strategies/均线突破布林带策略Moving-Average-Bollinger-Bands-Breakout-Strategy.md

Name

均线突破布林带策略Moving-Average-Bollinger-Bands-Breakout-Strategy

Author

ChaoZhang

Strategy Description

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概述

该策略结合了移动平均线指标、布林带指标和UT Bot Alerts指标,实现了一个简单的突破操作策略。当价格突破布林带上轨时,做多;当价格突破布林带下轨时,做空。

策略原理

1. 使用200周期的EMA作为判断趋势的中轴线。价格在EMA上方为看涨,价格在EMA下方为看跌。
2. UT Bot Alerts指标结合ATR,生成买卖信号。当价格和快速EMA交叉布林带上轨时产生做多信号;当价格和快速EMA交叉布林带下轨时产生做空信号。
3. ATR止损指标用于设置止损点。止损距离为ATR值的1.5倍。
4. 进场后通过风险回报比设置止损点、止盈点和止损移动到入场价。

优势分析

1. 使用布林带指标判断适合做多做空的时机,可以提高获利概率。
2. UT Bot Alerts指标可以产生比较准确的信号。
3. 采用风险回报比进行止损止盈,可以有效控制风险。

风险分析

1. 布林带在震荡市中容易产生错误信号。
2. ATR有滞后性,在趋势开始阶段止损距离可能过大。
3. 风险回报比设定不当也会导致过于激进或过于保守。

优化方向

1. 可以尝试使用别的指标代替UT Bot Alerts指标。
2. 可以对ATR的周期和倍数进行优化,使止损距离更合适。
3. 可以测试不同的风险回报比,找到最佳参数。

总结

该策略整合了多个指标的优点,具有较强的实用性。通过参数优化,可以成为一个稳定可靠的突破系统。但也需要注意防范指标失效和参数不当导致的风险。

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Overview

This strategy combines moving average, Bollinger bands and UT Bot Alerts indicators to implement a simple breakout trading strategy. It goes long when price breaks above Bollinger upper band and goes short when price breaks below Bollinger lower band.

Strategy Logic

1. The 200-period EMA serves as the baseline for the trend. Price above EMA signifies uptrend and price below EMA signifies downtrend.
2. The UT Bot Alerts indicator generates buy and sell signals in combination with ATR. It triggers long signal when price and fast EMA cross above Bollinger upper band. And it triggers short signal when price and fast EMA cross below Bollinger lower band.
3. The ATR stop loss indicator sets the stop loss points. The stop loss distance is 1.5 times the ATR value.
4. After entry, stop loss, take profit and break even levels are determined by risk reward ratio.

Advantage Analysis

1. Using Bollinger bands to identify appropriate long and short opportunities can improve profitability.
2. The UT Bot Alerts indicator can generate comparatively accurate signals.
3. By adopting risk reward ratio for stop loss and take profit, risk can be effectively controlled.

Risk Analysis

1. Bollinger bands tend to produce false signals during ranging periods.
2. ATR has lagging effect. At the beginning of a trend, the stop loss distance may be too wide.
3. Improper risk reward ratio settings can also lead to over-aggressiveness or over-conservativeness.

Optimization Guidelines

1. Try using other indicators to replace the UT Bot Alerts indicator.
2. Optimize the period and multiplier parameters of ATR to find more suitable stop loss distance.
3. Test different risk reward ratios to find the optimal parameters.

Conclusion

This strategy integrates the strengths of multiple indicators and has considerable practicality. Through parameter optimization, it can become a steady and reliable breakout system. But the risks arising from indicator failure and improper parameters should also be watched out for.
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Strategy Arguments

