177 lines
6.7 KiB
Markdown
177 lines
6.7 KiB
Markdown
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> Name
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多时间框架震荡通道趋势追踪策略Multi-Timeframe-Oscillation-Channel-Trend-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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该策略基于超级趋势指标,结合多个时间框架分析市场趋势,采用震荡通道方法identifying入场时机。
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## 策略原理
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- 采用传统超级趋势指标判断趋势方向
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- 增加高时间框架超级趋势,确保高时间框架也存在趋势
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- 根据两个时间框架的超级趋势指标判断总体趋势方向
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- 根据价格突破震荡通道的上下轨,确定具体的入场时机
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## 优势分析
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- 多时间框架分析,判断趋势更可靠
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- 高低时间框架结合,既保证大趋势又能捕捉短期机会
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- 震荡通道设定止损点,有利控制风险
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## 风险及解决
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- 超级趋势本身会有一定滞后现象,可能错过趋势转换点
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- 可以通过参数优化或结合其他指标判断获知趋势转换,降低滞后风险
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## 优化方向
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- 优化超级趋势参数,降低滞后问题
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- 增加趋势过滤指标,确保判断上大趋势更准确
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- 测试并选择更合适的止损方式
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## 总结
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该策略整合多时间框架分析和趋势追踪指标,掌握主要趋势的同时寻找具体入场时机。通过不断优化,可望取得长期稳定的超额收益。
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## Overview
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This strategy is based on the Supertrend indicator, combined with multiple timeframe market trend analysis, and adopts the oscillation channel method to identify entry opportunities.
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## Strategy Principle
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- Use the traditional Supertrend indicator to determine the trend direction
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- Add Supertrend of higher timeframe to ensure there is a trend in higher timeframe too
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- Determine the overall trend direction based on the Supertrend indicators of two timeframes
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- Identify specific entry opportunities based on the price breakout of the upper and lower rails of the oscillation channel
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## Advantage Analysis
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- Multi-timeframe analysis makes trend judgment more reliable
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- Combining high and low timeframes ensures catching the major trend while being able to capture short-term opportunities
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- The oscillation channel setting stops loss points which helps risk control
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## Risks and Solutions
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- The Supertrend itself has some lagging phenomenon, which may miss trend reversal points
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- The lagging risk can be reduced by optimizing parameters or incorporating other indicators to assist in identifying trend changes
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## Optimization Directions
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- Optimize Supertrend parameters to reduce lagging
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- Add trend filtering indicators to ensure catching the major trend more accurately
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- Test and select more appropriate stop loss methods
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## Summary
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This strategy integrates multi-timeframe analysis and trend tracking indicators to grasp the major trend while seeking specific entry opportunities. With continuous optimization, it is expected to achieve long-term steady excess returns.
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> Strategy Arguments
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|Argument|Default|Description|
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|----|----|----|
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|v_input_1|false|Select HTF Automatically for Additional Supertrend|
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|v_input_2||Select Higher Timeframe for Additional Supertrend|
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|v_input_3|3|Multiplier for Default Supertrend|
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|v_input_4|10|Period for Default Supertrend|
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|v_input_5|2|Multiplier for Additional Supertrend|
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|v_input_6|14|Period for Additional Supertrend|
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|v_input_7|true|Change Bar Color|
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|v_input_8|false|vwapfilter|
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> Source (PineScript)
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``` javascript
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/*backtest
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start: 2022-12-18 00:00:00
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end: 2023-12-24 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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// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
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// © ramki_simple
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// Thanks to LonesomeTheBlue for the original code
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//@version=4
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strategy("Multi Supertrend with no-repaint HTF option strategy", overlay = true, shorttitle='Multi Supertrend')
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//auto higher time frame
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HTFAuto = timeframe.period == '1' ? '5' :
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timeframe.period == '3' ? '15' :
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timeframe.period == '5' ? '15' :
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timeframe.period == '15' ? '60' :
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timeframe.period == '30' ? '60' :
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timeframe.period == '45' ? '60' :
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timeframe.period == '60' ? '240' :
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timeframe.period == '120' ? '240' :
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timeframe.period == '180' ? '240' :
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timeframe.period == '240' ? 'D' :
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timeframe.period == 'D' ? 'W' :
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'5W'
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HTFSelection = input(title='Select HTF Automatically for Additional Supertrend', type=input.bool, defval=false)
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HTFUserSel = input(title='Select Higher Timeframe for Additional Supertrend',type=input.resolution, defval ='')
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HTF = HTFSelection ? HTFAuto : HTFUserSel
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Mult1 = input(title='Multiplier for Default Supertrend', defval=3.0, minval = 0, maxval = 10)
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Period1 = input(title='Period for Default Supertrend', defval=10, minval = 1, maxval = 100)
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Mult2 = input(title='Multiplier for Additional Supertrend', defval=2.0, minval = 0, maxval = 10)
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Period2 = input(title='Period for Additional Supertrend', defval=14, minval = 1, maxval = 100)
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chbarcol = input(true, title = "Change Bar Color")
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[Trailings, Trend] = supertrend(Mult1, Period1)
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linecolor = Trend == -1 and Trend[1] == -1 ? color.teal :
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Trend == 1 and Trend[1] == 1 ? color.red :
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color.new(color.white, 100)
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plot(Trailings, color = linecolor, linewidth = 2,title = "SuperTrend")
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f_Security(_symbol, _res, _src) => security(_symbol, _res, _src[1], lookahead = barmerge.lookahead_on)
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nonVectorSupertrend(Mult, Period) =>
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[Trail_, Trend_] = supertrend(Mult, Period)
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Trail_*Trend_
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[TrailingslHtf, TrendHtf] = supertrend(Mult2, Period2)
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if HTF != timeframe.period and HTF != ''
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CompositeTrailHtf = f_Security(syminfo.tickerid, HTF,nonVectorSupertrend(Mult2, Period2) )
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TrailingslHtf := abs(CompositeTrailHtf)
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TrendHtf := CompositeTrailHtf > 0 ? 1 : -1
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linecolorHtf = TrendHtf == -1 and TrendHtf[1] == -1 ? color.blue :
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TrendHtf == 1 and TrendHtf[1] == 1 ? color.maroon :
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color.new(color.white, 100)
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plot(TrailingslHtf, color = linecolorHtf, linewidth = 3, title = "Supertrend Higher Time Frame")
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barcolor_ = Trend == -1 and TrendHtf == -1 ? color.lime :
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Trend == 1 and TrendHtf == 1 ? color.red :
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color.white
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barcolor(color = chbarcol ? barcolor_ : na)
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vwapfilter = input(false)
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Long = Trend == -1 and TrendHtf == -1
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Short = Trend == 1 and TrendHtf == 1
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strategy.entry("enter long", true, 1, when = Long and not Long[1] and (vwapfilter and close > vwap or not vwapfilter))
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strategy.entry("enter short", false, 1, when = Short and not Short[1] and (vwapfilter and close < vwap or not vwapfilter))
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strategy.close("enter long", when = Long[1] and not Long)
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strategy.close("enter short", when = Short[1] and not Short)
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```
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> Detail
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https://www.fmz.com/strategy/436522
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> Last Modified
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2023-12-25 14:27:06
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