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Multi-Bar-Richtungsstrategie

Schriftsteller:ChaoZhang, Datum: 2023-10-18 12:20:59
Tags:

Übersicht

Die Multi-Bar Direction Strategie identifiziert Trendumkehrsignale, indem sie die Wahrscheinlichkeit von mehreren Balken berechnet, die sich in die gleiche Richtung bewegen.

Strategie Logik

Die Strategie setzt zunächst die Start- und Endzeit für die historische Datenextraktion fest. Die Handelszeiten werden so konfiguriert, dass qualifizierte Kerzen identifiziert werden. Sie berechnet die Wahrscheinlichkeit von aufeinanderfolgenden Auf- oder Abstiegs innerhalb von 2 bis 7 Kerzen. Handelssignale werden erzeugt, wenn das Auf- oder Abstiegsverhältnis einen Schwellenwert überschreitet.

Wenn beispielsweise die Wahrscheinlichkeit eines Abwärtstrends in 3 Kerzen weniger als 50% beträgt, erfüllen die aktuellen 3 Kerzen die Bedingung und ein Kaufsignal wird generiert. Die Parameter von 2 bis 7 Bars können konfiguriert werden.

Die spezifische Logik lautet:

Setzen Sie den Backtest-Zeitrahmen ein, einschließlich Beginnsdatum, Enddatum und Handelszeiten.
Zählen Sie die Anzahl der Auf- oder Abstiege in derselben Richtung innerhalb von 2 bis 7 Leuchtern.
Berechnen Sie die Wahrscheinlichkeit der Weiterführung von oben oder unten zwischen benachbarten Leuchtern.
Wenn die Wahrscheinlichkeit unter 50% liegt, entsprechen die aktuellen Kerzen dem Umkehrmuster.
Erstellen Sie Kauf- oder Verkaufssignale innerhalb der Handelszeiten.
Zur Validierung der Strategie.

Vorteile

Vermeiden Sie falsche Signale, indem Sie die Wahrscheinlichkeit von mehreren Kerzenständen berücksichtigen.
Anpassbare Barzahl zur Identifizierung von Umkehrsignalen in verschiedenen Zeitrahmen.
Klaren Handelszeiten zu folgen, um unzeitgemäße Signale zu vermeiden.
Intuitive Anzeige von Statistiken zur Leistungsbewertung.
Viele optimierbare Parameter für verschiedene Märkte.

Risiken

Die Barzählung kann die Umkehrpunkte des Trends nicht vollständig bestimmen.
Eine lange Dauer von Statistiken kann kurzfristige Handelsmöglichkeiten verpassen.
Der statische Schwellenwert wird durch die Volatilität des Marktes beeinflusst und muss dynamisch angepasst werden.
Die Auswahl der Rückprüfungsperiode kann zu einer Überanpassung führen.

Mögliche Lösungen:

Optimieren Sie die Barzahl für verschiedene Zeitrahmen.
Einbeziehung anderer Indikatoren.
Annahme dynamischer Schwellenwerte auf der Grundlage der Marktvolatilität.
Erweitern Sie die Backtest-Periode und führen Sie mehrere Backtests durch.

Optimierungsrichtlinien

Die Strategie kann in folgenden Aspekten optimiert werden:

Optimieren Sie die Barzahl von 2 bis 10 und wählen Sie den optimalen Parameter.
Testumkehrschwelle von 40% auf 60% unter Berücksichtigung von Marktveränderungen.
Hinzufügen von Stop-Loss nach der Erzeugung des Signals, um das Risiko zu begrenzen.
Einbeziehen Sie andere Indikatoren wie RSI, um Signale zu validieren.
Fügen Sie mehr Produkte wie Futures und Forex für Parameter-Tests hinzu.
Inkrementelle Parameter-Tuning, um optimale Kombinationen zu finden.
Maschinelle Lernmodelle anwenden, um automatisch optimale Parameter zu finden.

Schlussfolgerung

Die Multi-Bar Direction Strategie identifiziert potenzielle Umkehrsignale durch statistische Analyse von Kerzenwahrscheinlichkeiten. Aber die Leistung hängt von der Parameter-Tuning ab, die auf ausreichenden Optimierungen basiert. Außerdem haben Umkehrsignale Risiko für Fehleinschätzung und müssen validiert werden. Insgesamt ist dies eine einfache und effektive statistische Strategie, die sich für weitere Forschung und Optimierung lohnt.

