Diese Strategie ist eine Trend-Folge-Strategie, die die Trendrichtung über RSI-, CCI- und Bollinger-Band-Indikatoren über verschiedene Zeitrahmen hinweg bestimmt und schrittweise über DCA in den Markt gelangt, um dem Gewinntrend zu folgen.
Lösungen:
Diese Strategie bestimmt die Trendrichtung durch Multi-Timeframe RSI und CCI, kommt über abgestufte / überverkaufte Aufträge in den Markt. Es funktioniert sehr gut, wenn ein starker Trend entsteht. Aber unangemessene Parameter können auch zu Überhandel führen. Im Allgemeinen hat diese Strategie großen Raum für Parameter-Tuning und Stop-Loss-Optimierung und kann nach der Optimierung gute Ergebnisse erzielen.
/*backtest start: 2022-11-14 00:00:00 end: 2023-11-20 00:00:00 period: 1d basePeriod: 1h 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/ // © rrolik66 //@version=5 strategy(title="3RSI 3CCI BB 5orders DCA strategy+", overlay=true ) start_time = input(defval=timestamp('01 January 2021 00:00'), title='Start Time') end_time = input(defval=timestamp('01 January 2022 00:00'), title='End Time') src_bot = input.source(close, 'Source Bot') tradeDirection = input.string(title='Trade Direction', options=['Long Bot', 'Short Bot'], defval='Long Bot') weight_order0 = input.float(13.03, title='1 order (%)', group='weight of orders in %', inline='Input 0') * 0.01 weight_order1 = input.float(14.29, title='2 order (%)', group='weight of orders in %', inline='Input 0') * 0.01 weight_order2 = input.float(17.19, title='3 order (%)', group='weight of orders in %', inline='Input 1') * 0.01 weight_order3 = input.float(22.67, title='4 order (%)', group='weight of orders in %', inline='Input 1') * 0.01 weight_order4 = input.float(32.80, title='5 order (%)', group='weight of orders in %', inline='Input 2') * 0.01 st_long_orders = input.float(title='Rate cover (%)', minval=1, defval=80, group='Long Bot', inline='Input 1') / 4 * 0.01 longTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Long Bot', inline='Input 1') * 0.01 entry_long_SL = input.bool(defval=false, title='StopLoss', group='Long Bot', inline='Input 2') longStopLoss = input.float(80, step=0.1, title='for Long Bot (%)', group='Long Bot', inline='Input 2') * 0.01 st_short_orders = input.float(title='Rate cover (%)', minval=1, defval=500, group='Short Bot', inline='Input 1') / 4 * 0.01 shortTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Short Bot', inline='Input 1') * 0.01 entry_short_SL = input.bool(defval=false, title='StopLoss', group='Short Bot', inline='Input 2') shortStopLoss = input.float(500, step=0.1, title='for Short Bot (%)', group='Short Bot', inline='Input 2') * 0.01 //inputs for indicators src = input.source(close, 'Source', group='indicators') rsi1_input = input.bool(defval=true, title='RSI-1', group='RSI-1', inline='Input 0') rsi1_res = input.timeframe(title='resolution', defval='5', group='RSI-1', inline='Input 0') rsi1_low = input.int(65, minval=0, maxval=100, title='long <', group='RSI-1', inline='Input 1') rsi1_len_long = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 1') rsi1_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-1', inline='Input 2') rsi1_len_short = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 2') rsi2_input = input.bool(defval=true, title='RSI-2', group='RSI-2', inline='Input 0') rsi2_res = input.timeframe(title='resolution', defval='15', group='RSI-2', inline='Input 0') rsi2_low = input.int(72, minval=0, maxval=100, title='long <', group='RSI-2', inline='Input 1') rsi2_len_long = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 1') rsi2_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-2', inline='Input 2') rsi2_len_short = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 2') rsi3_input = input.bool(defval=true, title='RSI-3', group='RSI-3', inline='Input 0') rsi3_res = input.timeframe(title='resolution', defval='30', group='RSI-3', inline='Input 0') rsi3_low = input.int(74, minval=0, maxval=100, title='long <', group='RSI-3', inline='Input 1') rsi3_len_long = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 1') rsi3_up = input.int(34, minval=0, maxval=100, title='short >', group='RSI-3', inline='Input 2') rsi3_len_short = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 2') cci1_input = input.bool(defval=true, title='CCI-1', group='CCI-1', inline='Input 0') cci1_res = input.timeframe(title='resolution', defval='5', group='CCI-1', inline='Input 0') cci1_low = input.int(190, step=5, title='long <', group='CCI-1', inline='Input 1') cci1_len_long = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 1') cci1_up = input.int(-175, step=5, title='short >', group='CCI-1', inline='Input 2') cci1_len_short = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 2') cci2_input = input.bool(defval=true, title='CCI-2', group='CCI-2', inline='Input 0') cci2_res = input.timeframe(title='resolution', defval='15', group='CCI-2', inline='Input 0') cci2_low = input.int(195, step=5, title='long <', group='CCI-2', inline='Input 1') cci2_len_long = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 1') cci2_up = input.int(-205, step=5, title='short >', group='CCI-2', inline='Input 2') cci2_len_short = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 2') cci3_input = input.bool(defval=true, title='CCI-3', group='CCI-3', inline='Input 0') cci3_res = input.timeframe(title='resolution', defval='30', group='CCI-3', inline='Input 0') cci3_low = input.int(200, step=5, title='long <', group='CCI-3', inline='Input 1') cci3_len_long = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 1') cci3_up = input.int(-220, step=5, title='short >', group='CCI-3', inline='Input 2') cci3_len_short = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 2') bb_input = input.bool(defval=false, title='BB', group='Bollinger Bands', tooltip='(for long trading) the price is below the lower band, (for short trading) the price is abowe the upper band, для лонга цена под нижней линией, для шорта цена над верхней линией', inline='Input 0') bb_res = input.timeframe(title='resolution', defval='5', group='Bollinger Bands', inline='Input 0') bb_dev = input.float(2.0, minval=0.1, maxval=50, step=0.1, title='Deviation', group='Bollinger Bands', inline='Input 2') bb_len = input.int(20, minval=1, title='Length', group='Bollinger Bands', inline='Input 2') cci_input = input.bool(defval=false, title='band CCI', group='band CCI', tooltip='this setting sets the trading range by the level of the "CCI" indicator, эта настройка задает диапазон торговли по уровню индикатора "CCI" (я не использую)', inline='Input 0') cci_res = input.timeframe(title='resolution', defval='60', group='band CCI', inline='Input 0') cci_len = input.int(20, minval=1, title='CCI Length', group='band CCI', inline='Input 1') cci_low = input.int(-110, step=10, title='CCI >', group='band CCI', inline='Input 2') cci_up = input.int(110, step=10, title='CCI <', group='band CCI', inline='Input 2') show_signals = input.bool(defval=false, title='Show signals', inline='Input') //Input to trading conditions longOK = tradeDirection == 'Long Bot' shortOK = tradeDirection == 'Short Bot' within_window() => true // get indicators rsi1_sec_long = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_long)) rsi1_sec_short = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_short)) rsi2_sec_long = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_long)) rsi2_sec_short = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_short)) rsi3_sec_long = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_long)) rsi3_sec_short = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_short)) cci1_sec_long = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_long)) cci1_sec_short = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_short)) cci2_sec_long = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_long)) cci2_sec_short = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_short)) cci3_sec_long = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_long)) cci3_sec_short = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_short)) [basis, upper_bb, lower_bb] = request.security(syminfo.tickerid, bb_res, ta.bb(src, bb_len, bb_dev)) cci_sec = request.security(syminfo.tickerid, cci_res, ta.cci(src, cci_len)) // calculate indicators float rating_long = 0 float rating_long_num = 0 float rating_short = 0 float rating_short_num = 0 float rsi1_long = na float rsi1_short = na if not na(rsi1_sec_long) and rsi1_input and longOK rsi1_long := rsi1_sec_long < rsi1_low ? 