币安的 BNB 币：加密货币市场的强大力量以及布林线算法交易的门户

在不断扩大的加密货币世界中，币安的 BNB 已成为一种重要的数字资产。 BNB 最初作为币安交易所上的实用代币推出，现已发展成为 BNB 链上各种金融业务和去中心化应用的基石。其广泛采用和市值使 BNB 成为加密货币行业健康状况的重要晴雨表和算法交易的可行资产。本文探讨了使用布林线的稳健反转交易策略，利用 BNB 的独特特征来利用市场波动和加密货币领域的新兴趋势。

In the rapidly expanding universe of cryptocurrencies, Binance's utility token, BNB, stands out as one of the most influential and widely used digital coins. Originally launched in 2017 as a means to offer users discounts on trading fees on Binance, the global exchange platform that created it, BNB has since evolved into a cornerstone for a vast array of financial operations and decentralized applications on the BNB Chain.

在快速扩张的加密货币领域，币安的实用代币 BNB 脱颖而出，成为最具影响力和广泛使用的数字货币之一。 BNB 最初于 2017 年推出，旨在为用户在创建 BNB 的全球交易平台币安 (Binance) 上提供交易费用折扣，现已发展成为 BNB 链上大量金融业务和去中心化应用的基石。

With a market capitalization that consistently ranks among the top five cryptocurrencies in the world, BNB has established itself not only as a heavyweight currency but also as a barometer of the financial health of the entire crypto sector. This prominent position, in comparison to other digital currencies like Bitcoin and Ethereum that dominate the market by capitalization, puts BNB in a unique position to capitalize on market fluctuations and emerging trends in the field of cryptocurrencies.

BNB 的市值始终位居全球加密货币前五，不仅成为重量级货币，而且成为整个加密货币行业财务健康状况的晴雨表。与比特币和以太坊等以资本规模主导市场的其他数字货币相比，这一突出地位使 BNB 处于独特的地位，可以利用市场波动和加密货币领域的新兴趋势。

In this article, we will explore how the distinctive characteristics of BNB can be harnessed to construct a robust algorithmic trading strategy, based on a reversal approach using Bollinger Bands.

在本文中，我们将探讨如何利用 BNB 的独特特征，基于使用布林线的反转方法构建强大的算法交易策略。

Bollinger Bands

布林线

This technical analysis tool takes its name directly from its inventor, John Bollinger, who meticulously analyzed the behavior of prices as they moved away from or closer to their moving average. Bollinger decided to incorporate two bands, calculated as the standard deviation of the simple average of prices. The Bollinger Bands are therefore formed by three elements and are calculated through the following mathematical functions:

这种技术分析工具的名字直接来源于其发明者约翰·布林格(John Bollinger)，他仔细分析了价格远离或接近移动平均线时的行为。布林线决定合并两条带，计算为简单平均价格的标准差。因此，布林线由三个要素组成，并通过以下数学函数计算：

• Upper Band: Average price of the last N periods plus 2 standard deviations
• Median Price: Average price of the last N periods (20 is the recommended starting number)
• Lower Band: Average price of the last N periods minus 2 standard deviations

(Figure 1 illustrates the Bollinger Bands indicator on a historical price series.)

上限：最近 N 个周期的平均价格加上 2 个标准差 中位价格：最后 N 个周期的平均价格（建议起始数字为 20） 下限：最后 N 个周期的平均价格减去 2 个标准差（图 1 说明了历史价格系列上的布林线指标。）

Reversal Trading Strategy (Bollinger Bands) Applied to BNB

反转交易策略（布林线）应用于BNB

The strategy that we will adopt is an automatic system with 'mean reverting' logic, which exploits Bollinger Bands as a market reversal point. When prices reach the upper band, we will sell, while on the lower band, we will buy.

我们将采用的策略是具有“均值回归”逻辑的自动系统，该系统利用布林线作为市场反转点。当价格到达上限时，我们将卖出，而当价格到达下限时，我们将买入。

The trading session under consideration conventionally starts at 00:00 GMT and ends at 23:59 GMT, to align with the solar day, as cryptocurrencies are quoted 24 hours a day.

所考虑的交易时段通常从格林威治标准时间 00:00 开始，到格林威治标准时间 23:59 结束，以与太阳日一致，因为加密货币每天 24 小时报价。

Assuming an operational capital of $10,000 per trade, the trade will be closed when a profit target of $3,000 is reached, as the initial value. It is also prudent to employ a fixed stop loss from the beginning, which we assume to be $1,000. The stop loss serves as a safeguard to protect the invested capital from trades with exceptionally high losses.

