Stratégie de rupture de l'élan
Auteur:ChaoZhang est là., Date: 2023-11-07 17:13:20 Le projet de loi est en cours d'adoption.Les étiquettes:
Résumé
Il s'agit d'une stratégie qui utilise les indicateurs MACD, RSI et stochastique pour déterminer la direction de la dynamique des prix et effectue des entrées longues ou courtes aux points de rupture de la dynamique.
Principe
La stratégie utilise les indicateurs MACD, RSI et stochastique pour déterminer la direction de tendance des prix. Lorsque la ligne DIFF de MACD franchit la ligne DEAL, le RSI est supérieur à 50, et la ligne rapide de STOCH est également supérieure à 50, elle est jugée comme une tendance haussière, de sorte qu'elle sera longue au prix d'ouverture du lendemain avec tout le capital au prix le plus élevé de la journée; Inversement, lorsque la ligne DIFF de MACD franchit la ligne DEAL, le RSI est inférieur à 50 et la ligne rapide de STOCH est également inférieure à 50, elle est jugée comme une tendance baissière, de sorte qu'elle sera courte au prix d'ouverture du lendemain avec toute la gamme au prix le plus bas de la journée. Le profit et la perte d'arrêt sont calculés en fonction de la fluctuation des prix des 7 derniers jours, et le ratio profit/perte peut être personnalisé.
Après l'entrée d'une position, si l'un des trois indicateurs génère un signal inverse, cela signifie que la tendance s'est inversée et devrait quitter la position actuelle.
Les avantages
- La combinaison de plusieurs indicateurs pour juger de la tendance peut filtrer efficacement les faux signaux
- L'exploitation des événements de rupture peut permettre de détecter le stade précoce des tendances
- L'utilisation dynamique de la prise de profit et du stop loss peut garantir des profits raisonnables
- Le saut de périodes peut éviter les interférences des marchés extrêmes
- La combinaison de mécanismes de suivi de tendance et de renversement peut réduire les transactions inutiles
Les risques
- Les combinaisons d'indicateurs multiples peuvent entraîner un retard, faute de meilleur moment d'entrée
- Les signaux de rupture sont susceptibles d' être piégés.
- Les arrêts dynamiques peuvent être trop agressifs et arrêtés par Preis
- Sauter des périodes spéciales peut manquer des opportunités si elles sont configurées de manière incorrecte
- Les signaux de renversement peuvent être trop sensibles, ce qui conduit à une survente
Directions d'amélioration:
- Ajuster les paramètres de l'indicateur pour réduire le décalage
- Ajoutez des filtres comme le volume pour éviter les pièges
- Utilisez les arrêts de suivi pour empêcher les arrêts de prix
- Optimiser et tester les plages de dates sautées
- Paramètres du signal d'inversion de réglage pour réduire la fréquence
Résumé
Dans l'ensemble, il s'agit d'une stratégie de suivi de tendance typique. Elle utilise plusieurs indicateurs pour déterminer la tendance des entrées et des signaux d'inversion pour juger des fins de tendance des sorties, combinant à la fois les mécanismes de suivi de tendance et d'inversion. Mais la stratégie elle-même comporte également des paramètres incorrects et des problèmes de retard qui nécessitent beaucoup de backtesting pour optimiser et améliorer, afin d'ajuster tous les paramètres de stratégie à leur état optimal.
En résumé, la logique de cette stratégie est claire, et les indicateurs utilisés sont également typiques. Elle se débrouille bien dans certains détails d'optimisation et de contrôle des risques, et peut être une stratégie quantitative applicable dans le monde réel. Mais il y a encore des lacunes de perfection, nécessitant des tests et une optimisation supplémentaires, pour amener le ratio retour/drawdown de la stratégie à un niveau professionnel. Avec une optimisation et des mises à jour continues, cette stratégie peut devenir une stratégie à suivre à long terme.
/*backtest
start: 2023-10-07 00:00:00
end: 2023-11-06 00:00:00
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// @version=4
// Backtest the power x strategy. The power x strategy is develop by Markus Heitkoetter and Rockwell Trading.
