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Stratégie de percée en double oscillation VWAP

Auteur:ChaoZhang est là., Date: 2023-11-23 11:10:28 Je suis désolé
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Résumé

La double stratégie de percée d'oscillation VWAP analyse les tendances du marché à l'aide de bandes doubles VWAP et recherche des opportunités de percée dans les marchés oscillants.

Principes de stratégie

La stratégie est composée des principales composantes suivantes:

  1. Paramètres VWAP: Calculer les bandes VWAP et leur largeur.stDevMultiplierLa largeur extérieure du VWAP est contrôlée parstDevMultiplier, par défaut à 2.

  2. Paramètres de l'ADX: calculer les valeurs de l'ADX pour déterminer si le marché oscille.

  3. Réglages d'entrée: Entrez sur le marché lorsque les prix franchissent les bandes VWAP extérieures pendant l'oscillation.

  4. Limite des entrées: filtres optionnels de l'EMA ou de l'intervalle de temps pour éviter les entrées pendant des périodes de temps défavorables.

  5. Option de sortie lorsque les prix dépassent les bandes VWAP extérieures.

La stratégie identifie les marchés oscillants à l'aide de l'indicateur ADX et recherche des opportunités d'entrée lorsque les prix franchissent les bandes VWAP. Les bandes doubles VWAP fournissent des filtres supplémentaires pour assurer des signaux d'entrée forts.

Analyse des avantages

  1. Les bandes VWAP doubles fournissent des filtres supplémentaires pour des signaux d'entrée plus forts.

  2. L'oscillateur ADX identifie les oscillations et évite les erreurs lors des tendances.

  3. L'arrêt de traîneau bloque les bénéfices et empêche d'être pris au piège.

  4. Des paramètres hautement configurables s'adaptent aux différentes conditions du marché.

  5. La logique simple le rend facile à comprendre, à reproduire et à modifier.

Risques et solutions

  1. Optimiser les combinaisons de paramètres pour assurer la stabilité de la stratégie.

  2. Les arrêts de trailing peuvent être trop agressifs ou conservateurs.

  3. Optimisez l'utilisation de filtres de temps pour capturer l'efficacité.

  4. Confirmer les prix avec des indicateurs supplémentaires.

Directions d'optimisation

  1. La valeur de l'échange est calculée en fonction de la volatilité et d'autres paramètres.

  2. Ajouter des tendances et des signaux d'établissement à plus long terme pour éviter les entrées contraires à la tendance.

  3. Considérez la taille des positions basée sur la volatilité et le capital total.

  4. Testez différentes périodes d'ancrage VWAP. Les périodes de VWAP déterminent la période globale de détention de la stratégie.

Résumé

La double stratégie de rupture d'oscillation VWAP identifie l'oscillation avec ADX et fournit des filtres d'entrée supplémentaires avec les bandes VWAP. La logique est simple à mettre en œuvre.

/*backtest
start: 2023-10-23 00:00:00
end: 2023-11-22 00:00:00
period: 1h
basePeriod: 15m
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/
// © jordanfray

//@version=5
strategy(title="Double VWAP Strategy", overlay=true, scale=scale.none, max_bars_back=500, default_qty_type=strategy.percent_of_equity, default_qty_value=100,initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.05, backtest_fill_limits_assumption=2)

// Indenting Classs
indent_1 = " "
indent_2 = "  "
indent_3 = "   "
indent_4 = "    "

// Group Titles
group_one_title = "VWAP Settings"
group_two_title = "ADX Settings"
group_three_title = "Entry Settings"
group_four_title = "Limit Entries"

// Input Tips
adx_thresholdToolTip = "The minumn ADX value to allow opening a postion"
adxCancelToolTip= "You can optionally set a different lower value for ADX that will allow entries even if below the trigger threshold."

ocean_blue = color.new(#0C6090,0)
sky_blue = color.new(#00A5FF,0)
green = color.new(#2DBD85,0)
red = color.new(#E02A4A,0)
light_blue = color.new(#00A5FF,90)
light_green = color.new(#2DBD85,90)
light_red = color.new(#E02A4A,90)
light_yellow = color.new(#FFF900,90)
white = color.new(#ffffff,0)
transparent = color.new(#000000,100)

