Cette stratégie utilise l'indicateur KD pour déterminer la force et la faiblesse du marché, et négocie dans les deux sens en fonction de la dynamique. Plus précisément, le marché est considéré comme fort lorsque K dépasse 80 et faible lorsque K dépasse 20.
L'avantage de cette stratégie est de saisir les différents points tournants en temps opportun. Cependant, KD lui-même a un fort retard et ne peut pas précéder les virages. En outre, la pyramide comporte un risque élevé. Un stop loss strict est crucial, sinon les pertes pourraient s'étendre rapidement.
En résumé, la stratégie de suivi bidirectionnel KD peut capitaliser sur une forte dynamique mais avec un risque substantiel.
/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 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/
// © Tonyder
//@version=4
// strategy("KD base strategy", overlay=true, pyramiding=1000, process_orders_on_close=true, precision=6, max_bars_back=720)
max=input(defval=20, title="庫存上限(share)", type=input.integer)
min=input(defval=-10, title="庫存下限(share)", type=input.integer)
period=input(defval=9, title="KD 週期(KD period)", type=input.integer, minval=2)
k=0.0
rsv=0.0
dir2=0
sum2=0.0
share2=0
first=0
up=0.0
bottom=0.0
k80=0.0
k50=0.0
k20=0.0
k_value=0.0
share=strategy.position_size
rsv:=stoch(close, high, low, period)
up:=highest(high,period)
bottom:=lowest(low,period)
if bar_index <= period
k:=rsv
dir2:=0
sum2:=0
else
k:=k[1]*2/3 + rsv/3
dir2 := dir2[1]
sum2 := sum2[1]
// rsv = 100 * (close - lowest(low, period)) / (highest(high, period) - lowest(low, period))
// k=k[1]*2/3 + rsv/3
// 3k=k[1]*2 + rsv
// 3k-k[1]*2= 100 * (close - lowest(low, period)) / (highest(high, period) - lowest(low, period))
// (3k-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period) = close
// let k = 80, close = (3*80-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
k80:=(3*80-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
k50:=(3*50-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
k20:=(3*20-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
// rule 1, strong target, buy when k < 50.
if (dir2 == 1 and k[1] >= 50 and k < 50 and sum2 < 1 and sum2 >= 0 and sum2 < 0.66)
sum2 := sum2 + 0.33
// rule 2, weak target, sell when k > 50.
if (dir2 == -1 and k[1] <= 50 and k > 50 and sum2 > -1 and sum2 <= 0 and sum2 > -0.66)
sum2 := sum2 -0.33
// become to strong
if (k >= 80)
dir2 := 1
// become to weak
if (k <= 20)
dir2 := -1
// rule 3, strong become to weak, buy when k < 20
if (dir2 == -1 and dir2[1] == 1)
sum2 := sum2 + 0.33
// rule 4, weak become to strong, buy when k > 80
if (dir2 == 1 and dir2[1] == -1)
sum2 := sum2 - 0.33
// rule 5, strong but share is smaller than 0
if (dir2 == 1 and k[1] >= 50 and k < 50 and sum2 <= 0)
sum2 := 0.33
// rule 6, weak but share is bigger than 0
if (dir2 == -1 and k[1] >= 50 and k < 50 and sum2 >= 0)
sum2 := -0.33
if sum2 > 0
share2 := round(sum2 * max)
else
if sum2 < 0
share2 := round(abs(sum2) * min)
if share2 > share
strategy.order(id='buy', long=true)
else
if share2 < share
strategy.order(id="sell", long=false)
plot(share, "持股(share)")
plot(dir2, "方向(direction)")
plot(k80, "Strong", color.red)
plot(k50, "Middle", color.white)
plot(k20, "Weak", color.green)
plot(k, "k")