/*backtest
start: 2023-10-16 00:00:00
end: 2023-10-17 00:00:00
period: 5m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// BO - Bar's direction Signal - Backtesting
//anch.v43
// © inno14
//@version=4

strategy("BO - Bar's direction Signal - Backtesting", pyramiding=15)
// === INPUT PERIOD OF TIME ===
Date   = input(true, title = "=== Periods Counting ===")
FromDay   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear  = input(defval = 2020, title = "From Year", minval = 2017)

ToDay     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear    = input(defval = 9999, title = "To Year", minval = 2017)

// === DATE RANGE ===
start     = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish    = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window()  => time >= start and time <= finish ? true : false // create function "within window of time"

// === Trading Time ===
CTimeDvM   = input(true, title = "=== Trading Time ===")
Time_zone = input(7,title="Time Zone")
FromHourDvM   = input(defval = 05, title = "From Hour", minval = 00, maxval = 23)
FromMinuteDvM = input(defval = 00, title = "From Minute", minval = 00, maxval = 59)
ToHourDvM   = input(defval = 04, title = "To Hour", minval = 00, maxval = 23)
ToMinuteDvM = input(defval = 59, title = "To Minute", minval = 00, maxval = 59)

GMT_FHDvM=FromHourDvM<Time_zone?FromHourDvM-Time_zone+24:FromHourDvM-Time_zone
GMT_THDvM=ToHourDvM<Time_zone?ToHourDvM-Time_zone+24:ToHourDvM-Time_zone
fhDvM= (GMT_FHDvM<10?"0"+tostring(GMT_FHDvM):tostring(GMT_FHDvM))
fmDvM= (FromMinuteDvM<10?"0"+tostring(FromMinuteDvM):tostring(FromMinuteDvM))
thDvM= (GMT_THDvM<10?"0"+tostring(GMT_THDvM):tostring(GMT_THDvM))
tmDvM= (ToMinuteDvM<10?"0"+tostring(ToMinuteDvM):tostring(ToMinuteDvM))
WorkingHourDvM = fhDvM+fmDvM+"-"+thDvM+tmDvM
t0_DvM = time(timeframe.period, WorkingHourDvM)
htrtime = input(true,title="Highlight Tradingtime")
bgcolor(htrtime? t0_DvM? color.gray : na:na, title="Trading Time", transp=90)

// === Date Backtesting ===
Date1   = input(true, title = "=== Date Backtesting ===")
FromDay1   = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth1 = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear1  = input(defval = 2020, title = "From Year", minval = 2017)

ToDay1     = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth1   = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear1    = input(defval = 9999, title = "To Year", minval = 2017)

// === DATE RANGE ===
start1     = timestamp(FromYear1, FromMonth1, FromDay1, 00, 00)  // backtest start window
finish1    = timestamp(ToYear1, ToMonth1, ToDay1, 23, 59)        // backtest finish window
window1()  => time >= start1 and time <= finish1 ? true : false // create function "within window of time"

// === Setup ===
Setup   = input(true, title = "=== Setup Options ===")
set1 = input(true, title = "Reversal after 2 bars same direction")
set2 = input(true, title = "Reversal after 3 bars same direction")
set3 = input(true, title = "Reversal after 4 bars same direction")
set4 = input(true, title = "Reversal after 5 bars same direction")
set5 = input(true, title = "Reversal after 6 bars same direction")


// Calculate hours, minutes, and seconds till close
timeLeft = barstate.isrealtime ?
     (time_close - timenow) / 1000 :
     na

minutesLeft = floor((timeLeft % 3600) / 60)
secondsLeft = timeLeft % 60
// truncate() truncates a given number
// to a certain number of decimals
truncate(number, decimals) =>
    factor = pow(10, decimals)
    int(number * factor) / factor
//count 2
redv2=window()?1:0
bluev2=window()?1:0
mchange2 = close[0]<open[0] and close[1]<open[1] and t0_DvM?-1:0
pchange2 = close[0]>open[0] and close[1]>open[1] and t0_DvM?1:0
blue2 = cum(pchange2 > 0 ? bluev2 : 0 * bluev2)
red2 = cum(mchange2 < 0 ? redv2 : 0 * redv2)

//count 3
redv3=window()?1:0
bluev3=window()?1:0
mchange3 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and t0_DvM?-1:0
pchange3 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and t0_DvM?1:0
blue3 = cum(pchange3 > 0 ? bluev3 : 0 * bluev3)
red3 = cum(mchange3 < 0 ? redv3 : 0 * redv3)