Argument	Default	Description
v_input_bool_1	false	Date background
v_input_bool_2	false	Session background
v_input_float_1	10000	(?Calculate position)Enter initial/current capital
v_input_bool_14	true	Use leverage ?
v_input_float_2	2.5	(?Position amount calculator)% account risk per trade
v_input_1	timestamp(10 Feb 2014 13:30 +0000)	(?Time filter)Initial date
v_input_2	timestamp(01 Jan 2030 19:30 +0000)	Final date
v_input_3	0000-2400	Time session
v_input_int_1	200	(?Trend)Ema length
v_input_bool_3	false	(?Appearance)Show ema ?
v_input_bool_4	false	Show atr from ut bot alerts ?
v_input_bool_5	false	Show ema from ut bot alerts ?
v_input_bool_6	true	Show signals ?
v_input_bool_7	false	Paint candles ?
v_input_bool_8	true	Show Atr stop loss ?
v_input_bool_12	true	Draw position on chart ?
v_input_bool_13	true	Draw first take profit/breakeven price on chart ?
v_input_4	3	(?UT BOT ALERTS)Key Vaule
v_input_5	true	ATR Period
v_input_6	false	Signals from Heikin Ashi Candles
v_input_7_close	0	(?Atr stop loss)Source: close
v_input_int_2	14	Period
v_input_float_3	1.5	Atr multiplier
v_input_string_1	0	(?Risk management for trades)Source of stoploss: Current candle
v_input_float_4	2.5	% Account risk per trade for backtesting
v_input_bool_9	true	Use leverage for backtesting ?
v_input_float_5	0.75	Risk/reward for breakeven long
v_input_float_6	3	Risk/reward for take profit long
v_input_float_7	0.75	Risk/reward for break even short
v_input_float_8	3	Risk/reward for take profit short
v_input_float_9	50	% of trade for first take profit
v_input_bool_10	true	(?Positions management)Long positions ?
v_input_bool_11	true	Short positions ?

Source (PineScript)

/*backtest
start: 2023-11-07 00:00:00
end: 2023-12-07 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
//@version=5
//Developed by StrategiesForEveryone

strategy("UT Bot alerts strategy", overlay=true, process_orders_on_close = true, initial_capital = 1000000, default_qty_type=strategy.cash, precision = 2, calc_on_every_tick = true, commission_value = 0.03)

// ------ Inputs for calculating position --------

initial_actual_capital = input.float(defval=10000, title = "Enter initial/current capital", group = "Calculate position")
risk_c = input.float(2.5, '% account risk per trade', step=1, group = "Position amount calculator", tooltip = "Percentage of total account to risk per trade. The USD value that should be used to risk the inserted percentage of the account. Appears green in the upper left corner")

// ------ Date filter (obtained from ZenAndTheArtOfTrading) ---------

initial_date = input(title="Initial date", defval=timestamp("10 Feb 2014 13:30 +0000"), group="Time filter", tooltip="Enter the start date and time of the strategy")
final_date   = input(title="Final date", defval=timestamp("01 Jan 2030 19:30 +0000"), group="Time filter", tooltip="Enter the end date and time of the strategy")
dateFilter(int st, int et) => time >= st and time <= et
colorDate = input.bool(defval=false, title="Date background", tooltip = "Add color to the period of time of the strategy tester")
bgcolor(colorDate and dateFilter(initial_date, final_date) ? color.new(color.blue, transp=90) : na)

// ------ Session limits (obtained from ZenAndTheArtOfTrading) -------

timeSession = input(title="Time session", defval="0000-2400", group="Time filter", tooltip="Session time to operate. It may be different depending on your time zone, you have to find the correct hours manually.")
colorBG     = input.bool(title="Session background", defval=false, tooltip = "Add color to session time background")
inSession(sess) => na(time(timeframe.period, sess + ':1234567')) == false
bgcolor(inSession(timeSession) and colorBG ? color.rgb(0, 38, 255, 84) : na)

// ----------- Ema ----------------------

ema = input.int(200, title='Ema length', minval=1, maxval=500, group = "Trend")
ema200 = ta.ema(close, ema)
bullish = close > ema200
bearish = close < ema200
show_ema = input.bool(defval=false, title="Show ema ?", group = "Appearance")
// plot(show_ema ? ema200 : na, title = "Ema", color=color.white, linewidth=2, display = display.all - display.status_line - display.price_scale)

// -------------- UT BOT ALERTS INDICATOR by @QuantNomad -------------------------

