Strategi ini diperdagangkan berdasarkan saluran harga dari indikator ZZ, mengambil posisi panjang/pendek ketika harga keluar di atas/di bawah band saluran.
Secara khusus, ini menggunakan indikator ZZ untuk menghitung band saluran harga. Ketika harga keluar ke atas dari band bawah, pergi panjang. Ketika harga turun dari band atas, pergi pendek. Stop loss order digunakan dengan band saluran sebagai stop loss level. Jam perdagangan juga didefinisikan untuk menghindari risiko overnight.
Risiko dapat dikurangi dengan memperluas rentang saluran, mengoptimalkan stop loss, mengukur kekuatan tren dll.
Strategi ini memperdagangkan penembusan saluran harga untuk mengidentifikasi wabah tren. Pro adalah sinyal yang jelas dan mudah dioperasikan; Kontra adalah whipsaws dan kegagalan untuk mengendarai tren. Optimasi parameter dan kombinasi strategi dapat mengatasi kontra sambil mempertahankan pro. Ini membantu pedagang menguasai menerapkan teknik saluran harga.
/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//Noro
//2019
//@version=4
strategy(title = "Noro's ZZ-4 Strategy", shorttitle = "Noro's ZZ-4 Strategy", overlay = true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 0)
//Settings
needlong = input(true, defval = true, title = "Long")
needshort = input(true, defval = true, title = "Short")
capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Capital, %")
len = input(7, minval = 1, title = "Length")
showll = input(true, defval = true, title = "Show Levels")
showbg = input(false, defval = false, title = "Show Background")
showpc = input(false, defval = false, title = "Show Price Channel")
fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year")
toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year")
frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month")
tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month")
fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From day")
today = input(31, defval = 31, minval = 01, maxval = 31, title = "To day")
//Price channel
h = highest(ohlc4, len)
l = lowest(ohlc4, len)
pccol = showpc ? color.blue : na
plot(h, color = pccol, transp = 0)
plot(l, color = pccol, transp = 0)
//Levels
ml = 0
ml := l > l[1] ? 1 : l < l[1] ? -1 : ml[1]
ll = 0.0
ll := ml == 1 and ml[1] == -1 ? l[1] : ll[1]
mh = 0
mh := h > h[1] ? 1 : h < h[1] ? -1 : mh[1]
hl = 0.0
hl := mh == -1 and mh[1] == 1 ? h[1] : hl[1]
//Lines
colorh = showll and hl == hl[1] ? color.lime : na
colorl = showll and ll == ll[1] ? color.red : na
plot(hl, color = colorh, linewidth = 2, transp = 0, title = "Long")
plot(ll, color = colorl, linewidth = 2, transp = 0, title = "Short")
//Background
size = strategy.position_size
trend = 0
trend := size > 0 ? 1 : size < 0 ? -1 : high >= hl ? 1 : low <= ll ? -1 : trend[1]
bgcol = showbg == false ? na : trend == 1 ? color.lime : trend == -1 ? color.red : na
bgcolor(bgcol, transp = 80)
//Trading
truetime = time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59)
lot = 0.0
lot := size != size[1] ? strategy.equity / close * capital / 100 : lot[1]
if ll > 0 and hl > 0
strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, stop = hl, when=(truetime))
strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, stop = ll, when=(truetime))
if time > timestamp(toyear, tomonth, today, 23, 59)
strategy.close_all()
strategy.cancel("Long")
strategy.cancel("Short")