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Adaptive Volatility Breakout Trading Strategy (Strategi Perdagangan Penembusan Volatilitas Adaptif)

Penulis:ChaoZhang, Tanggal: 2023-12-04 14:34:13
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Gambaran umum

Strategi ini mengidentifikasi tren pasar berdasarkan titik terobosan harga dan menggunakan indikator adaptif untuk menentukan tren keseluruhan untuk menangkap peluang pembalikan harga jangka pendek.

Logika Strategi

  1. Mengidentifikasi titik harga ekstrim sebagai batas saluran. Ketika harga mencapai tertinggi atau terendah baru, tetapkan titik-titik tersebut sebagai batas saluran.
  2. Menghitung indikator MA volatilitas adaptif untuk menentukan arah tren keseluruhan.
  3. Menghasilkan sinyal beli ketika harga pecah di atas saluran atas, dan sinyal jual ketika harga pecah di bawah saluran bawah.
  4. Setel titik stop loss. titik stop loss posisi panjang ditetapkan pada 1% di bawah harga masuk.

Analisis Keuntungan

  1. Saluran harga dapat beradaptasi dan dapat secara akurat menentukan titik pembalikan tren.
  2. Indikator volatilitas menilai tren keseluruhan dan menghindari kehilangan gambaran besar di pasar yang tidak stabil.
  3. Sebagai strategi pembalikan, itu cocok untuk menangkap bouncing harga jangka pendek.

Analisis Risiko

  1. Dalam tren penurunan yang berkelanjutan, beberapa titik stop loss dapat dipicu yang menghasilkan kerugian besar.
  2. Perdagangan pembelian dan penjualan yang sering di berbagai pasar meningkatkan biaya transaksi.
  3. Memerlukan penentuan waktu masuk secara manual. perdagangan sepenuhnya otomatis memiliki risiko overfit.

Arahan Optimasi

  1. Mengoptimalkan parameter MA untuk lebih menentukan tren keseluruhan.
  2. Masukkan indikator volume untuk menghindari sinyal pembalikan dalam skenario kelelahan volume.
  3. Tambahkan model pembelajaran mesin untuk memungkinkan optimasi parameter dinamis.

Ringkasan

Logika keseluruhan strategi ini jelas dan memiliki beberapa nilai praktis. Namun, risiko perdagangan masih harus dikendalikan untuk mencegah kerugian besar dalam kondisi pasar tertentu. Langkah selanjutnya termasuk mengoptimalkan beberapa dimensi seperti kerangka keseluruhan, parameter indikator, dan kontrol risiko untuk membuat parameter strategi dan sinyal perdagangan lebih dapat diandalkan.

/*backtest
start: 2023-11-03 00:00:00
end: 2023-12-03 00:00:00
period: 1h
basePeriod: 15m
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/
// © TradingGroundhog



//  ||---   Cash & Date:
cash_amout = 10000
pyramid_val = 1
cash_given_per_lot = cash_amout/pyramid_val
startDate = input(title="Start Date",defval=13)
startMonth = input(title="Start Month",defval=9)
startYear = input(title="Start Year",defval=2021)
afterStartDate = (time >= timestamp(syminfo.timezone,startYear, startMonth, startDate, 0, 0))
//  ||------------------------------------------------------------------------------------------------------



//  ||---   Strategy:
strategy(title="TradingGroundhog - Strategy & Fractal V1 - Short term", overlay=true, max_bars_back = 4000, max_labels_count=500, commission_type=strategy.commission.percent, commission_value=0.00,default_qty_type=strategy.cash, default_qty_value= cash_given_per_lot, pyramiding=pyramid_val)
//  ||------------------------------------------------------------------------------------------------------



//  ||---   Fractal Recognition:
filterBW = input(true, title="filter Bill Williams Fractals:")
filterFractals = input(true, title="Filter fractals using extreme method:")
length = input(2, title="Extreme Window:")
regulartopfractal = high[4] < high[3] and high[3] < high[2] and high[2] > high[1] and high[1] > high[0]
regularbotfractal = low[4] > low[3] and low[3] > low[2] and low[2] < low[1] and low[1] < low[0]
billwtopfractal = filterBW ? false : (high[4] < high[2] and high[3] < high[2] and high[2] > high[1] and high[2] > high[0] ? true : false)
billwbotfractal = filterBW ? false : (low[4] > low[2] and low[3] > low[2] and low[2] < low[1] and low[2] < low[0] ? true : false)
ftop = filterBW ? regulartopfractal : regulartopfractal or billwtopfractal
fbot = filterBW ? regularbotfractal : regularbotfractal or billwbotfractal
topf = ftop ? high[2] >= highest(high, length) ? true : false : false
botf = fbot ? low[2] <= lowest(low, length) ? true : false : false
filteredtopf = filterFractals ? topf : ftop
filteredbotf = filterFractals ? botf : fbot
//  ||------------------------------------------------------------------------------------------------------