//count 4
redv4=window()?1:0
bluev4=window()?1:0
mchange4 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and t0_DvM?-1:0
pchange4 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and t0_DvM?1:0
blue4 = cum(pchange4 > 0 ? bluev4 : 0 * bluev4)
red4 = cum(mchange4 < 0 ? redv4 : 0 * redv4)

//count 5
redv5=window()?1:0
bluev5=window()?1:0
mchange5 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and close[4]<open[4] and t0_DvM?-1:0
pchange5 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and close[4]>open[4] and t0_DvM?1:0
blue5 = cum(pchange5 > 0 ? bluev5 : 0 * bluev5)
red5 = cum(mchange5 < 0 ? redv5 : 0 * redv5)

//count 6
redv6=window()?1:0
bluev6=window()?1:0
mchange6 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and close[4]<open[4] and close[5]<open[5] and t0_DvM?-1:0
pchange6 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and close[4]>open[4] and close[5]>open[5] and t0_DvM?1:0
blue6 = cum(pchange6 > 0 ? bluev6 : 0 * bluev6)
red6 = cum(mchange6 < 0 ? redv6 : 0 * redv6)

//count 7
redv7=window()?1:0
bluev7=window()?1:0
mchange7 = close[0]<open[0] and close[1]<open[1] and close[2]<open[2] and close[3]<open[3] and close[4]<open[4] and close[5]<open[5] and close[6]<open[6] and t0_DvM?-1:0
pchange7 = close[0]>open[0] and close[1]>open[1] and close[2]>open[2] and close[3]>open[3] and close[4]>open[4] and close[5]>open[5] and close[6]>open[6] and t0_DvM?1:0
blue7 = cum(pchange7 > 0 ? bluev7 : 0 * bluev7)
red7 = cum(mchange7 < 0 ? redv7 : 0 * redv7)

//Percent 3rd bar has same direction
pred3=(red3/red2)*100
pblue3=(blue3/blue2)*100

//2->3
p23_blue_xloc=0
p23_red_xloc=2
p23_lable_xloc=round((p23_blue_xloc+p23_red_xloc)/2)
p23_label_yloc=1.0*100
blue2_100=100
red2_100=100

plot(blue2_100, style=plot.style_columns, offset=p23_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red2_100, style=plot.style_columns, offset=-p23_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue3, style=plot.style_columns, offset=p23_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred3, style=plot.style_columns, offset=-p23_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_23=label.new(bar_index[p23_red_xloc],pred3,style=label.style_none,text=tostring(truncate(pred3,2))+"%")
// label.delete(label_pred_23[1])
//label_2dn=label.new(bar_index[p23_red_xloc],red2,style=label.style_none,text="2 bars downward: "+tostring(red2))
//label.delete(label_2dn[1])
// label_pblue_23=label.new(bar_index[p23_blue_xloc],pblue3,style=label.style_none,text=tostring(truncate(pblue3,2))+"%")
// label.delete(label_pblue_23[1])
//label_2up=label.new(bar_index[p23_blue_xloc],blue2,style=label.style_none,text="2 bars upward: "+tostring(blue2))
//label.delete(label_2up[1])
// label_23=label.new(bar_index[p23_lable_xloc],p23_label_yloc,style=label.style_labeldown,text="3 bars same direction", color=color.orange)
// label.delete(label_23[1])

//Percent 4th bar has same direction
pred4=(red4/red3)*100
pblue4=(blue4/blue3)*100

//3->4
p34_blue_xloc=4
p34_red_xloc=6
p34_lable_xloc=round((p34_blue_xloc+p34_red_xloc)/2)
p34_label_yloc=1.0*100
blue3_100=100
red3_100=100

plot(blue3_100, style=plot.style_columns, offset=-p34_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red3_100, style=plot.style_columns, offset=-p34_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue4, style=plot.style_columns, offset=-p34_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred4, style=plot.style_columns, offset=-p34_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_34=label.new(bar_index[p34_red_xloc],pred4,style=label.style_none,text=tostring(truncate(pred4,2))+"%")
// label.delete(label_pred_34[1])
// //label_3dn=label.new(bar_index[p34_red_xloc],red3,style=label.style_none,text="3 bars downward: "+tostring(red3))
// //label.delete(label_3dn[1])
// label_pblue_34=label.new(bar_index[p34_blue_xloc],pblue4,style=label.style_none,text=tostring(truncate(pblue4,2))+"%")
// label.delete(label_pblue_34[1])
// //label_3up=label.new(bar_index[p34_blue_xloc],blue3,style=label.style_none,text="3 bars upward: "+tostring(blue3))
// //label.delete(label_3up[1])
// label_34=label.new(bar_index[p34_lable_xloc],p34_label_yloc,style=label.style_labeldown,text="4 bars same direction", color=color.orange)
// label.delete(label_34[1])

