La logique de base repose sur les aspects suivants:
EMA Crossover: Calcule l'EMA1 rapide et l'EMA2 lent. Lorsque l'EMA1 est croisé au-dessus de l'EMA2, génère un signal d'achat. Lorsque l'EMA1 est croisé au-dessous de l'EMA2, génère un signal de vente.
VWMA: Comptez VWMA. Lorsque le prix de clôture passe au-dessus de VWMA, c'est un signal d'achat. Lorsque le prix de clôture passe au-dessous de VWMA, c'est un signal de vente.
SuperTrend: Calcule la bande supérieure et la bande inférieure en fonction du paramètre ATR et du multiplicateur. Détermine la direction de la tendance. Génère des signaux d'achat en tendance haussière et des signaux de vente en tendance baissière.
RSI: calculer l'indicateur RSI. Lorsque le RSI est au-dessus du niveau de surachat, c'est un signal de vente. Lorsque le RSI est en dessous du niveau de surachat, c'est un signal d'achat.
La stratégie adopte une logique
Cette stratégie combine plusieurs indicateurs pour filtrer le marché et éviter les faux signaux.
La combinaison de plusieurs indicateurs évite les erreurs d'un seul indicateur.
La combinaison de l'indicateur de tendance et de l'oscillateur permet de réaliser des bénéfices supplémentaires pendant les tendances.
L'utilisation de la logique de stop loss limite la perte maximale par transaction.
La logique de Martingale offre la possibilité de se redresser après les pertes.
Principaux risques:
Une combinaison d'indicateurs trop conservatrice risque de manquer une occasion de négociation.
L'utilisation inappropriée du stop loss peut entraîner un stop out inutile.
Un réglage incorrect des paramètres peut entraîner trop de faux signaux. Optimisez les paramètres pour trouver la meilleure combinaison.
La stratégie peut être encore optimisée dans les aspects suivants:
Évaluer différentes combinaisons d'indicateurs, déterminer les poids.
Testez différents paramètres pour chaque indicateur.
Ajoutez une logique de stop loss adaptative.
Ajouter un mécanisme de dimensionnement dynamique de la position.
Utiliser l'apprentissage automatique pour optimiser les paramètres et les modèles.
En résumé, il s'agit d'une stratégie de trading quantitative très pratique. Elle combine la force de plusieurs indicateurs techniques classiques pour l'analyse du marché.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=5 strategy(title='Pinku Buy', overlay=true) fromMonth = input.int(defval=1, title='From Month', minval=1, maxval=12) fromDay = input.int(defval=1, title='From Day', minval=1, maxval=31) fromYear = input.int(defval=2021, title='From Year', minval=1970) thruMonth = input.int(defval=1, title='Thru Month', minval=1, maxval=12) thruDay = input.int(defval=1, title='Thru Day', minval=1, maxval=31) thruYear = input.int(defval=2112, title='Thru Year', minval=1970) showDate = input(defval=true, title='Show Date Range') start = timestamp(fromYear, fromMonth, fromDay, 00, 00) finish = timestamp(thruYear, thruMonth, thruDay, 23, 59) window() => true // ema crossover length1 = input.int(10) length2 = input.int(20) ema1 = ta.ema(close , length1) ema2 = ta.ema(close , length2) //vwap VWAP = ta.vwap(hlc3) plot(VWAP, color=color.new(color.red, 0), linewidth=3) buy_1 = close > VWAP sell_1 = close < VWAP //vwma len = input.int(20, 'VWMA_len', minval=1) ma = ta.vwma(close, len) plot(ma, color=color.new(color.navy, 0), linewidth=2) buy_2 = close > ma sell_2 = close < ma //super trend //inputs Periods = input(title='STR Period', defval=22) Source = input(hl2, title='Source') Multiplier = input.float(title='STR Multiplier', step=0.1, defval=5.0) //Compute ATR Levels atr = ta.atr(Periods) //Creating Upper Channel up = Source - Multiplier * atr up1 = nz(up[1], up) up := close[1] > up1 ? math.max(up, up1) : up //Creating Down Channel dn = Source + Multiplier * atr dn1 = nz(dn[1], dn) dn := close[1] < dn1 ? math.min(dn, dn1) : dn //Compute the Trend Stream +1/-1 trend = 1 trend := nz(trend[1], trend) trend := trend == -1 and close > dn1 ? 