该策略主要基于Williams VIX修复公式以及Stochastic RSI与RSI指标的组合使用。首先,通过Williams VIX修复公式计算出当前周期的VIX值。该公式通过计算最高价与最低价的比值,来衡量市场的波动率和恐慌指数。这里设置了布林带的上下轨,当VIX值高于上轨时,表示市场波动加大,投资者恐慌;当低于下轨时,表示市场稳定。其次,策略采用了Stochastic RSI与RSI指标的组合使用。RSI用于判断多空状态,Stoch RSI结合K线与D线,实现对RSI指标反转点的判断。当Stoch RSI从超买区下落时,产生卖出信号。最后,策略综合两者,以Stoch RSI的超买信号为卖出依据,而以VIX值低于布林带下轨为买入依据,实现对市场反转点的捕捉。

优势

这套策略最大的优势在于,能够同时利用两种不同指标的优势进行组合。 Williams VIX修复公式能够有效反映市场的恐慌情绪,布林带的上下轨动态调整可以自适应不同周期;Stochastic RSI指标通过K、D线的交叉实现对RSI反转点的判断,避免产生误判。两者结合使用,可以更准确地定位市场的反转点,在市场恐慌指数释放卖出信号的同时,又可以利用Stoch RSI判断具体的入场点位,避免误入。

风险

这套策略也存在一定的风险:

Williams VIX修复公式无法完全反映市场恐慌情绪,布林带参数设置不当可能导致产生错误信号。
Stoch RSI反转信号同样可能错误,需要组合其他指标进行验证。
策略较为保守,如果不能及时跟踪快速行情可能导致错失机会。
策略回撤可能较大,需要谨慎设置仓位管理。

这需要我们在使用该策略时,合理设置参数,并辅以其他指标进行验证,同时控制好仓位规模,以规避风险。

优化方向

这套策略可以考虑从以下几个方面进行优化:

优化Williams VIX公式的参数,使其能更准确地反映市场恐慌程度。可以考虑加入均线系统等指标进行组合。
优化Stoch RSI的参数,寻找更合适的K、D线周期组合,提高反转准确性。
增加仓位管理机制,如设置止损止盈,或根据回撤率/盈利率动态调整仓位。
结合其他指标,如MACD、KD等,实现多指标验证,降低误判风险。
增加机器学习算法,利用大数据训练模型,自动优化参数,提高策略的稳定性。

通过以上几点优化,可以显著提升该策略的实战效果与稳定性。

总结

Williams VIX修复策略通过捕捉市场的恐慌与稳定转换,并利用Stoch RSI判断具体入场时机,实现对市场底部的有效定位。策略优势在于指标组合使用,但也存在一定风险。我们可以通过参数优化与多指标验证来增强策略效果,使其成为定位市场反转的有效工具。

参数

参数	默认值	说明
v_input_1	14	lookback length of Stochastic
v_input_2	80	Stochastic overbought condition
v_input_3	20	Stochastic oversold condition
v_input_4	3	smoothing of Stochastic %K
v_input_5	3	moving average of Stochastic %K
v_input_6	14	lookback length of RSI
v_input_7	70	RSI overbought condition
v_input_8	30	RSI oversold condition
v_input_9	22	LookBack Period Standard Deviation High
v_input_10	20	Bolinger Band Length
v_input_11	2	Bollinger Band Standard Devaition Up
v_input_12	50	Look Back Period Percentile High
v_input_13	0.85	Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%
v_input_14	false	-------Text Plots Below Use Original Criteria-------
v_input_15	false	Show Text Plot if WVF WAS True and IS Now False
v_input_16	false	Show Text Plot if WVF IS True
v_input_17	false	-------Text Plots Below Use FILTERED Criteria-------
v_input_18	true	Show Text Plot For Filtered Entry
v_input_19	true	Show Text Plot For AGGRESSIVE Filtered Entry
v_input_20	40	Long-Term Look Back Current Bar Has To Close Below This Value OR Medium Term--Default=40
v_input_21	14	Medium-Term Look Back Current Bar Has To Close Below This Value OR Long Term--Default=14
v_input_22	3	Entry Price Action Strength--Close > X Bars Back---Default=3
v_input_23	false	-------------------------Turn On/Off ALERTS Below---------------------
v_input_24	false	----To Activate Alerts You HAVE To Check The Boxes Below For Any Alert Criteria You Want----
v_input_25	false	Show Alert WVF = True?
v_input_26	false	Show Alert WVF Was True Now False?
v_input_27	false	Show Alert WVF Filtered?
v_input_28	false	Show Alert WVF AGGRESSIVE Filter?

