Multiple Moving Average Dynamic Trend Strategy adalah strategi perdagangan kuantitatif yang memanfaatkan beberapa jenis indikator rata-rata bergerak untuk menentukan tren pasar dan secara dinamis menyesuaikan posisi garis stop loss.
Strategi ini terutama mengimplementasikan 8 jenis rata-rata bergerak yang berbeda melalui fungsi kustom, termasuk Rata-rata Bergerak Sederhana (SMA), Rata-rata Bergerak Eksponensial (EMA), Rata-rata Bergerak Berat (WMA), Rata-rata Bergerak Segitiga (TMA), Rata-rata Dinamis Indeks Variabel (VIDYA), Rata-rata Bergerak Wilder
Strategi ini pertama-tama menghitung jenis rata-rata bergerak yang dipilih, dan kemudian secara dinamis menghitung posisi rel atas dan bawah berdasarkan parameter persentase yang ditetapkan. Sinyal beli dipicu ketika harga menembus rel atas, dan sinyal jual dipicu ketika harga menembus rel bawah. Selain itu, strategi ini juga melacak persilangan antara rata-rata bergerak dan harga sebagai sinyal penilaian tambahan.
Selama perhitungan, strategi juga menilai arah tren pasar, sehingga secara dinamis menyesuaikan posisi rel atas dan bawah. Secara khusus, ketika tren naik ditentukan, rel bawah akan bergerak ke atas mengikuti harga naik sehingga garis stop loss dapat melacak harga naik secara optimal. Ketika tren menurun ditentukan, rel atas akan bergerak ke bawah mengikuti harga jatuh untuk mengurangi titik stop loss dan meminimalkan kerugian.
Solusi:
Masih banyak ruang untuk mengoptimalkan strategi ini:
Strategi tren dinamis rata-rata bergerak ganda menentukan tren pasar dengan menggabungkan beberapa indikator rata-rata bergerak, dan memulai perdagangan berdasarkan sinyal price breakout sambil menyesuaikan posisi stop loss line secara dinamis untuk profitabilitas yang efisien. Strategi ini berhasil mengintegrasikan tiga konsep strategi kuantitatif utama trend following, price breakout trading, dan stop dinamis, menunjukkan stabilitas dan profitabilitas yang kuat. Dengan peningkatan lebih lanjut dalam optimasi parameter dan pengenalan pola, strategi ini menunjukkan potensi besar untuk peningkatan kinerja berkelanjutan, menjadikannya strategi kuantitatif canggih yang sangat berharga yang layak untuk penelitian dan aplikasi yang terfokus.
/*backtest start: 2022-11-16 00:00:00 end: 2023-11-22 00:00:00 period: 1d basePeriod: 1h exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © KivancOzbilgic //created by: @Anil_Ozeksi //developer: ANIL ÖZEKŞİ //author: @kivancozbilgic strategy("Optimized Trend Tracker","OTTEx", overlay=true) src = input(close, title="Source") length=input(2, "OTT Period", minval=1) percent=input(1.4, "OTT Percent", type=input.float, step=0.1, minval=0) showsupport = input(title="Show Support Line?", type=input.bool, defval=true) showsignalsk = input(title="Show Support Line Crossing Signals?", type=input.bool, defval=true) showsignalsc = input(title="Show Price/OTT Crossing Signals?", type=input.bool, defval=false) highlight = input(title="Show OTT Color Changes?", type=input.bool, defval=false) showsignalsr = input(title="Show OTT Color Change Signals?", type=input.bool, defval=false) highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true) mav = input(title="Moving Average Type", defval="VAR", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"]) Var_Func(src,length)=> valpha=2/(length+1) vud1=src>src[1] ? src-src[1] : 0 vdd1=src<src[1] ? src[1]-src : 0 vUD=sum(vud1,9) vDD=sum(vdd1,9) vCMO=nz((vUD-vDD)/(vUD+vDD)) VAR=0.0 VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1]) VAR=Var_Func(src,length) Wwma_Func(src,length)=> wwalpha = 1/ length WWMA = 0.0 WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1]) WWMA=Wwma_Func(src,length) Zlema_Func(src,length)=> zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2 zxEMAData = (src + (src - src[zxLag])) ZLEMA = ema(zxEMAData, length) ZLEMA=Zlema_Func(src,length) Tsf_Func(src,length)=> lrc = linreg(src, length, 0) lrc1 = linreg(src,length,1) lrs = (lrc-lrc1) TSF = linreg(src, length, 0)+lrs TSF=Tsf_Func(src,length) getMA(src, length) => ma = 0.0 if mav == "SMA" ma := sma(src, length) ma if mav == "EMA" ma := ema(src, length) ma if mav == "WMA" ma := wma(src, length) ma if mav == "TMA" ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1) ma if mav == "VAR" ma := VAR ma if mav == "WWMA" ma := WWMA ma if mav == "ZLEMA" ma := ZLEMA ma if mav == "TSF" ma := TSF ma ma MAvg=getMA(src, length) fark=MAvg*percent*0.01 longStop = MAvg - fark longStopPrev = nz(longStop[1], longStop) longStop := MAvg > longStopPrev ? max(longStop, longStopPrev) : longStop shortStop = MAvg + fark shortStopPrev = nz(shortStop[1], shortStop) shortStop := MAvg < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop dir = 1 dir := nz(dir[1], dir) dir := dir == -1 and MAvg > shortStopPrev ? 1 : dir == 1 and MAvg < longStopPrev ? -1 : dir MT = dir==1 ? longStop: shortStop OTT=MAvg>MT ? MT*(200+percent)/200 : MT*(200-percent)/200 plot(showsupport ? MAvg : na, color=#0585E1, linewidth=2, title="Support Line") OTTC = highlight ? OTT[2] > OTT[3] ? color.green : color.red : #B800D9 pALL=plot(nz(OTT[2]), color=OTTC, linewidth=2, title="OTT", transp=0) alertcondition(cross(OTT[2], OTT[3]), title="Color ALARM", message="OTT Has Changed Color!") alertcondition(crossover(OTT[2], OTT[3]), title="GREEN ALERT", message="OTT GREEN BUY SIGNAL!") alertcondition(crossunder(OTT[2], OTT[3]), title="RED ALERT", message="OTT RED SELL SIGNAL!") alertcondition(cross(MAvg, OTT[2]), title="Cross Alert", message="OTT - Support Line Crossing!") alertcondition(crossover(MAvg, OTT[2]), title="Crossover Alarm", message="Support Line BUY SIGNAL!") alertcondition(crossunder(MAvg, OTT[2]), title="Crossunder Alarm", message="Support Line SELL SIGNAL!") alertcondition(cross(src, OTT[2]), title="Price Cross Alert", message="OTT - Price Crossing!") alertcondition(crossover(src, OTT[2]), title="Price Crossover Alarm", message="PRICE OVER OTT - BUY SIGNAL!") alertcondition(crossunder(src, OTT[2]), title="Price Crossunder Alarm", message="PRICE UNDER OTT - SELL SIGNAL!") buySignalk = crossover(MAvg, OTT[2]) plotshape(buySignalk and showsignalsk ? OTT*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0) sellSignallk = crossunder(MAvg, OTT[2]) plotshape(sellSignallk and showsignalsk ? OTT*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0) buySignalc = crossover(src, OTT[2]) plotshape(buySignalc and showsignalsc ? OTT*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0) sellSignallc = crossunder(src, OTT[2]) plotshape(sellSignallc and showsignalsc ? OTT*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0) mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0,display=display.none) longFillColor = highlighting ? (MAvg>OTT ? color.green : na) : na shortFillColor = highlighting ? (MAvg<OTT ? color.red : na) : na fill(mPlot, pALL, title="UpTrend Highligter", color=longFillColor) fill(mPlot, pALL, title="DownTrend Highligter", color=shortFillColor) buySignalr = crossover(OTT[2], OTT[3]) plotshape(buySignalr and showsignalsr ? OTT*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0) sellSignallr = crossunder(OTT[2], OTT[3]) plotshape(sellSignallr and showsignalsr ? OTT*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0) showscr = input(true, title="Show Screener Label") posX_scr = input(20, title="Pos. Label x-axis") posY_scr = input(1, title="Pos. Size Label y-axis") colinput = input(title="Label Color", defval="Blue", options=["White", "Black", "Red", "Green", "Yellow", "Blue"]) col = color.gray if colinput=="White" col:=color.white if colinput=="Black" col:=color.black if colinput=="Red" col:=color.red if colinput=="Green" col:=color.green if colinput=="Yellow" col:=color.yellow if colinput=="Blue" col:=color.blue dummy0 = input(true, title = "=Backtest Inputs=") FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31) FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12) FromYear = input(defval = 2005, title = "From Year", minval = 2005) ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31) ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12) ToYear = input(defval = 9999, title = "To Year", minval = 2006) Start = timestamp(FromYear, FromMonth, FromDay, 00, 00) Finish = timestamp(ToYear, ToMonth, ToDay, 23, 59) Timerange() => true if buySignalk strategy.entry("Long", strategy.long,when=Timerange()) if sellSignallk strategy.entry("Short", strategy.short,when=Timerange()) // t1=input('EURUSD', title='Symbol 01',type=input.symbol) // t2=input('XAUUSD', title='Symbol 02',type=input.symbol) // t3=input('AMZN', title='Symbol 03',type=input.symbol) // t4=input('TSLA', title='Symbol 04',type=input.symbol) // t5=input('BTCUSDT', title='Symbol 05',type=input.symbol) // t6=input('ETHBTC', title='Symbol 06',type=input.symbol) // t7=input('XBTUSD', title='Symbol 07',type=input.symbol) // t8=input('XRPBTC', title='Symbol 08',type=input.symbol) // t9=input('THYAO', title='Symbol 09',type=input.symbol) // t10=input('GARAN', title='Symbol 10',type=input.symbol) // t11=input('', title='Symbol 11',type=input.symbol) // t12=input('', title='Symbol 12',type=input.symbol) // t13=input('', title='Symbol 13',type=input.symbol) // t14=input('', title='Symbol 14',type=input.symbol) // t15=input('', title='Symbol 15',type=input.symbol) // t16=input('', title='Symbol 16',type=input.symbol) // t17=input('', title='Symbol 17',type=input.symbol) // t18=input('', title='Symbol 18',type=input.symbol) // t19=input('', title='Symbol 19',type=input.symbol) // t20=input('', title='Symbol 20',type=input.symbol) // OTTs(percent, length) => // Up=MAvg-MAvg*percent*0.01 // Dn=MAvg+MAvg*percent*0.01 // TrendUp = 0.0 // TrendUp := MAvg[1]>TrendUp[1] ? max(Up,TrendUp[1]) : Up // TrendDown = 0.0 // TrendDown := MAvg[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn // Trend = 0.0 // Trend := MAvg > TrendDown[1] ? 1: MAvg< TrendUp[1]? -1: nz(Trend[1],1) // Tsl = Trend==1? TrendUp: TrendDown // S_Buy = Trend == 1 ? 1 : 0 // S_Sell = Trend != 1 ? 1 : 0 // [Trend, Tsl] // [Trend, Tsl] = OTTs(percent, length) // TrendReversal = Trend != Trend[1] // [t01, s01] = security(t1, timeframe.period, OTTs(percent, length)) // [t02, s02] = security(t2, timeframe.period, OTTs(percent, length)) // [t03, s03] = security(t3, timeframe.period, OTTs(percent, length)) // [t04, s04] = security(t4, timeframe.period, OTTs(percent, length)) // [t05, s05] = security(t5, timeframe.period, OTTs(percent, length)) // [t06, s06] = security(t6, timeframe.period, OTTs(percent, length)) // [t07, s07] = security(t7, timeframe.period, OTTs(percent, length)) // [t08, s08] = security(t8, timeframe.period, OTTs(percent, length)) // [t09, s09] = security(t9, timeframe.period, OTTs(percent, length)) // [t010, s010] = security(t10, timeframe.period, OTTs(percent, length)) // [t011, s011] = security(t11, timeframe.period, OTTs(percent, length)