//Percent 5th bar has same direction
pred5=(red5/red4)*100
pblue5=(blue5/blue4)*100

//4->5
p45_blue_xloc=8
p45_red_xloc=10
p45_lable_xloc=round((p45_blue_xloc+p45_red_xloc)/2)
p45_label_yloc=1.0*100
blue4_100=100
red4_100=100

plot(blue4_100, style=plot.style_columns, offset=-p45_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red4_100, style=plot.style_columns, offset=-p45_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue5, style=plot.style_columns, offset=-p45_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred5, style=plot.style_columns, offset=-p45_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_45=label.new(bar_index[p45_red_xloc],pred5,style=label.style_none,text=tostring(truncate(pred5,2))+"%")
// label.delete(label_pred_45[1])
// //label_4dn=label.new(bar_index[p45_red_xloc],red4,style=label.style_none,text="4 bars downward: "+tostring(red4))
// //label.delete(label_4dn[1])
// label_pblue_45=label.new(bar_index[p45_blue_xloc],pblue5,style=label.style_none,text=tostring(truncate(pblue5,2))+"%")
// label.delete(label_pblue_45[1])
// //label_4up=label.new(bar_index[p45_blue_xloc],blue4,style=label.style_none,text="4 bars upward: "+tostring(blue4))
// //label.delete(label_4up[1])
// label_45=label.new(bar_index[p45_lable_xloc],p45_label_yloc,style=label.style_labeldown,text="5 bars same direction", color=color.orange)
// label.delete(label_45[1])

//Percent 6th bar has same direction
pred6=(red6/red5)*100
pblue6=(blue6/blue5)*100

//5->6
p56_blue_xloc=12
p56_red_xloc=14
p56_lable_xloc=round((p56_blue_xloc+p56_red_xloc)/2)
p56_label_yloc=1.0*100
blue5_100=100
red5_100=100

plot(blue5_100, style=plot.style_columns, offset=-p56_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red5_100, style=plot.style_columns, offset=-p56_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue6, style=plot.style_columns, offset=-p56_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred6, style=plot.style_columns, offset=-p56_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_56=label.new(bar_index[p56_red_xloc],pred6,style=label.style_none,text=tostring(truncate(pred6,2))+"%")
// label.delete(label_pred_56[1])
// //label_5dn=label.new(bar_index[p56_red_xloc],red5,style=label.style_none,text="5 bars downward: "+tostring(red5))
// //label.delete(label_5dn[1])
// label_pblue_56=label.new(bar_index[p56_blue_xloc],pblue6,style=label.style_none,text=tostring(truncate(pblue6,2))+"%")
// label.delete(label_pblue_56[1])
// //label_5up=label.new(bar_index[p56_blue_xloc],blue5,style=label.style_none,text="5 bars upward: "+tostring(blue5))
// //label.delete(label_5up[1])
// label_56=label.new(bar_index[p56_lable_xloc],p56_label_yloc,style=label.style_labeldown,text="6 bars same direction", color=color.orange)
// label.delete(label_56[1])

//Percent 7th bar has same direction
pred7=(red7/red6)*100
pblue7=(blue7/blue6)*100

//6->7
p67_blue_xloc=16
p67_red_xloc=18
p67_lable_xloc=round((p67_blue_xloc+p67_red_xloc)/2)
p67_label_yloc=1.0*100
blue6_100=100
red6_100=100