// This script shows the return for a given stock for with the defined date range with a fixed captial of $10,000
strategy("PowerX Test", overlay=true, initial_capital=10000)
// ####################### Start of User Inputs #######################
// From Date Inputs
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
fromMonth = input(defval = 7, title = "From Month", minval = 1, maxval = 12)
fromYear = input(defval = 2019, title = "From Year", minval = 1970)
// To Date Inputs
toDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2021, title = "To Year", minval = 1970)
// Calculate start/end date and time condition
startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true
// Risk/Reward Inputs
riskFactor = input(defval = 1.5, title = "risk", minval = 1)
rewardFactor = input(defval = 3.0, title = "reward", minval = 1)
// Days to ignore due to specail market conditon (ie. covid-19 market crash)
// Calculate start/end skip date and time condition
startSkipDate = timestamp(2020, 3, 1, 00, 00)
finishSkipDate = timestamp(2020, 3, 31, 00, 00)
time_cond_skip = time >= startSkipDate and time <= finishSkipDate
// Long and Short Inputs
hasLong = input(defval = true, title = "test long")
hasShort = input(defval = true, title = "test short")
// ####################### End of User Inputs #######################
// ####################### Start of Indicators #######################
[macdLine, signalLine, histLine] = macd(close, 12, 26, 9)
rsiLine = rsi(close, 7)
stochLine = sma(sma(stoch(close, high, low, 14),3),3)
signal = macdLine > signalLine and rsiLine > 50 and stochLine > 50 ? "buy" : macdLine <= signalLine and rsiLine <= 50 and stochLine <= 50 ? "sell" : "none"
// Average daily range for 7 days
thishigh = security(syminfo.tickerid, 'D', high)
thislow = security(syminfo.tickerid, 'D', low)
length = 7
adr = (sma(thishigh,length)-sma(thislow,length))
plotchar(adr, "ADR", "")
// ####################### End of Indicators #######################
strategy.initial_capital = 50000
// First day the stock changed momentum.
long = signal == "buy" and signal[1] != "buy" and hasLong
short = signal == "sell" and signal[1] != "sell" and hasShort
sideway = signal == "none" and signal[1] != "none"
if (time_cond and not time_cond_skip)
// ####################### Start of Long Entry #######################
// Calculate how many shares to buy based on captial
qty = round(strategy.initial_capital / high)
// Note: TradingView uses a broker emulator when running strategies. Order are only filled on the next bar.
// Enter long on the day after first green bar
strategy.entry("Long entry", strategy.long, qty = qty, stop = high, when = long)
strategy.cancel("Long entry", when = not long)
// TODO: Improve the crazy if statments...
// Handle the case where first green hgih is reached after 2nd green, up to 11 days after
if (not long and signal == "buy" and strategy.opentrades == 0)
// reach first green high 11 days after first green
if (signal[11] != "buy" and signal[10] == "buy" and signal[9] == "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[9] and high[2] < high[9] and high [3] < high[9] and high [4] < high[9] and high [5] < high[9] and high[6] < high[9] and high[7] < high[9] and high[8] < high[9])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[10], stop = high[10])
// reach first green high 10 days after first green
if (signal[10] != "buy" and signal[9] == "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[8] and high[2] < high[8] and high [3] < high[8] and high [4] < high[8] and high [5] < high[8] and high[6] < high[8] and high[7] < high[8])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[9], stop = high[9])
// reach first green high 9 days after first green
if (signal[9] != "buy" and signal[8] == "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[7] and high[2] < high[7] and high [3] < high[7] and high [4] < high[7] and high [5] < high[7] and high[6] < high[7])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[8], stop = high[8])
// reach first green high 8 days after first green
if (signal[8] != "buy" and signal[7] == "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[6] and high[2] < high[6] and high [3] < high[6] and high [4] < high[6] and high [5] < high[6])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[7], stop = high[7])
// reach first green high 7 days after first green
if (signal[7] != "buy" and signal[6] == "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[6] and high[2] < high[6] and high [3] < high[6] and high [4] < high[6] and high [5] < high[6])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[6], stop = high[6])
// reach first green high 6 days after first green
if (signal[6] != "buy" and signal[5] == "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[5] and high[2] < high[5] and high [3] < high[5] and high [4] < high[5])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[5], stop = high[5])
// reach first green high 5 days after first green
if (signal[5] != "buy" and signal[4] == "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[4] and high[2] < high[4] and high [3] < high[4])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[4], stop = high[4])
// reach first green high 4 days after first green
if (signal[4] != "buy" and signal[3] == "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[3] and high[2] < high[3])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[3], stop = high[3])
// reach first green high 3 days after first green
if (signal[3] != "buy" and signal[2] == "buy" and signal[1] == "buy" and high[1] < high[2])
