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Strategie für den Ausbruch von Multi-Zeitrahmen-Momentum

Schriftsteller:ChaoZhang, Datum: 2023-12-29 16:56:09
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Übersicht

Diese Strategie kombiniert mehrere technische Indikatoren wie RSI, ADX, ATR und Momentum, um Trends zu identifizieren und Breakout-Punkte zu erfassen.

Strategie Logik

RSI, ADX, DI+, DI- usw. werden verwendet, um die Richtung und Stärke des Trends zu bestimmen. Der RSI zeigt Überkauf/Überverkauf, der ADX zeigt die Trendstärke, während DI+/DI- auf bullische/bärenische Trends hinweist.
5 & 9-Tage EMAs definieren kurzfristigen Trend, 21-Tage WMA mittelfristigen Trend und 60-Tage WMA langfristigen Trend.
Identifizieren Sie die wichtigsten 0,5, 0,618 Fibonacci-Retracement-Level, die oft als Unterstützungs-/Widerstandszonen für eine Umkehrung fungieren.
Setzen Sie einen Stop-Loss basierend auf ATR und einen Stop-Loss-Prozent, um das Risiko zu kontrollieren.
Betrachten Sie eine Umkehrung der RSI-Überkauf-/Überverkaufssignale. Betrachten Sie einen Trend auf dem goldenen Kreuz mit erhöhtem Volumen. Setzen Sie einen Stop-Loss und machen Sie nach dem Eintritt einen Gewinn.

Analyse der Vorteile

Die Kombination von Indikatoren verbessert die Entscheidungsgenauigkeit in Bezug auf Trend und Stärke.
ATR-basierte Stop-Loss- und Take-Profit-Risikokontrollen sind effektiv.
Fibonacci verbessert die Identifizierung von Umkehrpunkten.
Der Volumenfilter vermeidet falsche Ausbrüche, wenn man Trends verfolgt.
Die Tabelle zeigt die Indikatorenwerte für schnelle Entscheidungen.

Risikoanalyse

Die Möglichkeit ungenauer Signale kann nicht vollständig vermieden werden, was zu falschen Trades führt.
Eine falsche Einstellung kann das Risiko erhöhen.
Der Volumenfilter kann falsche Ausbrüche nicht vollständig vermeiden.
Fibonacci-Levels sind nicht immer zuverlässig.

Optimierungsrichtlinien

Testen und optimieren Sie Parameter wie RSI, ADX, ATR, um die besten Kombinationen zu finden.
Verschiedene Kombinationen von gleitenden Durchschnittswerten sind zu testen, um den besten Trend zu ermitteln.
Verschiedene Stop-Loss-/Take-Profit-Verhältnisse testen, um den besten Risiko-Rendite-Verhältnis zu erzielen.
Erwägen Sie, Bollinger-Bänder hinzuzufügen, um nach Volumenerweiterung zu suchen.

Schlussfolgerung

Diese Strategie kombiniert Trendanalyse, Kennzeichnung von Schlüsselstufen, Volumenanalyse und mehr. Weitere Optimierung von Parametern kann die Genauigkeit und Rentabilität verbessern. Stop-Loss & Take-Profit verwaltet Risiken und maximiert die Belohnung.

/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 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/
// © amit74sharma135

//@version=5

strategy(" KritikSharma Strategy for NIFTY,BNIFTY,NG,CRUDE,WTICrude,BTC,GOLD,SILVER,COPPER", overlay=true)
plotHVB = input.bool(defval=true, title='Plot HVB')
plotPVT = input.bool(defval=false, title='Plot Pivots')
hvbEMAPeriod = input.int(defval=12, minval=1, title='Volume EMA Period')
hvbMultiplier = input.float(defval=1.5, title='Volume Multiplier')
pivotLookup = input.int(defval=2, minval=1, maxval=15, title='Pivot Lookup')
ShowAvg1 = input(false, title="Show trend line", group="TREND LINE Moving Average", tooltip="Display a trend line based on EMA.")
showLines1 = input.bool(defval=false, title="Draw EMA,WMA Line")
ema200_length= input.int(defval=200, minval=1, maxval=500, title='ema1')
ema300_length= input.int(defval=300, minval=1, maxval=500, title='ema2')
wma60_length= input.int(defval=60, minval=1, maxval=100, title='wma60')
ema5 = ta.ema(close, 5)
ema9 = ta.ema(close, 9)
wma21=ta.wma(close,21)
wma60=ta.wma(close,wma60_length)
len1 = input.int(11, minval=1, maxval=500, title="Length", group="TREND LINE Moving Average", tooltip="Set EMA length.")
ema=ta.ema(close, len1)
rsiLength = input.int(14, title="RSI Length", minval=1, maxval=50, group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
adxLength = input.int(14, title="ADX Length", minval=1, maxval=50, group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
adxThreshold = input.int(20, title="ADX Threshold", group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
diThreshold = input.int(25, title="DI Threshold", group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
atr = input.int(14, title="ATR values", group="Table ADX, RSI, DI values with Red, Green, Yellow Signal")
////////////////////////////////////////////////

hvbBullColor = color.rgb(181, 37, 225)
hvbBearColor = #ffbb00ad

pvtTopColor = color.new(#154bef, 0)
pvtBottomColor = color.new(#b81657, 0)

