Diese Strategie kombiniert mehrere technische Indikatoren, um eine klare Trendverfolgung zu erreichen.
Durch die Synthese von Signalen aus diesen Indikatoren kann die Strategie Trends genauer identifizieren.
Zunächst werden gleitende Durchschnitte und ihre Umschläge verwendet, um die Trendrichtung zu bestimmen.
Zweitens werden KD-Linien des stochastischen Oszillators verwendet, um Überverkauf/Überkauf zu erkennen, was in der Regel zu Umkehrmöglichkeiten führt.
Das Wachstum des Volumens zeigt den Kapitalzufluss und die Fortsetzung des Trends an, während das Abnehmen des Volumens den Ausfluss und die Umkehrung des Trends anzeigt.
Um die Qualität des Trends zu quantifizieren, wird ein Volatilitätsindex aus dem durchschnittlichen Preisbereich erstellt, und seine EMA misst die Stärke des Trends.
Schließlich können Abweichungen zwischen Preis und RSI auch auf bevorstehende Trendumkehrungen hinweisen.
Durch die Kombination all dieser Signale kann der Trend genauer ermittelt werden. Die Strategie wird lang gehen, wenn ein goldenes Kreuz zwischen MAs erscheint, und kurz gehen, wenn ein totes Kreuz auftritt.
Risikomanagement:
Diese Strategie kann in den folgenden Bereichen verbessert werden:
Verwenden Sie maschinelles Lernen, um Parameter für verschiedene Produkte automatisch einzustellen
Ergänzung der Modellbewertung zur dynamischen Anpassung der Indikatorgewichte anhand der Marktbedingungen
Anpassungsfähige Stop-Loss-Aktivitäten auf Basis der Marktvolatilität
Einbeziehung von Deep Learning für eine genauere Trendvorhersage
Erstellen Sie eine automatische Signalvereinbarung, um Konflikte zu lösen und falsche Signale zu reduzieren
Integrieren Sie mehr Indikatoren für die Vorhersage von Ensemblesystemen
Erforschung parameterloser Indikatoren zur Verringerung der Parameterabhängigkeit
Diese Strategie nutzt mehrere technische Indikatoren, um eine relativ robuste Trendidentifizierung zu erreichen, mit vielversprechendem Anwendungspotenzial.
/*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=3
//Market Cipher Update 2 - updated 8th Oct 2019
//Momentum Curves with green and red dots
strategy(title="MarketCipher B", shorttitle="MarketCipher B")
n1 = input(9, "Channel Length")
n2 = input(12, "Average Length")
obLevel1 = input(60, "Over Bought Level 1")
obLevel2 = input(53, "Over Bought Level 2")
osLevel1 = input(-60, "Over Sold Level 1")
osLevel2 = input(-53, "Over Sold Level 2")
osLevel3 = input(-100, "Over Sold Level 2")
ap = hlc3
esa = ema(ap, n1)
d = ema(abs(ap - esa), n1)
ci = (ap - esa) / (0.015 * d)
tci = ema(ci, n2)
wt1 = tci
wt2 = sma(wt1,3)
plot(0, color=gray, title="Zero Line")
plot(obLevel1, color=red, style=3, title="Bottom")
plot(osLevel1, color=green, style=3, title="Top")
plot(wt1, color=#BFE4FF, style=4, title= "Lt Blue Wave")
plot(wt2, color=#673ab7, style=4, title="Blue Wave", transp=40)
plot(wt1-wt2, color=yellow, style=4, transp=40, title="wave1-wave2")
//green dots and crosses
plotshape(crossover(wt1, wt2) and osLevel1 ? wt2 : na, title="Pos Crossover", location=location.absolute, style=shape.cross, size=size.tiny, color=#3FFF00, transp=20)
plotshape(crossover(wt2, wt1) and osLevel1 ? wt1 : na, title="Neg Crossover", location=location.absolute, style=shape.cross, size=size.tiny, color=red, transp=20)
plotshape(crossover(wt1, wt2) and wt2 < -59 ? wt2 : na, title="Pos Crossover", location=location.bottom, style=shape.circle, size=size.tiny, color=#3FFF00, transp=20)
plotshape(crossover(wt2, wt1) and wt1 > 59 ? wt2 : na, title="Neg Crossover", location=location.top, style=shape.circle, size=size.tiny, color=red, transp=20)
buy= crossover(wt1,wt2) // Define our buy/sell conditions, using pine inbuilt functions.
