strategies/周末区间震荡策略Weekend-Range-Trading-Strategy.md

Name

周末区间震荡策略Weekend-Range-Trading-Strategy

Author

ChaoZhang

Strategy Description

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本策略专门针对周末的价格波动进行交易,通过事先设定的涨跌幅区间判断多空方向。属于典型的震荡交易策略。

策略原理:

1. 参考上周周五收盘价,设定涨跌幅区间,例如区间上限为收盘价上涨4.5%。

2. 当价格超过区间上限时,进行做空操作;当价格低于下限时,做多操作。

3. 在已有仓位的情况下,根据超过新一层区间继续加仓,比如加空或加多。

4. 累计盈利达到一定比例时,平仓止盈,例如10%。

5. 每次最多持有两个方向的仓位。周一开盘前全部平仓。

该策略的优势:

1. 设定固定的涨跌幅区间,进行机械化操作。

2. 分阶段加仓可获得较好成本价。

3. 周期性规律稳定,不受基本面影响。

该策略的风险:

1. 无法限制单笔亏损大小,存在大单亏损的风险。

2. 固定的参数无法适应不同时间段的市场波动率。

3. 周期性规律可能发生变化,带来模型失效风险。

总之,该策略利用周期性规律进行频繁交易,但存在一定盈利锁定困难的问题。需警惕参数失效及单笔亏损过大的风险,谨慎操作。

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This strategy specifically trades the weekend price swings by determining long/short direction based on pre-set percentage bands. It is a typical range trading system.

Strategy Logic:

1. Set percentage bands based on previous Friday close, e.g. 4.5% up/down.

2. Enter short if price exceeds upside band, enter long if below downside band.

3. Add positions when reaching new bands in existing direction.

4. Take profit when accumulated gains reach threshold, such as 10%.

5. Allow maximum two simultaneous positions, one in each direction. Close all before Monday open.

Advantages:

1. Fixed percentage bands allow mechanical trading.

2. Multi-tier entries achieve better cost basis.

3. Periodicity is stable, unaffected by fundamentals.

Risks:

1. Unable to limit single trade loss size, risks large losing trades.

2. Fixed parameters fail to adapt changing volatility across periods.

3. Periodicity may change over time, invalidating the model.

In summary, this strategy frequently trades the weekend cycle but faces challenges locking in profits consistently. Exercise caution on parameter failure and outsized losses when applying.

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Strategy Arguments

Argument	Default	Description
v_input_1	10	Leverage
v_input_2	0.1	Profit Taking Percent Threshold
v_input_3	2017	Backtest Start Year
v_input_4	12	Backtest Start Month
v_input_5	10	Backtest Start Day
v_input_6	2025	Backtest Stop Year
v_input_7	12	Backtest Stop Month
v_input_8	30	Backtest Stop Day
v_input_9	true	Color Background?

Source (PineScript)

/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-12 00:00:00
period: 2d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
//Copyright Boris Kozak 
// strategy("XBT Weekend Trade Strategy", overlay=true, default_qty_type=strategy.percent_of_equity,)
strategy.initial_capital=50000
leverage = input(10,"Leverage")
profitTakingPercentThreshold = input(0.10,"Profit Taking Percent Threshold")

//****Code used for setting up backtesting.****///
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(12, "Backtest Start Month")
testStartDay = input(10, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)

testStopYear = input(2025, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)

// A switch to control background coloring of the test period
testPeriodBackground = input(title="Color Background?", type=bool, defval=true)
testPeriodBackgroundColor = testPeriodBackground and (time >= testPeriodStart) and (time <= testPeriodStop) ? #00FFFF : na
bgcolor(testPeriodBackgroundColor, transp=50)

testPeriod() => true
    
//****END Code used for setting up backtesting.****///


//*** Main entry point is here***//
// Figure out how many days since the Friday close 
days_since_friday = if dayofweek == 6
    0
else 
    if dayofweek == 7
        1
    else
        if dayofweek == 1
            2
        else
            if dayofweek == 2
                3
            else
                if dayofweek == 3
                    4
                else
                    if dayofweek == 4
                        5
                    else
                        6
    
// Grab the Friday close price
fridaycloseprice = security(syminfo.ticker,'D',close[days_since_friday])
plot(fridaycloseprice)

// Only perform backtesting during the window specified 
if testPeriod()
    // If we've reached out profit threshold, exit all positions 
    if ((strategy.openprofit/strategy.initial_capital) > profitTakingPercentThreshold)
        strategy.close_all()
    // Only execute this trade on saturday and sunday (UTC)
    if (dayofweek == 7.0 or dayofweek == 1.0)
        // Begin - Empty position (no active trades)
        if (strategy.position_size == 0)
            // If current close price > threshold, go short 
            if ((close>fridaycloseprice*1.045))
                strategy.entry("Short Entry", strategy.short, leverage)
            else
                // If current close price < threshold, go long
                if (close<(fridaycloseprice*0.955))
                    strategy.entry("Long Entry",strategy.long, leverage)
        // Begin - we already have a position
        if (abs(strategy.position_size) > 0)
            // We are short 
            if (strategy.position_size < 0)
                if ((close>strategy.position_avg_price*1.045))
                    // Add to the position
                    strategy.entry("Adding to Short Entry", strategy.short, leverage)
            else
                if ((close<strategy.position_avg_price*0.955))
                    strategy.entry("Adding to Long Entry",strategy.long,leverage)
    // On Monday, if we have any open positions, close them 
    if (dayofweek==2.0)
        strategy.close_all()
 

Detail

https://www.fmz.com/strategy/426556

Last Modified

2023-09-13 11:53:09