亲爱的优宽er们:,
在此,我编写了一个脚本,其中我使用了被低估的chande kroll止损指示器创建了一个简单的策略。短线信号是指橙色线下的近线交叉,蓝线的近线蜡烛交叉时产生长信号。 此外,您还可以选择使用ADX进行过滤,从而在动荡的市场中最大限度地减少重复次数。
祝你交易好运!
回测测试
/*backtest start: 2021-12-01 00:00:00 end: 2022-05-31 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}] args: [["ContractType","rb2210",360008]] */ //@version=5 strategy(title = "Chande Kroll Stop", overlay=true) p = input.int(10, minval=1, title="Chande Kroll Stop的p值") x = input.int(1, minval=1, title="Chande Kroll Stop的x值") q = input.int(9, minval=1, title="Chande Kroll Stop的q值") first_high_stop = ta.highest(high, p) - x * ta.atr(p) first_low_stop = ta.lowest(low, p) + x * ta.atr(p) stop_short = ta.highest(first_high_stop, q) stop_long = ta.lowest(first_low_stop, q) plot(stop_long, color=color.blue) plot(stop_short, color=color.orange) adxlen = input(14, title="ADX 平滑") dilen = input(14, title="DI 周期") ADX_sig = input.int(20, title="信号的最小ADX阈值") dirmov(len) => up = ta.change(high) down = -ta.change(low) plusDM = na(up) ? na : (up > down and up > 0 ? up : 0) minusDM = na(down) ? na : (down > up and down > 0 ? down : 0) truerange = ta.rma(ta.tr, len) plus = fixnan(100 * ta.rma(plusDM, len) / truerange) minus = fixnan(100 * ta.rma(minusDM, len) / truerange) [plus, minus] adx(dilen, adxlen) => [plus, minus] = dirmov(dilen) sum = plus + minus adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen) sig = adx(dilen, adxlen) if ta.crossunder(close, stop_long) and sig>ADX_sig strategy.entry("long", strategy.long) if ta.crossover(close, stop_short) and sig>ADX_sig strategy.entry("short", strategy.short)template: strategy.tpl:40:21: executing "strategy.tpl" at <.api.GetStrategyListByName>: wrong number of args for GetStrategyListByName: want 7 got 6