Dieser Artikel stellt eine quantitative Handelsstrategie vor, die mehrere Indikatoren kombiniert, um Trends zu bestimmen.
Die Strategie beruht auf:
Anhand gleitender Durchschnittswerte, neuer Höchst-/Tiefstindex zur Bestimmung der Preisentwicklung.
Einbeziehung der jährlichen Niveaus, um kurzfristige Schwierigkeiten zu vermeiden.
Eintritt in ausgerichtete Indikator-Bundle-Signale, um Fälschungen zu filtern.
Mit dem Supertrend hinterher, um Trendgewinne zu erzielen.
Ich halte bei durchschnittlichen Verstößen an.
Vorteile der Strategie:
Mehrfache Indikatoren verbessern die Entscheidungsgenauigkeit.
Nur der Handel mit klaren Trends vermeidet unnötige Trades.
Der Supertrend verringert den Gewinn und reduziert die Abzüge.
Eine rechtzeitige Ablehnung von Ausbrüchen verbessert die Gewinnrate.
Eine klare Logik macht die Optimierung intuitiv.
Zu den potenziellen Risiken gehören:
Mehrere Filter können zu fehlenden Trades führen.
Supertrend-Trails könnten die Gewinne zu sehr einschränken.
Schlechte Ausbruchstationen verursachen unnötige Ausgänge.
Die Einstellung der Parameter beeinflusst die Leistung erheblich.
Diese Strategie kombiniert mehrere technische Indikatoren, um den Trend zu bestimmen. Mit der richtigen Optimierung kann sie gute Renditen erzielen. Aber Händler sollten die Trendgenauigkeit beobachten und die Parameter entsprechend anpassen.
/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 1h
basePeriod: 15m
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/
// © HeWhoMustNotBeNamed
//@version=4
strategy("AlignedMA and Cumulative HighLow Strategy V2", overlay=true, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01, calc_on_order_fills = true)
MAType = input(title="Moving Average Type", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
includePartiallyAligned = input(true)
HighLowPeriod = input(22, minval=1,step=1)
LookbackPeriod = input(10, minval=1,step=1)
considerYearlyHighLow = input(false)
dirTBars = input(1)
dirRBars = input(30)
PMAType = input(title="Moving Average Type", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
PMALength = input(10, minval=2, step=10)
shift = input(2, minval=1, step=1)
//Use 2 for ASX stocks
supertrendMult = input(3, minval=1, maxval=10, step=0.5)
supertrendLength = input(22, minval=1)
riskReward = input(2, minval=1, maxval=10, step=0.5)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.all, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestYears = input(1, minval=1, step=1)
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_getMaAlignment(MAType, includePartiallyAligned)=>
ma5 = f_getMovingAverage(close,MAType,5)
ma10 = f_getMovingAverage(close,MAType,10)
ma20 = f_getMovingAverage(close,MAType,20)
ma30 = f_getMovingAverage(close,MAType,30)
ma50 = f_getMovingAverage(close,MAType,50)
ma100 = f_getMovingAverage(close,MAType,100)
ma200 = f_getMovingAverage(close,MAType,200)
upwardScore = 0
upwardScore := close > ma5? upwardScore+1:upwardScore
upwardScore := ma5 > ma10? upwardScore+1:upwardScore
upwardScore := ma10 > ma20? upwardScore+1:upwardScore
upwardScore := ma20 > ma30? upwardScore+1:upwardScore
upwardScore := ma30 > ma50? upwardScore+1:upwardScore
upwardScore := ma50 > ma100? upwardScore+1:upwardScore
upwardScore := ma100 > ma200? upwardScore+1:upwardScore
upwards = close > ma5 and ma5 > ma10 and ma10 > ma20 and ma20 > ma30 and ma30 > ma50 and ma50 > ma100 and ma100 > ma200
downwards = close < ma5 and ma5 < ma10 and ma10 < ma20 and ma20 < ma30 and ma30 < ma50 and ma50 < ma100 and ma100 < ma200
upwards?1:downwards?-1:includePartiallyAligned ? (upwardScore > 5? 0.5: upwardScore < 2?-0.5:upwardScore>3?0.25:-0.25) : 0
f_getHighLowValue(HighLowPeriod)=>
currentHigh = highest(high,HighLowPeriod) == high
currentLow = lowest(low,HighLowPeriod) == low
currentHigh?1:currentLow?-1:0
f_getDirection(Series)=>
direction = Series > Series[1] ? 1 : Series < Series[1] ? -1 : 0
direction := direction == 0? nz(direction[1],0):direction
direction
f_getDirectionT(Series, tBars, rBars)=>
compH = Series > 0? Series[tBars] : Series[rBars]
compL = Series < 0? Series[tBars] : Series[rBars]
direction = Series > compH ? 1 : Series < compL ? -1 : 0
