Résumé Cette stratégie est basée sur le croisement de trois lignes moyennes mobiles (MA1, MA2, MA3). En définissant le type, la période, la source de données de prix, la résolution des trois moyennes mobiles, ainsi qu'en permettant de négocier sur leurs croisements, des combinaisons de stratégies de négociation flexibles peuvent être obtenues.
Principe La stratégie utilise principalement les signaux de croisement et de sous-croisement entre les trois lignes moyennes mobiles comme signaux de trading. Lorsque la courte période MA traverse la plus longue période MA de bas en haut, elle génère un signal d'entrée long; lorsque la courte période MA traverse la plus longue période MA de haut en bas, elle génère un signal de sortie.
Les utilisateurs peuvent librement choisir le type (SMA, EMA, etc.), la période, la source de données de prix (prix de clôture, prix le plus élevé, etc.) et la résolution (barres de minutes, barres quotidiennes, etc.) des trois MA. En outre, la négociation sur les croisements entre chaque MA peut être activée ou désactivée pour déterminer si des actions de négociation doivent être effectuées sur certains croisements.
Actuellement, la stratégie ne va que long, entrant et sortant des positions avec des ordres de marché.
Les avantages
Les risques
Suggestions d'optimisation
Résumé La stratégie tire pleinement parti du trait de lissage des MA et de la puissance de reconnaissance de modèles des signaux croisés. Les utilisateurs peuvent choisir de manière flexible des paramètres pour équilibrer entre le suivi de la tendance et l'identification de l'inversion. Le risque de surajustement doit également être contrôlé en validant la robustesse de la stratégie dans des conditions de marché complexes simulées en backtest. En conclusion, cette stratégie fournit un exemple efficace d'utilisation de plusieurs MA pour le trading.
/*backtest start: 2023-11-19 00:00:00 end: 2023-12-19 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // // Pine Script v4 // @author BigBitsIO // Script Library: https://www.tradingview.com/u/BigBitsIO/#published-scripts // // study(title, shorttitle, overlay, format, precision) // https://www.tradingview.com/pine-script-reference/#fun_strategy strategy(shorttitle = "TManyMA Strategy - ST9 - Long Market Only", title="Triple Many Moving Averages", overlay=true, pyramiding=1, default_qty_type=strategy.percent_of_equity, default_qty_value=100) // MA#Period is a variable used to store the indicator lookback period. In this case, from the input. // input - https://www.tradingview.com/pine-script-docs/en/v4/annotations/Script_inputs.html MA1Period = input(50, title="MA1 Period", minval=1, step=1) MA1Type = input(title="MA1 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA1Source = input(title="MA1 Source", type=input.source, defval=close) MA1Resolution = input(title="MA1 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA1Visible = input(title="MA1 Visible", type=input.bool, defval=true) // Will automatically hide crossBovers containing this MA MA2Period = input(100, title="MA2 Period", minval=1, step=1) MA2Type = input(title="MA2 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA2Source = input(title="MA2 Source", type=input.source, defval=close) MA2Resolution = input(title="MA2 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA2Visible = input(title="MA2 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA MA3Period = input(200, title="MA3 Period", minval=1, step=1) MA3Type = input(title="MA3 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA3Source = input(title="MA3 Source", type=input.source, defval=close) MA3Resolution = input(title="MA3 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA3Visible = input(title="MA3 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA ShowCrosses = input(title="Show Crosses", type=input.bool, defval=false) ForecastBias = input(title="Forecast Bias", defval="Neutral", options=["Neutral", "Bullish", "Bearish"]) ForecastBiasPeriod = input(14, title="Forecast Bias Period") ForecastBiasMagnitude = input(1, title="Forecast Bias Magnitude", minval=0.25, maxval=20, step=0.25) ShowForecasts = input(title="Show Forecasts", type=input.bool, defval=true) ShowRibbons = input(title="Show Ribbons", type=input.bool, defval=true) TradeMA12Crosses = input(title="Trade MA 1-2 Crosses", type=input.bool, defval=true) TradeMA13Crosses = input(title="Trade MA 1-3 Crosses", type=input.bool, defval=true) TradeMA23Crosses = input(title="Trade MA 2-3 Crosses", type=input.bool, defval=true) // MA# is a variable used to store the actual moving average value. // if statements - https://www.tradingview.com/pine-script-reference/#op_if // MA functions - https://www.tradingview.com/pine-script-reference/ (must search for appropriate MA) // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions ma(MAType, MASource, MAPeriod) => if MAType == "SMA" ta.sma(MASource, MAPeriod) else if MAType == "EMA" ta.ema(MASource, MAPeriod) else if MAType == "WMA" ta.wma(MASource, MAPeriod) else if MAType == "RMA" ta.rma(MASource, MAPeriod) else if MAType == "HMA" ta.wma(2*wma(MASource, MAPeriod/2)-ta.wma(MASource, MAPeriod), round(sqrt(MAPeriod))) else if MAType == "DEMA" e = ta.ema(MASource, MAPeriod) 2 * e - ta.ema(e, MAPeriod) else if MAType == "TEMA" e = ta.ema(MASource, MAPeriod) 3 * (e - ta.ema(e, MAPeriod)) + ta.ema(ema(e, MAPeriod), MAPeriod) else if MAType == "VWMA" ta.vwma(MASource, MAPeriod) res(MAResolution) => if MAResolution == "00 Current" timeframe.period else if MAResolution == "01 1m" "1" else if MAResolution == "02 3m" "3" else if MAResolution == "03 5m" "5" else if MAResolution == "04 15m" "15" else if MAResolution == "05 30m" "30" else if MAResolution == "06 45m" "45" else if MAResolution == "07 1h" "60" else if MAResolution == "08 2h" "120" else if MAResolution == "09 3h" "180" else if MAResolution == "10 4h" "240" else if MAResolution == "11 1D" "1D" else if MAResolution == "12 1W" "1W" else if MAResolution == "13 1M" "1M" // https://www.tradingview.com/pine-script-reference/#fun_request.security MA1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period)) MA2 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period)) MA3 = request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period)) // Plotting crossover/unders for all combinations of crosses // Crossovers no longer detected in label code, they need to be re-used for strategy - crosses and visibility must be set MA12Crossover = MA1Visible and MA2Visible and ta.crossover(MA1, MA2) MA12Crossunder = MA1Visible and MA2Visible and ta.crossunder(MA1, MA2) MA13Crossover = MA1Visible and MA3Visible and ta.crossover(MA1, MA3) MA13Crossunder = MA1Visible and MA3Visible and ta.crossunder(MA1, MA3) MA23Crossover = MA2Visible and MA3Visible and ta.crossover(MA2, MA3) MA23Crossunder = MA2Visible and MA3Visible and ta.crossunder(MA2, MA3) // https://www.tradingview.com/pine-script-reference/v4/#fun_label%7Bdot%7Dnew if ShowCrosses and MA12Crossunder lun1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA2Period)+' '+MA2Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun1, MA1) if ShowCrosses and MA12Crossover lup1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA2Period)+' '+MA2Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup1, MA1) if ShowCrosses and MA13Crossunder lun2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun2, MA1) if ShowCrosses and MA13Crossover lup2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup2, MA1) if ShowCrosses and MA23Crossunder lun3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun3, MA2) if ShowCrosses and MA23Crossover lup3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup3, MA2) // plot - This will draw the information on the chart // plot - https://www.tradingview.com/pine-script-docs/en/v4/annotations/plot_annotation.html plot(MA1Visible ? MA1 : na, color=color.green, linewidth=2, title="MA1") plot(MA2Visible ? MA2 : na, color=color.yellow, linewidth=3, title="MA2") plot(MA3Visible ? MA3 : na, color=color.red, linewidth=4, title="MA3") // Forecasting - forcasted prices are calculated using our MAType and MASource for the MAPeriod - the last X candles. // it essentially replaces the oldest X candles, with the selected source * X candles // Bias - We'll add an "adjustment" for each additional candle being forecasted based on ATR of the previous X candles // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions bias(Bias, BiasPeriod) => if Bias == "Neutral" 0 else if Bias == "Bullish" (atr(BiasPeriod) * ForecastBiasMagnitude) else if Bias == "Bearish" ((atr(BiasPeriod) * ForecastBiasMagnitude) * -1) // multiplying by -1 to make it a negative, bearish bias // Note - Can not show forecasts on different resolutions at the moment, x-axis is an issue Bias = bias(ForecastBias, ForecastBiasPeriod) // 14 is default atr period MA1Forecast1 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 1)) * (MA1Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA1Period MA1Forecast2 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 2)) * (MA1Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA1Period MA1Forecast3 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 3)) * (MA1Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA1Period MA1Forecast4 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 4)) * (MA1Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA1Period MA1Forecast5 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 5)) * (MA1Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA1Period plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast1 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 1", offset=1, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast2 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 2", offset=2, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast3 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 3", offset=3, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast4 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 4", offset=4, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast5 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 5", offset=5, show_last=1) MA2Forecast1 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 1)) * (MA2Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA2Period MA2Forecast2 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 2)) * (MA2Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA2Period MA2Forecast3 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 3)) * (MA2Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA2Period MA2Forecast4 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 