233 lines
8.4 KiB
Markdown
233 lines
8.4 KiB
Markdown
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> Name
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基于关键价格点的追踪策略Round-Number-Tracking-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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该策略基于止损和止盈价格点经常设置在整数价格或关键价格水平的思想,这些价格点往往作为支持和阻力位。策略通过识别这些关键价格水平,在价格接近时进行买入或卖出操作。
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## 策略原理
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该策略主要包含以下规则:
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1. 当收盘价高于关键价格水平时,并且在过去10根K线中没有触及该价格,进行买入操作。
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2. 随后使用爬坡追踪,以跟踪价格突破关键价格的运动。爬坡步长为20点。
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3. 卖出操作与买入相反,当收盘价低于关键价格水平时,并且在过去10根K线中没有触及该价格,进行卖出操作。
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4. 识别关键价格水平的方法是:
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- 将收盘价转换为整数
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- 计算与50整点(可配置)的余数
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- 如果余数大于25,则取最近的50整点作为关键价格
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- 否则关键价格保持不变
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该策略基于价格 pyschology 的理念,认为整数价格或关键级别往往是多空双方争夺的重要位置,从而作为交易信号产生效果。同时,爬坡追踪可以跟踪价格突破后的趋势。
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## 策略优势
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该策略具有以下优势:
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1. 简单直观的交易信号和入场规则。
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2. 利用关键价格点这一通用规律,不依赖特定品种。
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3. 追踪止损可以锁定利润,与趋势同行。
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## 策略风险
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该策略也存在以下风险:
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1. 关键价格点不一定都是强力的支持或阻力。如果假突破,可能导致交易失败。
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2. 固定的10根K线判断规则可能不适合不同品种。
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3. 追踪止损距离不宜过大,否则可能过早止损。
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对应解决方法:
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1. 结合更多指标判断关键价格点的强弱。
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2. 为不同品种参数进行优化,寻找最佳参数组合。
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3. 优化追踪止损的参数,使之更贴近市场。
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## 策略优化方向
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该策略可以从以下方面进行优化:
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1. 增加更多条件判断关键价格点的重要程度,避免假突破的风险。例如结合交易量等指标。
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2. 优化参数,特别是判断关键价格区域的步长、K线周期等参数。使之更符合不同品种的特点。
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3. 优化追踪止损机制,例如使用动态跟踪止损代替固定爬坡止损。
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4. 增加机器学习算法,利用历史数据判断关键价格区域的强弱,以提高信号质量。
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5. 扩展成跨时间周期的策略,同时在更高时间周期判断趋势,在更低时间周期进行追踪。
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## 总结
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本策略基于价格关键点的思路简单直观,利用普遍存在的交易习惯形成交易信号。策略机会充足,但需进一步优化以处理假突破情况。参数优化和机器学习等手段可提高策略稳定性。本策略可为日内短线交易提供思路,也可扩展为跨周期的趋势追踪策略。
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## Overview
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This strategy is based on the idea that stop loss and take profit levels are often placed at round number or key price levels, which act as support and resistance. The strategy identifies these key price levels and enters trades when the price approaches them.
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## Strategy Logic
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The main rules of this strategy are:
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1. When the close price is above a key price level, and has not touched that level in the past 10 bars, go long.
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2. Use a trailing stop with 20 points step to follow the movement after price breaks the key level.
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3. Sell signals are the opposite - when close is below key level and has not touched it in past 10 bars, go short.
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4. Key levels are identified as:
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- Convert close price to integer
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- Calculate remainder from dividing by 50 (configurable)
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- If remainder > 25, use next 50 whole number as key level
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- Otherwise keep key level unchanged
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The strategy is based on the psychology that round numbers and key levels are often battlegrounds for bulls and bears, and thus provide effective trade signals. The trailing stop follows the trend after the breakout.
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## Advantages
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The advantages of this strategy are:
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1. Simple and intuitive trade signals and entry rules.
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2. Utilizes universal pattern of key prices rather than instrument specific rules.
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3. Trailing stop locks in profits while riding the trend.
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## Risks
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The risks to consider are:
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1. Key levels may not always act as strong support/resistance. Fake breakouts are possible.
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2. Fixed 10 bar lookback may not suit different instruments.