假设每笔交易的运营资本为 10,000 美元，则当达到初始值 3,000 美元的利润目标时，交易将被平仓。从一开始就采用固定止损也是谨慎的做法，我们假设止损为 1,000 美元。止损是保护投资资金免受异常高损失交易影响的保障措施。

Applying this strategy to the BNB/USDT pair on a 15-minute time frame, we can observe how this 'operating engine' would have performed from 2021 to the present. Data prior to 2021 is not taken into consideration because it was during this period that BNB began to establish itself among the primary cryptocurrencies in the world. This phenomenon is also attributed to the substantial overall growth of the crypto world and in particular the DeFi sector, with a significant increase in the total value locked (TVL) in various platforms based on BNB Chain. BNB has been widely adopted as the main token for transactions and governance on many platforms, leading to an increase in demand and consequently its price, rising to over 15 times its average value in 2020.

将该策略应用于 15 分钟时间范围内的 BNB/USDT 货币对，我们可以观察这个“操作系统”从 2021 年至今的表现如何。不考虑 2021 年之前的数据，因为正是在这一时期，BNB 开始跻身世界主要加密货币行列。这一现象也归因于加密世界，特别是 DeFi 领域的整体大幅增长，基于 BNB Chain 的各个平台的总锁定价值（TVL）显着增加。 BNB 已被广泛采用作为许多平台上交易和治理的主要代币，导致需求增加，其价格也因此在 2020 年上涨至平均价值的 15 倍以上。

Results of the Reversal Strategy (Bollinger Bands) Applied to BNB

反转策略（布林带）应用于 BNB 的结果

Figures 2, 3, and 4 depict the metrics obtained from the mean reverting strategy based on Bollinger Bands. The results are encouraging, with a steadily increasing equity line, which is undoubtedly a positive starting point.

图 2、图 3 和图 4 描述了从基于布林线的均值回归策略获得的指标。结果令人鼓舞，净值额度稳步增加，这无疑是一个积极的起点。

(Figure 2: Initial equity line of the mean reverting strategy on Bollinger Bands on BNB)

（图2：BNB布林线均值回归策略初始权益线）

(Figure 3: Initial total trade analysis of the mean reverting strategy on Bollinger Bands on BNB)

（图3：BNB布林线均值回归策略的初始总交易分析）

(Figure 4: Initial performance report of the mean reverting strategy on Bollinger Bands on BNB)

（图4：BNB布林线均值回归策略初始表现报告）

Upon closer examination of the results, it becomes apparent that the average trade stands at around $41, which, in comparison to the amount of a single operation ($10,000), is equivalent to 0.41%, a value that does not guarantee coverage of the operational costs.

仔细检查结果后发现，平均交易额约为 41 美元，与单次操作的金额（10,000 美元）相比，相当于 0.41%，该值并不能保证操作的覆盖范围。成本。

Optimization of the Reversal Trading Strategy (Bollinger Bands) Applied to BNB

应用于BNB的反转交易策略（布林线）的优化

Attempting to define a different operating window could potentially lead to improved results. Therefore, we proceed with optimizing the start time of the operation and its duration (expressed in the number of 15-minute bars). The optimization results are displayed in Figure 5. Operating from 00:00 until the end of the following 60 bars, or until 15:00, the values show significant improvement: the total profit of the system rises to $222,450 with over 30% fewer operations (2,875), consequently boosting the average trade to $77.

尝试定义不同的操作窗口可能会改善结果。因此，我们继续优化操作的开始时间及其持续时间（以 15 分钟柱的数量表示）。优化结果如图 5 所示。从 00:00 开始操作，直到接下来的 60 个柱线结束，或者直到 15:00，这些值显示出显着的改善：系统的总利润上升到 222,450 美元，操作量减少了 30% 以上(2,875)，从而将平均交易额提高到 77 美元。

(Figure 5: Time window optimization of the mean reverting strategy on Bollinger Bands on BNB)

（图5：BNB布林带均值回归策略的时间窗口优化）

While the results are certainly better, they indicate a still rough strategy, with a larger average trade, but still not very high, and a rather high drawdown compared to the net profit (Net profit/Max DD = 3.6).

虽然结果肯定更好，但它们表明策略仍然很粗糙，平均交易量较大，但仍然不是很高，与净利润相比，回撤相当高（净利润/最大 DD = 3.6）。

To proceed further, one could try to optimize the initially hypothesized stop loss and take profit values. In fact, from a first optimization on the stop loss, it is confirmed that the value of $1,000, which is 10% of the position value, achieves impressive results. Continuing further, in Figure 6, it can be seen that by varying the take profit in steps of $500, there are intriguing and relatively stable results around $5,000-$6,000. Increasing these values improves the metrics, but not in a highly significant way, so one could choose, for example, to use $6,000.

