Übersicht Diese Strategie basiert auf der Überschneidung von drei gleitenden Durchschnittslinien (MA1, MA2, MA3).
Grundsätze Die Strategie verwendet hauptsächlich die Crossover- und Undercross-Signale zwischen den drei gleitenden Durchschnittslinien als Handelssignale. Wenn der kürzere Zeitraum MA über den längeren Zeitraum MA von unten nach oben kreuzt, erzeugt er ein langes Eingangssignal; wenn der kürzere Zeitraum MA unter dem längeren Zeitraum MA von oben nach unten kreuzt, erzeugt er ein Ausgangssignal.
Die Benutzer können die Art (SMA, EMA usw.), die Periode, die Preisdatenquelle (Schlusskurs, Höchstpreis usw.) und die Auflösung (Minutenbalken, Tagesbalken usw.) der drei MA frei auswählen.
Derzeit geht die Strategie nur lang, in und aus Positionen mit Markt-Orders. Standardmäßig verwendet jeder Handel 100% des Gesamtkontoguthaben.
Vorteile
Risiken
Optimierungsvorschläge
Zusammenfassung Die Strategie nutzt umfassend die Glättungseigenschaft von MAs und die Mustererkennungsleistung von Crossover-Signalen. Benutzer können flexibel Parameter auswählen, um zwischen Trendfolgung und Umkehridentifizierung auszugleichen. Auch das Risiko von Überanpassung sollte durch Validierung der Strategie Robustheit unter komplexen Marktbedingungen, die im Backtest simuliert wurden, kontrolliert werden. Abschließend bietet diese Strategie ein effektives Beispiel für die Nutzung mehrerer MAs für den Handel.
/*backtest start: 2023-11-19 00:00:00 end: 2023-12-19 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // // Pine Script v4 // @author BigBitsIO // Script Library: https://www.tradingview.com/u/BigBitsIO/#published-scripts // // study(title, shorttitle, overlay, format, precision) // https://www.tradingview.com/pine-script-reference/#fun_strategy strategy(shorttitle = "TManyMA Strategy - ST9 - Long Market Only", title="Triple Many Moving Averages", overlay=true, pyramiding=1, default_qty_type=strategy.percent_of_equity, default_qty_value=100) // MA#Period is a variable used to store the indicator lookback period. In this case, from the input. // input - https://www.tradingview.com/pine-script-docs/en/v4/annotations/Script_inputs.html MA1Period = input(50, title="MA1 Period", minval=1, step=1) MA1Type = input(title="MA1 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA1Source = input(title="MA1 Source", type=input.source, defval=close) MA1Resolution = input(title="MA1 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA1Visible = input(title="MA1 Visible", type=input.bool, defval=true) // Will automatically hide crossBovers containing this MA MA2Period = input(100, title="MA2 Period", minval=1, step=1) MA2Type = input(title="MA2 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA2Source = input(title="MA2 Source", type=input.source, defval=close) MA2Resolution = input(title="MA2 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA2Visible = input(title="MA2 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA MA3Period = input(200, title="MA3 Period", minval=1, step=1) MA3Type = input(title="MA3 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA3Source = input(title="MA3 Source", type=input.source, defval=close) MA3Resolution = input(title="MA3 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA3Visible = input(title="MA3 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA ShowCrosses = input(title="Show Crosses", type=input.bool, defval=false) ForecastBias = input(title="Forecast Bias", defval="Neutral", options=["Neutral", "Bullish", "Bearish"]) ForecastBiasPeriod = input(14, title="Forecast Bias Period") ForecastBiasMagnitude = input(1, title="Forecast Bias Magnitude", minval=0.25, maxval=20, step=0.25) ShowForecasts = input(title="Show Forecasts", type=input.bool, defval=true) ShowRibbons = input(title="Show Ribbons", type=input.bool, defval=true) TradeMA12Crosses = input(title="Trade MA 1-2 Crosses", type=input.bool, defval=true) TradeMA13Crosses = input(title="Trade MA 1-3 Crosses", type=input.bool, defval=true) TradeMA23Crosses = input(title="Trade MA 2-3 Crosses", type=input.bool, defval=true) // MA# is a variable used to store the actual moving average value. // if statements - https://www.tradingview.com/pine-script-reference/#op_if // MA functions - https://www.tradingview.com/pine-script-reference/ (must search for appropriate MA) // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions ma(MAType, MASource, MAPeriod) => if MAType == "SMA" ta.sma(MASource, MAPeriod) else if MAType == "EMA" ta.ema(MASource, MAPeriod) else if MAType == "WMA" ta.wma(MASource, MAPeriod) else if MAType == "RMA" ta.rma(MASource, MAPeriod) else if MAType == "HMA" ta.wma(2*wma(MASource, MAPeriod/2)-ta.wma(MASource, MAPeriod), round(sqrt(MAPeriod))) else if MAType == "DEMA" e = ta.ema(MASource, MAPeriod) 2 * e - ta.ema(e, MAPeriod) else if MAType == "TEMA" e = ta.ema(MASource, MAPeriod) 3 * (e - ta.ema(e, MAPeriod)) + ta.ema(ema(e, MAPeriod), MAPeriod) else if MAType == "VWMA" ta.vwma(MASource, MAPeriod) res(MAResolution) => if MAResolution == "00 Current" timeframe.period else if MAResolution == "01 1m" "1" else if MAResolution == "02 3m" "3" else if MAResolution == "03 5m" "5" else if MAResolution == "04 