sell= crossover(wt2,wt1)
ordersize=floor(strategy.equity/close) // To dynamically calculate the order size as the account equity increases or decreases.
strategy.entry("long",strategy.long,ordersize,when=buy) // Buys when buy condition met
strategy.close("long", when = sell ) // Closes position when sell condition met
strategy.entry("short",strategy.short,ordersize,when=sell)
strategy.close("short",when = buy )
//soch RSI with divergences
smoothKw = input(3, minval=1)
smoothDw = input(3, minval=1)
lengthRSIw = input(14, minval=1)
lengthStochw = input(14, minval=1)
uselogw = input(true, title="Log")
srcInw = input(close, title="Source")
showdivsw = input(true, title="Show Divergences")
showhiddenw = input(false, title="Show Hidden Divergences")
showchanw = input(false, title="Show Divergences Channel")
srcw = uselogw ? log(srcInw) : srcInw
rsi1w = rsi(srcw, lengthRSIw)
kkw = sma(stoch(rsi1w, rsi1w, rsi1w, lengthStochw), smoothKw)
dw = sma(kkw, smoothDw)
hmw = input(false, title="Use Average of both K & D")
kw = hmw ? avg(kkw, dw) : kkw
aw = plot(kkw, color=blue, linewidth=1, transp=0, title="K")
bw = plot(dw, color=orange, linewidth=1, transp=0, title="D")
fw = kkw >= dw ? blue : orange
fill(aw, bw, title="KD Fill", color=white)
//------------------------------
//@RicardoSantos' Divergence Script
f_top_fractal(_src)=>_src[4] < _src[2] and _src[3] < _src[2] and _src[2] > _src[1] and _src[2] > _src[0]
f_bot_fractal(_src)=>_src[4] > _src[2] and _src[3] > _src[2] and _src[2] < _src[1] and _src[2] < _src[0]
f_fractalize(_src)=>f_top_fractal(_src) ? 1 : f_bot_fractal(_src) ? -1 : 0
//-------------------------
fractal_top = f_fractalize(kw) > 0 ? kw[2] : na
fractal_bot = f_fractalize(kw) < 0 ? kw[2] : na
high_prev = valuewhen(fractal_top, kw[2], 0)[2]
high_price = valuewhen(fractal_top, high[2], 0)[2]
low_prev = valuewhen(fractal_bot, kw[2], 0)[2]
low_price = valuewhen(fractal_bot, low[2], 0)[2]
regular_bearish_diva = fractal_top and high[2] > high_price and kw[2] < high_prev
hidden_bearish_diva = fractal_top and high[2] < high_price and kw[2] > high_prev
regular_bullish_diva = fractal_bot and low[2] < low_price and kw[2] > low_prev
hidden_bullish_diva = fractal_bot and low[2] > low_price and kw[2] < low_prev
//-------------------------
plot(showchanw?fractal_top:na, title="Top Div Channel", offset=-2, color=gray)
plot(showchanw?fractal_bot:na, title="Bottom Div Channel", offset=-2, color=gray)
col1 = regular_bearish_diva ? red : hidden_bearish_diva and showhiddenw ? red : na
col2 = regular_bullish_diva ? green : hidden_bullish_diva and showhiddenw ? green : na
col3 = regular_bearish_diva ? red : hidden_bearish_diva and showhiddenw ? red : showchanw ? gray : na
col4 = regular_bullish_diva ? green : hidden_bullish_diva and showhiddenw ? green : showchanw ? gray : na
plot(title='H F', series=showdivsw and fractal_top ? kw[2] : na, color=col1, linewidth=2, offset=-2)
plot(title='L F', series=showdivsw and fractal_bot ? kw[2] : na, color=col2, linewidth=2, offset=-2)
plot(title='H D', series=showdivsw and fractal_top ? kw[2] : na, style=circles, color=col3, linewidth=3, offset=-2)
plot(title='L D', series=showdivsw and fractal_bot ? kw[2] : na, style=circles, color=col4, linewidth=3, offset=-2)
