strategies/基于历史新高突破的买入策略Buying-Strategy-Based-on-Historical-High-Breakout.md at 87a415edf7b08065fbcbfbfefb7351cd929e4dbd

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Name

基于历史新高突破的买入策略Buying-Strategy-Based-on-Historical-High-Breakout

Author

ChaoZhang

Strategy Description

[trans]

概述

该策略针对于牛市行情,当股票价格突破历史n日高点时买入,使用EMA均线止损。属于趋势跟踪类策略。

策略原理

计算过去n日的最高价格,作为历史高点价格。
当当前收盘价超过历史高点价格时,进行买入。
使用x日EMA均线进行止损。当价格低于EMA均线时止损退出。
n值和x值通过参数调整,默认为200日最高价和90日EMA。
策略逻辑简单清晰,易于实现。

优势分析

可以自动跟踪新高突破形成的趋势。
使用EMA均线追踪止损,可以锁定大部分利润。
无需预测股价,只需跟进买入信号。
默认参数针对牛市行情效果较好。
代码简洁易于理解和修改。

风险分析

牛市结束时可能出现大量亏损。
停损设置不当,可能出现止损过密或过松。
无法预测新高突破形成的力度和回调程度。
针对性强,不适用于其他市场情况。
参数优化时可能过拟合到历史行情。

优化方向

测试不同参数组合寻找最优参数。
评估其他止损方式如固定比例止损。
优化止损参数平衡止损频率和风险控制。
添加其他过滤条件,防止因噪音信号买入。
研究如何判断买入时机的效力。
可以设置止盈策略加入利润锁定机制。

总结

该策略通过追踪新高突破实现自动趋势跟踪,使用EMA均线止损。虽有一定效果但较为单一,需要进一步扩展优化成全市场适用的系统。

Overview

This strategy buys when the price breaks out above the historical n-day high in a bull market, with EMA stop loss. It belongs to trend following strategies.

Strategy Logic

Calculate the highest price over the past n days as the historical high price.
Buy when the current close exceeds the historical high price.
Use x-day EMA as the stop loss. Exit when price drops below EMA.
Values of n and x adjustable via parameters, default to 200-day high and 90-day EMA.
Simple and clear logic easy to implement.

Advantages

Automatically follows trends formed by new highs.
EMA trailing stop locks in most profits.
No need to predict prices, just follow buy signals.
Default parameters work well in bull markets.
Concise code easy to understand and modify.

Risks

Massive losses when bull market ends.
Improper stop loss setups lead to premature or delayed stops.
Unable to predict strength and pullback of new highs.
Strong bias makes it unsuitable for other markets.
Parameter optimization risks overfitting to historical data.

Enhancement

Test different parameter combinations for optimum values.
Evaluate other stop methods like fixed percentage stops.
Optimize stops to balance frequency and risk control.
Add filters to avoid buying on noise.
Research ways to gauge buy signal strength.
Can add profit taking exits to lock in gains.

Conclusion

This strategy automates trend following on new highs with EMA trailing stops. Though effective in some cases, it needs expansion and optimization to become robust across all markets.

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Strategy Arguments

Argument	Default	Description
v_input_int_1	200	ATH period
v_input_int_2	90	ema line

Source (PineScript)

/*backtest
start: 2023-08-20 00:00:00
end: 2023-09-19 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/
// © gmhfund

//@version=5
strategy("ATH 200d",overlay=1)
plot(close)

bars = input.int(200, "ATH period", minval=5, maxval=2000, step=1)
range_ema = input.int(90,"ema line",minval=100,maxval=400,step=1)

ath_price = ta.highest(bars)[1]
plot(ath_price,color=color.blue)

line_ema = ta.ema(close,range_ema)
exit_condition = ta.crossunder(close,line_ema)
plot(line_ema,color=color.orange)


strategy.entry("Buy", strategy.long, 1, when = close > ath_price) // enter long by market if current open great then previous high
//strategy.close("Buy",when = close < strategy.position_avg_price*0.9 )
strategy.close("Buy",when = exit_condition )

Detail

https://www.fmz.com/strategy/427388

Last Modified

2023-09-20 15:53:26

4.5 KiB Raw Blame History

概述