// Strategy Settings - VWAP
var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")
    
computeVWAP(src, isNewPeriod, stDevMultiplier) =>
    var float sum_src_vol = na
    var float sum_vol = na
    var float sum_src_src_vol = na

    sum_src_vol := isNewPeriod ? src * volume : src * volume + sum_src_vol[1]
    sum_vol := isNewPeriod ? volume : volume + sum_vol[1]
    sum_src_src_vol := isNewPeriod ? volume * math.pow(src, 2) : volume * math.pow(src, 2) + sum_src_src_vol[1]

    _vwap = sum_src_vol / sum_vol
    variance = sum_src_src_vol / sum_vol - math.pow(_vwap, 2)
    variance := variance < 0 ? 0 : variance
    standard_deviation = math.sqrt(variance)

    lower_band_value = _vwap - standard_deviation * stDevMultiplier
    upper_band_value = _vwap + standard_deviation * stDevMultiplier

    [_vwap, lower_band_value, upper_band_value]

var anchor = input.string(defval="Session", title="Anchor Period", options=["Session", "Week", "Month", "Quarter", "Year"], group=group_one_title)
src = input(defval = close, title = "Inner VWAP Source", group=group_one_title)
multiplier_inner = input(defval=1.0, title="Inner Bands Multiplier", group=group_one_title)
multiplier_outer = input(defval=2.0, title="Outer Bands Multiplier", group=group_one_title)
show_bands = true

timeChange(period) =>
   ta.change(time(period))

isNewPeriod = switch anchor
    "Session" => timeChange("D")
    "Week" => timeChange("W")
    "Month" => timeChange("M")
    "Quarter" => timeChange("3M")
    "Year" => timeChange("12M")
    => false

float vwap_val = na
float upper_inner_band_value = na
float lower_inner_band_value = na
float upper_outer_band_value = na
float lower_outer_band_value = na

[inner_vwap, inner_bottom, inner_top] = computeVWAP(src, isNewPeriod, multiplier_inner)
[outer_vwap, outer_bottom, outer_top] = computeVWAP(src, isNewPeriod, multiplier_outer)
vwap_val := inner_vwap
upper_inner_band_value := show_bands ? inner_top : na
lower_inner_band_value := show_bands ? inner_bottom : na
upper_outer_band_value := show_bands ? outer_top : na
lower_outer_band_value := show_bands ? outer_bottom : na

plot(vwap_val, title="VWAP", color=green)

upper_inner_band = plot(upper_inner_band_value, title="Upper Inner Band", color=sky_blue)
lower_inner_band = plot(lower_inner_band_value, title="Lower Inner Band", color=sky_blue)
upper_outer_band = plot(upper_outer_band_value, title="Upper Outer Band", linewidth=2, color=ocean_blue)
lower_outer_band = plot(lower_outer_band_value, title="Lower Outer Band", linewidth=2, color=ocean_blue)

fill(upper_outer_band, lower_outer_band, title="VWAP Bands Fill", color= show_bands ? light_blue : na)

// ADX Settings
adx_len = input.int(defval=14, title="ADX Smoothing", group=group_two_title)
di_len = input.int(defval=14, title="DI Length", group=group_two_title)
adx_threshold = input.int(defval=40, title="ADX Threshold", group=group_two_title, tooltip=adx_thresholdToolTip)
dirmov(len) =>
    up = ta.change(high)
    down = -ta.change(low)
    plus_dm = na(up) ? na : (up > down and up > 0 ? up : 0)
    minus_dm = na(down) ? na : (down > up and down > 0 ? down : 0)
    true_range = ta.rma(ta.tr, len)
    plus = fixnan(100 * ta.rma(plus_dm, len) / true_range)
    minus = fixnan(100 * ta.rma(minus_dm, len) / true_range)
    [plus, minus]

adx(di_len, adx_len) =>
    [plus, minus] = dirmov(di_len)
    sum = plus + minus
    adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adx_len)

adx_val = adx(di_len, adx_len)
plot(adx_val, title="ADX")

