Ce système de négociation quantitative utilise l'analyse de régression polynomielle pour identifier les renversements de tendance potentiels pour les signaux d'entrée.
Comment fonctionne- t- il?
La stratégie s'adapte aux lignes de régression polynomiales aux prix élevés et bas récents.
Si un certain seuil de hauts ou de bas dépasse, un signal d'achat ou de vente est généré indiquant une tendance émergente.
Les positions sont inscrites lorsque l'angle de volatilité dépasse un minimum afin d'éviter les marchés agités.
Les avantages et les inconvénients
En automatisant les signaux de tendance basés sur l'analyse mathématique, la stratégie fournit une approche objective du trading discrétionnaire.
Cependant, l'ajustement de la courbe peut conduire à une sur-optimisation. Comme pour tout système technique, les performances dépendent fortement des conditions du marché. Aucune stratégie ne remplace une gestion prudente des risques.
Les tests minutieux sur différents délais, classes d'actifs et environnements de marché sont essentiels pour évaluer la robustesse.
Dans l'ensemble, les stratégies quantitatives offrent une méthodologie basée sur des règles pour identifier les transactions potentielles.
/*backtest
start: 2023-01-01 00:00:00
end: 2023-09-10 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
//Ultima version underground09
// strategy(title = " underground09",
// shorttitle = "Under09",
// overlay = true,
// precision = 8,
// calc_on_order_fills = true,
// calc_on_every_tick = true,
// backtest_fill_limits_assumption = 0,
// default_qty_type = strategy.fixed,
// default_qty_value = 2,
// initial_capital = 10000,
// pyramiding=5,
// currency = currency.USD,
// linktoseries = true)
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
var sl = 0.0
var tp = 0.0
var acumaldor_vxp = 0.0
var acomuldor_vol = 0.0
//stop_loss = input(defval=0.2, title="Porcentaje Stop Loss", type=input.float, step=0.2)
stop_loss = input(defval=1.4, title="Porcentaje Stop Loss", type=input.float, step=0.2)
//take_profit = input(defval=4.4, title="Porcentaje Take Profit", type=input.float, step=0.2)
take_profit = input(defval=5.6, title="Porcentaje Take Profit", type=input.float, step=0.2)
//pintar_trade = input(defval=false, title="Pintar trade TP SL")
angulo_permitido = input(defval=26.8, title="Angulo permitido", type=input.float, step=0.2)
backTestSectionFrom = input(title = "═══════════════ From ═══════════════", defval = true, type = input.bool)
FromMonth = input(defval = 1, title = "Month", minval = 1)
FromDay = input(defval = 1, title = "Day", minval = 1)
FromYear = input(defval = 2019, title = "Year", minval = 2014)
backTestSectionTo = input(title = "════════════════ To ════════════════", defval = true, type = input.bool)
ToMonth = input(defval = 31, title = "Month", minval = 1)
ToDay = input(defval = 12, title = "Day", minval = 1)
ToYear = input(defval = 9999, title = "Year", minval = 2014)
Config = input(title = "══════════════ Config ══════════════", defval = true, type = input.bool)
//p = input(6)
p = input(4)
//length = input(30)
length = input(26)
//
backTestPeriod() => (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))
//
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
x1 = bar_index
x2 = sqrt(x1)
y = high
//