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3. Trailing stop distance should not be too wide, otherwise it may stop out prematurely.
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Possible solutions:
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1. Add more filters to judge strength of key levels, e.g. volume.
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2. Optimize parameters like lookback period for different instruments.
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3. Optimize trailing stop mechanism to be more adaptive.
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## Enhancement Opportunities
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The strategy can be improved by:
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1. Adding more conditions to confirm importance of key levels and avoid fakeouts. E.g. combine with volume.
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2. Optimizing parameters like key level range and lookback period based on instrument characteristics.
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3. Enhancing trailing stop mechanism, e.g. using dynamic instead of fixed point trail.
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4. Incorporating machine learning to judge strength of key levels using historical data.
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5. Expanding to multi-timeframe system with higher TF trend and lower TF tracking.
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## Conclusion
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This strategy offers simple and intuitive signals based on key price levels and trading conventions. It has abundant opportunities but needs further optimization to handle fakeouts. Parameter tuning and machine learning can improve robustness. It provides good day trading ideas and can also be expanded to multi-timeframe trend tracking system.
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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|500|Round Level 1, pips|
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|v_input_2|1000|Max distance, pips|
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|v_input_3|100|Distance in pips to full level|
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|v_input_4|20|Trail Step points|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2022-09-14 00:00:00
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end: 2023-09-20 00:00:00
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period: 2h
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basePeriod: 15m
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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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//Strategy based on the idea that stop loss and take profit are often placed at full price levels or round numbers, whcih acts as resistance and supports levels
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//Buy Rules:
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//Actual price (close) is above round number.
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//Round number level was not touched in previous ten bars (arbitrary value).
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//Place a buy and follow the order with a trail step because price can bounce at round number (support) or can go through it.
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//Sell Rules are the same of buy rules but inverted.
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//
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//Need improvement on conditions' logic and round numbers definitions
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strategy("dP magnet", overlay=true, pyramiding=0,default_qty_type=strategy.percent_of_equity,default_qty_value=100,currency=currency.USD)
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//Round Levels credit to RKchartest
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roundLevel50 = input(500, 'Round Level 1, pips')
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//roundLevel100 = input(1000, 'Round Level 2, pips')
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deviation = input(1000, 'Max distance, pips', minval=0)
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rDelimeter = 1/syminfo.mintick
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intRoundLevel = close[1] * rDelimeter
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intRemainder = intRoundLevel % roundLevel50
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toRound = (intRemainder >= roundLevel50/2) ? roundLevel50 : 0
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roundLevel = (intRoundLevel - intRemainder + toRound) / rDelimeter
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plot(roundLevel, title='Round Level 1', color=black, style=line, transp=0, linewidth=1, trackprice=false)
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//intRemainder2 = intRoundLevel % roundLevel100
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//toRound2 = (intRemainder2 >= roundLevel100/2) ? roundLevel100 : 0
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//roundLevel2 = (intRoundLevel - intRemainder2 + toRound2) / rDelimeter
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//plot((abs(roundLevel2 - close) * rDelimeter < deviation) ? roundLevel2 : na, title='Round Level 2', color=black, style=circles, transp=0, linewidth=1, trackprice=true)
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// end
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//Start of strategy
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distToFullNumber=(close-roundLevel) //can be positive or negative number
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distPips=input(100,'Distance in pips to full level',minval=10) //user defined: this distance defines when to open an order at market price
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TrailS=input(20,'Trail Step points',minval=10) //trail step that follows the order
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longCondition = iff(distToFullNumber>0 and abs(distToFullNumber)<=distPips and lowest(low,10)>roundLevel,true,false)
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if (longCondition)
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strategy.entry("LongMagnet", strategy.long)
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strategy.exit("ExitMagnet","LongMagnet",trail_points=TrailS)
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shortCondition = iff(distToFullNumber<0 and abs(distToFullNumber)<=distPips and highest(high,10)<roundLevel,true,false)
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if (shortCondition)
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strategy.entry("ShortMagnet", strategy.short)
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strategy.exit("Exit_Magnet","ShortMagnet",trail_points=TrailS)
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```
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> Detail
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https://www.fmz.com/strategy/427477
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> Last Modified
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2023-09-21 15:24:53
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