//  ||---   V1 : Added Swing High/Low Option
ShowSwingsHL = input(true)
highswings = filteredtopf == false ? na : valuewhen(filteredtopf == true, high[2], 2) < valuewhen(filteredtopf == true, high[2], 1) and valuewhen(filteredtopf == true, high[2], 1) > valuewhen(filteredtopf == true, high[2], 0)
lowswings = filteredbotf == false ? na : valuewhen(filteredbotf == true, low[2], 2) > valuewhen(filteredbotf == true, low[2], 1) and valuewhen(filteredbotf == true, low[2], 1) < valuewhen(filteredbotf == true, low[2], 0)
//---------------------------------------------------------------------------------------------------------



//  ||---   V2 : Plot Lines based on the fractals.
showchannel = input(true)
//---------------------------------------------------------------------------------------------------------



//  ||---   ZigZag:
showZigZag = input(true)
//----------------------------------------------------------------------------------------------------------



//  ||---   Fractal computation:
istop = filteredtopf ? true : false
isbot = filteredbotf ? true : false
topcount = barssince(istop)
botcount = barssince(isbot)
vamp = input(title="VolumeMA",  defval=2)
vam = sma(volume, vamp)
fractalup = 0.0
fractaldown = 0.0
up = high[3]>high[4] and high[4]>high[5] and high[2]<high[3] and high[1]<high[2] and volume[3]>vam[3]
down = low[3]<low[4] and low[4]<low[5] and low[2]>low[3] and low[1]>low[2] and volume[3]>vam[3]
fractalup :=  up ? high[3] : fractalup[1] 
fractaldown := down ? low[3] : fractaldown[1]
//----------------------------------------------------------------------------------------------------------



//  ||---   Fractal save:
fractaldown_save = array.new_float(0)
for i = 0 to 4000
    if array.size(fractaldown_save) < 3
        if array.size(fractaldown_save) == 0
            array.push(fractaldown_save, fractaldown[i])
        else 
            if fractaldown[i] != array.get(fractaldown_save, array.size(fractaldown_save)-1)
                array.push(fractaldown_save, fractaldown[i])
if array.size(fractaldown_save) < 3
    array.push(fractaldown_save, fractaldown)
    array.push(fractaldown_save, fractaldown)
fractalup_save = array.new_float(0)
for i = 0 to 4000
    if array.size(fractalup_save) < 3
        if array.size(fractalup_save) == 0
            array.push(fractalup_save, fractalup[i])
        else 
            if fractalup[i] != array.get(fractalup_save, array.size(fractalup_save)-1)
                array.push(fractalup_save, fractalup[i])
if array.size(fractalup_save) < 3
    array.push(fractalup_save, fractalup)
    array.push(fractalup_save, fractalup)
Bottom_1 = array.get(fractaldown_save,  0)
Bottom_2 = array.get(fractaldown_save,  1)
Bottom_3 = array.get(fractaldown_save,  2)
Top_1 = array.get(fractalup_save, 0)
Top_2 = array.get(fractalup_save, 1)
Top_3 = array.get(fractalup_save, 2)
//----------------------------------------------------------------------------------------------------------



//  ||---   Fractal Buy Sell Signal:
bool Signal_Test = false
bool Signal_Test_OUT_TEMP = false
var Signal_Test_TEMP = false
longLossPerc = input(title="Long Stop Loss (%)", minval=0.0, step=0.1, defval=0.01) * 0.01
if filteredbotf and open < Bottom_1 and (Bottom_1 - open) / Bottom_1 >= longLossPerc
    Signal_Test := true
if filteredtopf and open > Top_1
    Signal_Test_TEMP := true
if filteredtopf and Signal_Test_TEMP
    Signal_Test_TEMP := false
    Signal_Test_OUT_TEMP := true
//----------------------------------------------------------------------------------------------------------



//  ||---   Plotting:
//plotshape(filteredtopf, style=shape.triangledown, location=location.abovebar, color=color.red, text="•", offset=0)
//plotshape(filteredbotf, style=shape.triangleup, location=location.belowbar, color=color.lime, text="•", offset=0)
//plotshape(ShowSwingsHL ? highswings : na, style=shape.triangledown, location=location.abovebar, color=color.maroon, text="H", offset=0)
//plotshape(ShowSwingsHL ? lowswings : na, style=shape.triangleup, location=location.belowbar, color=color.green, text="L", offset=0)
plot(showchannel ? (filteredtopf ? high[2] : na) : na, color=color.black, offset=0)
plot(showchannel ? (filteredbotf ? low[2] : na) : na, color=color.black, offset=0)
plot(showchannel ? (highswings ? high[2] : na) : na, color=color.black, offset=-2)
plot(showchannel ? (lowswings ? low[2] : na) : na, color=color.black, offset=-2)
plotshape(Signal_Test, style=shape.flag, location=location.belowbar, color=color.yellow, offset=0)
plotshape(Signal_Test_OUT_TEMP, style=shape.flag, location=location.abovebar, color=color.white, offset=0)
//----------------------------------------------------------------------------------------------------------



//  ||---   Buy And Sell:
strategy.entry(id="Long", long=true, when = Signal_Test and afterStartDate)
strategy.close_all(when = Signal_Test_OUT_TEMP and afterStartDate)
//----------------------------------------------------------------------------------------------------------
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