S11 = sum(x2,length) - sqrt(sum(x1,length)) / length
S12 = sum(x1*x2,length) - (sum(x1,length) * sum(x2,length)) / length
S22 = sum(sqrt(x2),length) - sqrt(sum(x2,length)) / length
Sy1 = sum (y*x1,length) - (sum(y,length) * sum(x1,length)) / length
Sy2 = sum (y*x2,length) - (sum(y,length) * sum(x2,length)) / length
//
max1 = sma(x1,length)
max2 = sma(x2,length)
may = sma(y,length)
b2 = ((Sy1 * S22) - (Sy2*S12))/(S22*S11 - sqrt(S12))
b3 = ((Sy2 * S11) - (Sy1 * S12))/(S22 * S11 - sqrt(S12))
b1 = may - b2*max1 - b3*max2
qr = b1 + b2*x1 + b3*x2
//
yl = low
//
Sy1l = sum(yl*x1,length) - (sum(yl,length) * sum(x1,length)) / length
Sy2l = sum(yl*x2,length) - (sum(yl,length) * sum(x2,length)) / length
//
mayl = sma(yl,length)
b2l = ((Sy1l * S22) - (Sy2l*S12))/(S22*S11 - sqrt(S12))
b3l = ((Sy2l * S11) - (Sy1l * S12))/(S22 * S11 - sqrt(S12))
b1l = mayl - b2l*max1 - b3l*max2
qrl = b1l + b2l*x1 + b3l*x2
//
period = round(p/2)+1
hh = qr[period]
ll = qrl[period]
countH = 0
countL = 0
buy=0
sell=0
//
for i = 1 to period-1
if qr[i]<hh
countH:=countH+1
if qrl[i]>ll
countL:=countL+1
for i = period+1 to p+1
if qr[i]<hh
countH:=countH+1
if qrl[i]>ll
countL:=countL+1
if countH==p
pivotH = high[period]
buy := 1
if countL==p
pivotL = low[period]
sell := 1
//
Angulo(_serie) =>
atan( _serie - _serie[1] ) * 180 / acos(-1)
//calcular elvwap
vxp = volume*hlc3
//:= signo de acumulador
acumaldor_vxp := acumaldor_vxp + vxp
acomuldor_vol := acomuldor_vol + volume
vwap2 = acumaldor_vxp / acomuldor_vol
pendiente = Angulo(vwap2)
//
plotshape(buy == 1 , text='⬆️', style=shape.arrowup, location=location.belowbar, color=#32CD32, textcolor=color.white, offset=0, transp=0,size=size.auto)
if buy == 1
alert("Posible long",alert.freq_all )
plotshape(sell == 1 , text='⬇️', style=shape.arrowdown, location=location.abovebar, color=#FF0000, textcolor=color.white, offset=0, transp=0,size=size.auto)
if sell == 1
alert("Posible short",alert.freq_all )
//
//if (backTestPeriod())
//strategy.entry("long", true, 1, when = buy == 1)
// strategy.entry("short", false, 1, when = sell == 1)
if buy == 1 and pendiente > angulo_permitido
//if buy == 1
cantidad = round(strategy.equity / close )
strategy.entry("long", true, cantidad, comment = "Compra")
sl := close * ( 1 - (stop_loss/100))
tp := close * ( 1 + (take_profit/100))
if sell == 1 and pendiente > angulo_permitido
//if sell == 1
cantidad = round(strategy.equity / close )
strategy.entry("short", false, cantidad, comment = "Venta")
sl := close * ( 1 + (stop_loss/100))
tp := close * ( 1 - (take_profit/100))
//Validaciones
comprado = strategy.position_size > 0 //true si es positivo
vendido = strategy.position_size < 0 //true si es negativo
if comprado
//Salir sl
if close >= tp
//plotshape(close >= tp, style=shape.xcross)
strategy.close("long", comment="TP")
//Salir tp
if close <= sl
strategy.close("long", comment="SL")
if vendido
//Salir sl
if close <= tp
strategy.close("short", comment="TP")
//Salir tp
if close >= sl
strategy.close("short", comment="SL")
//sl tp
plot( sl , color =color.red, style=plot.style_cross)
plot( tp , color= color.green , style=plot.style_circles)
//color
//bgcolor (comprado ? color.green: na)
//bgcolor (vendido ? color.red: na)
//if pintar_trade
//bgcolor (close >= tp ? color.green : na, transp=80)
//bgcolor (close >= sl ? color.red : na, transp=80)