// Entry Settings
stop_loss_val = input.float(defval=2.0, title="Stop Loss (%)", step=0.1, group=group_three_title)/100
take_profit_val = input.float(defval=6.0, title="Take Profit (%)", step=0.1, group=group_three_title)/100
long_entry_limit_lookback = input.int(defval=1, title="Long Entry Limit Lookback", minval=1, step=1, group=group_three_title)
short_entry_limit_lookback = input.int(defval=1, title="Short Entry Limit Lookback", minval=1, step=1, group=group_three_title)
limit_order_long_price = ta.lowest(close, long_entry_limit_lookback)
limit_order_short_price = ta.highest(close, short_entry_limit_lookback)
start_trailing_after = input.float(defval=3, title="Start Trailing After (%)", step=0.1, group=group_three_title)/100
trail_behind = input.float(defval=2, title="Trail Behind (%)", step=0.1, group=group_three_title)/100
close_early_if_crosses_outter_band = input.bool(defval=false, title="Close early if price crosses outer VWAP band")

// Limit Entries
enableEmaFilter = input.bool(defval=true, title="Use EMA Filter", group=group_four_title)
emaFilterTimeframe = input.timeframe(defval="", title=indent_4+"Timeframe", group=group_four_title)
emaFilterLength = input.int(defval=300, minval=1, step=10, title=indent_4+"Length", group=group_four_title)
emaFilterSource = input.source(defval=hl2, title=indent_4+"Source", group=group_four_title)
ema_filter = ta.ema(emaFilterSource, emaFilterLength)
ema_filter_smoothed = request.security(syminfo.tickerid, emaFilterTimeframe, ema_filter[barstate.isrealtime ? 1 : 0], gaps=barmerge.gaps_on)
plot(enableEmaFilter ? ema_filter_smoothed: na, title="EMA Macro Filter", linewidth=2, color=sky_blue, editable=true)

useTimeFilter = input.bool(defval=false, title="Use Time Session Filter", group=group_four_title)

withinTime = true


long_start_trailing_val = strategy.position_avg_price + (strategy.position_avg_price * start_trailing_after)
short_start_trailing_val = strategy.position_avg_price - (strategy.position_avg_price * start_trailing_after)
long_trail_behind_val = close - (strategy.position_avg_price * (trail_behind/100))
short_trail_behind_val = close + (strategy.position_avg_price * (trail_behind/100))
currently_in_a_long_postion = strategy.position_size > 0
currently_in_a_short_postion = strategy.position_size < 0
long_profit_target = strategy.position_avg_price * (1 + take_profit_val)
long_stop_loss = strategy.position_avg_price * (1.0 - stop_loss_val)
short_profit_target = strategy.position_avg_price * (1 - take_profit_val)
short_stop_loss = strategy.position_avg_price * (1 + stop_loss_val)
bars_since_entry = currently_in_a_long_postion or currently_in_a_short_postion ? bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) + 1 : 5
plot(bars_since_entry, editable=false, title="Bars Since Entry", color=green)
long_run_up = ta.highest(high, bars_since_entry)
long_trailing_stop = currently_in_a_long_postion and bars_since_entry > 0 and long_run_up > long_start_trailing_val ? long_run_up - (long_run_up * trail_behind) : long_stop_loss
//long_run_up_line = plot(long_run_up, style=plot.style_stepline, editable=false, color=currently_in_a_long_postion ? green : transparent)
long_trailing_stop_line = plot(long_trailing_stop, style=plot.style_stepline, editable=false, color=currently_in_a_long_postion ? long_trailing_stop > strategy.position_avg_price ? green : red : transparent)
short_run_up = ta.lowest(low, bars_since_entry)
short_trailing_stop = currently_in_a_short_postion and bars_since_entry > 0 and short_run_up < short_start_trailing_val ? short_run_up + (short_run_up * trail_behind) : short_stop_loss
//short_run_up_line = plot(short_run_up, style=plot.style_stepline, editable=false, color=currently_in_a_short_postion ? green : transparent)
short_trailing_stop_line = plot(short_trailing_stop, style=plot.style_stepline, editable=false, color=currently_in_a_short_postion ? short_trailing_stop < strategy.position_avg_price ? green : red : transparent)