// Inputs
a = input(3, title='Key Vaule', group = "UT BOT ALERTS", tooltip = "Higher amount, less trades. Changing this could be useful in some assets or time frames")
c = input(1, title='ATR Period', group = "UT BOT ALERTS", tooltip = "Higher amount, less trades. Changing this could be useful in some assets or time frames")
h = input(false, title='Signals from Heikin Ashi Candles', group = "UT BOT ALERTS")

xATR = ta.atr(c)
nLoss = a * xATR

src = h ? request.security(ticker.heikinashi(syminfo.tickerid), timeframe.period, close, lookahead=barmerge.lookahead_off) : close

xATRTrailingStop = 0.0
iff_1 = src > nz(xATRTrailingStop[1], 0) ? src - nLoss : src + nLoss
iff_2 = src < nz(xATRTrailingStop[1], 0) and src[1] < nz(xATRTrailingStop[1], 0) ? math.min(nz(xATRTrailingStop[1]), src + nLoss) : iff_1
xATRTrailingStop := src > nz(xATRTrailingStop[1], 0) and src[1] > nz(xATRTrailingStop[1], 0) ? math.max(nz(xATRTrailingStop[1]), src - nLoss) : iff_2
show_atr_ut = input.bool(defval=false, title="Show atr from ut bot alerts ?", group = "Appearance")
// plot(show_atr_ut ? xATRTrailingStop : na, color = color.orange, linewidth = 2, display = display.all - display.price_scale - display.status_line)

pos = 0
iff_3 = src[1] > nz(xATRTrailingStop[1], 0) and src < nz(xATRTrailingStop[1], 0) ? -1 : nz(pos[1], 0)
pos := src[1] < nz(xATRTrailingStop[1], 0) and src > nz(xATRTrailingStop[1], 0) ? 1 : iff_3

xcolor = pos == -1 ? color.red : pos == 1 ? color.green : color.blue

ema_ut = ta.ema(src, 1)
show_ema_ut = input.bool(defval=false, title="Show ema from ut bot alerts ?", group = "Appearance")
// plot(show_ema_ut ? ema_ut : na, color = color.white, linewidth = 2, display = display.all - display.price_scale - display.status_line)
above = ta.crossover(ema_ut, xATRTrailingStop)
below = ta.crossover(xATRTrailingStop, ema_ut)

buy = src > xATRTrailingStop and above
sell = src < xATRTrailingStop and below
close_buy = src < xATRTrailingStop and below
close_sell = src > xATRTrailingStop and above

barbuy = src > xATRTrailingStop
barsell = src < xATRTrailingStop

show_signals = input.bool(true, title = "Show signals ?", group = "Appearance")
paint_candles = input.bool(false, title = "Paint candles ?", group = "Appearance")

// plotshape(bullish and show_signals ? buy : na, title='Buy', text='Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), textcolor=color.new(color.white, 0), size=size.tiny , display = display.all - display.price_scale - display.status_line)
// plotshape(bearish and show_signals ? sell : na, title='Sell', text='Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), textcolor=color.new(color.white, 0), size=size.tiny, display = display.all - display.price_scale - display.status_line)
// plotshape(bullish and show_signals ? close_buy : na, title='Close Buy', text='Cl Buy', style=shape.labelup, location=location.belowbar, color=color.new(color.green, 80), textcolor=color.new(color.white, 0), size=size.tiny, display = display.all - display.price_scale - display.status_line)
// plotshape(bearish and show_signals ? close_sell : na, title='Close Sell', text='Cl Sell', style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 80), textcolor=color.new(color.white, 0), size=size.tiny, display = display.all - display.price_scale - display.status_line)

barcolor(barbuy and paint_candles ? color.green : na)
barcolor(barsell and paint_candles ? color.red : na)