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[2], stop = high[2])
// reach first green high 2 days after first green
if (signal[2] != "buy" and signal[1] == "buy")
strategy.entry("Long entry", strategy.long, qty = strategy.initial_capital / high[1], stop = high[1])
// Exit when stopped out or hitted profit target
// Bracket order for entry 1 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] != "buy")
long_stop_level = strategy.position_avg_price - (adr[1] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[1] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 2 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] != "buy")
long_stop_level = strategy.position_avg_price - (adr[2] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[2] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 3 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] != "buy")
long_stop_level = strategy.position_avg_price - (adr[3] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[3] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 4 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] != "buy")
long_stop_level = strategy.position_avg_price - (adr[4] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[4] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 5 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] != "buy")
long_stop_level = strategy.position_avg_price - (adr[5] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[5] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 6 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] != "buy")
long_stop_level = strategy.position_avg_price - (adr[6] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[6] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 7 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] != "buy")
long_stop_level = strategy.position_avg_price - (adr[7] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[7] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 8 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] != "buy")
long_stop_level = strategy.position_avg_price - (adr[8] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[8] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 9 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] != "buy")
long_stop_level = strategy.position_avg_price - (adr[9] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[9] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 10 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] == "buy" and signal[11] != "buy")
long_stop_level = strategy.position_avg_price - (adr[10] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[10] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 11 day after 1st green
if (signal == "buy" and signal[1] == "buy" and signal[2] == "buy" and signal[3] == "buy" and signal[4] == "buy" and signal[5] == "buy" and signal[6] == "buy" and signal[7] == "buy" and signal[8] == "buy" and signal[9] == "buy" and signal[10] == "buy" and signal[11] == "buy" and signal[12] != "buy")
long_stop_level = strategy.position_avg_price - (adr[11] * riskFactor)
long_profit_level = strategy.position_avg_price + (adr[11] * rewardFactor)
strategy.exit("TP/SL", "Long entry", stop=long_stop_level, limit=long_profit_level)
// ####################### End of Long Entry #######################
// ####################### Start of Short Entry #######################
// Enter short on the day after first red bar
qty_short = strategy.initial_capital / low
strategy.entry("Short entry", strategy.short, qty = qty_short, stop = low, when = short)
strategy.cancel("Short entry", when = not short)
// TODO: Improve the crazy if statments...
// Handle the case where first red low is reached after 2nd red, up to 11 days after
if (not short and signal == "sell" and strategy.opentrades == 0)
// reach first red low 11 days after
if (signal[11] != "sell" and signal[10] == "sell" and signal[9] == "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[10] and low[2] > low[10] and low[3] > low[10] and low[4] > low[10] and low[5] > low[10] and low[6] > low[10] and low[7] > low[10] and low[8] > low[10] and low[9] > low[10])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[10], stop = low[10])
// reach first red low 10 days after
if (signal[10] != "sell" and signal[9] == "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[9] and low[2] > low[9] and low[3] > low[9] and low[4] > low[9] and low[5] > low[9] and low[6] > low[9] and low[7] > low[9] and low[8] > low[9])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[9], stop = low[9])
// reach first red low 9 days after
if (signal[9] != "sell" and signal[8] == "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[8] and low[2] > low[8] and low[3] > low[8] and low[4] > low[8] and low[5] > low[8] and low[6] > low[8] and low[7] > low[8])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[8], stop = low[8])
// reach first red low 8 days after
if (signal[8] != "sell" and signal[7] == "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[7] and low[2] > low[7] and low[3] > low[7] and low[4] > low[7] and low[5] > low[7] and low[6] > low[7])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[7], stop = low[7])
// reach first red low 7 days after
if (signal[7] != "sell" and signal[6] == "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[6] and low[2] > low[6] and low[3] > low[6] and low[4] > low[6] and low[5] > low[6])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[6], stop = low[6])
// reach first red low 6 days after