15m" "15" else if MAResolution == "05 30m" "30" else if MAResolution == "06 45m" "45" else if MAResolution == "07 1h" "60" else if MAResolution == "08 2h" "120" else if MAResolution == "09 3h" "180" else if MAResolution == "10 4h" "240" else if MAResolution == "11 1D" "1D" else if MAResolution == "12 1W" "1W" else if MAResolution == "13 1M" "1M" // https://www.tradingview.com/pine-script-reference/#fun_request.security MA1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period)) MA2 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period)) MA3 = request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period)) // Plotting crossover/unders for all combinations of crosses // Crossovers no longer detected in label code, they need to be re-used for strategy - crosses and visibility must be set MA12Crossover = MA1Visible and MA2Visible and ta.crossover(MA1, MA2) MA12Crossunder = MA1Visible and MA2Visible and ta.crossunder(MA1, MA2) MA13Crossover = MA1Visible and MA3Visible and ta.crossover(MA1, MA3) MA13Crossunder = MA1Visible and MA3Visible and ta.crossunder(MA1, MA3) MA23Crossover = MA2Visible and MA3Visible and ta.crossover(MA2, MA3) MA23Crossunder = MA2Visible and MA3Visible and ta.crossunder(MA2, MA3) // https://www.tradingview.com/pine-script-reference/v4/#fun_label%7Bdot%7Dnew if ShowCrosses and MA12Crossunder lun1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA2Period)+' '+MA2Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun1, MA1) if ShowCrosses and MA12Crossover lup1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA2Period)+' '+MA2Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup1, MA1) if ShowCrosses and MA13Crossunder lun2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun2, MA1) if ShowCrosses and MA13Crossover lup2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup2, MA1) if ShowCrosses and MA23Crossunder lun3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun3, MA2) if ShowCrosses and MA23Crossover lup3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup3, MA2) // plot - This will draw the information on the chart // plot - https://www.tradingview.com/pine-script-docs/en/v4/annotations/plot_annotation.html plot(MA1Visible ? MA1 : na, color=color.green, linewidth=2, title="MA1") plot(MA2Visible ? MA2 : na, color=color.yellow, linewidth=3, title="MA2") plot(MA3Visible ? MA3 : na, color=color.red, linewidth=4, title="MA3") // Forecasting - forcasted prices are calculated using our MAType and MASource for the MAPeriod - the last X candles. // it essentially replaces the oldest X candles, with the selected source * X candles // Bias - We'll add an "adjustment" for each additional candle being forecasted based on ATR of the previous X candles // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions bias(Bias, BiasPeriod) => if Bias == "Neutral" 0 else if Bias == "Bullish" (atr(BiasPeriod) * ForecastBiasMagnitude) else if Bias == "Bearish" ((atr(BiasPeriod) * ForecastBiasMagnitude) * -1) // multiplying by -1 to make it a negative, bearish bias // Note - Can not show forecasts on different resolutions at the moment, x-axis is an issue Bias = bias(ForecastBias, ForecastBiasPeriod) // 14 is default atr period MA1Forecast1 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 1)) * (MA1Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA1Period MA1Forecast2 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 2)) * (MA1Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA1Period MA1Forecast3 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 3)) * (MA1Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA1Period MA1Forecast4 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 4)) * (MA1Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA1Period MA1Forecast5 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 5)) * (MA1Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA1Period plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast1 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 1", offset=1, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast2 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 2", offset=2, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast3 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 3", offset=3, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast4 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 4", offset=4, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast5 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 5", offset=5, show_last=1) MA2Forecast1 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 1)) * (MA2Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA2Period MA2Forecast2 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 2)) * (MA2Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA2Period MA2Forecast3 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 3)) * (MA2Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA2Period MA2Forecast4 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 4)) * (MA2Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA2Period MA2Forecast5 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 5)) * (MA2Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA2Period plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast1 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 1", offset=1, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast2 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 2", offset=2, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast3 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 3", offset=3, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast4 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 4", offset=4, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast5 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 5", offset=5, show_last=1) MA3Forecast1 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 1)) * (MA3Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA3Period MA3Forecast2 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 2)) * (MA3Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA3Period MA3Forecast3 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 3)) * (MA3Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA3Period MA3Forecast4 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 4)) * (MA3Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA3Period MA3Forecast5 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 5)) * (MA3Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA3Period plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast1 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 1", offset=1, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast2 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 2", offset=2, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast3 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 3", offset=3, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast4 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 4", offset=4, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast5 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 5", offset=5, show_last=1) // Ribbon related code // For Ribbons to work - they must use the same MAType, MAResolution and MASource. This is to ensure the ribbons are fair between one to the other. // Ribbons also will usually look better if MA1Period < MA2Period and MA2Period < MA3Period // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions // This function is used to calculate the period to be used on a ribbon based on existing MAs rperiod(P1, P2, Step, Ribbons) => ((array.abs(P1 - P2)) / (Ribbons + 1) * Step) + math.min(P1, P2) // divide by +1 so that 5 lines can show. Divide by 5 and one line shows up on another MA // MA1-MA2 Ribbon1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 1, 5))) Ribbon2 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 2, 5))) Ribbon3 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 3, 5))) Ribbon4 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 4, 5))) Ribbon5 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 5, 5))) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon1 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon1", transp=90) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon2 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon2", transp=85) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon3 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon3", transp=80) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon4 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon4", transp=75) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon5 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon5", transp=70) // MA2-MA3 Ribbon6 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 1, 5))) Ribbon7 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 2, 5))) Ribbon8 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 3, 5))) Ribbon9 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 4, 5))) Ribbon10 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 5, 5))) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon6 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon6", transp=70) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon7 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon7", transp=75) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon8 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon8", transp=80) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon9 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon9", transp=85) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon10 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon10", transp=90) // Strategy Specific if MA12Crossover and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 2", strategy.long, comment="1 over 2") if MA12Crossunder and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 2") if MA13Crossover and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 3", strategy.long, comment="1 over 3") if MA13Crossunder and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 3") if MA23Crossover and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("2 over 3", strategy.long, comment="2 over 3") if MA23Crossunder and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("2 over 3")