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Bullish-Engulfing买卖策略Bullish-Engulfing-Buy-and-Sell-Strategy.md

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Name

Bullish-Engulfing买卖策略Bullish-Engulfing-Buy-and-Sell-Strategy

Author

ChaoZhang

Strategy Description

IMG [trans]

概述

Bullish Engulfing买卖策略是一种基于K线形态的量化交易策略。该策略通过识别“Bullish Engulfing”大阳吞噬K线形态来捕捉股票价格的反转机会,实现盈利。

该策略的主要优势有:

  1. 基于成熟的技术分析理论,识别高概率的价格反转机会
  2. 简单直观的交易信号
  3. 风险可控

策略原理

该策略基于“Bullish Engulfing”大阳吞噬K线形态来判断价格反转。

当股票处于下跌趋势时,如果出现一根实体较小的阴线K线,紧随其后的一根K线的实体完全吞没前一根K线的实体,并且收盘价高于前一根K线的最高价,即形成Bullish Engulfing大阳吞噬,预示着价格即将产生反转,股票价格将上涨。

该策略会在识别到Bullish Engulfing形态时开仓做多,并设置止盈止损Exit,目标获利1%,止损1%,锁定盈利。

策略优势分析

该策略具有以下优势:

  1. 基于成熟的技术分析理论,Bullish Engulfing大阳吞噬是高概率的价格反转信号,可以有效捕捉价格反转机会。
  2. 交易信号简单直观,容易理解实现,适合量化交易。
  3. 采用股指期货等高流动性品种,可以实现高效率的进出场。
  4. 设置止盈止损Exit,可以很好控制单笔交易的损益比,保证盈亏结果,避免巨大亏损。
  5. 策略参数可以灵活调整,适应不同品种和市场环境。

策略风险分析

该策略也存在一些风险:

  1. 基于技术分析理论,存在一定的错误信号风险。
  2. 市场条件变化可能导致参数失效,需要调整。
  3. 止损设置过小可能导致小止损,设置过大可能增加亏损。

针对上述风险,我们可以采取以下措施:

  1. 优化参数,验证不同市场下的有效性。
  2. 加大止损幅度,确保单笔止损控制在一个可承受范围。
  3. 采用指数或股指期货等流动性好、波动率适中的交易品种。

策略优化方向

该策略还可以从以下方面进行优化:

  1. 结合趋势指标过滤,例如加入均线判断,避免逆势交易。
  2. 增加止盈幅度,扩大盈利空间。
  3. 优化止损机制,例如随着价格运行逐步抬高止损,减少止损概率。
  4. 采用类似“Bullish Engulfing”的其他K线形态组合,形成交易组合。

总结

Bullish Engulfing买卖策略作为一种成熟的基于技术分析的量化交易策略,具有交易信号简洁明确、容易实现等优点。在参数优化、风险控制措施到位的情况下,可以实现稳定的盈利,值得推荐。

||

Overview

The Bullish Engulfing buy and sell strategy is a quantitative trading strategy based on candlestick patterns. It captures opportunities to profit from price reversals by identifying the "Bullish Engulfing" candlestick pattern. The main advantages of this strategy are:

  1. It is based on mature technical analysis theories to identify high probability price reversal opportunities.
  2. It has simple and intuitive trading signals.
  3. The risks are controllable.

Strategy Logic

This strategy identifies price reversals based on the "Bullish Engulfing" candlestick pattern.

When a stock is in a downtrend, if a candlestick with a small real body is followed by a candlestick whose real body completely engulfs the previous real body, and the closing price is higher than the previous high price, this forms a Bullish Engulfing pattern, signaling an imminent trend reversal, where the price will start rising.

This strategy will open a long position when a Bullish Engulfing pattern is identified, with a profit target of 1% and a stop loss of 1%, to lock in profits.

Advantage Analysis

The advantages of this strategy are:

  1. It is based on mature technical analysis theories. The Bullish Engulfing pattern signals a high probability price reversal.
  2. The trading signals are simple and intuitive, easy to understand and automate for quantitative trading.
  3. Trading high liquidity products like index futures allows efficient entries and exits.
  4. The profit target and stop loss exits effectively control the risk/reward ratio of each trade, ensuring profitability and avoiding huge losses.
  5. Flexible parameter adjustments suit different products and market environments.

Risk Analysis

There are some risks to this strategy:

  1. False signals risks exist as it is based on technical analysis theories.
  2. Market regime changes may invalidate parameters which need adjustment.
  3. Stop loss values that are too tight may result in premature exiting, while values too wide may produce large losses.

To address these risks, we can:

  1. Optimize parameters and verify performance across market conditions.
  2. Widen stop loss levels to control single trade loss at acceptable levels.
  3. Trade high liquidity products with suitable volatility like index and futures ETFs.