plotshape(title='+RBD', series=showdivsw and regular_bearish_diva ? kw[2] : na, text='R', style=shape.labeldown, location=location.absolute, color=red, textcolor=white, offset=-2)
plotshape(title='+HBD', series=showdivsw and hidden_bearish_diva and showhiddenw ? kw[2] : na, text='H', style=shape.labeldown, location=location.absolute, color=red, textcolor=white, offset=-2)
plotshape(title='-RBD', series=showdivsw and regular_bullish_diva ? kw[2] : na, text='R', style=shape.labelup, location=location.absolute, color=green, textcolor=white, offset=-2)
plotshape(title='-HBD', series=showdivsw and hidden_bullish_diva and showhiddenw ? kw[2] : na, text='H', style=shape.labelup, location=location.absolute, color=green, textcolor=white, offset=-2)
//money flow
colorRed = #ff0000
colorGreen = #03ff00
ma(matype, src, length) =>
if matype == "RMA"
rma(src, length)
else
if matype == "SMA"
sma(src, length)
else
if matype == "EMA"
ema(src, length)
else
if matype == "WMA"
wma(src, length)
else
if matype == "VWMA"
vwma(src, length)
else
src
rsiMFIperiod = input(60, "RSI+MFI Period")
rsiMFIMultiplier = input(190, "RSI+MFI Area multiplier")
MFRSIMA = input(defval="SMA", title="MFRSIMA", options=["RMA", "SMA", "EMA", "WMA", "VWMA"])
candleValue = (close - open) / (high - low)
MVC = ma(MFRSIMA, candleValue, rsiMFIperiod)
color_area = MVC > 0 ? green : red
RSIMFIplot = plot(MVC * rsiMFIMultiplier, title="RSI+MFI Area", color=color_area, transp=35)
fill(RSIMFIplot, plot(0), color_area, transp=50)
//rsi
//Bullish Divergence (green triangle)
//Hidden Bullish Divergence (green circle)
//Bearish Divergence (red triangle)
//Hidden Bearish Divergence (red circle)
lend = 14
bearish_div_rsi = input(60, "Min Bearish RSI", minval=50, maxval=100)
bullish_div_rsi = input(40, "Max Bullish RSI", minval=0, maxval=50)
// RSI code
rsi = rsi(close, lend)
plot(rsi, color=#6DFFE1, linewidth=2, transp=0, title="RSI")
// DIVS code
xbars = 60
hb = abs(highestbars(rsi, xbars)) // Finds bar with highest value in last X bars
lb = abs(lowestbars(rsi, xbars)) // Finds bar with lowest value in last X bars
// Defining variable values, mandatory in Pine 3
max = na
max_rsi = na
min = na
min_rsi = na
bearish_div = na
bullish_div = na
hidden_bearish_div = na
hidden_bullish_div = na
div_alert = na
hidden_div_alert = na
// If bar with lowest / highest is current bar, use it's value
max := hb == 0 ? close : na(max[1]) ? close : max[1]
max_rsi := hb == 0 ? rsi : na(max_rsi[1]) ? rsi : max_rsi[1]
min := lb == 0 ? close : na(min[1]) ? close : min[1]
min_rsi := lb == 0 ? rsi : na(min_rsi[1]) ? rsi : min_rsi[1]
// Compare high of current bar being examined with previous bar's high
// If curr bar high is higher than the max bar high in the lookback window range
if close > max // we have a new high
max := close // change variable "max" to use current bar's high value
if rsi > max_rsi // we have a new high
max_rsi := rsi // change variable "max_rsi" to use current bar's RSI value
if close < min // we have a new low
min := close // change variable "min" to use current bar's low value
if rsi < min_rsi // we have a new low
min_rsi := rsi // change variable "min_rsi" to use current bar's RSI value
// Detects divergences between price and indicator with 1 candle delay so it filters out repeating divergences