// -------------- Atr stop loss by garethyeo (modified) -----------------

long_condition_atr = src > xATRTrailingStop and above 
short_condition_atr = src < xATRTrailingStop and below 
source_atr = input(close, title='Source', group = "Atr stop loss", inline = "A")
length_atr = input.int(14, minval=1, title='Period', group = "Atr stop loss" , inline = "A")
multiplier = input.float(1.5, minval=0.1, step=0.1, title='Atr multiplier', group = "Atr stop loss", inline = "A", tooltip = "Defines the stop loss distance based on the Atr stop loss indicator") 
show_atr = input.bool(defval = true, title = "Show Atr stop loss ?", group = "Appearance")
var float shortStopLoss = na
var float longStopLoss = na 
var float atr_past_candle_long = na
var float atr_past_candle_short = na
//shortStopLoss = source_atr + ta.atr(length_atr) * multiplier
//longStopLoss = source_atr - ta.atr(length_atr) * multiplier
//atr_past_candle_short = close[1] + ta.atr(length_atr)[1] * multiplier[1]
//atr_past_candle_long = close[1] - ta.atr(length_atr)[1] * multiplier[1]
candle_of_stoploss = input.string(defval = "Current candle", title = "Source of stoploss", group = "Risk management for trades", options = ["Current candle","Past candle"])
if candle_of_stoploss == "Current candle"
    shortStopLoss := source_atr + ta.atr(length_atr) * multiplier
    longStopLoss := source_atr - ta.atr(length_atr) * multiplier
if candle_of_stoploss == "Past candle"
    shortStopLoss := close[1] + ta.atr(length_atr)[1] * multiplier[1]
    longStopLoss := close[1] - ta.atr(length_atr)[1] * multiplier[1]
plot(show_atr and long_condition_atr and bullish ? longStopLoss : na, color = color.white, style = plot.style_circles, linewidth = 2)
plot(show_atr and short_condition_atr and bearish ? shortStopLoss : na, color = color.white, style = plot.style_circles, linewidth = 2)

// ------------- Money management --------------

strategy_contracts = strategy.equity / close
distance_sl_atr_long = -1 * (longStopLoss - close) / close
distance_sl_atr_short = (shortStopLoss - close) / close
risk = input.float(2.5, '% Account risk per trade for backtesting', step=1, group = "Risk management for trades", tooltip = "Percentage of total account to risk per trade")
long_amount = strategy_contracts * (risk / 100) / distance_sl_atr_long
short_amount = strategy_contracts * (risk / 100) / distance_sl_atr_short

// ---- Fixed amounts ----

//fixed_amounts = input.bool(defval = false, title = "Fixed amounts ?", group = "Risk management for trades")
//fixed_amount_input = input.float(defval = 1000, title = "Fixed amount in usd", group = "Risk management for trades")
//if fixed_amounts 
//    long_amount := fixed_amount_input / close
//if fixed_amounts
//    short_amount := fixed_amount_input / close
//
leverage=input.bool(defval=true, title="Use leverage for backtesting ?", group = "Risk management for trades", tooltip = "If it is activated, there will be no monetary units or amount of assets limit for each operation (That is, each operation will not be affected by the initial / current capital since it would be using leverage). If it is deactivated, the monetary units or the amount of assets to use for each operation will be limited by the initial/current capital.")
if not leverage and long_amount>strategy_contracts
    long_amount:=strategy.equity/close

if not leverage and short_amount>strategy_contracts
    short_amount:=strategy.equity/close

// ---------- Risk management ---------------

risk_reward_breakeven_long= input.float(title="Risk/reward for breakeven long", defval=0.75, step=0.1, group = "Risk management for trades")
risk_reward_take_profit_long= input.float(title="Risk/reward for take profit long", defval=3.0, step=0.1, group = "Risk management for trades")
risk_reward_breakeven_short= input.float(title="Risk/reward for break even short", defval=0.75, step=0.1, group = "Risk management for trades")
risk_reward_take_profit_short= input.float(title="Risk/reward for take profit short", defval=3.0, step=0.1, group = "Risk management for trades")
tp_percent=input.float(title="% of trade for first take profit", defval=50, step=5, group = "Risk management for trades", tooltip = "Closing percentage of the current position when the first take profit is reached.")