Optimization Directions

This strategy can also be enhanced by:

  1. Adding filters like moving averages to avoid trading against trends.
  2. Increasing profit target to expand profit potential.
  3. Optimizing stop loss mechanisms, like trailing stops to reduce probability of stopping out.
  4. Using combinations of other candlestick patterns similar to "Bullish Engulfing" to create a trading system.

Conclusion

The Bullish Engulfing buy and sell strategy is a mature quantitative trading strategy based on technical analysis, with the advantages of simple and clear trading signals that are easy to implement. With optimized parameters and good risk control measures, it can produce steady profits and is highly recommendable.

[/trans]

Strategy Arguments

Argument Default Description
v_input_int_1 true (?START DATE BACKTESTING)D:
v_input_int_2 true M:
v_input_int_3 2022 Y:
v_input_int_4 31 (?END DATE BACKTESTING)D:
v_input_int_5 12 M:
v_input_int_6 2023 Y:
v_input_float_1 true (?TAKE PROFIT-STOP LOSS)Target profit (%):
v_input_float_2 true Stop Loss (%):
v_input_float_3 2 (?RISK MANAGEMENT)Orders size (%):
v_input_string_1 0 (?BULLISH ENGULFING)Detect Trend Based On: SMA50
v_input_color_1 #2bff00 Label Color Bullish

Source (PineScript)

/*backtest
start: 2022-12-20 00:00:00
end: 2023-12-26 00:00:00
period: 1d
basePeriod: 1h
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/
// © thequantscience

// ██████╗ ██╗   ██╗██╗     ██╗     ██╗███████╗██╗  ██╗    ███████╗███╗   ██╗ ██████╗ ██╗   ██╗██╗     ███████╗██╗███╗   ██╗ ██████╗ 
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// ██████╔╝██║   ██║██║     ██║     ██║███████╗███████║    █████╗  ██╔██╗ ██║██║  ███╗██║   ██║██║     █████╗  ██║██╔██╗ ██║██║  ███╗
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// ██████╔╝╚██████╔╝███████╗███████╗██║███████║██║  ██║    ███████╗██║ ╚████║╚██████╔╝╚██████╔╝███████╗██║     ██║██║ ╚████║╚██████╔╝
// ╚═════╝  ╚═════╝ ╚══════╝╚══════╝╚═╝╚══════╝╚═╝  ╚═╝    ╚══════╝╚═╝  ╚═══╝ ╚═════╝  ╚═════╝ ╚══════╝╚═╝     ╚═╝╚═╝  ╚═══╝ ╚═════╝ 
                                                                                                                                  
//@version=5
strategy(
     "Buy&Sell Bullish Engulfing - The Quant Science",
     overlay = true,
     default_qty_type = strategy.percent_of_equity, 
     default_qty_value = 100,
     pyramiding = 1,
     currency = currency.EUR,
     initial_capital = 10000,
     commission_type = strategy.commission.percent,
     commission_value = 0.07,
     process_orders_on_close = true, 
     close_entries_rule = "ANY"
     )

startDate  = input.int(title="D: ", defval=1,    minval=1,    maxval=31,   inline = 'Start', group = "START DATE BACKTESTING", tooltip = "D is Day, M is Month, Y is Year.")
startMonth = input.int(title="M: ", defval=1,    minval=1,    maxval=12,   inline = 'Start', group = "START DATE BACKTESTING", tooltip = "D is Day, M is Month, Y is Year.")
startYear  = input.int(title="Y: ", defval=2022, minval=1800, maxval=2100, inline = 'Start', group = "START DATE BACKTESTING", tooltip = "D is Day, M is Month, Y is Year.")

endDate    = input.int(title="D: ", defval=31,   minval=1,    maxval=31,   inline = 'End',   group = "END DATE BACKTESTING", tooltip = "D is Day, M is Month, Y is Year.")
endMonth   = input.int(title="M: ", defval=12,   minval=1,    maxval=12,   inline = 'End',   group = "END DATE BACKTESTING", tooltip = "D is Day, M is Month, Y is Year.")
endYear    = input.int(title="Y: ", defval=2023, minval=1800, maxval=2100, inline = 'End',   group = "END DATE BACKTESTING", tooltip = "D is Day, M is Month, Y is Year.")

inDateRange = (time >= timestamp(syminfo.timezone, startYear, startMonth, startDate, 0, 0)) and (time < timestamp(syminfo.timezone, endYear, endMonth, endDate, 0, 0))

PROFIT   = input.float(defval = 1, minval = 0, title = "Target profit (%): ", step = 0.10, group = "TAKE PROFIT-STOP LOSS")
STOPLOSS = input.float(defval = 1, minval = 0, title = "Stop Loss (%): ",     step = 0.10, group = "TAKE PROFIT-STOP LOSS")

var float equity_trades = 0
strategy.initial_capital = 50000
equity_trades := strategy.initial_capital
var float equity   = 0
var float qty_order   = 0
t_ordersize = "Percentage size of each new order. With 'Reinvestment Profit' activate, the size will be calculate on the equity, with 'Reinvestment Profit' deactivate the size will be calculate on the initial capital."
orders_size = input.float(defval = 2, title = "Orders size (%): ", minval = 0.10, step = 0.10,  maxval = 100, group = "RISK MANAGEMENT", tooltip = t_ordersize)
qty_order := ((equity_trades * orders_size) / 100 ) / close 

