Esta estrategia utiliza múltiples indicadores técnicos para la negociación cuantitativa. Utiliza principalmente indicadores que incluyen cruces EMA, SuperTrend, RSI, MACD, etc. para generar señales comerciales.
La lógica central se basa en los siguientes aspectos:
VWMA: Computa VWMA. Cuando el cruce de precio cerrado por encima de VWMA, es una señal de compra. Cuando el cruce de precio cerrado por debajo de VWMA, es una señal de venta.
RSI: Computa el indicador RSI. Cuando el RSI está por encima del nivel de sobrecompra, es señal de venta. Cuando el RSI está por debajo del nivel de sobreventa, es señal de compra.
Cuando la línea MACD se cruza por encima de la línea de señal, se genera compra. Cuando la línea MACD se cruza por debajo de la línea de señal, se genera venta.
Esta estrategia combina múltiples indicadores para filtrar el mercado y evitar señales falsas.
La combinación de varios indicadores evita los errores de un solo indicador.
La combinación de indicador de tendencia y oscilador captura ganancias adicionales durante las tendencias.
El uso de la lógica de stop loss limita la pérdida máxima por operación.
Principales riesgos:
La lógica de Martingale puede llevar a pérdidas significativas.
El uso inadecuado del stop loss puede llevar a un stop out innecesario.
La sintonización incorrecta de los parámetros puede llevar a más señales falsas.
La estrategia se puede optimizar aún más en los siguientes aspectos:
Prueba diferentes parámetros para cada indicador.
Agregue la lógica de stop loss adaptativa.
Añadir un mecanismo dinámico de dimensionamiento de la posición.
Aprovechar el aprendizaje automático para optimizar parámetros y modelos.
En resumen, esta es una estrategia comercial cuantitativa muy práctica. Combina la fortaleza de múltiples indicadores técnicos clásicos para el análisis de mercado.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy(title='Pinku Buy', overlay=true) fromMonth = input.int(defval=1, title='From Month', minval=1, maxval=12) fromDay = input.int(defval=1, title='From Day', minval=1, maxval=31) fromYear = input.int(defval=2021, title='From Year', minval=1970) thruMonth = input.int(defval=1, title='Thru Month', minval=1, maxval=12) thruDay = input.int(defval=1, title='Thru Day', minval=1, maxval=31) thruYear = input.int(defval=2112, title='Thru Year', minval=1970) showDate = input(defval=true, title='Show Date Range') start = timestamp(fromYear, fromMonth, fromDay, 00, 00) finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) window() => true // ema crossover length1 = input.int(10) length2 = input.int(20) ema1 = ta.ema(close , length1) ema2 = ta.ema(close , length2) //vwap VWAP = ta.vwap(hlc3) plot(VWAP, color=color.new(color.red, 0), linewidth=3) buy_1 = close > VWAP sell_1 = close < VWAP //vwma len = input.int(20, 'VWMA_len', minval=1) ma = ta.vwma(close, len) plot(ma, color=color.new(color.navy, 0), linewidth=2) buy_2 = close > ma sell_2 = close < ma //super trend //inputs Periods = input(title='STR Period', defval=22) Source = input(hl2, title='Source') Multiplier = input.float(title='STR Multiplier', step=0.1, defval=5.0) //Compute ATR Levels atr = ta.atr(Periods) //Creating Upper Channel up = Source - Multiplier * atr up1 = nz(up[1], up) up := close[1] > up1 ? math.max(up, up1) : up //Creating Down Channel dn = Source + Multiplier * atr dn1 = nz(dn[1], dn) dn := close[1] < dn1 ? math.min(dn, dn1) : dn //Compute the Trend Stream +1/-1 trend = 1 trend := nz(trend[1], trend) trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend //Create Stoploss for Longs upPlot = plot(trend == 1 ? up : na, title='Up Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.green, 0)) //buy_a = close > upPlot //Buy Signal buy_3 = trend == 1 and trend[1] == -1 plotshape(buy_3 ? up : na, title='Go Long', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.green, 0)) dnPlot = plot(trend == 1 ? na : dn, title='Down Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.red, 0)) //sell_a = close < dnPlot //Sell Signal sell_3 = trend == -1 and trend[1] == 1 plotshape(sell_3 ? dn : na, title='Go Short', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.red, 