为了进一步进行，可以尝试优化最初假设的止损和止盈值。事实上，从止损的第一次优化开始，就证实了1000美元的价值，即仓位价值的10%，取得了令人印象深刻的效果。继续，在图 6 中可以看出，通过以 500 美元为步长改变止盈，在 5,000 美元至 6,000 美元左右会出现有趣且相对稳定的结果。增加这些值可以改善指标，但不会以非常显着的方式改善，因此可以选择使用 6,000 美元等。

(Figure 6: Optimization of take profit for mean reverting strategy on Bollinger Bands on BNB)

（图6：BNB布林线均值回归策略止盈优化）

Adding Patterns to the Reversal Strategy (Bollinger Bands) Applied to BNB

为 BNB 所应用的反转策略（布林线）添加模式

Considering that the strategy still initiates many trades (about 2,800 in 4 years), there is likely still room for further refinement of the operations. To achieve this, one could utilize price patterns that can identify the most favorable conditions to execute the operations, filtering out those with a lower probability of success.

考虑到该策略仍发起大量交易（4 年内约 2,800 笔），操作可能仍有进一步细化的空间。为了实现这一目标，人们可以利用价格模式来识别执行操作的最有利条件，过滤掉那些成功概率较低的条件。

For this purpose, we will employ a proprietary list that encompasses many diverse price combinations, which will aid us in understanding in which situations BNB appears to respond better to the entry logic of this system.

为此，我们将采用包含许多不同价格组合的专有列表，这将帮助我们了解在哪些情况下 BNB 似乎对该系统的进入逻辑做出更好的反应。

(Figure 7: Optimization of the “Long No” and “Short No” patterns of the mean reverting strategy on Bollinger Bands on BNB)

（图7：BNB布林带均值回归策略的“多无”和“空无”形态优化）

By examining the various combinations of patterns, for instance, it is discovered that by inhibiting the operability when the patterns “PtnLN=19” occur for the long side and “PtnSN=11” for the short side, a satisfactory compromise is achieved between the primary reference parameters (Net profit, Average trade, Max Intraday Drawdown). With the pattern PtnLN=19, it will be averted to go long if the closing of the candle of the last session was greater than 0.5% of the closing of 2 sessions ago. With PtnSN=11 instead, it will prevent entering short simply if the previous session confirmed a downtrend in progress (marking both a lower low and a lower high).

例如，通过检查图案的各种组合，发现通过抑制长边出现“PtnLN=19”图案和短边出现“PtnSN=11”图案时的可操作性，在两者之间实现了令人满意的折衷。主要参考参数（净利润、平均交易、最大盘中亏损）。在 PtnLN=19 模式下，如果最后一个交易日的蜡烛收盘价高于前两个交易日收盘价的 0.5%，则将避免做多。相反，当 PtnSN=11 时，如果前一交易日确认了正在进行的下降趋势（标记较低的低点和较低的高点），它将阻止简单地做空。

It is remarkable how this combination of filters effectively manages to enhance the average trade ($240) and the net profit exceeds $400,000. Even the drawdown diminishes and stands at -$39,702. This is a significant improvement, also evident from the more regular shape of the equity line (Figure 8), although in the second part of 2023 it appears to have lost some momentum. Only time will validate the effectiveness of the choices made during the optimization phase.

值得注意的是，这种过滤器组合如何有效地提高平均交易量（240 美元），净利润超过 400,000 美元。甚至回撤也有所减少，达到-39,702 美元。这是一个显着的进步，从更规则的股本线形状（图 8）也可以看出这一点，尽管在 2023 年下半年，它似乎失去了一些动力。只有时间才能验证优化阶段所做选择的有效性。

(Figure 8: Equity line of the system with mean reverting strategy patterns on Bollinger Bands on BNB)

（图8：BNB布林线均值回归策略模式系统的权益线）

Conclusions on the Strategy

战略结论

The reversal strategy with Bollinger Bands has demonstrated considerable promise on the BNB/USDT pair, although further refinements would be necessary to prepare it for live market operations. This particular cryptocurrency, despite its established status, is still relatively young and presents many opportunities for traders who are eager to experiment with diverse market approaches. As always, experimenting with and developing this strategy to its full potential is left to the discretion of the reader.

布林线的反转策略在 BNB/USDT 货币对上展现出了巨大的前景，尽管还需要进一步完善以使其为实时市场操作做好准备。这种特殊的加密货币尽管地位稳固，但仍然相对年轻，为渴望尝试不同市场方法的交易者提供了许多机会。与往常一样，试验和开发这一策略以充分发挥其潜力由读者自行决定。

Until next time, happy trading!

下次再见，祝交易愉快！

Andrea Unger

安德里亚·昂格尔