C_DownTrend = true
C_UpTrend   = true
var trendRule1 = "SMA50"
var trendRule2 = "SMA50, SMA200"
var trendRule = input.string(trendRule1, "Detect Trend Based On", options=[trendRule1, trendRule2, "No detection"], group = "BULLISH ENGULFING")

if trendRule == trendRule1
	priceAvg = ta.sma(close, 50)
	C_DownTrend := close < priceAvg
	C_UpTrend := close > priceAvg

if trendRule == trendRule2
	sma200 = ta.sma(close, 200)
	sma50  = ta.sma(close, 50)
	C_DownTrend := close < sma50 and sma50 < sma200
	C_UpTrend := close > sma50 and sma50 > sma200
C_Len = 14
C_ShadowPercent = 5.0 
C_ShadowEqualsPercent = 100.0
C_DojiBodyPercent = 5.0
C_Factor = 2.0 

C_BodyHi = math.max(close, open)
C_BodyLo = math.min(close, open)
C_Body = C_BodyHi - C_BodyLo
C_BodyAvg = ta.ema(C_Body, C_Len)
C_SmallBody = C_Body < C_BodyAvg
C_LongBody = C_Body > C_BodyAvg
C_UpShadow = high - C_BodyHi
C_DnShadow = C_BodyLo - low
C_HasUpShadow = C_UpShadow > C_ShadowPercent / 100 * C_Body
C_HasDnShadow = C_DnShadow > C_ShadowPercent / 100 * C_Body
C_WhiteBody = open < close
C_BlackBody = open > close
C_Range = high-low
C_IsInsideBar = C_BodyHi[1] > C_BodyHi and C_BodyLo[1] < C_BodyLo
C_BodyMiddle = C_Body / 2 + C_BodyLo
C_ShadowEquals = C_UpShadow == C_DnShadow or (math.abs(C_UpShadow - C_DnShadow) / C_DnShadow * 100) < C_ShadowEqualsPercent and (math.abs(C_DnShadow - C_UpShadow) / C_UpShadow * 100) < C_ShadowEqualsPercent
C_IsDojiBody = C_Range > 0 and C_Body <= C_Range * C_DojiBodyPercent / 100
C_Doji = C_IsDojiBody and C_ShadowEquals

patternLabelPosLow  = low  - (ta.atr(30) * 0.6)
patternLabelPosHigh = high + (ta.atr(30) * 0.6)

label_color_bullish = input.color(color.rgb(43, 255, 0), title = "Label Color Bullish", group = "BULLISH ENGULFING")
C_EngulfingBullishNumberOfCandles = 2
C_EngulfingBullish = C_DownTrend and C_WhiteBody and C_LongBody and C_BlackBody[1] and C_SmallBody[1] and close >= open[1] and open <= close[1] and ( close > open[1] or open < close[1] )
if C_EngulfingBullish
    var ttBullishEngulfing = "Engulfing\nAt the end of a given downward trend, there will most likely be a reversal pattern. To distinguish the first day, this candlestick pattern uses a small body, followed by a day where the candle body fully overtakes the body from the day before, and closes in the trend’s opposite direction. Although similar to the outside reversal chart pattern, it is not essential for this pattern to completely overtake the range (high to low), rather only the open and the close."
    label.new(bar_index, patternLabelPosLow, text="BE", style=label.style_label_up, color = label_color_bullish, textcolor=color.white, tooltip = ttBullishEngulfing)
bgcolor(ta.highest(C_EngulfingBullish?1:0, C_EngulfingBullishNumberOfCandles)!=0 ? color.new(#21f321, 90) : na, offset=-(C_EngulfingBullishNumberOfCandles-1))

var float c       = 0
var float o       = 0
var float c_exit  = 0
var float c_stopl = 0

if C_EngulfingBullish and strategy.opentrades==0 and inDateRange 
    c := strategy.equity
    o := close
    c_exit  := c + (c * PROFIT / 100)
    c_stopl := c - (c * STOPLOSS / 100)
    strategy.entry(id = "LONG", direction = strategy.long, qty = qty_order, limit = o)

if ta.crossover(strategy.equity, c_exit)
    strategy.exit(id = "CLOSE-LONG", from_entry = "LONG", limit = close)
if ta.crossunder(strategy.equity, c_stopl)
    strategy.exit(id = "CLOSE-LONG", from_entry = "LONG", limit = close)

Detail

https://www.fmz.com/strategy/436752

Last Modified

2023-12-27 14:25:11