) // [t012, s012] = security(t12, timeframe.period, OTTs(percent, length)) // [t013, s013] = security(t13, timeframe.period, OTTs(percent, length)) // [t014, s014] = security(t14, timeframe.period, OTTs(percent, length)) // [t015, s015] = security(t15, timeframe.period, OTTs(percent, length)) // [t016, s016] = security(t16, timeframe.period, OTTs(percent, length)) // [t017, s017] = security(t17, timeframe.period, OTTs(percent, length)) // [t018, s018] = security(t18, timeframe.period, OTTs(percent, length)) // [t019, s019] = security(t19, timeframe.period, OTTs(percent, length)) // [t020, s020] = security(t20, timeframe.period, OTTs(percent, length)) // tr01 = t01 != t01[1], up01 = t01 == 1, dn01 = t01 == -1 // tr02 = t02 != t02[1], up02 = t02 == 1, dn02 = t02 == -1 // tr03 = t03 != t03[1], up03 = t03 == 1, dn03 = t03 == -1 // tr04 = t04 != t04[1], up04 = t04 == 1, dn04 = t04 == -1 // tr05 = t05 != t05[1], up05 = t05 == 1, dn05 = t05 == -1 // tr06 = t06 != t06[1], up06 = t06 == 1, dn06 = t06 == -1 // tr07 = t07 != t07[1], up07 = t07 == 1, dn07 = t07 == -1 // tr08 = t08 != t08[1], up08 = t08 == 1, dn08 = t08 == -1 // tr09 = t09 != t09[1], up09 = t09 == 1, dn09 = t09 == -1 // tr010 = t010 != t010[1], up010 = t010 == 1, dn010 = t010 == -1 // tr011 = t011 != t011[1], up011 = t011 == 1, dn011 = t011 == -1 // tr012 = t012 != t012[1], up012 = t012 == 1, dn012 = t012 == -1 // tr013 = t013 != t013[1], up013 = t013 == 1, dn013 = t013 == -1 // tr014 = t014 != t014[1], up014 = t014 == 1, dn014 = t014 == -1 // tr015 = t015 != t015[1], up015 = t015 == 1, dn015 = t015 == -1 // tr016 = t016 != t016[1], up016 = t016 == 1, dn016 = t016 == -1 // tr017 = t017 != t017[1], up017 = t017 == 1, dn017 = t017 == -1 // tr018 = t018 != t018[1], up018 = t018 == 1, dn018 = t018 == -1 // tr019 = t019 != t019[1], up019 = t019 == 1, dn019 = t019 == -1 // tr020 = t020 != t020[1], up020 = t020 == 1, dn020 = t020 == -1 // pot_label = 'Potential Reversal: \n' // pot_label := tr01 ? pot_label + t1 + '\n' : pot_label // pot_label := tr02 ? pot_label + t2 + '\n' : pot_label // pot_label := tr03 ? pot_label + t3 + '\n' : pot_label // pot_label := tr04 ? pot_label + t4 + '\n' : pot_label // pot_label := tr05 ? pot_label + t5 + '\n' : pot_label // pot_label := tr06 ? pot_label + t6 + '\n' : pot_label // pot_label := tr07 ? pot_label + t7 + '\n' : pot_label // pot_label := tr08 ? pot_label + t8 + '\n' : pot_label // pot_label := tr09 ? pot_label + t9 + '\n' : pot_label // pot_label := tr010 ? pot_label + t10 + '\n' : pot_label // pot_label := tr011 ? pot_label + t11 + '\n' : pot_label // pot_label := tr012 ? pot_label + t12 + '\n' : pot_label // pot_label := tr013 ? pot_label + t13 + '\n' : pot_label // pot_label := tr014 ? pot_label + t14 + '\n' : pot_label // pot_label := tr015 ? pot_label + t15 + '\n' : pot_label // pot_label := tr016 ? pot_label + t16 + '\n' : pot_label // pot_label := tr017 ? pot_label + t17 + '\n' : pot_label // pot_label := tr018 ? pot_label + t18 + '\n' : pot_label // pot_label := tr019 ? pot_label + t19 + '\n' : pot_label // pot_label := tr020 ? pot_label + t20 + '\n' : pot_label // scr_label = 'Confirmed Reversal: \n' // scr_label := tr01[1] ? scr_label + t1 + '\n' : scr_label // scr_label := tr02[1] ? scr_label + t2 + '\n' : scr_label // scr_label := tr03[1] ? scr_label + t3 + '\n' : scr_label // scr_label := tr04[1] ? scr_label + t4 + '\n' : scr_label // scr_label := tr05[1] ? scr_label + t5 + '\n' : scr_label // scr_label := tr06[1] ? scr_label + t6 + '\n' : scr_label // scr_label := tr07[1] ? scr_label + t7 + '\n' : scr_label // scr_label := tr08[1] ? scr_label + t8 + '\n' : scr_label // scr_label := tr09[1] ? scr_label + t9 + '\n' : scr_label // scr_label := tr010[1] ? scr_label + t10 + '\n' : scr_label // scr_label := tr011[1] ? scr_label + t11 + '\n' : scr_label // scr_label := tr012[1] ? scr_label + t12 + '\n' : scr_label // scr_label := tr013[1] ? scr_label + t13 + '\n' : scr_label // scr_label := tr014[1] ? scr_label + t14 + '\n' : scr_label // scr_label := tr015[1] ? scr_label + t15 + '\n' : scr_label // scr_label := tr016[1] ? scr_label + t16 + '\n' : scr_label // scr_label := tr017[1] ? scr_label + t17 + '\n' : scr_label // scr_label := tr018[1] ? scr_label + t18 + '\n' : scr_label // scr_label := tr019[1] ? scr_label + t19 + '\n' : scr_label // scr_label := tr020[1] ? scr_label + t20 + '\n' : scr_label // up_label = 'Uptrend: \n' // up_label := up01[1] ? up_label + t1 + '\n' : up_label // up_label := up02[1] ? up_label + t2 + '\n' : up_label // up_label := up03[1] ? up_label + t3 + '\n' : up_label // up_label := up04[1] ? up_label + t4 + '\n' : up_label // up_label := up05[1] ? up_label + t5 + '\n' : up_label // up_label := up06[1] ? up_label + t6 + '\n' : up_label // up_label := up07[1] ? up_label + t7 + '\n' : up_label // up_label := up08[1] ? up_label + t8 + '\n' : up_label // up_label := up09[1] ? up_label + t9 + '\n' : up_label // up_label := up010[1] ? up_label + t10 + '\n' : up_label // up_label := up011[1] ? up_label + t11 + '\n' : up_label // up_label := up012[1] ? up_label + t12 + '\n' : up_label // up_label := up013[1] ? up_label + t13 + '\n' : up_label // up_label := up014[1] ? up_label + t14 + '\n' : up_label // up_label := up015[1] ? up_label + t15 + '\n' : up_label // up_label := up016[1] ? up_label + t16 + '\n' : up_label // up_label := up017[1] ? up_label + t17 + '\n' : up_label // up_label := up018[1] ? up_label + t18 + '\n' : up_label // up_label := up019[1] ? up_label + t19 + '\n' : up_label // up_label := up020[1] ? up_label + t20 + '\n' : up_label // dn_label = 'Downtrend: \n' // dn_label := dn01[1] ? dn_label + t1 + '\n' : dn_label // dn_label := dn02[1] ? dn_label + t2 + '\n' : dn_label // dn_label := dn03[1] ? dn_label + t3 + '\n' : dn_label // dn_label := dn04[1] ? dn_label + t4 + '\n' : dn_label // dn_label := dn05[1] ? dn_label + t5 + '\n' : dn_label // dn_label := dn06[1] ? dn_label + t6 + '\n' : dn_label // dn_label := dn07[1] ? dn_label + t7 + '\n' : dn_label // dn_label := dn08[1] ? dn_label + t8 + '\n' : dn_label // dn_label := dn09[1] ? dn_label + t9 + '\n' : dn_label // dn_label := dn010[1] ? dn_label + t10 + '\n' : dn_label // dn_label := dn011[1] ? dn_label + t11 + '\n' : dn_label // dn_label := dn012[1] ? dn_label + t12 + '\n' : dn_label // dn_label := dn013[1] ? dn_label + t13 + '\n' : dn_label // dn_label := dn014[1] ? dn_label + t14 + '\n' : dn_label // dn_label := dn015[1] ? dn_label + t15 + '\n' : dn_label // dn_label := dn016[1] ? dn_label + t16 + '\n' : dn_label // dn_label := dn017[1] ? dn_label + t17 + '\n' : dn_label // dn_label := dn018[1] ? dn_label + t18 + '\n' : dn_label // dn_label := dn019[1] ? dn_label + t19 + '\n' : dn_label // dn_label := dn020[1] ? dn_label + t20 + '\n' : dn_label // f_colorscr (_valscr ) => // _valscr ? #00000000 : na // f_printscr (_txtscr ) => // var _lblscr = label(na), // label.delete(_lblscr ), // _lblscr := label.new( // time + (time-time[1])*posX_scr , // ohlc4[posY_scr], // _txtscr , // xloc.bar_time, // yloc.price, // f_colorscr ( showscr ), // textcolor = showscr ? col : na, // size = size.normal, // style=label.style_label_center // ) // f_printscr ( scr_label + '\n' + pot_label +'\n' + up_label + '\n' + dn_label)