// Conditions
adx_is_below_threshold = adx_val < adx_threshold
price_crossed_down_VWAP_lower_outer_band = ta.crossunder(low, lower_outer_band_value)
price_closed_above_VWAP_lower_outer_band = close > lower_outer_band_value
price_crossed_up_VWAP_upper_outer_band =  ta.crossover(high,upper_outer_band_value)
price_closed_below_VWAP_upper_outer_band = close < upper_outer_band_value
price_above_ema_filter = close > ema_filter_smoothed
price_below_ema_filter = close < ema_filter_smoothed

//Trade Restirctions
no_trades_allowed = not withinTime or not adx_is_below_threshold

// Enter trades when...
long_conditions_met = enableEmaFilter ? price_above_ema_filter and not currently_in_a_long_postion and withinTime and adx_is_below_threshold and price_crossed_down_VWAP_lower_outer_band and price_closed_above_VWAP_lower_outer_band : not currently_in_a_long_postion and withinTime and adx_is_below_threshold and price_crossed_down_VWAP_lower_outer_band and price_closed_above_VWAP_lower_outer_band
short_conditions_met = enableEmaFilter ? price_below_ema_filter and not currently_in_a_short_postion and withinTime and adx_is_below_threshold and price_crossed_up_VWAP_upper_outer_band and price_closed_below_VWAP_upper_outer_band : not currently_in_a_short_postion and withinTime and adx_is_below_threshold and price_crossed_up_VWAP_upper_outer_band and price_closed_below_VWAP_upper_outer_band
plotshape(long_conditions_met ? close  : na, title="Long Entry Symbol", color=green, style=shape.triangleup, location=location.abovebar)
plotshape(short_conditions_met ? close  : na, title="Short Entry Symbol", color=red, style=shape.triangledown, location=location.belowbar)

// Take Profit When...
price_closed_below_short_trailing_stop = ta.cross(close, short_trailing_stop)
price_hit_short_entry_profit_target = low > short_profit_target
price_closed_above_long_entry_trailing_stop = ta.cross(close, long_trailing_stop)
price_hit_long_entry_profit_target = high > long_profit_target

long_position_take_profit = close_early_if_crosses_outter_band ? price_crossed_up_VWAP_upper_outer_band or price_closed_above_long_entry_trailing_stop or price_hit_long_entry_profit_target : price_closed_above_long_entry_trailing_stop or price_hit_long_entry_profit_target
short_position_take_profit = close_early_if_crosses_outter_band ? price_crossed_down_VWAP_lower_outer_band or price_closed_below_short_trailing_stop or price_hit_short_entry_profit_target : price_closed_below_short_trailing_stop or price_hit_short_entry_profit_target

// Cancel limir order if...
cancel_long_condition = false
cancel_short_condition = false


// Long Entry
strategy.entry(id="Long", direction=strategy.long, limit=limit_order_long_price, when=long_conditions_met)
strategy.cancel(id="Cancel Long", when=cancel_long_condition)
strategy.exit(id="Close Long", from_entry="Long", stop=long_trailing_stop, limit=long_profit_target, when=long_position_take_profit)

// Short Entry 
strategy.entry(id="Short", direction=strategy.short, limit=limit_order_short_price, when=short_conditions_met)
strategy.cancel(id="Cancel Short", when=cancel_short_condition)
strategy.exit(id="Close Short", from_entry="Short", stop=short_trailing_stop, limit=short_profit_target, when=short_position_take_profit)

entry = plot(strategy.position_avg_price, editable=false, title="Entry", style=plot.style_stepline, color=currently_in_a_long_postion or currently_in_a_short_postion ? color.blue : transparent, linewidth=1)
fill(entry,long_trailing_stop_line, editable=false, color=currently_in_a_long_postion ? long_trailing_stop > strategy.position_avg_price ? light_green : light_red : transparent)
fill(entry,short_trailing_stop_line, editable=false, color=currently_in_a_short_postion ? short_trailing_stop < strategy.position_avg_price ? light_green : light_red : transparent)
bgcolor(title="No Trades Allowed", color=no_trades_allowed ? light_red : light_green)
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