plot(blue6_100, style=plot.style_columns, offset=-p67_blue_xloc, color=color.blue, transp=60, show_last=1)
plot(red6_100, style=plot.style_columns, offset=-p67_red_xloc, color=color.red, transp=60, show_last=1)
plot(pblue7, style=plot.style_columns, offset=-p67_blue_xloc, color=color.blue, transp=40, show_last=1)
plot(pred7, style=plot.style_columns, offset=-p67_red_xloc, color=color.red, transp=40, show_last=1)
// label_pred_67=label.new(bar_index[p67_red_xloc],pred7,style=label.style_none,text=tostring(truncate(pred7,2))+"%")
// label.delete(label_pred_67[1])
// //label_6dn=label.new(bar_index[p67_red_xloc],red6,style=label.style_none,text="6 bars downward: "+tostring(red6))
// //label.delete(label_6dn[1])
// label_pblue_67=label.new(bar_index[p67_blue_xloc],pblue7,style=label.style_none,text=tostring(truncate(pblue7,2))+"%")
// label.delete(label_pblue_67[1])
// //label_6up=label.new(bar_index[p67_blue_xloc],blue6,style=label.style_none,text="6 bars upward: "+tostring(blue6))
// //label.delete(label_6up[1])
// label_67=label.new(bar_index[p67_lable_xloc],p67_label_yloc,style=label.style_labeldown,text="7 bars same direction", color=color.orange)
// label.delete(label_67[1])

//Plot Time Label
time_label_yloc=1.4*100
time_lable_xloc=round((p67_red_xloc+p23_blue_xloc)/2)
time_label_text="Bar's Direction Info From: "+tostring(FromDay)+"/"+tostring(FromMonth)+"/"+tostring(FromYear)+" To: "+tostring(ToDay)+"/"+tostring(ToMonth)+"/"+tostring(ToYear)
// label_time=label.new(bar_index[time_lable_xloc],time_label_yloc,style=label.style_none,text=time_label_text, color=color.aqua)
// label.delete(label_time[1])

//Signal
//Put signal
x1=
       pblue3<50?blue2[0]>blue2[1] and blue3[0]==blue3[1]:false
x2=
       pblue4<50?blue3[0]>blue3[1] and blue4[0]==blue4[1]:false
x3=
       pblue5<50?blue4[0]>blue4[1] and blue5[0]==blue5[1]:false
x4=
       pblue6<50?blue5[0]>blue5[1] and blue6[0]==blue6[1]:false
x5=
       pblue7<50?blue6[0]>blue6[1] and blue7[0]==blue7[1]:false

//Call signal
y1=
       pred3<50?red2[0]>red2[1] and red3[0]==red3[1]:false
y2=
       pred4<50?red3[0]>red3[1] and red4[0]==red4[1]:false
y3=
       pred5<50?red4[0]>red4[1] and red5[0]==red5[1]:false
y4=
       pred6<50?red5[0]>red5[1] and red6[0]==red6[1]:false
y5=
       pred7<50?red6[0]>red6[1] and red7[0]==red7[1]:false

//Function
xTech=
       set1?x1:false
       or set2?x2:false
       or set3?x3:false
       or set4?x4:false
       or set5?x5:false
       

yTech=
       set1?y1:false
       or set2?y2:false
       or set3?y3:false
       or set4?y4:false
       or set5?y5:false
       

//Plot Analyzing Signals
hline1=hline(-100)
hline2=hline(-1.6*100)
hline0=hline(0)
sigtext=xTech?"Put signal":yTech?"Call signal":"Analyzing Signals - Bar's Time left:"+tostring(minutesLeft)+":"+tostring(secondsLeft)
sig_col=xTech?color.new(color.red,0):yTech?color.new(color.blue,0):color.new(color.navy,0)
// label_sig_text = label.new(bar_index[0], -1.5*100, text=sigtext, style=label.style_none, textcolor=sig_col, size=size.large)
// label.delete(label_sig_text[1])

//plot Signal

putcol = xTech? color.red : na
callcol = yTech? color.blue : na
PutSignal= xTech and window1() and t0_DvM?-100:na
CallSignal= yTech and window1() and t0_DvM?-100:na

plot(PutSignal, title='Put Signal', style=plot.style_columns, color=color.red, offset=1, transp=0)
plot(CallSignal, title='Call Signal', style=plot.style_columns, color=color.blue, offset=1, transp=0)
plotshape(PutSignal, title='Put', text="Put", style=shape.labeldown, location=location.bottom, color=color.orange, textcolor=color.black, offset=1, transp=0)
plotshape(CallSignal, title='Call', text="Call", style=shape.labelup, location=location.bottom, color=color.orange, textcolor=color.black, offset=1, transp=0)

//Backtesting
strategy.entry("Call", strategy.long, when=yTech and window1() and t0_DvM)
strategy.entry("Put", strategy.short, when=xTech and window1() and t0_DvM)
strategy.close_all(when=barstate.isnew)
//EOF

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