigh := false
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oldpl := currpl
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oldplb := currplb
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currpl := pl
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currplb := bar_index[len]
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endHighPoint = calcdev(oldph, currph, oldphb, currphb)
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endLowPoint = calcdev(oldpl, currpl, oldplb, currplb)
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plotshape(ph, style=shape.triangledown, color=color.red, location=location.abovebar, offset=-len)
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plotshape(pl, style=shape.triangleup, color=color.green, location=location.belowbar, offset=-len)
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// var line lnhigher = na
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// var line lnlower = na
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// lnhigher := line.new(oldphb, oldph, bar_index, endHighPoint)
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// lnlower := line.new(oldplb, oldpl, bar_index, endLowPoint)
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// line.delete(lnhigher[1])
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// line.delete(lnlower[1])
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formlong = oldphb < oldplb and oldpl < currphb and currphb < currplb
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longratio1 = (currph - oldpl) / (oldph - oldpl)
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longratio2 = (currph - currpl) / (currph - oldpl)
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formshort = oldplb < oldphb and oldphb < currplb and currplb < currphb
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shortratio1 = (oldph - currpl) / (oldph - oldpl)
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shortratio2 = (currph - currpl) / (oldph - currpl)
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// prevent multiple entry for one pattern
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var int signalid = 0
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signalid := nz(signalid[1])
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longCond = formlong and
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longratio1 < 0.7 and
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longratio1 > 0.5 and
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longratio2 > 1.1 and
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longratio2 < 1.35 and
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close < oldph and
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close > currpl and
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signalid != oldplb
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if (longCond)
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signalid := oldplb
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longsl = currpl - ta.tr
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longtp = ((close - longsl) * 1.5) + close
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strategy.entry("Long", strategy.long)
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strategy.exit("Exit Long", "Long", limit=math.min(longtp, oldph), stop=longsl)
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shortCond = formshort and
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shortratio1 < 0.7 and
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shortratio1 > 0.5 and
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shortratio2 > 1.1 and
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shortratio2 < 1.35 and
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close > oldpl and
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close < currph and
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signalid != oldphb
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if (shortCond)
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signalid := oldphb
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shortsl = currph + ta.tr
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shorttp = close - ((shortsl - close) * 1.5)
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strategy.entry("Short", strategy.short)
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strategy.exit("Exit Short", "Short", limit=math.max(shorttp, oldpl), stop=shortsl)
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```
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> Detail
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https://www.fmz.com/strategy/437740
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> Last Modified
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2024-01-05 11:34:17
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