direction := direction == 0? nz(direction[1],0):direction
direction
f_getYearlyHighLowCondition(considerYearlyHighLow)=>
yhigh = security(syminfo.tickerid, '12M', high[1])
ylow = security(syminfo.tickerid, '12M', low[1])
yhighlast = yhigh[365]
ylowlast = ylow[365]
yhighllast = yhigh[2 * 365]
ylowllast = ylow[2 * 365]
yearlyTrendUp = na(yhigh)? true : na(yhighlast)? close > yhigh : na(yhighllast)? close > max(yhigh,yhighlast) : close > max(yhigh, min(yhighlast, yhighllast))
yearlyHighCondition = ( (na(yhigh) or na(yhighlast) ? true : (yhigh > yhighlast) ) and ( na(yhigh) or na(yhighllast) ? true : (yhigh > yhighllast))) or yearlyTrendUp or not considerYearlyHighLow
yearlyTrendDown = na(ylow)? true : na(ylowlast)? close < ylow : na(ylowllast)? close < min(ylow,ylowlast) : close < min(ylow, max(ylowlast, ylowllast))
yearlyLowCondition = ( (na(ylow) or na(ylowlast) ? true : (ylow < ylowlast) ) and ( na(ylow) or na(ylowllast) ? true : (ylow < ylowllast))) or yearlyTrendDown or not considerYearlyHighLow
[yearlyHighCondition,yearlyLowCondition]
f_getOpenCloseMA(MAType, length)=>
openMA = f_getMovingAverage(open, MAType, length)
closeMA = f_getMovingAverage(close, MAType, length)
direction = openMA < closeMA ? 1 : -1
[openMA, closeMA, direction]
inDateRange = true
maAlignment = f_getMaAlignment(MAType,includePartiallyAligned)
alignedMaIndex = sum(maAlignment,LookbackPeriod)
maAlignmentDirection=f_getDirectionT(alignedMaIndex,dirTBars, dirRBars)
atr = atr(22)
highLowIndex = f_getHighLowValue(HighLowPeriod)
cumulativeHighLowIndex = sum(highLowIndex,LookbackPeriod)
hlDirection = f_getDirectionT(cumulativeHighLowIndex,dirTBars,dirRBars)
[yearlyHighCondition,yearlyLowCondition] = f_getYearlyHighLowCondition(considerYearlyHighLow)
[supertrend, dir] = supertrend(supertrendMult, supertrendLength)
[esupertrend, edir] = supertrend(supertrendMult+1, supertrendLength)
movingAverage = f_getMovingAverage(close, PMAType, PMALength)
secondaryBuyFilter = movingAverage > movingAverage[shift]
secondarySellFilter = movingAverage < movingAverage[shift]
closeBuyFilter = dir == 1
closeSellFilter = dir == -1
buyFilter = (maAlignmentDirection == 1 and hlDirection == 1 and yearlyHighCondition)
sellFilter = (maAlignmentDirection == -1 and hlDirection == -1 and yearlyLowCondition)
barColor = buyFilter?color.lime:sellFilter?color.orange:color.gray
bandColor = secondaryBuyFilter ? color.green : secondarySellFilter ? color.red : color.gray
compound = strategy.position_size > 0? strategy.position_avg_price + (atr* supertrendMult * riskReward) : strategy.position_size < 0 ? strategy.position_avg_price - (atr* supertrendMult * riskReward) : na
riskFree = na(compound)?false:strategy.position_size > 0 ? supertrend > compound : strategy.position_size < 0 ? supertrend < compound : false
trailingStop = riskFree?(dir==-1?supertrend - 2*atr : supertrend + 2*atr) :supertrend
trailingStop := (strategy.position_size > 0 and trailingStop < trailingStop[1]) ? trailingStop[1] : ((strategy.position_size < 0 and trailingStop > trailingStop[1])? trailingStop[1] :trailingStop)
plot(trailingStop, title="Supertrend", color=riskFree? color.blue:dir==-1?color.green:color.red, linewidth=2)
buyEntry = buyFilter and secondaryBuyFilter and not closeBuyFilter and low > trailingStop
sellEntry = sellFilter and secondarySellFilter and not closeSellFilter and low < trailingStop
Fi1 = plot(movingAverage[shift], title="MA", color=color.red, linewidth=1, transp=50)
Fi2 = plot(movingAverage, title="Shift", color=color.green, linewidth=1, transp=50)
fill(Fi1, Fi2, title="Band Filler", color=bandColor, transp=40)
barcolor(barColor)
//plot(compound, title="Compound"mzn, color=dir==-1?color.lime:color.orange, linewidth=2)
strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyEntry and inDateRange and (riskFree or strategy.position_size==0), oca_name="oca_buy")
strategy.exit("ExitBuy", "Buy", stop = trailingStop)
strategy.close("Buy", when=closeBuyFilter)
strategy.entry("Sell", strategy.short, when=sellEntry and inDateRange and (riskFree or strategy.position_size==0), oca_name="oca_sell")
strategy.exit("ExitSell", "Buy", stop = trailingStop)
strategy.close("Sell", when=closeSellFilter)