4)) * (MA2Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA2Period MA2Forecast5 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 5)) * (MA2Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA2Period plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast1 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 1", offset=1, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast2 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 2", offset=2, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast3 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 3", offset=3, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast4 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 4", offset=4, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast5 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 5", offset=5, show_last=1) MA3Forecast1 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 1)) * (MA3Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA3Period MA3Forecast2 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 2)) * (MA3Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA3Period MA3Forecast3 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 3)) * (MA3Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA3Period MA3Forecast4 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 4)) * (MA3Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA3Period MA3Forecast5 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 5)) * (MA3Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA3Period plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast1 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 1", offset=1, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast2 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 2", offset=2, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast3 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 3", offset=3, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast4 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 4", offset=4, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast5 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 5", offset=5, show_last=1) // Ribbon related code // For Ribbons to work - they must use the same MAType, MAResolution and MASource. This is to ensure the ribbons are fair between one to the other. // Ribbons also will usually look better if MA1Period < MA2Period and MA2Period < MA3Period // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions // This function is used to calculate the period to be used on a ribbon based on existing MAs rperiod(P1, P2, Step, Ribbons) => ((array.abs(P1 - P2)) / (Ribbons + 1) * Step) + math.min(P1, P2) // divide by +1 so that 5 lines can show. Divide by 5 and one line shows up on another MA // MA1-MA2 Ribbon1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 1, 5))) Ribbon2 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 2, 5))) Ribbon3 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 3, 5))) Ribbon4 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 4, 5))) Ribbon5 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 5, 5))) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon1 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon1", transp=90) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon2 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon2", transp=85) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon3 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon3", transp=80) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon4 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon4", transp=75) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon5 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon5", transp=70) // MA2-MA3 Ribbon6 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 1, 5))) Ribbon7 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 2, 5))) Ribbon8 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 3, 5))) Ribbon9 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 4, 5))) Ribbon10 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 5, 5))) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon6 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon6", transp=70) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon7 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon7", transp=75) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon8 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon8", transp=80) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon9 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon9", transp=85) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon10 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon10", transp=90) // Strategy Specific if MA12Crossover and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 2", strategy.long, comment="1 over 2") if MA12Crossunder and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 2") if MA13Crossover and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 3", strategy.long, comment="1 over 3") if MA13Crossunder and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 3") if MA23Crossover and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("2 over 3", strategy.long, comment="2 over 3") if MA23Crossunder and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("2 over 3")