257 lines
11 KiB
Markdown
257 lines
11 KiB
Markdown
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> Name
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带状趋势追踪者Bollinger-Band-Trend-Chaser
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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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该策略的目的是追踪趋势性股票(或其他趋势性市场)的低风险策略, 旨在实现最小回撤率(例如,在撰写本文时,AAPL仅有约1.36%的回撤率,FB约有1.93%的回撤率,而SPY为0.80%的回撤率,所有这些都保持有利可图)。
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## 策略原理
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该策略利用200日移动均线,自定义布林带,52周期加权移动平均TSI和ADX强度。
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买入信号是:收盘价高于200日移动平均线 + 5根K线收盘价高于上部自定义布林带 + TSI为正 + ADX高于20。
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由于回测证明,该策略仅适用于趋势性股票,已删除一些卖出/做空条件,仅采用做多订单。
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## 优势分析
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该策略的优势在于回撤率低,风险最小,适用于大部分趋势性股票的低风险操作,根据测试数据显示收益高且回测期间仅AAPL有1.36%的最大回撤,FB有1.93%最大回撤。
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通过组合使用布林带,MA均线,TSI指标等多种技术指标,并设置ADX判断趋势强弱,在判断趋势向上时买入,企图抓住趋势股票的中长线上涨机会。相比单一指标判断,该策略综合运用多种技术指标,判断更加准确可靠,风险更低。
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该策略还包含止损策略,TSI指标方向转变时及时止损,最大程度锁定收益,有效控制风险。
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## 风险分析
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该策略主要面临的风险有两个:
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1. 突发事件风险。某些黑天鹅事件可能导致股票大幅震荡下跌,无法止损。
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2. 趋势结束风险。股票从趋势进入盘整时,可能产生较大回撤。
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针对风险一可以设置更严格的止损机制,或人工干预止损。针对风险二可以结合更多判断因素检测趋势结束,例如增加成交量指标等。
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## 优化方向
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该策略还可以从以下几个方面进行优化:
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1. 增加止损策略,设置更精确的止损点,更好控制风险。
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2. 优化均线参数,测试不同参数组合的稳定性。
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3. 增加量能指标等判断系统,更准确判断趋势的开始和结束。
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4. 测试更长的时间周期参数,适应更长线的操作。
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## 总结
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该策略通过ADX判断趋势强度,TSI指标判断趋势方向,布林带判断突破,移动平均线判断长期趋势,多种指标相互验证,判断买入时机。止损策略可以有效控制风险。该策略适合长线追踪趋势股,回撤率低,收益较高,具有一定优势。但仍需针对风险进行优化,使策略更为稳健。
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## Overview
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The idea of this strategy is to be a low risk strategy on trending stocks (or any other trending market), aiming to achieve minimal drawdown (e.g. at time of writing AAPL only had ~1.36% draw down, FB ~1.93% draw down and the SPY was 0.80% draw down and all remained profitable).
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## Principle
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The strategy utilizes the 200 day Moving Average, a Custom Bollinger Band, a TSI with 52 period weighted moving average and ADX strength.
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Buy signal is given when trading above the 200 moving average + 5 candles have closed above the upper custom Bollinger + the TSI is positive + ADX is above 20.
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## Advantages
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The advantages of this strategy are low drawdown and minimum risk. It is suitable for most trending stocks with low risk operation. According to the test data, the return is high and AAPL only had the maximum drawdown of 1.36% and FB had the maximum drawdown of 1.93% during the test period.
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By combining multiple technical indicators such as Bollinger Bands, MA lines, TSI indicators, and using ADX to determine the strength of the trend, it buys when the trend goes up, trying to catch the mid-to-long term upside potential of the trending stocks. Compared with judging by a single indicator, this strategy uses multiple technical indicators for more accurate and reliable judgments and lower risks.
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It also contains a stop loss strategy that locks in profits by stopping losses in a timely manner when the TSI indicator changes direction, effectively controlling risks.
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## Risk Analysis
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The main risks faced by this strategy are two:
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1. Black swan event risk. Some black swan events may cause stocks to plummet sharply and cannot be stopped loss.
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2. Trend ending risk. When the stock moves from trending to consolidation, there may be greater drawdowns.
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For risk 1, more strict stop loss mechanisms can be set, or manual intervention stops can be used. For risk 2, more judgment factors can be combined to detect the end of the trend, such as increasing the trading volume indicator.
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## Optimization Directions
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The strategy can also be optimized in the following aspects:
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1. Add a stop loss strategy to set more precise stop loss points to better control risks.
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2. Optimize the moving average parameters to test the stability of different parameter combinations.
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3. Increase momentum indicators to more accurately determine the beginning and end of trends.
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4. Test longer time cycle parameters to suit longer term operations.
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## Conclusion
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This strategy determines buying opportunities by using ADX to determine trend strength, TSI indicators to determine trend direction, Bollinger Bands to determine breakouts, and moving averages to determine long-term trends. The verification of multiple indicators can effectively control risks. This strategy is suitable for long-term tracking of trending stocks with low drawdowns and high returns. But it still needs to be optimized for risks to make the strategy more robust.