//////////////////// Pivots //////////////////// 
hih = ta.pivothigh(high, pivotLookup, pivotLookup)
lol = ta.pivotlow(low , pivotLookup, pivotLookup)
top1 = ta.valuewhen(hih, high[pivotLookup], 0)
bottom1 = ta.valuewhen(lol, low [pivotLookup], 0)
plot(top1, offset=-pivotLookup, linewidth=1, color=(top1 != top1[1] ? na : (plotPVT ? pvtTopColor : na)), title="Pivot Top")
plot(bottom1, offset=-pivotLookup, linewidth=1, color=(bottom1 != bottom1[1] ? na : (plotPVT ? pvtBottomColor : na)), title="Pivot Bottom")

//////////////////////////////////////Functions
isUp(index) =>
    close[index] > open[index]

isDown(index) =>
    close[index] < open[index]

isObUp(index) =>
    isDown(index + 1) and isUp(index) and close[index] > high[index + 1]

isObDown(index) =>
    isUp(index + 1) and isDown(index) and close[index] < low[index + 1]
////////////////// High Volume Bars //////////////////
volEma = ta.ema(volume, hvbEMAPeriod)
isHighVolume = volume > (hvbMultiplier * volEma)
barcolor(plotHVB and isUp(0) and isHighVolume ? hvbBullColor : na, title="Bullish HVB")
barcolor(plotHVB and isDown(0) and isHighVolume ? hvbBearColor : na, title="Bearish HVB")

// Calculate ADX, DI+,  DI-,RSI,ATR
[diplus, diminus, adx] = ta.dmi(adxLength, adxThreshold)
rsi=ta.rsi(close,rsiLength)
atrValue=ta.atr(atr)

// Check for oversold,Overbought condition
oversold_condition = rsi < 20
overbought_condition = rsi > 80

// Plot Trend Line
trendColor = ema5 > ema9 ? color.rgb(22, 203, 28) : ema5 < ema9 ? color.rgb(224, 15, 15) : na
plot(ShowAvg1? ema:na, color=trendColor, linewidth=6, title="Trend Line Upper Ribbon")

/////////////////////////plot ema,wma
plot(showLines1 ? ta.ema(close, ema200_length) : na, color=color.rgb(102, 110, 103), style=plot.style_line, title="ema1",linewidth = 4)
plot(showLines1 ? ta.ema(close, ema300_length) : na, color=color.rgb(18, 20, 18), style=plot.style_line, title="ema2",linewidth = 4)
plot(showLines1 ? ta.wma(close, wma60_length) : na, color=color.rgb(238, 75, 211), style=plot.style_line, title="wma60",linewidth = 3)

// Plot signals with smaller text
plotshape(oversold_condition ? 1 : na, title="RSI Oversold Signal", color=color.rgb(238, 8, 8), style=shape.labelup, location=location.belowbar, text="RSI OS", textcolor=color.rgb(17, 17, 17), size=size.tiny)
plotshape(overbought_condition ? 1 : na, title="RSI Overbought Signal", color=#08f710, style=shape.labeldown, location=location.abovebar, text="RSI OB", textcolor=color.rgb(8, 8, 8), size=size.tiny)
///////////////////////////////////////////////////////////////////////////////////////////////

// Define input options
showTable = input(false, title="Show Table ADX, RSI, DI values with RED, GREEN and YELLOW Signal")
tablePosition = input.string("Top Right", title="Table Position", options=["Top Right", "Top Left", "Top Center", "Bottom Right", "Bottom Left", "Bottom Center"])

// Define colors for the table cells
colorRsi = rsi > 55 ? color.green : rsi < 45 ? color.red : color.yellow
colorDiPlus = diplus > diThreshold ? color.green : color.red
colorDiMinus = diminus > diThreshold ? color.red : color.green
colorAdx = (rsi < 45 and diplus < diThreshold and diminus > diThreshold and adx > adxThreshold) ? color.red : 
           (rsi > 55 and diplus > diThreshold and diminus < diThreshold and adx > adxThreshold) ? color.green : 
           color.yellow