if (signal[6] != "sell" and signal[5] == "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[5] and low[2] > low[5] and low[3] > low[5] and low[4] > low[5])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[5], stop = low[5])
// reach first red low 5 days after
if (signal[5] != "sell" and signal[4] == "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[4] and low[2] > low[4] and low[3] > low[4])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[4], stop = low[4])
// reach first red low 4 days after
if (signal[4] != "sell" and signal[3] == "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[3] and low[2] > low[3])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[3], stop = low[3])
// reach first red low 3 days after
if (signal[3] != "sell" and signal[2] == "sell" and signal[1] == "sell" and low[1] > low[2])
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[2], stop = low[2])
// reach first red low 2 days after
if (signal[2] != "sell" and signal[1] == "sell")
strategy.entry("Short entry", strategy.short, qty = strategy.initial_capital / low[1], stop = low[1])
// Exit when stop out or profit target is hit
// Bracket order for entry 1 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] != "sell")
long_stop_level = strategy.position_avg_price + (adr[1] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[1] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 2 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] != "sell")
long_stop_level = strategy.position_avg_price + (adr[2] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[2] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 3 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] != "sell")
long_stop_level = strategy.position_avg_price + (adr[3] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[3] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 4 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] != "sell")
long_stop_level = strategy.position_avg_price + (adr[4] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[4] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 5 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] != "sell")
long_stop_level = strategy.position_avg_price + (adr[5] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[5] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 6 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] != "sell")
long_stop_level = strategy.position_avg_price + (adr[6] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[6] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 7 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] != "sell")
long_stop_level = strategy.position_avg_price + (adr[7] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[7] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 8 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] != "sell")
long_stop_level = strategy.position_avg_price + (adr[8] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[8] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 9 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] != "sell")
long_stop_level = strategy.position_avg_price + (adr[9] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[9] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 10 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] == "sell" and signal[11] != "sell")
long_stop_level = strategy.position_avg_price + (adr[10] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[10] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// Bracket order for entry 11 day after 1st red
if (signal == "sell" and signal[1] == "sell" and signal[2] == "sell" and signal[3] == "sell" and signal[4] == "sell" and signal[5] == "sell" and signal[6] == "sell" and signal[7] == "sell" and signal[8] == "sell" and signal[9] == "sell" and signal[10] == "sell" and signal[11] == "sell" and signal[12] != "sell")
long_stop_level = strategy.position_avg_price + (adr[11] * riskFactor)
long_profit_level = strategy.position_avg_price - (adr[11] * rewardFactor)
strategy.exit("TP/SL", "Short entry", stop=long_stop_level, limit=long_profit_level)
// ####################### End of Short Entry #######################
// Enxit the day after the trend is lost
if (time_cond and sideway)
strategy.close("Long entry")
strategy.close("Short entry")
// Close any open order out side of date range
if (not time_cond)
strategy.close_all()
if (time_cond_skip)
strategy.close_all()
Plus de
- Une stratégie d'arrêt des pertes et de prise de bénéfices basée sur des indicateurs
- Stratégie de négociation à double moyenne mobile
- Évasion élevée et faible pour les opérations quantitatives
- Stratégie de rupture de la volatilité
- Stratégie commerciale de rupture du canal de Donchian
- Stratégie de rupture du RSI au niveau réel
- Résultats de l'analyse de la volatilité
- Stratégie de rupture dynamique SAR parabolique triple SMMA
- Stratégie de croisement des SMA
- Stratégie de négociation des moyennes mobiles ajustées à la volatilité
- Stratégie de négociation à court terme dans une tendance à la baisse
- Stratégie de négociation de devises basée sur la EMA de l'étape du volume
- Stratégie d'inversion de la double ombre
- Stratégie de percée du double RSI rapide
- Stratégie d'achat et de vente croisée dans le temps
- Stratégie de suivi des tendances de dynamique
- Règles de négociation chaotiques Stratégie Stop Loss
- VWMA et ATR tendance à suivre la stratégie
- L'évolution de la dynamique de la KST EMA à la suite de la stratégie
- Tendance de l'indice de risque suivant la stratégie