1 : 0 if not na(rsi1_sec_short) and rsi1_input and shortOK rsi1_short := rsi1_sec_short > rsi1_up ? 1 : 0 if not na(rsi1_long) rating_long += rsi1_long rating_long_num += 1 if not na(rsi1_short) rating_short += rsi1_short rating_short_num += 1 float rsi2_long = na float rsi2_short = na if not na(rsi2_sec_long) and rsi2_input and longOK rsi2_long := rsi2_sec_long < rsi2_low ? 1 : 0 if not na(rsi2_sec_short) and rsi2_input and shortOK rsi2_short := rsi2_sec_short > rsi2_up ? 1 : 0 if not na(rsi2_long) rating_long += rsi2_long rating_long_num += 1 if not na(rsi2_short) rating_short += rsi2_short rating_short_num += 1 float rsi3_long = na float rsi3_short = na if not na(rsi3_sec_long) and rsi3_input and longOK rsi3_long := rsi3_sec_long < rsi3_low ? 1 : 0 if not na(rsi3_sec_short) and rsi3_input and shortOK rsi3_short := rsi3_sec_short > rsi3_up ? 1 : 0 if not na(rsi3_long) rating_long += rsi3_long rating_long_num += 1 if not na(rsi3_short) rating_short += rsi3_short rating_short_num += 1 float cci1_long = na float cci1_short = na if not na(cci1_sec_long) and cci1_input and longOK cci1_long := cci1_sec_long < cci1_low ? 1 : 0 if not na(cci1_sec_short) and cci1_input and shortOK cci1_short := cci1_sec_short > cci1_up ? 1 : 0 if not na(cci1_long) rating_long += cci1_long rating_long_num += 1 if not na(cci1_short) rating_short += cci1_short rating_short_num += 1 float cci2_long = na float cci2_short = na if not na(cci2_sec_long) and cci2_input and longOK cci2_long := cci2_sec_long < cci2_low ? 1 : 0 if not na(cci2_sec_short) and cci2_input and shortOK cci2_short := cci2_sec_short > cci2_up ? 1 : 0 if not na(cci2_long) rating_long += cci2_long rating_long_num += 1 if not na(cci2_short) rating_short += cci2_short rating_short_num += 1 float cci3_long = na float cci3_short = na if not na(cci3_sec_long) and cci3_input and longOK cci3_long := cci3_sec_long < cci3_low ? 1 : 0 if not na(cci3_sec_short) and cci3_input and shortOK cci3_short := cci3_sec_short > cci3_up ? 1 : 0 if not na(cci3_long) rating_long += cci3_long rating_long_num += 1 if not na(cci3_short) rating_short += cci3_short rating_short_num += 1 float bb_long = na float bb_short = na if not(na(lower_bb) or na(src) or na(src[1])) and bb_input and longOK bb_long := src < lower_bb ? 1 : 0 if not(na(upper_bb) or na(src) or na(src[1])) and bb_input and shortOK bb_short := src > upper_bb ? 1 : 0 if not na(bb_long) rating_long += bb_long rating_long_num += 1 if not na(bb_short) rating_short += bb_short rating_short_num += 1 float cci_band = na if not na(cci_sec) and cci_input cci_band := cci_sec < cci_up and cci_sec > cci_low ? 1 : 0 if not na(cci_band) rating_long += cci_band rating_long_num += 1 rating_short += cci_band rating_short_num += 1 //Buy Sell Buy_ok = rating_long_num != 0 and longOK ? rating_long == rating_long_num : true Sell_ok = rating_short_num != 0 and shortOK ? rating_short == rating_short_num : true // Plotting plotshape(Buy_ok and show_signals and longOK, title='Buy', text='Long', textcolor=color.new(color.white, 0), style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), size=size.tiny) plotshape(Sell_ok and show_signals and shortOK, title='Sell', text='Short', textcolor=color.new(color.white, 0), style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), size=size.tiny) strategy.initial_capital =50000 //Figure in entry orders price longEntryPrice0 = src_bot longEntryPrice1 = longEntryPrice0 * (1 - st_long_orders) longEntryPrice2 = longEntryPrice0 * (1 - st_long_orders * 2) longEntryPrice3 = longEntryPrice0 * (1 - st_long_orders * 3) longEntryPrice4 = longEntryPrice0 * (1 - st_long_orders * 4) longEntryqty0 = strategy.initial_capital * weight_order0 / longEntryPrice0 longEntryqty1 = strategy.initial_capital * weight_order1 / longEntryPrice1 longEntryqty2 = strategy.initial_capital * weight_order2 / longEntryPrice2 longEntryqty3 = strategy.initial_capital * weight_order3 / longEntryPrice3 longEntryqty4 = strategy.initial_capital * weight_order4 / longEntryPrice4 shortEntryPrice0 = src_bot shortEntryPrice1 = shortEntryPrice0 * (1 + st_short_orders) shortEntryPrice2 = shortEntryPrice0 * (1 + st_short_orders * 2) shortEntryPrice3 = shortEntryPrice0 * (1 + st_short_orders * 3) shortEntryPrice4 = shortEntryPrice0 * (1 + st_short_orders * 4) shortcontracts = strategy.initial_capital / shortEntryPrice0 shortEntryqty0 = shortcontracts * weight_order0 shortEntryqty1 = shortcontracts * weight_order1 shortEntryqty2 = shortcontracts * weight_order2 shortEntryqty3 = shortcontracts * weight_order3 shortEntryqty4 = shortcontracts * weight_order4 long_entry_price = strategy.opentrades.entry_price (0) short_entry_price = strategy.opentrades.entry_price (0) longTP = strategy.position_avg_price * (1 + longTakeProfit) longSL = long_entry_price * (1 - longStopLoss) shortTP = strategy.position_avg_price * (1 - shortTakeProfit) shortSL = short_entry_price * (1 + shortStopLoss) plot(series=strategy.position_size > 0 and longOK ? longTP : na, color=color.new(color.red, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit') plot(series=strategy.position_size > 0 and entry_long_SL and longOK ? longSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss') plot(series=strategy.position_size < 0 and shortOK ? shortTP : na, color=color.new(color.green, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit') plot(series=strategy.position_size < 0 and entry_short_SL and shortOK ? shortSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss') // Submit entry orders if strategy.opentrades == 0 and longOK and within_window() strategy.order(id='Long0', direction=strategy.long, qty=longEntryqty0, limit=longEntryPrice0, when=Buy_ok) strategy.order(id='Long1', direction=strategy.long, qty=longEntryqty1, limit=longEntryPrice1, when=Buy_ok) strategy.order(id='Long2', direction=strategy.long, qty=longEntryqty2, limit=longEntryPrice2, when=Buy_ok) strategy.order(id='Long3', direction=strategy.long, qty=longEntryqty3, limit=longEntryPrice3, when=Buy_ok) strategy.order(id='Long4', direction=strategy.long, qty=longEntryqty4, limit=longEntryPrice4, when=Buy_ok) if strategy.opentrades == 0 and shortOK and within_window() strategy.order(id='Short0', direction=strategy.short, qty=shortEntryqty0, limit=shortEntryPrice0, when=Sell_ok) strategy.order(id='Short1', direction=strategy.short, qty=shortEntryqty1, limit=shortEntryPrice1, when=Sell_ok) strategy.order(id='Short2', direction=strategy.short, qty=shortEntryqty2, limit=shortEntryPrice2, when=Sell_ok) strategy.order(id='Short3', direction=strategy.short, qty=shortEntryqty3, limit=shortEntryPrice3, when=Sell_ok) strategy.order(id='Short4', direction=strategy.short, qty=shortEntryqty4, limit=shortEntryPrice4, when=Sell_ok) // exit position if (strategy.position_size > 0) and not entry_long_SL and longOK strategy.exit(id='exit_Long', limit=longTP, qty=strategy.position_size, when=strategy.position_size[1] > 0) if (strategy.position_size > 0) and entry_long_SL and longOK strategy.exit(id='exit_Long', limit=longTP, stop=longSL, qty=strategy.position_size, when=strategy.position_size[1] > 0) if (strategy.position_size < 0) and not entry_short_SL and shortOK strategy.exit(id='exit_Short', limit=shortTP, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0) if (strategy.position_size < 0) and entry_short_SL and shortOK strategy.exit(id='exit_Short', limit=shortTP, stop=shortSL, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0) // Cleanup if ta.crossunder(strategy.opentrades, 0.5) strategy.close_all() strategy.cancel_all()