278 lines
9.6 KiB
Markdown
278 lines
9.6 KiB
Markdown
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> Name
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基于SSL通道指标的趋势跟踪策略No-Nonsense-SSL-Channel-Trading-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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该策略是一个基于SSL通道指标的趋势跟踪策略。它结合了止损和止盈管理来锁定利润,以实现稳定的资金增长。
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### 策略原理
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代码的主要逻辑是使用SSL上轨和下轨的黄金交叉来判断趋势方向。具体来说,当SSL上轨线从下方向上突破SSL下轨线时,做多;当SSL下轨线从上方向下突破SSL上轨线时,做空。
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进入仓位后,策略会使用ATR指标乘以系数来设置止损和止盈价格。例如,止损价格为价格减去ATR * 1.5,止盈价格为价格加上ATR * 1。这可以有效控制单笔损失,并锁定利润。
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当SSL通道发生叉掉时,平仓。这样可以跟踪趋势的转折点,及时止损。
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### 优势分析
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1. 使用SSL通道判断趋势方向准确性高
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2. 止损和止盈设置合理,可以有效控制风险
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3. 及时止损,跟踪趋势转折点
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### 风险分析
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1. 趋势交易容易形成过度交易
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2. SSL通道判断失败的概率存在
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3. 需要优化ATR系数
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对应的解决方法:
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1. 适当调整持仓周期
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2. 结合其他指标进行确认
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3. 测试不同的ATR系数组合
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### 优化方向
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1. 优化ATR参数,找到最优参数组合
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2. 增加其他指标过滤和确认信号
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3. 根据不同市场调整持仓周期
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4. 优化止损止盈策略
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### 总结
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该策略整体思路清晰,使用SSL通道判断趋势,并设置了合理的止损止盈。但仍需进一步测试和优化,结合其他指标过滤假信号,找到最佳参数组合。与此同时,要根据不同市场调整参数,使策略更具弹性。总的来说,该策略为实现steady Income提供了一个可靠的框架。
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### Overview
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This is a trend-following strategy based on the SSL Channel indicator. It incorporates stop loss and take profit management to lock in profits for steady capital growth.
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### Strategy Logic
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The main logic of the code is to use the golden cross of the SSL upper and lower bands to determine trend direction. Specifically, go long when the SSL upper band crosses above the SSL lower band from below, and go short when the SSL lower band crosses below the SSL upper band from above.
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After entering a position, the strategy will use ATR multiplied by a coefficient to set the stop loss and take profit prices. For example, the stop loss price is the price minus ATR * 1.5 and the take profit price is the price plus ATR * 1. This can effectively control single loss and lock in profits.
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When the SSL channel crosses over, close the position. This can track inflection points in the trend for timely stop losses.
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### Advantage Analysis
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1. The SSL channel is highly accurate in determining trend direction
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2. Stop loss and take profit settings are reasonable to effectively control risk
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3. Timely stop losses track inflection points in the trend
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### Risk Analysis
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1. Trend trading can easily lead to overtrading
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2. There is a probability of failure in SSL channel judgement
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3. ATR coefficients need to be optimized
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The corresponding solutions:
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1. Appropriately adjust the holding period
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2. Incorporate other indicators for confirmation
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3. Test different combinations of ATR coefficients
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### Optimization Directions
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1. Optimize ATR parameters to find the optimal parameter combination
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2. Increase other indicators for filtering and confirming signals
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3. Adjust holding periods according to different markets
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4. Optimize stop loss and take profit strategies
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### Summary
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The overall logic of this strategy is clear, using the SSL channel to determine the trend, and setting reasonable stop loss and take profit. But further testing and optimization is still needed, incorporating other indicators to filter out false signals and find the best parameter combination. At the same time, parameters should be adjusted according to different markets to make the strategy more flexible. Overall, this strategy provides a reliable framework for achieving steady income.
