300274 Regime Guard Turtle Breakout MFE 2-Stage Trail Long-only — Strategy by a0101054
By a0101054
Performance Metrics
- Author: a0101054
- Symbol: SZSE:300274
- Timeframe: 1 day
- Net P&L: +861,886.80 CNY (+861.89%)
- Win Rate: 59.4%
- Profit Factor: 9.847
- Max Drawdown: 46,350.48 CNY (8.81%)
- Total Trades: 32
Description
中文（CN）｜Strategy 说明概览SZSE:300274（阳光电源）| Long-only 趋势突破策略核心结构：Regime Guard（趋势过滤） + Turtle/Donchian Breakout（突破入场） + MFE 2-Stage ATR Trail（两段追踪止损） + Breakeven（保本） + 动态仓位与回撤控制。目标：在趋势行情尽量抓住主升段，同时控制回撤。策略逻辑（核心）1) Regime Guard（趋势环境）以 EMA200（可调）作为大趋势基准仅在强势环境允许开仓/加仓（可选：EMA 斜率向上、ADX 强度过滤）2) Turtle Breakout（唐奇安通道突破）入场：突破 Donchian High（entryLen）退出：跌破 Donchian Low（exitLen）可选：突破缓冲 buffer% + 冷却期 cooldown 来降低假突破频率3) 风控（策略的关键）初始止损：InitStopATR × ATR 定义初始风险单位 RMFE 两段追踪止损：追踪线 = HH - ATR × trailMult（HH 为入场后最高点）当 MFE ≥ tightenAtR × R，追踪从 宽切换为 紧，减少回吐保本（BE）：当盈利 ≥ beR × R，止损上移到开仓价附近，降低深回撤概率4) 仓位与回撤控制Risk Cap：单笔最大风险不超过权益的某个百分比Volatility Targeting：波动大则降仓，波动小则升仓（上下限约束）Drawdown Scaling：进入回撤区间后自动降低新开仓/加仓暴露A股/创业板交易规则处理（重要）整手下单：默认 100 股为一手（自动取整）涨停不追：涨停日默认不进场（可关闭）跌停出场：可选“保守模式：跌停不出”（现实可能卖不出）创业板涨跌幅切换：2020-08-24 起常见 20%，此前常见 10%（脚本按时间切换处理）参数使用建议（Inputs）你可以把参数分三类理解：A) 趋势/突破（决定“做多长、多慢”）entryLen / exitLen：越大越长线、交易更少；越小越敏感、交易更多breakBufPct：越大越不容易假突破，但会更晚进场B) 风控（决定回撤与回吐）initStopATR：初始止损宽度（R 定义）trailBase / trailTight / tightenAtR：两段追踪的宽松与收紧时点beR：保本触发点（越早越保守）C) 反震荡组件（减少无效交易）atrPctGuard：极端波动时禁止进场/加仓cooldownBars / minHoldBars：减少频繁“进出打脸”实务建议：不要同时大范围调很多参数。最好的方式是：锁定主结构，只在小范围调节 breakBufPct / atrPctGuard / cooldown 这类“过滤器”。适用/不适用市场✅ 适用：能形成明确趋势（阶段主升浪）的标的与周期（推荐日线）⚠️ 不适用：长时间高频震荡、假突破密集的结构（会降低 PF）回测与实盘差异提示佣金、滑点、涨跌停成交约束会显著影响结果本策略在回测中使用了“跌停可能无法成交”的保守选项（可开关）历史回测不代表未来表现免责声明本策略仅供研究与教育用途，不构成投资建议。使用者需自行承担风险。English (EN)｜Strategy DescriptionOverviewSZSE:300274 (Sungrow) | Long-only Trend Breakout StrategyCore stack: Regime Guard + Turtle/Donchian Breakout + MFE 2-Stage ATR Trailing + Breakeven + Dynamic Risk/Exposure Controls.Designed to capture major uptrend legs while keeping drawdowns controlled.How it works1) Regime Guard (trend filter)Uses EMA200 (adjustable) as the regime baselineEntries/adds are allowed only in bullish conditions (optional EMA slope / ADX strength filters)2) Turtle Breakout (Donchian channel)Entry: breakout above Donchian High (entryLen)Exit: breakdown below Donchian Low (exitLen)Optional buffer% + cooldown to reduce whipsaws3) Risk engine (key)Initial stop: InitStopATR × ATR defines risk unit RMFE 2-stage trailing stop:Trailing = HH - ATR × trailMult (HH = highest high since entry)Switches from loose to tight trail after MFE ≥ tightenAtR × R to reduce profit givebackBreakeven:Moves stop toward entry after profit ≥ beR × R4) Position sizing & drawdown controlsRisk Cap: caps per-trade loss as % of equityVolatility targeting: scales exposure with ATR% (bounded)Drawdown scaling: reduces new exposure during drawdownsChina A-share / ChiNext practical rulesBoard-lot rounding (default 100 shares)Block entries on limit-up (optional)Optional conservative limit-down exit handlingChiNext limit change (commonly 20% from 2020-08-24, 10% before) handled via date switchInputs (tuning guide)Trend/Breakout: entryLen/exitLen, breakBufPctRisk: initStopATR, trailBase/trailTight/tightenAtR, beRAnti-chop: atrPctGuard, cooldownBars, minHoldBarsBest practice: keep the core structure fixed and only adjust filters/risk thresholds in small ranges to avoid overfitting.When to use✅ Trending regimes (Daily recommended)⚠️ Choppy/range-bound regimes can reduce performance due to false breakoutsDisclaimerFor research/education only. Not financial advice. Backtests do not guarantee future results. Use at your own risk.