// ------------ Trade conditions ---------------

bullish := close > ema200
bearish := close < ema200
bought = strategy.position_size > 0
sold = strategy.position_size < 0
buy  := src > xATRTrailingStop and above 
sell := src < xATRTrailingStop and below 
var float sl_long = na
var float sl_short = na 
var float be_long = na
var float be_short = na
var float tp_long = na
var float tp_short = na
if not bought
    be_long:=na
    sl_long:=na
    tp_long:=na
if not sold
    be_short:=na
    sl_short:=na
    tp_short:=na
long_positions = input.bool(defval = true, title = "Long positions ?", group = "Positions management")
short_positions = input.bool(defval = true, title = "Short positions ?", group = "Positions management")

// ---------- Strategy -----------

// Long position 

if not bought and buy  and long_positions and bullish and inSession(timeSession)
    sl_long:=longStopLoss           
    long_stoploss_distance = close - longStopLoss
    be_long := close + long_stoploss_distance * risk_reward_breakeven_long
    tp_long:=close+(long_stoploss_distance*risk_reward_take_profit_long)
    strategy.entry('L', strategy.long, long_amount, alert_message = "Long")
    strategy.exit("Tp", "L", stop=sl_long, limit=tp_long, qty_percent=tp_percent)
    strategy.exit('Exit', 'L', stop=sl_long)
if bought and high > be_long
    sl_long := strategy.position_avg_price
    strategy.exit("Tp", "L", stop=sl_long, limit=tp_long, qty_percent=tp_percent)
    strategy.exit('Exit', 'L', stop=sl_long)
if bought and sell and strategy.openprofit>0
    strategy.close("L", comment="CL")

// Short position

if not sold and sell and short_positions and bearish and inSession(timeSession)
    sl_short:=shortStopLoss
    short_stoploss_distance=shortStopLoss - close  
    be_short:=((short_stoploss_distance*risk_reward_breakeven_short)-close)*-1
    tp_short:=((short_stoploss_distance*risk_reward_take_profit_short)-close)*-1
    strategy.entry("S", strategy.short, short_amount, alert_message = "Short")
    strategy.exit("Tp", "S", stop=sl_short, limit=tp_short, qty_percent=tp_percent)
    strategy.exit("Exit", "S", stop=sl_short)
if sold and low < be_short 
    sl_short:=strategy.position_avg_price
    strategy.exit("Tp", "S", stop=sl_short, limit=tp_short, qty_percent=tp_percent)
    strategy.exit("Exit", "S", stop=sl_short)    
if sold and buy and strategy.openprofit>0
    strategy.close("S", comment="CS") 

// ---------- Draw positions and signals on chart (strategy as an indicator) -------------

if high>tp_long
    tp_long:=na
if low<tp_short
    tp_short:=na
if high>be_long
    be_long:=na
if low<be_short
    be_short:=na

show_position_on_chart = input.bool(defval=true, title="Draw position on chart ?", group = "Appearance", tooltip = "Activate to graphically display profit, stop loss and break even")
// position_price = plot(show_position_on_chart? strategy.position_avg_price : na, style=plot.style_linebr, color = color.new(#ffffff, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)

// sl_long_price = plot(show_position_on_chart and bought ? sl_long : na, style = plot.style_linebr, color = color.new(color.red, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)
// sl_short_price = plot(show_position_on_chart and sold ? sl_short : na, style = plot.style_linebr, color = color.new(color.red, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)

// tp_long_price = plot(strategy.position_size>0 and show_position_on_chart? tp_long : na, style = plot.style_linebr, color = color.new(#4cd350, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)
// tp_short_price = plot(strategy.position_size<0 and show_position_on_chart? tp_short : na, style = plot.style_linebr, color = color.new(#4cd350, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)