源码（94 行）

/*backtest
start: 2022-09-21 00:00:00
end: 2023-09-27 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//Divergence and Hidden Divergence correlating with the Money Flow Index

strategy("Vix FIX / StochRSI Strategy", pyramiding=9, initial_capital=10000, default_qty_type=strategy.percent_of_equity,overlay=false)

///////////// Stochastic Slow
Stochlength = input(14, minval=1, title="lookback length of Stochastic")
StochOverBought = input(80, title="Stochastic overbought condition")
StochOverSold = input(20, title="Stochastic oversold condition")
smoothK = input(3, title="smoothing of Stochastic %K ")
smoothD = input(3, title="moving average of Stochastic %K")
k = sma(stoch(close, high, low, Stochlength), smoothK)
d = sma(k, smoothD)

 
///////////// RSI 
RSIlength = input( 14, minval=1 , title="lookback length of RSI")
RSIOverBought = input( 70  , title="RSI overbought condition")
RSIOverSold = input( 30  , title="RSI oversold condition")
RSIprice = close
vrsi = rsi(RSIprice, RSIlength)

///////////// Double strategy: RSI strategy + Stochastic strategy

pd = input(22, title="LookBack Period Standard Deviation High")
bbl = input(20, title="Bolinger Band Length")
mult = input(2.0    , minval=1, maxval=5, title="Bollinger Band Standard Devaition Up")
lb = input(50  , title="Look Back Period Percentile High")
ph = input(.85, title="Highest Percentile - 0.90=90%, 0.95=95%, 0.99=99%")
new = input(false, title="-------Text Plots Below Use Original Criteria-------" )
sbc = input(false, title="Show Text Plot if WVF WAS True and IS Now False")
sbcc = input(false, title="Show Text Plot if WVF IS True")
new2 = input(false, title="-------Text Plots Below Use FILTERED Criteria-------" )
sbcFilt = input(true, title="Show Text Plot For Filtered Entry")
sbcAggr = input(true, title="Show Text Plot For AGGRESSIVE Filtered Entry")
ltLB = input(40, minval=25, maxval=99, title="Long-Term Look Back Current Bar Has To Close Below This Value OR Medium Term--Default=40")
mtLB = input(14, minval=10, maxval=20, title="Medium-Term Look Back Current Bar Has To Close Below This Value OR Long Term--Default=14")
str = input(3, minval=1, maxval=9, title="Entry Price Action Strength--Close > X Bars Back---Default=3")
//Alerts Instructions and Options Below...Inputs Tab
new4 = input(false, title="-------------------------Turn On/Off ALERTS Below---------------------" )
new5 = input(false, title="----To Activate Alerts You HAVE To Check The Boxes Below For Any Alert Criteria You Want----")
sa1 = input(false, title="Show Alert WVF = True?")
sa2 = input(false, title="Show Alert WVF Was True Now False?")
sa3 = input(false, title="Show Alert WVF Filtered?")
sa4 = input(false, title="Show Alert WVF AGGRESSIVE Filter?")

//Williams Vix Fix Formula
wvf = ((highest(close, pd)-low)/(highest(close, pd)))*100
sDev = mult * stdev(wvf, bbl)
midLine = sma(wvf, bbl)
lowerBand = midLine - sDev
upperBand = midLine + sDev
rangeHigh = (highest(wvf, lb)) * ph

//Filtered Bar Criteria
upRange = low > low[1] and close > high[1]
upRange_Aggr = close > close[1] and close > open[1]
//Filtered Criteria
filtered = ((wvf[1] >= upperBand[1] or wvf[1] >= rangeHigh[1]) and (wvf < upperBand and wvf < rangeHigh))
filtered_Aggr = (wvf[1] >= upperBand[1] or wvf[1] >= rangeHigh[1]) and not (wvf < upperBand and wvf < rangeHigh)

//Alerts Criteria
alert1 = wvf >= upperBand or wvf >= rangeHigh ? 1 : 0
alert2 = (wvf[1] >= upperBand[1] or wvf[1] >= rangeHigh[1]) and (wvf < upperBand and wvf < rangeHigh) ? 1 : 0
alert3 = upRange and close > close[str] and (close < close[ltLB] or close < close[mtLB]) and filtered ? 1 : 0
alert4 = upRange_Aggr and close > close[str] and (close < close[ltLB] or close < close[mtLB]) and filtered_Aggr ? 1 : 0

//Coloring Criteria of Williams Vix Fix
col = wvf >= upperBand or wvf >= rangeHigh ? lime : gray

isOverBought = (crossover(k,d) and k > StochOverBought) ? 1 : 0
isOverBoughtv2 = k > StochOverBought ? 1 : 0
filteredAlert = alert3 ? 1 : 0
aggressiveAlert = alert4 ? 1 : 0

plot(isOverBought, "Overbought / Crossover", style=line, color=red) 
plot(filteredAlert, "Filtered Alert", style=line, color=fuchsia) 
plot(aggressiveAlert, "Aggressive Alert", style=line, color=orange)

if (filteredAlert or aggressiveAlert)
    strategy.entry("Long", strategy.long)

if (isOverBought)
    strategy.close("Long")