Strategi entri dan keluar acak adalah strategi yang secara acak memutuskan waktu masuk dan keluar selama perdagangan.
Logika inti dari strategi ini adalah:
Setiap lilin secara acak akan menghasilkan angka antara 0 sampai 100.
Jika angka acak lebih rendah dari ambang masuk yang ditetapkan, posisi akan dibuka.
Jika angka acak lebih rendah dari ambang batas keluar yang ditetapkan, posisi akan ditutup.
Ada tiga pilihan arah: hanya panjang, hanya pendek, atau arah acak.
Tahun awal juga dapat diatur untuk menghindari tahun dengan perubahan pasar yang besar.
Dengan menetapkan kombinasi yang berbeda dari kemungkinan masuk, kemungkinan keluar dan arah, kita dapat mensimulasikan perilaku perdagangan acak dari berbagai jenis pedagang dan memeriksa kinerja perdagangan acak di pasar yang berbeda.
Mensimulasikan pengambilan keputusan acak pedagang nyata, dekat dengan situasi pasar nyata.
Dapat menguji perbedaan kinerja perdagangan acak di berbagai pasar.
Dapat menemukan pasar mana yang dapat menghasilkan laba positif bahkan dengan perdagangan acak.
Dapat menggunakan perdagangan acak sebagai strategi patokan untuk menguji keuntungan dari strategi lain.
Tidak mampu mengambil keuntungan dari tren pasar, tidak mampu menentukan waktu masuk yang optimal.
Penarikan acak dapat menghentikan kerugian pada tingkat yang tidak menguntungkan.
Berkinerja buruk di pasar dengan bias arah yang jelas.
Kebutuhan untuk mengoptimalkan kemungkinan masuk/keluar untuk menghindari perdagangan berlebihan atau periode penahan yang tidak cukup.
Pertimbangkan untuk menambahkan stop loss untuk menghindari kerugian yang diperbesar.
Sesuaikan probabilitas masuk/keluar untuk menemukan kombinasi yang cocok untuk pasar yang berbeda.
Tambahkan strategi stop loss untuk mengendalikan kerugian perdagangan tunggal.
Mengoptimalkan ukuran posisi untuk menurunkan risiko perdagangan tunggal.
Beralih ke tren mengikuti strategi ketika tren jelas.
Gunakan analisis statistik untuk menemukan pasar mana yang mendukung perdagangan acak.
Strategi entri dan keluar acak menguji kinerja pasar yang berbeda di bawah keputusan pedagang acak yang disimulasikan. Logika strategi sederhana dan dapat berfungsi sebagai patokan untuk memeriksa strategi lain. Namun, ia memiliki kelemahan seperti gagal menangkap tren dan kurangnya manajemen stop loss yang tepat. Kita dapat meningkatkan strategi dengan menyesuaikan kombinasi parameter, menambahkan stop, mengoptimalkan ukuran posisi dll, untuk mengubahnya menjadi strategi perdagangan kuantitatif yang layak.
/*backtest
start: 2022-10-04 00:00:00
end: 2023-10-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_1",2]]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © gregoirejohnb
//
// "tHe MaRkEtS aRe RaNdOm", say moron academics.
//
// The purpose of this study is to show that most markets are NOT random! Most markets show a clear bias where we can make such easy money, that a random number generator can do it.
//
// === HOW THE INDICATOR WORKS ===
//
// -The study will randomly enter the market
// -The study will randomly exit the market if in a trade
// -You can choose a Long Only, Short Only, or Bidirectional strategy
//
// === DEFAULT VALUES AND THEIR LOGIC ===
//
// Percent Chance to Enter Per Bar: 10%
// Percent Chance to Exit Per Bar: 1%
// Direction: Long Only
// Commission: 0
//
// Each bar has a 10% chance to enter the market. Each bar has a 1% to exit the market [if in a trade]. It will only enter long.
//
// I included zero commission for simplication. It's a good exercise to include a commission/slippage to see just how much trading fees take from you.
//
// === TIPS ===
//
// -Increasing "Percent Chance to Exit" will shorten the time in a trade. You can see the "Avg # Bars In Trade" go down as you increase. If "Percent Chance to Exit" is too high, the study won't be in the market long enough to catch any movement, possibly exiting on the same bar most of the time.
// -If you're getting the red screen, that means the strategy lost so much money it went broke. Try reducing the percent equity on the Properties tab.
// -Switch the start year to avoid black swan events like the covid drop in 2020.
// -
// === FINDINGS ===
//
// Most markets lose money with a "Random" direction strategy.
// Most markets lose ALL money with a "Short Only" strategy.
// Most markets make money with a "Long Only" strategy.
//
// Try this strategy on: Bitcoin (BTCUSD) and the NASDAQ (QQQ).
//
// There are two popular memes right now: "Bitcoin to the moon" and "Stocks only go up". Both are seemingly true. Bitcoin was the best performing asset of the 2010's, gaining several billion percent in gains. The stock market is on a 100 year long uptrend. Why? BECAUSE FIAT CURRENCIES ALWAYS GO DOWN! This is inflation. If we measure the market in terms of others assets instead of fiat, the Long Only strategy doesn't work anymore.
// Try this strategy on: Bitcoin/GLD (BTCUSD/GLD), the Eurodollar (EURUSD), and the S&P 500 measured in gold (SPY/GLD).
//
// Bitcoin measured in gold (BTCUSD/GLD) still works with a Long Only strategy because Bitcoin increased in value over both USD and gold.
// The Eurodollar (EURUSD) generally loses money no matter what, especially if you add any commission. This makes sense as they are both fiat currencies with similar inflation schedules.
// Gold and the S&P 500 have gained roughly the same amount since ~2000. Some years will show better results for a long strategy, while others will favor a short strategy. Now look at just SPY or GLD (which are both measured in USD by default!) and you'll see the same trend again: a Long Only strategy crushes even when entering and exiting randomly.
//
// === "JUST TELL ME WHAT TO DO, YOU NERD!" ===
//
// Bulls always win and Bears always lose because fiat currencies go to zero.
//
strategy(title="Random Entries Work", shorttitle="REW", overlay=true, pyramiding=0, default_qty_type=strategy.percent_of_equity, default_qty_value=100, currency=currency.USD,commission_type=strategy.commission.percent,commission_value=0)
// === GENERAL INPUTS ===
strategy = input(defval="Long Only",title="Direction",options=["Long Only", "Short Only", "Random"])
enter_frequency = input(defval=10,minval=1,maxval=100,title="Percent Chance to Enter")
exit_frequency = input(defval=3, minval=0,maxval=100,title="Percent Chance to Exit",tooltip="This should be much lower than Percent Chance to Enter. Higher values decrease time in market. Lower values increase time in market.")
start_year = input(defval=2020, title="Start Year")
// === LOGIC ===
r = random(0,100)
enter = enter_frequency > r[0]
exit = exit_frequency > r[0]
direction = random(0,100) >= 50
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() =>
strategy.opentrades == 0 and enter and (strategy == "Long Only" or (strategy == "Random") and direction) and
time > timestamp(start_year, 01, 01, 01, 01)
exitLong() =>
exit
strategy.entry(id="Long", long=strategy.long, when=enterLong())
strategy.close(id="Long", when=exitLong())
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() =>
strategy.opentrades == 0 and enter and (strategy == "Short Only" or (strategy == "Random" and not direction)) and
time > timestamp(start_year, 01, 01, 01, 01)
exitShort() =>
exit
strategy.entry(id="Short", long=strategy.short, when=enterShort())
strategy.close(id="Short", when=exitShort())