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Ukuran Orde Inkremental Tren Retracement Fibonacci Mengikuti Strategi

Penulis:ChaoZhang, Tanggal: 2023-10-18 11:40:01
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Gambaran umum

Ini adalah strategi momentum breakout yang relatif kompleks yang menggabungkan beberapa indikator teknis untuk penilaian dan menerapkan perintah piramida multi-tahap dalam arah dan fase yang berbeda untuk mencapai tujuan skala masuk dan keluar.

Prinsip-prinsip

Strategi ini terutama menggabungkan indikator momentum MACD, indikator overbought dan oversold RSI dan Bollinger Bands untuk penilaian arah. Ketika garis MACD berada di atas 0 dan RSI berada di bawah garis oversold, itu adalah sinyal panjang. Ketika garis MACD berada di bawah 0 dan RSI berada di atas garis overbought, itu adalah sinyal pendek.

Dalam implementasi khusus, strategi pertama menilai kinerja garis MACD dan RSI untuk mengkonfirmasi dasar-dasar. Kemudian sesuai dengan pecahnya rel atas dan bawah Bollinger Bands, itu mengambil order piramida dalam ukuran yang berbeda. Dalam frasa bullish, itu akan secara bertahap panjang dengan meningkatnya ukuran di dekat rel bawah Bollinger Bands. Dalam frasa bearish, itu akan secara bertahap pendek dengan meningkatnya ukuran di dekat rel atas Bollinger Bands. Dengan skala masuk dan keluar di arah yang berbeda dan harga yang berbeda, itu dapat memperoleh keuntungan akumulasi yang lebih besar.

Sementara itu, strategi ini juga melacak harga tertinggi dan terendah untuk mengatur stop loss dan mengambil keuntungan, mengelola pesanan sesuai. Secara umum, strategi ini menggabungkan beberapa alat analitis dan mencapai pengembalian yang lebih baik melalui piramida bertahap.

Keuntungan

Menggabungkan beberapa indikator menghindari penilaian salah dari satu alat.
Meningkatkan skala dengan beberapa tahap dapat memperkuat margin keuntungan.
Menetapkan stop loss dan mengambil keuntungan membantu menghindari kerugian dari lonjakan tinggi.
Pengurangan yang terkontrol, tidak akan melihat kerugian besar.

Risiko dan Solusi

Breakout Bollinger Bands rel atas dan bawah tidak 100% dapat diandalkan, mungkin melihat beberapa sinyal palsu.
Pyramiding bertahap membutuhkan pemahaman yang akurat tentang laju pasar, pembalikan cepat dapat menyebabkan kerugian besar. dapat mengurangi tahap skala atau mengatur stop loss yang lebih luas.
Perlu memperhatikan likuiditas instrumen perdagangan, likuiditas rendah tidak cocok untuk piramid besar.
Backtest ≠ live, biaya seperti spread dan komisi harus dipertimbangkan dalam trading live.

Optimalisasi

Dapat menguji kombinasi parameter yang berbeda seperti periode Bollinger, multiplier STD, parameter RSI untuk menemukan yang optimal.
Dapat mengeksplorasi teknik skala lainnya seperti pecahan tetap, kriteria Kelly dll.
Dapat menerapkan optimasi dinamis parameter dengan pembelajaran mesin dll.
Dapat menggabungkan lebih banyak sumber data seperti analisis sentimen, data sosial untuk membantu penilaian.
Dapat mengeksplorasi spread kalender berjangka untuk arbitrase, lebih memperluas ruang keuntungan.

Ringkasan

Strategi ini secara komprehensif menggunakan beberapa indikator teknis, mengambil piramida bertahap, mengelola risiko dengan stop loss dan mengambil keuntungan, menjadikannya tren yang relatif lengkap mengikuti strategi. Tetapi risiko seperti sinyal palsu dan pembalikan cepat harus diperingatkan, menyesuaikan parameter dan ukuran posisi dengan benar dapat menyebabkan hasil yang lebih stabil. Optimasi lebih lanjut dengan pembelajaran mesin dll dapat meningkatkan kinerja strategi. Ini layak dilacak dan terkumpul dalam jangka panjang.