// breakeven_long = plot(strategy.position_size>0 and high<be_long and show_position_on_chart ? be_long : na , style = plot.style_linebr, color = color.new(#1fc9fd, 60), linewidth = 1, display = display.all - display.status_line - display.price_scale)
// breakeven_short = plot(strategy.position_size<0 and low>be_short and show_position_on_chart ? be_short : na , style = plot.style_linebr, color = color.new(#1fc9fd, 60), linewidth = 1, display = display.all - display.status_line - display.price_scale)

show_break_even_on_chart = input.bool(defval=true, title="Draw first take profit/breakeven price on chart ?", group = "Appearance", tooltip = "Activate to display take profit and breakeven price. It appears as a green point in the chart")
long_stoploss_distance = close - longStopLoss
short_stoploss_distance=shortStopLoss - close
be_long_plot = close + long_stoploss_distance * risk_reward_breakeven_long
be_short_plot =((short_stoploss_distance*risk_reward_breakeven_short)-close)*-1
// plot(show_break_even_on_chart and buy and bullish? be_long_plot : na, color=color.new(#1fc9fd, 10), style = plot.style_circles, linewidth = 2, display = display.all - display.price_scale)
// plot(show_break_even_on_chart and sell and bearish? be_short_plot : na, color=color.new(#1fc9fd, 10), style = plot.style_circles, linewidth = 2, display = display.all - display.price_scale)

// position_profit_long = plot(bought and show_position_on_chart and strategy.openprofit>0 ? close : na, style = plot.style_linebr, color = color.new(#4cd350, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)
// position_profit_short = plot(sold and show_position_on_chart and strategy.openprofit>0 ? close : na, style = plot.style_linebr, color = color.new(#4cd350, 10), linewidth = 1, display = display.all - display.status_line - display.price_scale)

// fill(plot1 = position_price, plot2 = position_profit_long, color = color.new(#4cd350, 90))
// fill(plot1 = position_price, plot2 = position_profit_short, color = color.new(#4cd350, 90))

// fill(plot1 = position_price, plot2 = sl_long_price, color = color.new(color.red,90))
// fill(plot1 = position_price, plot2 = sl_short_price, color = color.new(color.red,90))

// fill(plot1 = position_price, plot2 = tp_long_price, color = color.new(color.green,90))
// fill(plot1 = position_price, plot2 = tp_short_price, color = color.new(color.green,90))

// --------------- Positions amount calculator  -------------

contracts_amount_c = initial_actual_capital / close
distance_sl_long_c = -1 * (longStopLoss - close) / close 
distance_sl_short_c = (shortStopLoss - close) / close
long_amount_c = close * (contracts_amount_c * (risk_c / 100) / distance_sl_long_c)
short_amount_c = close * (contracts_amount_c * (risk_c / 100) / distance_sl_short_c)
long_amount_lev = close * (contracts_amount_c * (risk_c / 100) / distance_sl_long_c)
short_amount_lev = close * (contracts_amount_c * (risk_c / 100) / distance_sl_short_c)

leverage_for_calculator=input.bool(defval=true, title="Use leverage ?", group = "Calculate position", tooltip = "If it is activated, there will be no monetary units or amount of assets limit for each operation (That is, each operation will not be affected by the initial / current capital since it would be using leverage). If it is deactivated, the monetary units or the amount of assets to use for each operation will be limited by the initial/current capital.")

if not leverage_for_calculator and long_amount_lev>initial_actual_capital
    long_amount_lev:=initial_actual_capital

if not leverage_for_calculator and short_amount_lev>initial_actual_capital
    short_amount_lev:=initial_actual_capital

// plot(buy and leverage_for_calculator ? long_amount_c : na, color = color.rgb(136, 255, 0), display = display.all - display.pane - display.price_scale)
// plot(sell and leverage_for_calculator ? short_amount_c : na, color = color.rgb(136, 255, 0), display = display.all - display.pane - display.price_scale)
// plot(buy and not leverage_for_calculator ? long_amount_lev : na, color = color.rgb(136, 255, 0), display = display.all - display.pane - display.price_scale)
// plot(sell and not leverage_for_calculator ? short_amount_lev : na, color = color.rgb(136, 255, 0), display = display.all - display.pane - display.price_scale)

Detail

https://www.fmz.com/strategy/434686

Last Modified

2023-12-08 12:11:15