Strategi ini menggunakan indikator KD untuk menentukan kekuatan dan kelemahan pasar, dan memperdagangkan kedua arah berdasarkan momentum. Secara khusus, pasar dianggap kuat ketika K melintasi di atas 80, dan lemah ketika K melintasi di bawah 20.
Keuntungan dari strategi ini adalah merebut berbagai titik balik secara tepat waktu. Namun, KD sendiri memiliki keterlambatan yang kuat, dan tidak dapat mendahului belokan. Juga, piramida membawa risiko tinggi. Stop loss yang ketat sangat penting, jika tidak, kerugian dapat berkembang dengan cepat.
Singkatnya, strategi pelacakan dua arah KD dapat memanfaatkan momentum yang kuat tetapi dengan risiko yang substansial. backtesting yang komprehensif, optimasi parameter, dan mekanisme stop loss yang baik diperlukan untuk aplikasi hidup yang stabil.
/*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")