/*backtest
start: 2022-10-11 00:00:00
end: 2023-10-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy(title="Incremental Order size +", shorttitle="Strategy", overlay=true, default_qty_value=1, pyramiding=10)

//Heiken Ashi
isHA = input(false, "HA Candles", bool)

//MACD
fastLength = 12
slowlength = 26
MACDLength = 9

MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD

//Bollinger Bands Exponential
src = open
len = 18
e = ema(src,len)
evar = (src - e)*(src - e)
evar2 = (sum(evar,len))/len
std = sqrt(evar2)
Multiplier = input(3, minval = 0.01, title = "# of STDEV's")
upband = e + (Multiplier * std)
dnband = e - (Multiplier * std)

//EMA
ema3 = ema(close, 3)

//RSIplot
length = 45
overSold = 90
overBought = 10
price = close

vrsi = rsi(price, length)

notna = not na(vrsi)

macdlong = crossover(delta, 0)
macdshort = crossunder(delta, 0)
rsilong = notna and crossover(vrsi, overSold)
rsishort = notna and crossunder(vrsi, overBought)

lentt = input(14, "Pivot Length")
    //The length defines how many periods a high or low must hold to be a "relevant pivot"

h = highest(lentt)
    //The highest high over the length
h1 = dev(h, lentt) ? na : h
    //h1 is a pivot of h if it holds for the full length
hpivot = fixnan(h1)
    //creates a series which is equal to the last pivot

l = lowest(lentt)
l1 = dev(l, lentt) ? na : l
lpivot = fixnan(l1)
    //repeated for lows


last_hpivot = h1 ? time : nz(last_hpivot[1])
last_lpivot = l1 ? time : nz(last_lpivot[1])

long_time = last_hpivot > last_lpivot ? 0:1

//FIBS

z = input(100, "Z-Index")
p_offset= 2
transp = 60
a=(lowest(z)+highest(z))/2
b=lowest(z)
c=highest(z)
fibonacci = input(0, "Fibonacci") / 100

//Fib Calls
fib0 = (((hpivot - lpivot)* fibonacci) + lpivot)
fib1 = (((hpivot - lpivot)*.21) + lpivot)
fib2 = (((hpivot - lpivot)*.3) + lpivot)
fib3 = (((hpivot - lpivot)*.5) + lpivot)
fib4 = (((hpivot - lpivot)*.62) + lpivot)
fib5 = (((hpivot - lpivot)*.7) + lpivot)
fib6 = (((hpivot - lpivot)* 1.00) + lpivot)
fib7 = (((hpivot - lpivot)* 1.27) + lpivot)
fib8 = (((hpivot - lpivot)* 2) + lpivot)
fib9 = (((hpivot - lpivot)* -.27) + lpivot)
fib10 = (((hpivot - lpivot)* -1) + lpivot)

//Heiken Ashi Candles

data2 = isHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
res5 = input("5", "Resolution")

//HT Fibs

hfib0 =  security(data2, res5, fib0[1])
hfib1 =  security(data2, res5, fib1[1])
hfib2 =  security(data2, res5, fib2[1])
hfib3 =  security(data2, res5, fib3[1])
hfib4 =  security(data2, res5, fib4[1])
hfib5 =  security(data2, res5, fib5[1])
hfib6 =  security(data2, res5, fib6[1])
hfib7 =  security(data2, res5, fib7[1])
hfib8 =  security(data2, res5, fib8[1])
hfib9 =  security(data2, res5, fib9[1])
hfib10 =  security(data2, res5, fib10[1])

vrsiup = vrsi > vrsi[1] and vrsi[1] > vrsi[2]
vrsidown = vrsi < vrsi[1] and vrsi[1] < vrsi[2]

long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown

// long2 =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short2 = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown

reverseOpens = input(false, "Reverse Orders", bool)
if (reverseOpens)
	tmplong = long
	long := short
	short := tmplong

//Strategy
ts = input(99999, "TS")
tp = input(30, "TP")
sl = input(10, "SL")

last_long = long ? time : nz(last_long[1])
last_short = short ? time : nz(last_short[1])

in_long = last_long > last_short
in_short = last_short > last_long

long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)

last_open_long = long ? open : nz(last_open_long[1])
last_open_short = short ? open : nz(last_open_short[1])

last_open_long_signal = long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal = short_signal ? open : nz(last_open_short_signal[1])

last_high = not in_long ? na : in_long and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low = not in_short ? na : in_short and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])

long_ts = not na(last_high) and high <= (last_high - ts) and high >= last_open_long_signal
short_ts = not na(last_low) and low >= (last_low + ts) and low <= last_open_short_signal

long_tp = high >= (last_open_long + tp) and long[1] == 0
short_tp = low <= (last_open_short - tp) and short[1] == 0

long_sl = low <= (last_open_long - sl) and long[1] == 0
short_sl = high >= (last_open_short + sl) and short[1] == 0

last_hfib_long = long_signal ? fib1 : nz(last_hfib_long[1])
last_hfib_short = short_signal ? fib5 : nz(last_hfib_short[1])

last_fib7 = long ? fib7 : nz(last_fib7[1])
last_fib10 = long ? fib10 : nz(last_fib10[1])
last_fib8 = short ? fib8 : nz(last_fib8[1])
last_fib9 = short ? fib9 : nz(last_fib9[1])