if (max[1] > max[2]) and (rsi[1] < max_rsi) and (rsi <= rsi[1]) and (rsi[1] >= bearish_div_rsi)
bearish_div := true
div_alert := true
if (min[1] < min[2]) and (rsi[1] > min_rsi) and (rsi >= rsi[1]) and (rsi[1] <= bullish_div_rsi)
bullish_div := true
div_alert := true
// Hidden divergences
if (max[1] < max[2]) and (rsi[1] < max_rsi)
hidden_bearish_div := true
hidden_div_alert := true
if (min[1] > min[2]) and (rsi[1] > min_rsi)
hidden_bullish_div := true
hidden_div_alert := true
// Alerts
alertcondition(div_alert, title='RSI Divergence', message='RSI Divergence')
alertcondition(hidden_div_alert, title='Hidden RSI Divergence', message='Hidden RSI Divergence')
// Plots divergences with offest
plotshape((bearish_div ? rsi[1] + 3 : na), location=location.absolute, style=shape.diamond, color=#ff0000, size=size.tiny, transp=0, offset=0, title="RSI Bear Div")
plotshape((bullish_div ? rsi[1] - 3 : na), location=location.absolute, style=shape.diamond, color=#00ff01, size=size.tiny, transp=0, offset=0, title="RSI Bull Div")
plotshape((hidden_bearish_div ? rsi[1] + 3 : na), location=location.absolute, style=shape.circle, color=#ff0000, size=size.tiny, transp=0, offset=0, title="RSI Bear hDiv")
plotshape((hidden_bullish_div ? rsi[1] - 3 : na), location=location.absolute, style=shape.circle, color=#00ff01, size=size.tiny, transp=0, offset=0, title="RSI Bull hDiv")
//wave divergences
WTCross = cross(wt1, wt2)
WTCrossUp = wt2 - wt1 <= 0
WTCrossDown = wt2 - wt1 >= 0
WTFractal_top = f_fractalize(wt1) > 0 and wt1[2] ? wt1[2] : na
WTFractal_bot = f_fractalize(wt1) < 0 and wt1[2] ? wt1[2] : na
WTHigh_prev = valuewhen(WTFractal_top, wt1[2], 0)[2]
WTHigh_price = valuewhen(WTFractal_top, high[2], 0)[2]
WTLow_prev = valuewhen(WTFractal_bot, wt1, 0)[2]
WTLow_price = valuewhen(WTFractal_bot, low[2], 0)[2]
WTRegular_bearish_div = WTFractal_top and high[2] > WTHigh_price and wt1[2] < WTHigh_prev
WTRegular_bullish_div = WTFractal_bot and low[2] < WTLow_price and wt1[2] > WTLow_prev
bearWTSignal = WTRegular_bearish_div and WTCrossDown
bullWTSignal = WTRegular_bullish_div and WTCrossUp
WTCol1 = bearWTSignal ? #ff0000 : na
WTCol2 = bullWTSignal ? #00FF00EB : na
plot(series = WTFractal_top ? wt1[2] : na, title='Bearish Divergence', color=WTCol1, linewidth=5, transp=60)
plot(series = WTFractal_bot ? wt1[2] : na, title='Bullish Divergence', color=WTCol2, linewidth=5, transp=60)
//2nd wave
WTFractal_topa = f_fractalize(wt2) > 0 and wt2[2] ? wt2[2] : na
WTFractal_bota = f_fractalize(wt2) < 0 and wt2[2] ? wt2[2] : na
WTHigh_preva = valuewhen(WTFractal_topa, wt2[2], 0)[2]
WTHigh_pricea = valuewhen(WTFractal_topa, high[2], 0)[2]
WTLow_preva = valuewhen(WTFractal_bota, wt2, 0)[2]
WTLow_pricea = valuewhen(WTFractal_bota, low[2], 0)[2]
WTRegular_bearish_diva = WTFractal_topa and high[2] > WTHigh_pricea and wt2[2] < WTHigh_preva
WTRegular_bullish_diva = WTFractal_bota and low[2] < WTLow_pricea and wt2[2] > WTLow_preva
bearWTSignala = WTRegular_bearish_diva and WTCrossDown
bullWTSignala = WTRegular_bullish_diva and WTCrossUp
WTCol1a = bearWTSignala ? #ff0000 : na
WTCol2a = bullWTSignala ? #00FF00EB : na
plot(series = WTFractal_topa ? wt2[2] : na, title='Bearish Divergence', color=WTCol1a, linewidth=5, transp=60)
plot(series = WTFractal_bota ? wt2[2] : na, title='Bullish Divergence', color=WTCol2a, linewidth=5, transp=60)