// Create the table
var table testTable = na
if showTable
    var position = tablePosition == "Top Right" ? position.top_right :
                   tablePosition == "Top Left" ? position.top_left :
                   tablePosition == "Top Center" ? position.top_center :
                   tablePosition == "Bottom Right" ? position.bottom_right :
                   tablePosition == "Bottom Left" ? position.bottom_left :
                   position.bottom_center

    testTable := table.new(position, columns = 4, rows = 2, border_width = 1, border_color = color.black, frame_width = 1, frame_color = color.black)

    // Column Headings
    table.cell(table_id = testTable, column = 0, row = 0, text = " DI+ ", bgcolor=color.aqua, text_color = color.white)
    table.cell(table_id = testTable, column = 1, row = 0, text = " DI- ", bgcolor=color.aqua, text_color = color.white)
    table.cell(table_id = testTable, column = 2, row = 0, text = " ADX ", bgcolor=color.aqua, text_color = color.white)
    table.cell(table_id = testTable, column = 3, row = 0, text = " RSI ", bgcolor=color.aqua, text_color = color.white)

    // Column values
    table.cell(table_id = testTable, column = 0, row = 1, text = str.tostring(math.round(diplus, 0)), bgcolor=colorDiPlus, text_color = color.black)
    table.cell(table_id = testTable, column = 1, row = 1, text = str.tostring(math.round(diminus, 0)), bgcolor=colorDiMinus, text_color = color.black)
    table.cell(table_id = testTable, column = 2, row = 1, text = str.tostring(math.round(adx, 0)), bgcolor=colorAdx, text_color = color.black)
    table.cell(table_id = testTable, column = 3, row = 1, text = str.tostring(math.round(rsi, 0)), bgcolor=colorRsi, text_color = color.black)


// Initialize variables to keep track of the previous condition
var bool prev_oversold = na
var bool prev_overbought = na

plotshape(ta.crossover(ema,wma60) and isHighVolume,  style=shape.labelup, location=location.belowbar, color=#1adaf3,size=size.small)
plotshape(ta.crossunder(ema,wma60) and isHighVolume,  style=shape.labeldown, location=location.abovebar, color=#f30aa9, size=size.small)
//////////////////////////////////////////////////   
plotFibRetracement = input.bool(title="Plot Fibonacci Retracement", defval=false)
fibLevel1 = input.float(title="Fibonacci Level", defval=0.5, minval=0, maxval=1, step=0.01)
fibLevel2 = input.float(title="Fibonacci Level", defval=0.618, minval=0, maxval=1, step=0.01)
fibLevel3 = input.float(title="Fibonacci Level", defval=0.368, minval=0, maxval=1, step=0.01) 
// Calculate Fibonacci Levels
highPrice = ta.highest(high, 100)
lowPrice = ta.lowest(low, 100)
priceRange = highPrice - lowPrice
fibonacciLevel1 = lowPrice + priceRange * fibLevel1
fibonacciLevel2 = lowPrice + priceRange * fibLevel2
fibonacciLevel3 = lowPrice + priceRange * fibLevel3

// Plot Fibonacci Levels
if plotFibRetracement
    line.new(x1=bar_index[1], y1=fibonacciLevel1, x2=bar_index, y2=fibonacciLevel1, color=color.blue, width=2)
    line.new(x1=bar_index[1], y1=fibonacciLevel2, x2=bar_index, y2=fibonacciLevel2, color=color.blue, width=2)
    line.new(x1=bar_index[1], y1=fibonacciLevel3, x2=bar_index, y2=fibonacciLevel3, color=color.blue, width=2)
// Draw Trendline
var float trendlineY1 = na
var float trendlineY2 = na

if bar_index % 50 == 0
    trendlineY1 := low
    trendlineY2 := high

// line.new(x1=bar_index, y1=trendlineY1, x2=bar_index - 100, y2=trendlineY2, color=#3708a5, width=2)

////////////////////////////////////////////////entry, exit, profit booking, stoploss///////////////////////
if (rsi > 63 and adx> adxThreshold and diplus>diThreshold)
    strategy.entry("Buy", strategy.long, qty = 1)

if (rsi < 40 and adx> adxThreshold and diminus>diThreshold)
    strategy.entry("Sell", strategy.short, qty = 1)

// Set stop loss and take profit levels
stop_loss = input(1.5, title = "Stop Loss (%)") * atrValue
take_profit = input(4.0, title = "Take Profit (%)") * atrValue
strategy.exit("Take Profit/Stop Loss", from_entry = "Buy", stop = close - stop_loss, limit = close + take_profit)
strategy.exit("Take Profit/Stop Loss", from_entry = "Sell", stop = close + stop_loss, limit = close - take_profit)
////////////////////////

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