last_long_signal = long_signal ? time : nz(last_long_signal[1])
last_short_signal = short_signal ? time : nz(last_short_signal[1])

last_long_tp = long_tp ? time : nz(last_long_tp[1])
last_short_tp = short_tp ? time : nz(last_short_tp[1])

last_long_ts = long_ts ? time : nz(last_long_ts[1])
last_short_ts = short_ts ? time : nz(last_short_ts[1])

long_ts_signal = crossover(last_long_ts, last_long_signal)
short_ts_signal = crossover(last_short_ts, last_short_signal)

last_long_sl = long_sl ? time : nz(last_long_sl[1])
last_short_sl = short_sl ? time : nz(last_short_sl[1])

long_tp_signal = crossover(last_long_tp, last_long)
short_tp_signal = crossover(last_short_tp, last_short)

long_sl_signal = crossover(last_long_sl, last_long)
short_sl_signal = crossover(last_short_sl, last_short)

last_long_tp_signal = long_tp_signal ? time : nz(last_long_tp_signal[1])
last_short_tp_signal = short_tp_signal ? time : nz(last_short_tp_signal[1])

last_long_sl_signal = long_sl_signal ? time : nz(last_long_sl_signal[1])
last_short_sl_signal = short_sl_signal ? time : nz(last_short_sl_signal[1])

last_long_ts_signal = long_ts_signal ? time : nz(last_long_ts_signal[1])
last_short_ts_signal = short_ts_signal ? time : nz(last_short_ts_signal[1])

true_long_signal = long_signal and last_long_sl_signal > last_long_signal[1] or long_signal and last_long_tp_signal > last_long_signal[1] or long_signal and last_long_ts_signal > last_long_signal[1]
true_short_signal = short_signal and last_short_sl_signal > last_short_signal[1] or short_signal and last_short_tp_signal > last_short_signal[1] or short_signal and last_short_ts_signal > last_short_signal[1]  


// strategy.entry("BLUE", strategy.long, when=long)
// strategy.entry("RED", strategy.short, when=short)

g = delta > 0 and vrsi < overSold and vrsiup
r = delta < 0  and vrsi > overBought and vrsidown

long1 = cross(close, fib1) and g and last_long_signal[1] > last_short_signal// and last_long_signal > long
short1 = cross(close, fib5) and r and last_short_signal[1] > last_long_signal// and last_short_signal > short

last_long1 = long1 ? time : nz(last_long1[1])
last_short1 = short1 ? time : nz(last_short1[1])

last_open_long1 = long1 ? open : nz(last_open_long1[1])
last_open_short1 = short1 ? open : nz(last_open_short1[1])

long1_signal = crossover(last_long1, last_long_signal)
short1_signal = crossover(last_short1, last_short_signal)

last_long1_signal = long1_signal ? time : nz(last_long1_signal[1])
last_short1_signal = short1_signal ? time : nz(last_short1_signal[1])


long2 = cross(close, fib2) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short2 = cross(close, fib4) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long2 = long2 ? time : nz(last_long2[1])
last_short2 = short2 ? time : nz(last_short2[1])

last_open_short2 = short2 ? open : nz(last_open_short2[1])

long2_signal = crossover(last_long2, last_long1_signal) and long1_signal==0
short2_signal = crossover(last_short2, last_short1_signal) and short1_signal==0

last_long2_signal = long2_signal ? time : nz(last_long2_signal[1])
last_short2_signal = short2_signal ? time : nz(last_short2_signal[1])

//Trade 4

long3 = cross(close, fib3) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short3 = cross(close, fib3) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long3 = long3 ? time : nz(last_long3[1])
last_short3 = short3 ? time : nz(last_short3[1])

last_open_short3 = short3 ? open : nz(last_open_short3[1])

long3_signal = crossover(last_long3, last_long2_signal) and long2_signal==0
short3_signal = crossover(last_short3, last_short2_signal) and short2_signal==0

last_long3_signal = long3_signal ? time : nz(last_long3_signal[1])
last_short3_signal = short3_signal ? time : nz(last_short3_signal[1])


//Trade 5
long4 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short4 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long4 = long4 ? time : nz(last_long4[1])
last_short4 = short4 ? time : nz(last_short4[1])

long4_signal = crossover(last_long4, last_long3_signal) and long2_signal==0 and long3_signal==0
short4_signal = crossover(last_short4, last_short3_signal) and short2_signal==0 and short3_signal==0

last_long4_signal = long4_signal ? time : nz(last_long4_signal[1])
last_short4_signal = short4_signal ? time : nz(last_short4_signal[1])