1 : trend == 1 and close < up1 ? -1 : trend //Create Stoploss for Longs upPlot = plot(trend == 1 ? up : na, title='Up Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.green, 0)) //buy_a = close > upPlot //Buy Signal buy_3 = trend == 1 and trend[1] == -1 plotshape(buy_3 ? up : na, title='Go Long', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.green, 0)) dnPlot = plot(trend == 1 ? na : dn, title='Down Trend', style=plot.style_linebr, linewidth=2, color=color.new(color.red, 0)) //sell_a = close < dnPlot //Sell Signal sell_3 = trend == -1 and trend[1] == 1 plotshape(sell_3 ? dn : na, title='Go Short', location=location.absolute, style=shape.circle, size=size.tiny, color=color.new(color.red, 0)) // //paraboloic sar // start = input(0.02) // increment = input(0.02) // maximum = input(0.2, 'Max Value') // out = ta.sar(start, increment, maximum) buy_4 = ema1 > ema2 //buy_4 = buy1 and not buy1[1] //plotshape(buy_4 , color = color.green , text = "Buy" , location = location.belowbar , textcolor = color.white , style = shape.labelup , size = size.small) sell_4 = close < ema2 //sell_4 = sell1 and not sell1[1] //plotshape(sell_4, color = color.red , text = "Sell" , location = location.abovebar , textcolor = color.white , style = shape.labeldown , size = size.small) plot(ema1, 'ema1', color=color.new(color.green, 0), linewidth=2) plot(ema2, 'ema2', color=color.new(color.red, 0), linewidth=2) // rsi lenr = input(14, title='Rsi Period') rs = ta.rsi(close, lenr) over_sold = input(44) over_bought = input(56) buy_5 = rs > over_bought sell_5 = rs < over_sold // macd slow_len_macd = input.int(12) fast_len_macd = input.int(26) signal_len_macd = input.int(9) ema3 = ta.ema(close , slow_len_macd) ema4 = ta.ema(close , fast_len_macd) ema5 = ta.ema(close , signal_len_macd) buy_6 = ema5 > ema4 sell_6 = ema5 < ema4 // adx adxlen = input(14, title="ADX Smoothing") dilen = input(14, title="DI Length") dirmov(len) => up = ta.change(high) down = -ta.change(low) plusDM = na(up) ? na : (up > down and up > 0 ? up : 0) minusDM = na(down) ? na : (down > up and down > 0 ? down : 0) truerange = ta.rma(ta.tr, len) plus = fixnan(100 * ta.rma(plusDM, len) / truerange) minus = fixnan(100 * ta.rma(minusDM, len) / truerange) [plus, minus] adx(dilen, adxlen) => [plus, minus] = dirmov(dilen) sum = plus + minus adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen) sig = adx(dilen, adxlen) //plot(sig, color=color.red, title="ADX") adx_Greater_than = input.int(25) signal = sig > adx_Greater_than // volume ema volume_ema = input.int(10) vema = ta.ema(volume,volume_ema) signal_2 = volume > vema //define buy sell g = buy_1 and buy_2 and buy_4 and trend == 1 and buy_5 and buy_6 and signal and signal_2 and window() r = sell_1 and sell_2 and sell_4 and trend == -1 and sell_5 and sell_6 and signal and signal_2 and window() rg = 0 rg := r ? 1 : g ? 2 : nz(rg[1]) buy11 = 0 buy11 := r ? 0 : g ? 1 : nz(buy11[1]) sell11 = 0 sell11 := r ? 1 : g ? 0 : nz(sell11[1]) buy = buy11 and not buy11[1] sell = sell11 and not sell11[1] multiple_signals = input(true) if multiple_signals buy := g and not g[1] and window() sell := r and not r[1] and window() sell else buy := buy and window() sell := sell and window() sell //plotshape(long , color = color.green , text = "Buy" , location = location.belowbar , textcolor = color.white , style = shape.labelup , size = size.small) //plotshape(short , color = color.red , text = "Sell" , location = location.abovebar , textcolor = color.white , style = shape.labeldown , size = size.small) Stop = input(0.5, title='StopLoss') / 100 ProfitPerc = input(defval=1.5, title='Profit') / 100 rev = input(1024,title = "Reverse Limit") Averaging_position_ = input(true , title = "Averaging position ? ") qn = 1 qn := nz(qn[1]) long_short = 0 long_last = buy and (nz(long_short[1]) == 0 or nz(long_short[1]) == -1) short_last = sell and (nz(long_short[1]) == 0 or nz(long_short[1]) == 1) long_short := long_last ? 1 : short_last ? -1 : long_short[1] long_entered = false long_entered := long_entered[1] short_entered = false short_entered := short_entered[1] longPrice = ta.valuewhen(long_last, close, 0) shortPrice = ta.valuewhen(short_last, close, 0) longStop = longPrice * (1 - Stop) shortStop = shortPrice * (1 + Stop) longTake = longPrice * (1 + ProfitPerc) shortTake = shortPrice * (1 - ProfitPerc) plot(long_short == 1 ? longStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Long Fixed SL') plot(long_short == -1 ? shortStop : na, style=plot.style_linebr, color=color.new(color.red, 0), linewidth=1, title='Short Fixed SL') plot(long_short == 1 ? longTake : na, style=plot.style_linebr, color=color.new(color.navy, 