0)) // //paraboloic sar // start = input(0.02) // increment = input(0.02) // maximum = input(0.2, 'Max Value') // out = ta.sar(start, increment, maximum) buy_4 = ema1 > ema2 //buy_4 = buy1 and not buy1[1] //plotshape(buy_4 , color = color.green , text = "Buy" , location = location.belowbar , textcolor = color.white , style = shape.labelup , size = size.small) sell_4 = close < ema2 //sell_4 = sell1 and not sell1[1] //plotshape(sell_4, color = color.red , text = "Sell" , location = location.abovebar , textcolor = color.white , style = shape.labeldown , size = size.small) plot(ema1, 'ema1', color=color.new(color.green, 0), linewidth=2) plot(ema2, 'ema2', color=color.new(color.red, 0), linewidth=2) // rsi lenr = input(14, title='Rsi Period') rs = ta.rsi(close, lenr) over_sold = input(44) over_bought = input(56) buy_5 = rs > over_bought sell_5 = rs < over_sold // macd slow_len_macd = input.int(12) fast_len_macd = input.int(26) signal_len_macd = input.int(9) ema3 = ta.ema(close , slow_len_macd) ema4 = ta.ema(close , fast_len_macd) ema5 = ta.ema(close , signal_len_macd) buy_6 = ema5 > ema4 sell_6 = ema5 < ema4 // adx adxlen = input(14, title="ADX Smoothing") dilen = input(14, title="DI Length") dirmov(len) => up = ta.change(high) down = -ta.change(low) plusDM = na(up) ? na : (up > down and up > 0 ? up : 0) minusDM = na(down) ? na : (down > up and down > 0 ? down : 0) truerange = ta.rma(ta.tr, len) plus = fixnan(100 * ta.rma(plusDM, len) / truerange) minus = fixnan(100 * ta.rma(minusDM, len) / truerange) [plus, minus] adx(dilen, adxlen) => [plus, minus] = dirmov(dilen) sum = plus + minus adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen) sig = adx(dilen, adxlen) //plot(sig, color=color.red, title="ADX") adx_Greater_than = input.int(25) signal = sig > adx_Greater_than // volume ema volume_ema = input.int(10) vema = ta.ema(volume,volume_ema) signal_2 = volume > vema //define buy sell g = buy_1 and buy_2 and buy_4 and trend == 1 and buy_5 and buy_6 and signal and signal_2 and window() r = sell_1 and sell_2 and sell_4 and trend == -1 and sell_5 and sell_6 and signal and signal_2 and window() rg = 0 rg := r ? 1 : g ? 2 : nz(rg[1]) buy11 = 0 buy11 := r ? 0 : g ? 1 : nz(buy11[1]) sell11 = 0 sell11 := r ? 1 : g ? 0 : nz(sell11[1]) buy = buy11 and not buy11[1] sell = sell11 and not sell11[1] multiple_signals = input(true) if multiple_signals buy := g and not g[1] and window() sell := r and not r[1] and window() sell else buy := buy and window() sell := sell and window() sell //plotshape(long , color = color.green , text = "Buy" , location = location.belowbar , textcolor = color.white , style = shape.labelup , size = size.small) //plotshape(short , color = color.red , text = "Sell" , location = location.abovebar , textcolor = color.white , style = shape.labeldown , size = size.small) Stop = input(0.5, title='StopLoss') / 100 ProfitPerc = input(defval=1.5, title='Profit') / 100 rev = input(1024,title = "Reverse Limit") Averaging_position_ = input(true , title = "Averaging position ? ") qn = 1 qn := nz(qn[1]) long_short = 0 long_last = buy and (nz(long_short[1]) == 0 or nz(long_short[1]) == -1) short_last = sell and (nz(long_short[1]) == 0 or nz(long_short[1]) == 1) long_short := long_last ? 1 : short_last ? -1 : long_short[1] long_entered = false long_entered := long_entered[1] short_entered = false short_entered := short_entered[1] longPrice = ta.valuewhen(long_last, close, 0) shortPrice = ta.valuewhen(short_last, close, 0) longStop = longPrice * (1 - Stop) shortStop = shortPrice * (1 + Stop) longTake = longPrice * (1 + ProfitPerc) shortTake = shortPrice * (1 - ProfitPerc) plot(long_short == 1 ? longStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Fixed SL') plot(long_short == -1 ? shortStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Short Fixed SL') plot(long_short == 1 ? longTake : na, style=plot.style_linebr, color=color.new(color.navy, 0), linewidth=1, title='Long Fixed TP') plot(long_short == -1 ? shortTake : na, style=plot.style_linebr, color=color.new(color.navy, 0), linewidth=1, title='Short Fixed TP') longBar1 = ta.barssince(long_last) longBar2 = longBar1 >= 1 ? true : false shortBar1 = ta.barssince(short_last) shortBar2 = shortBar1 >= 1 ? true : false longSLhit = long_short == 1 and longBar2 and low < longStop if long_entered and sell longSLhit := true longSLhit plotshape(longSLhit and not(sell and not short_entered and long_entered), style=shape.labelup, location=location.belowbar, color=color.new(color.gray, 0), size=size.tiny, title='Stop Loss', text='Long SL', textcolor=color.new(color.white, 0)) shortSLhit = long_short == -1 and shortBar2 and high > shortStop if short_entered and buy shortSLhit := true shortSLhit plotshape(shortSLhit and not(buy and not long_entered and short_entered), style=shape.labeldown, location=location.abovebar, color=color.new(color.gray, 0), size=size.tiny, title='Stop Loss', text='Short SL', textcolor=color.new(color.white, 0)) longTPhit = long_short == 1 and longBar2 and high > longTake plotshape(longTPhit, style=shape.labeldown, location=location.abovebar, color=color.new(color.navy, 0), size=size.tiny, title='Target', text='Long TP', textcolor=color.new(color.white, 0)) shortTPhit = long_short == -1 and shortBar2 and low < shortTake plotshape(shortTPhit, style=shape.labelup, location=location.belowbar, color=color.new(color.navy, 0), size=size.tiny, title='Target', text='Short TP', textcolor=color.new(color.white, 0)) long_short := (long_short == 1 or long_short == 0) and longBar2 and (longSLhit or longTPhit) ? 0 : (long_short == -1 or long_short == 0) and shortBar2 and (shortSLhit or shortTPhit) ? 0 : long_short if(shortSLhit or longSLhit or (long_entered[1] and sell) or (short_entered[1] and buy )) qn := qn*2 if(longTPhit or shortTPhit or qn > rev) qn := 1 if Averaging_position_ qn := 1 plotshape(buy and not long_entered, color=color.new(color.green, 0), style=shape.labelup, text='Buy', textcolor=color.new(color.white, 0), location=location.belowbar) plotshape(sell and not short_entered, color=color.new(color.red, 0), style=shape.labeldown, text='Sell', textcolor=color.new(color.white, 0), location=location.abovebar) // plotshape(buy and not(long_entered) and (short_entered), color = color.green , style = shape.labelup , text = "FA Buy" , textcolor = color.white , location = location.belowbar) // plotshape(sell and not(short_entered) and (long_entered), color = color.red , style = shape.labeldown , text = "FA Sell" , textcolor = color.white , location = location.abovebar) // alertcondition(condition=buy and not(long_entered) and (short_entered), title="Fully Algo Buy") // alertcondition(condition=sell and not(short_entered) and (long_entered), title="Fully Algo sell") alertcondition(condition=buy and not long_entered, title='Buy') alertcondition(condition=sell and not short_entered, title='Sell') if long_last long_entered := true short_entered := false short_entered if short_last short_entered := true long_entered := false long_entered alertcondition(condition=longSLhit and not(sell and not short_entered and long_entered), title='Long SL') alertcondition(condition=shortSLhit and not(buy and not long_entered and short_entered), title='Short SL') alertcondition(condition=longTPhit, title='Long TP') alertcondition(condition=shortTPhit, title='Short TP') if longSLhit or longTPhit long_entered := false long_entered if shortSLhit or shortTPhit short_entered := false short_entered // if buy // strategy.entry('buy', strategy.long) // strategy.exit('exit', 'buy', limit=longTake, stop=longStop) // if sell // strategy.entry('sell', strategy.short) // strategy.exit('exit', 'sell', limit=shortTake, stop=shortStop) if(buy) strategy.entry("buy",strategy.long,qty = qn) strategy.exit("Stop","buy",limit = longTake,stop = longStop) if(sell) strategy.entry("sell",strategy.short,qty = qn) strategy.exit("Stop","sell",limit = shortTake,stop = shortStop) strategy.close("buy",when = longTPhit or sell or longSLhit, comment = "Target") strategy.close("sell",when = shortSLhit or shortTPhit or buy , comment = "Stop Loss") strategy.cancel("buy",when = longTPhit or sell or longSLhit) strategy.cancel("sell",when = shortSLhit or shortTPhit or buy )