//Trade 6
long5 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short5 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long5 = long5 ? time : nz(last_long5[1])
last_short5 = short5 ? time : nz(last_short5[1])

long5_signal = crossover(last_long5, last_long4_signal) and long3_signal==0 and long4_signal==0
short5_signal = crossover(last_short5, last_short4_signal) and short3_signal==0 and short4_signal==0

last_long5_signal = long5_signal ? time : nz(last_long5_signal[1])
last_short5_signal = short5_signal ? time : nz(last_short5_signal[1])

//Trade 7
long6 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short6 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long6 = long6 ? time : nz(last_long6[1])
last_short6 = short6 ? time : nz(last_short6[1])

long6_signal = crossover(last_long6, last_long5_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0
short6_signal = crossover(last_short6, last_short5_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0

last_long6_signal = long6_signal ? time : nz(last_long6_signal[1])
last_short6_signal = short6_signal ? time : nz(last_short6_signal[1])


//Trade 8
long7 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short7 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long7 = long7 ? time : nz(last_long7[1])
last_short7 = short7 ? time : nz(last_short7[1])

long7_signal = crossover(last_long7, last_long6_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0
short7_signal = crossover(last_short7, last_short6_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0

last_long7_signal = long7_signal ? time : nz(last_long7_signal[1])
last_short7_signal = short7_signal ? time : nz(last_short7_signal[1])


//Trade 9
long8 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short8 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long8 = long8 ? time : nz(last_long8[1])
last_short8 = short8 ? time : nz(last_short8[1])

long8_signal = crossover(last_long8, last_long7_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0
short8_signal = crossover(last_short8, last_short7_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0

last_long8_signal = long8_signal ? time : nz(last_long8_signal[1])
last_short8_signal = short8_signal ? time : nz(last_short8_signal[1])

//Trade 10
long9 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short9 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long9 = long9 ? time : nz(last_long9[1])
last_short9 = short9 ? time : nz(last_short9[1])

long9_signal = crossover(last_long9, last_long8_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0 and long8_signal==0
short9_signal = crossover(last_short9, last_short8_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0 and short8_signal==0

last_long9_signal = long9_signal ? time : nz(last_long9_signal[1])
last_short9_signal = short9_signal ? time : nz(last_short9_signal[1])


strategy.entry("Long", strategy.long, qty=1, when=long_signal)
strategy.entry("Short", strategy.short, qty=1, when=short_signal)
strategy.entry("Long", strategy.long, qty=2, when=long1_signal)
strategy.entry("Short1", strategy.short, qty=2, when=short1_signal)
strategy.entry("Long", strategy.long, qty=4, when=long2_signal)
strategy.entry("Short2", strategy.short, qty=4, when=short2_signal)
strategy.entry("Long", strategy.long, qty=8, when=long3_signal)
strategy.entry("Short3", strategy.short, qty=8, when=short3_signal)
strategy.entry("Long", strategy.long, qty=5, when=long4_signal)
strategy.entry("Short", strategy.short, qty=5, when=short4_signal)
strategy.entry("Long", strategy.long, qty=6, when=long5_signal)
strategy.entry("Short", strategy.short, qty=6, when=short5_signal)
strategy.entry("Long", strategy.long, qty=7, when=long6_signal)
strategy.entry("Short", strategy.short, qty=7, when=short6_signal)
strategy.entry("Long", strategy.long, qty=8, when=long7_signal)
strategy.entry("Short", strategy.short, qty=8, when=short7_signal)
strategy.entry("Long", strategy.long, qty=9, when=long8_signal)
strategy.entry("Short", strategy.short, qty=9, when=short8_signal)
strategy.entry("Long", strategy.long, qty=10, when=long9_signal)
strategy.entry("Short", strategy.short, qty=10, when=short9_signal)

short1_tp = low <= (last_open_short1 - tp) and short1[1] == 0
short2_tp = low <= (last_open_short2 - tp) and short2[1] == 0
short3_tp = low <= (last_open_short3 - tp) and short3[1] == 0
short1_sl = high >= (last_open_short1 + sl) and short1[1] == 0
short2_sl = high >= (last_open_short2 + sl) and short2[1] == 0
short3_sl = high >= (last_open_short3 + sl) and short3[1] == 0

close_long = cross(close, fib6)
close_short = cross(close, fib0)

// strategy.close("Long", when=close_long)
// strategy.close("Long", when=long_tp)
// strategy.close("Long", when=long_sl)

// strategy.close("Short", when=long_signal)
// strategy.close("Short1", when=long_signal)
// strategy.close("Short2", when=long_signal)
// strategy.close("Short3", when=long_signal)
strategy.close("Short", when=short_tp)
strategy.close("Short1", when=short1_tp)
strategy.close("Short2", when=short2_tp)
strategy.close("Short3", when=short3_tp)
strategy.close("Short", when=short_sl)
strategy.close("Short1", when=short1_sl)
strategy.close("Short2", when=short2_sl)
strategy.close("Short3", when=short3_sl)

Lebih banyak

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