0), linewidth=1, title='Long Fixed TP') plot(long_short == -1 ? shortTake : na, style=plot.style_linebr, color=color.new(color.navy, 0), linewidth=1, title='Short Fixed TP') longBar1 = ta.barssince(long_last) longBar2 = longBar1 >= 1 ? true : false shortBar1 = ta.barssince(short_last) shortBar2 = shortBar1 >= 1 ? true : false longSLhit = long_short == 1 and longBar2 and low < longStop if long_entered and sell longSLhit := true longSLhit plotshape(longSLhit and not(sell and not short_entered and long_entered), style=shape.labelup, location=location.belowbar, color=color.new(color.gray, 0), size=size.tiny, title='Stop Loss', text='Long SL', textcolor=color.new(color.white, 0)) shortSLhit = long_short == -1 and shortBar2 and high > shortStop if short_entered and buy shortSLhit := true shortSLhit plotshape(shortSLhit and not(buy and not long_entered and short_entered), style=shape.labeldown, location=location.abovebar, color=color.new(color.gray, 0), size=size.tiny, title='Stop Loss', text='Short SL', textcolor=color.new(color.white, 0)) longTPhit = long_short == 1 and longBar2 and high > longTake plotshape(longTPhit, style=shape.labeldown, location=location.abovebar, color=color.new(color.navy, 0), size=size.tiny, title='Target', text='Long TP', textcolor=color.new(color.white, 0)) shortTPhit = long_short == -1 and shortBar2 and low < shortTake plotshape(shortTPhit, style=shape.labelup, location=location.belowbar, color=color.new(color.navy, 0), size=size.tiny, title='Target', text='Short TP', textcolor=color.new(color.white, 0)) long_short := (long_short == 1 or long_short == 0) and longBar2 and (longSLhit or longTPhit) ? 0 : (long_short == -1 or long_short == 0) and shortBar2 and (shortSLhit or shortTPhit) ? 0 : long_short if(shortSLhit or longSLhit or (long_entered[1] and sell) or (short_entered[1] and buy )) qn := qn*2 if(longTPhit or shortTPhit or qn > rev) qn := 1 if Averaging_position_ qn := 1 plotshape(buy and not long_entered, color=color.new(color.green, 0), style=shape.labelup, text='Buy', textcolor=color.new(color.white, 0), location=location.belowbar) plotshape(sell and not short_entered, color=color.new(color.red, 0), style=shape.labeldown, text='Sell', textcolor=color.new(color.white, 0), location=location.abovebar) // plotshape(buy and not(long_entered) and (short_entered), color = color.green , style = shape.labelup , text = "FA Buy" , textcolor = color.white , location = location.belowbar) // plotshape(sell and not(short_entered) and (long_entered), color = color.red , style = shape.labeldown , text = "FA Sell" , textcolor = color.white , location = location.abovebar) // alertcondition(condition=buy and not(long_entered) and (short_entered), title="Fully Algo Buy") // alertcondition(condition=sell and not(short_entered) and (long_entered), title="Fully Algo sell") alertcondition(condition=buy and not long_entered, title='Buy') alertcondition(condition=sell and not short_entered, title='Sell') if long_last long_entered := true short_entered := false short_entered if short_last short_entered := true long_entered := false long_entered alertcondition(condition=longSLhit and not(sell and not short_entered and long_entered), title='Long SL') alertcondition(condition=shortSLhit and not(buy and not long_entered and short_entered), title='Short SL') alertcondition(condition=longTPhit, title='Long TP') alertcondition(condition=shortTPhit, title='Short TP') if longSLhit or longTPhit long_entered := false long_entered if shortSLhit or shortTPhit short_entered := false short_entered // if buy // strategy.entry('buy', strategy.long) // strategy.exit('exit', 'buy', limit=longTake, stop=longStop) // if sell // strategy.entry('sell', strategy.short) // strategy.exit('exit', 'sell', limit=shortTake, stop=shortStop) if(buy) strategy.entry("buy",strategy.long,qty = qn) strategy.exit("Stop","buy",limit = longTake,stop = longStop) if(sell) strategy.entry("sell",strategy.short,qty = qn) strategy.exit("Stop","sell",limit = shortTake,stop = shortStop) strategy.close("buy",when = longTPhit or sell or longSLhit, comment = "Target") strategy.close("sell",when = shortSLhit or shortTPhit or buy , comment = "Stop Loss") strategy.cancel("buy",when = longTPhit or sell or longSLhit) strategy.cancel("sell",when = shortSLhit or shortTPhit or buy )