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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|1.5|SL|
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|v_input_2|true|TP|
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|v_input_3|14|ATR Length|
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|v_input_4|0|Smoothing: SMA|RMA|EMA|WMA|
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|v_input_5|10|SSL Length Period|
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> Source (PineScript)
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``` pinescript
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/*backtest
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start: 2022-11-26 00:00:00
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end: 2023-05-14 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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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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//Designed per No Nonsense Forex VP rules
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//For testing your individual indicators before the full system
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//Originated from causecelebre
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//Tried to put in as much VP rules as possible
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///////////////////////////////////////////////////
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//Rules Implemented:
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///////////////////////////////////////////////////
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// - SL 1.5 x ATR
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// - TP 1 x ATR
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//
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// - Entry conditions
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//// - Entry from 1 x confirmation
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// - Exit conditions
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//// - Exit on confirmation flip
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///////////////////////////////////////////////////
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//Trades entries
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///////////////////////////////////////////////////
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// - First entry L1 or S1 with standard SL and TP
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///////////////////////////////////////////////////
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//Included Indicators and settings
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///////////////////////////////////////////////////
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// - Confirmtion = SSL 10
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///////////////////////////////////////////////////
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//Credits
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// Strategy causecelebre https://www.tradingview.com/u/causecelebre/
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// SSL Channel ErwinBeckers https://www.tradingview.com/u/ErwinBeckers/
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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//Change log
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//First release. Testing of indicators
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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strategy(title="NNFX Strategy Indicator | jh", overlay = true )
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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// **** Set the main stuff ****
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///////////////////////////////////////////////////
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//Price
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price = close
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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// ATR stuff
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///////////////////////////////////////////////////
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slMultiplier = input(1.5, "SL")
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tpMultiplier = input(1, "TP")
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atrlength = input(title="ATR Length", defval=14, minval=1)
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atrsmoothing = input(title="Smoothing", defval="SMA", options=["RMA", "SMA", "EMA", "WMA"])
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ma_function(source, atrlength) =>
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if atrsmoothing == "RMA"
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rma(source, atrlength)
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else
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if atrsmoothing == "SMA"
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sma(source, atrlength)
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else
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if atrsmoothing == "EMA"
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ema(source, atrlength)
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else
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wma(source, atrlength)
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//plot(ma_function(tr(true), atrlength), title = "ATR", color=#991515, transp=0)
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atr = ma_function(tr(true), atrlength)
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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// **** Confirmation ****
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///////////////////////////////////////////////////
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ssllen=input(title="SSL Length Period", defval=10)
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smaHigh=sma(high, ssllen)
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smaLow=sma(low, ssllen)
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Hlv = na
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Hlv := close > smaHigh ? 1 : close < smaLow ? -1 : Hlv[1]
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sslDown = Hlv < 0 ? smaHigh: smaLow
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sslUp = Hlv < 0 ? smaLow : smaHigh
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plot(sslDown, "SSL Down", linewidth=1, color=red)
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plot(sslUp, "SSL Up", linewidth=1, color=lime)
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///////////////////////////////////////////////////
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//Confirm Signals
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///////////////////////////////////////////////////
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c_Up = sslUp
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c_Down = sslDown
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//Signals based on crossover
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c_Long = crossover(c_Up, c_Down)
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c_Short = crossover(c_Down, c_Up)
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//Signals based on signal position
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trendLong = c_Up > c_Down ? 1 : 0
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trendShort = c_Down > c_Up ? 1 : 0
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confirmLong = c_Long
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confirmShort = c_Short
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plotshape(trendLong, color = green, style=shape.triangleup, location=location.bottom)
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plotshape(trendShort, color = red, style=shape.triangledown, location=location.bottom)
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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//Entries and Exits
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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if (year>2009)
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//Long entries with standard 1.5 ATR for SL, 1 ATR for TP
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long_sl = price - (atr * slMultiplier)
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long_tp = price + (atr * tpMultiplier)
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strategy.order("L1", strategy.long, when = confirmLong)
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strategy.close("L1", when = confirmShort)
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strategy.exit("L Limit Exit", "L1", stop = long_sl, limit = long_tp)
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//Short entries with standard 1.5 ATR for SL, 1 ATR for TP
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short_sl = price + (atr * slMultiplier)
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short_tp = price - (atr * tpMultiplier)
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strategy.order("S1", strategy.short, when = confirmShort)
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strategy.close("S1", when = confirmLong)
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strategy.exit("S Limit Exit", "S1", stop = short_sl, limit = short_tp)
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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//End
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//////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
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```
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> Detail
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https://www.fmz.com/strategy/433439
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> Last Modified
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2023-11-27 16:42:34
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