Ini adalah strategi perdagangan kuantitatif berdasarkan Smart Money Index (SMI). Indeks mencerminkan kegiatan dana institusional dan digunakan untuk memprediksi tren pasar potensial dengan menganalisis pergerakan SMI. Ini termasuk strategi perdagangan berdasarkan analisis sentimen investor.
Indikator inti adalah Smart Money Index (SMI).
SMI = SMA ((Hari ini tutup - Hari ini terbuka + Kemarin tutup - Kemarin terbuka, N)
Di mana N adalah periode parameter.
SMI mencerminkan arus masuk dan keluar uang pintar. SMI yang naik menunjukkan arus masuk bersih, yang berarti uang pintar bullish. SMI yang turun menunjukkan arus keluar bersih, yang berarti uang pintar bearish.
Strategi trading berjalan panjang ketika SMI naik dan berjalan pendek ketika SMI turun, untuk mengikuti pergerakan uang pintar.
Risiko dapat dikurangi dengan:
Strategi dapat ditingkatkan dengan:
Menemukan periode perhitungan SMI yang optimal
Menambahkan filter seperti MACD pada sinyal SMI
Dengan penghentian bergerak atau tetap
Optimasi parameter spesifik produk
Mengidentifikasi periode ideal untuk jangka waktu yang berbeda seperti hedge fund
Penyesuaian ukuran posisi berdasarkan volatilitas pasar
Strategi ini menggunakan Indeks Uang Cerdas untuk mencerminkan sentimen peserta pasar untuk perdagangan tren. Ini dapat menangkap pergerakan dana institusional secara tepat waktu. Namun, SMI mungkin tertinggal dan hanya mengandalkan satu indikator dapat berisiko. Perbaikan dapat dilakukan melalui penyesuaian parameter, menambahkan filter, menerapkan stop, dan ukuran posisi dinamis. Ini dapat membuat strategi lebih kuat.
/*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"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 01/08/2018
// Attention:
// If you would to use this indicator on the ES, you should have intraday data 60min in your account.
//
// Smart money index (SMI) or smart money flow index is a technical analysis indicator demonstrating investors sentiment.
// The index was invented and popularized by money manager Don Hays.[1] The indicator is based on intra-day price patterns.
// The main idea is that the majority of traders (emotional, news-driven) overreact at the beginning of the trading day
// because of the overnight news and economic data. There is also a lot of buying on market orders and short covering at the opening.
// Smart, experienced investors start trading closer to the end of the day having the opportunity to evaluate market performance.
// Therefore, the basic strategy is to bet against the morning price trend and bet with the evening price trend. The SMI may be calculated
// for many markets and market indices (S&P 500, DJIA, etc.)
//
// The SMI sends no clear signal whether the market is bullish or bearish. There are also no fixed absolute or relative readings signaling
// about the trend. Traders need to look at the SMI dynamics relative to that of the market. If, for example, SMI rises sharply when the
// market falls, this fact would mean that smart money is buying, and the market is to revert to an uptrend soon. The opposite situation
// is also true. A rapidly falling SMI during a bullish market means that smart money is selling and that market is to revert to a downtrend
// soon. The SMI is, therefore, a trend-based indicator.
// Some analysts use the smart money index to claim that precious metals such as gold will continually maintain value in the future.
//
// You can change long to short in the Input Settings
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Smart Money Index (SMI) Backtest", shorttitle="Smart Money Index")
Length = input(18, minval=1)
reverse = input(false, title="Trade reverse")
xcloseH1 = security(syminfo.tickerid, "60", close[1])
xopenH1 = security(syminfo.tickerid, "60", open[1])
nRes = nz(nRes[1], 1) - (open - close) + (xopenH1 - xcloseH1)
xSmaRes = sma(nRes, Length)
pos = iff(xSmaRes > nRes, 1,
iff(xSmaRes < nRes, -1, nz(pos[1], 0)))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1, 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(xSmaRes, color=red, title="SMASMI")
plot(nRes, color=green, title="SMI")