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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|20|length|
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|v_input_2_close|0|Source: close|high|low|open|hl2|hlc3|hlcc4|ohlc4|
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|v_input_3|0.382|StdDev|
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|v_input_4|false|Offset|
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|v_input_5|200|Length|
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|v_input_6|25|Long Length|
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|v_input_7|13|Short Length|
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|v_input_8|52|Signal Length|
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|v_input_9|13|ADX Smoothing|
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|v_input_10|13|DI Length|
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|v_input_11|20|Keylevel for ADX|
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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: 2023-11-21 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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// 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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// © gary_trades
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//This script has been designed to be used on trending stocks as a low risk trade with minimal drawdown, utilising 200 Moving Average, Custom Bollinger Band, TSI with weighted moving average and ADX strength.
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//Backtest dates are set to 2010 - 2020 and all other filters (moving average, ADX, TSI , Bollinger Band) are not locked so they can be user amended if desired.
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//Buy signal is given when trading above the 200 moving average + 5 candles have closed above the upper custom Bollinger + the TSI is positive + ADX is above 20.
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//As back testing proved that this traded better only in tends then some Sell/Short conditions have been removed and this focueses on Long orders.
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//Only requires 2 additional lines of code to add shorting orders.
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//Close for either long or short trades is signaled once the TSI crosses in the opposite direction indicating change in trend strength or if stop loss is trggered.
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//Further optimization could be achieved by adding a stop loss.
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//NOTE: This only shows the lower indicators however for visualization you can use my script "CUSTOM BOLLINGER WITH SMA", which is the upper indicators in this stratergy.
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//------------
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//@version=4
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strategy(shorttitle="Trend Chaser", title="ADX_TSI_Bol Band Trend Chaser", overlay=false, pyramiding=0,
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currency=currency.USD, default_qty_type=strategy.percent_of_equity, default_qty_value=10,
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initial_capital=10000, commission_value=0.1)
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//------------
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//Custom Bollinger Band
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length = input(20, minval=1)
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src = input(close, title="Source")
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mult = input(0.382, minval=0.001, maxval=50, title="StdDev")
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basis = sma(src, length)
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dev = mult * stdev(src, length)
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upper = basis + dev
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lower = basis - dev
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offset = input(0, "Offset", type = input.integer, minval = -500, maxval = 500)
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plot(basis, "Basis", color=color.gray, offset = offset, display=display.none)
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p1 = plot(upper, "Upper", color=color.gray, offset = offset, display=display.none)
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p2 = plot(lower, "Lower", color=color.gray, offset = offset, display=display.none)
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fill(p1, p2, title = "Background", color=#787B86, transp=85)
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//------------
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//Moving Average
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MAlen = input(200, minval=1, title="Length")
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MAout = sma(src, MAlen)
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plot(MAout, color=color.black, title="MA", offset=offset, linewidth=2, display=display.none)
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//------------
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//True Strength WMA
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TSlong = input(title="Long Length", type=input.integer, defval=25)
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TSshort = input(title="Short Length", type=input.integer, defval=13)
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TSsignal = input(title="Signal Length", type=input.integer, defval=52)
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double_smooth(src, TSlong, TSshort) =>
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fist_smooth = wma(src, TSlong)
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wma(fist_smooth, TSshort)
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price = close
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pc = change(price)
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double_smoothed_pc = double_smooth(pc, TSlong, TSshort)
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double_smoothed_abs_pc = double_smooth(abs(pc), TSlong, TSshort)
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tsi_value = 100 * (double_smoothed_pc / double_smoothed_abs_pc)
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tsi2 = wma(tsi_value, TSsignal)
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plot(tsi_value, color=color.blue)
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plot(wma(tsi_value, TSsignal), color=color.red)
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hline(0, title="Zero")
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//------------
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//ADX
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adxlen = input(13, title="ADX Smoothing")
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dilen = input(13, title="DI Length")
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keyLevel = input(20, title="Keylevel for ADX")
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dirmov(len) =>
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up = change(high)
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down = -change(low)
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plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
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minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
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truerange = rma(tr, len)
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plus = fixnan(100 * rma(plusDM, len) / truerange)
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minus = fixnan(100 * rma(minusDM, len) / truerange)
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[plus, minus]
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adx(dilen, adxlen) =>
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[plus, minus] = dirmov(dilen)
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sum = plus + minus
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adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
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sig = adx(dilen, adxlen)
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plot(sig, color=color.black, title="ADX", style=plot.style_histogram, transp=40)
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plot(20, color=color.green, title="ADX Keyline", linewidth=1)
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//------------
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//Identify Triggers
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//Back Test Range
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start = timestamp("America/New_York", 2010, 1, 1, 9,30)
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end = timestamp("America/New_York", 2030, 7, 1, 0, 0)
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//Custom Bollinger Band
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Long1 = close > upper[5] and close[5] > upper [6]
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Short1 = close < lower[5] and close[5] < lower [6]
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//Moving Average
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Long2 = close >= MAout[1]
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Short2 = close <= MAout[1]
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//True Strength WMA
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Long3 = tsi_value > tsi2
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Short3 = tsi_value < tsi2
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//ADX
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ADXkey = adx(dilen, adxlen) > 20 and adx(dilen, adxlen) < 100
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//Buy
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Buy = Long1 and Long2 and Long3 and ADXkey
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CloseLong = crossunder(tsi_value,tsi2)
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//Short
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Sell = Short1 and Short2 and Short3 and ADXkey
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CloseShort = crossover(tsi_value,tsi2)
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//------------
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//Entry and Exit
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if time >= start and time <= end
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strategy.entry("Long", true, when = Buy)
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strategy.close("Long", when = CloseLong)
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```
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> Detail
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https://www.fmz.com/strategy/432914
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> Last Modified
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2023-11-22 16:51:27
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