Strategi ini adalah strategi perdagangan grid dinamis yang menggunakan garis rata-rata yang bergerak. Ini akan memisahkan beberapa zona beli dan jual di bawah garis rata-rata sesuai dengan garis rata-rata dan amplitudo fluktuasi yang ditetapkan.
Risiko dapat dikurangi dengan melebarkan jarak grid yang tepat, mengoptimalkan parameter ATR, mengurangi jumlah posisi. Anda juga dapat mengatur kombinasi parameter perdagangan tren dan perdagangan goyangan sesuai dengan pasar yang berbeda.
Hal ini dapat dioptimalkan lebih lanjut, membuat strategi menjadi lebih dinamis dan bersifat lokal.
Strategi ini secara keseluruhan adalah strategi grid trend tracking yang lebih sederhana dan lebih matang. Ini menggunakan garis rata untuk menilai tren besar, kemudian membangun grid dinamis untuk melakukan perdagangan secara batch.
/*backtest
start: 2022-12-13 00:00:00
end: 2023-12-19 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Seungdori_
//@version=5
strategy("Grid Strategy with MA", overlay=true, initial_capital = 100000, default_qty_type = strategy.cash, default_qty_value = 10000, pyramiding = 10, process_orders_on_close = true, commission_type = strategy.commission.percent, commission_value = 0.04)
//Inputs//
length = input.int(defval = 100, title = 'MA Length', group = 'MA')
MA_Type = input.string("SMA", title="MA Type", options=['EMA', 'HMA', 'LSMA', 'RMA', 'SMA', 'WMA'],group = 'MA')
logic = input.string(defval='ATR', title ='Grid Logic', options = ['ATR', 'Percent'])
band_mult = input.float(2.5, step = 0.1, title = 'Band Multiplier/Percent', group = 'Parameter')
atr_len = input.int(defval=100, title = 'ATR Length', group ='parameter')
//Var//
var int order_cond = 0
var bool order_1 = false
var bool order_2 = false
var bool order_3 = false
var bool order_4 = false
var bool order_5 = false
var bool order_6 = false
var bool order_7 = false
var bool order_8 = false
var bool order_9 = false
var bool order_10 = false
var bool order_11 = false
var bool order_12 = false
var bool order_13 = false
var bool order_14 = false
var bool order_15 = false
/////////////////////
//Region : Function//
/////////////////////
getMA(source ,ma_type, length) =>
maPrice = ta.ema(source, length)
ema = ta.ema(source, length)
sma = ta.sma(source, length)
if ma_type == 'SMA'
maPrice := ta.sma(source, length)
maPrice
if ma_type == 'HMA'
maPrice := ta.hma(source, length)
maPrice
if ma_type == 'WMA'
maPrice := ta.wma(source, length)
maPrice
if ma_type == "RMA"
maPrice := ta.rma(source, length)
if ma_type == "LSMA"
maPrice := ta.linreg(source, length, 0)
maPrice
main_plot = getMA(ohlc4, MA_Type, length)
atr = ta.atr(length)
premium_zone_1 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*1), 5) : ta.ema((main_plot*(1+band_mult*0.01*1)), 5)
premium_zone_2 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*2), 5) : ta.ema((main_plot*(1+band_mult*0.01*2)), 5)
premium_zone_3 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*3), 5) : ta.ema((main_plot*(1+band_mult*0.01*3)), 5)
premium_zone_4 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*4), 5) : ta.ema((main_plot*(1+band_mult*0.01*4)), 5)
premium_zone_5 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*5), 5) : ta.ema((main_plot*(1+band_mult*0.01*5)), 5)
premium_zone_6 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*6), 5) : ta.ema((main_plot*(1+band_mult*0.01*6)), 5)
premium_zone_7 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*7), 5) : ta.ema((main_plot*(1+band_mult*0.01*7)), 5)
premium_zone_8 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*8), 5) : ta.ema((main_plot*(1+band_mult*0.01*8)), 5)
//premium_zone_9 = ta.rma(main_plot + atr*(band_mult*9), 5)
//premium_zone_10 = ta.rma(main_plot + atr*(band_mult*10), 5)
discount_zone_1 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*1), 5) : ta.ema((main_plot*(1-band_mult*0.01*1)), 5)
discount_zone_2 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*2), 5) : ta.ema((main_plot*(1-band_mult*0.01*2)), 5)
discount_zone_3 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*3), 5) : ta.ema((main_plot*(1-band_mult*0.01*3)), 5)
discount_zone_4 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*4), 5) : ta.ema((main_plot*(1-band_mult*0.01*4)), 5)
discount_zone_5 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*5), 5) : ta.ema((main_plot*(1-band_mult*0.01*5)), 5)
discount_zone_6 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*6), 5) : ta.ema((main_plot*(1-band_mult*0.01*6)), 5)
discount_zone_7 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*7), 5) : ta.ema((main_plot*(1-band_mult*0.01*7)), 5)
discount_zone_8 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*8), 5) : ta.ema((main_plot*(1-band_mult*0.01*8)), 5)
//discount_zon_9 = ta.sma(main_plot - atr*(band_mult*9), 5)
//discount_zone_10 =ta.sma( main_plot - atr*(band_mult*10), 5)
//Region End//
////////////////////
// Region : Plots//
///////////////////
dis_low1 = plot(discount_zone_1, color=color.new(color.green, 80))
dis_low2 = plot(discount_zone_2, color=color.new(color.green, 70))
dis_low3 = plot(discount_zone_3, color=color.new(color.green, 60))
dis_low4 = plot(discount_zone_4, color=color.new(color.green, 50))
dis_low5 = plot(discount_zone_5, color=color.new(color.green, 40))
dis_low6 = plot(discount_zone_6, color=color.new(color.green, 30))
dis_low7 = plot(discount_zone_7, color=color.new(color.green, 20))
dis_low8 = plot(discount_zone_8, color=color.new(color.green, 10))
//dis_low9 = plot(discount_zone_9, color=color.new(color.green, 0))
//dis_low10 = plot(discount_zone_10, color=color.new(color.green, 0))
plot(main_plot, color =color.new(color.gray, 10))
pre_up1 = plot(premium_zone_1, color=color.new(color.red, 80))
pre_up2 = plot(premium_zone_2, color=color.new(color.red, 70))
pre_up3 = plot(premium_zone_3, color=color.new(color.red, 60))
pre_up4 = plot(premium_zone_4, color=color.new(color.red, 50))
pre_up5 = plot(premium_zone_5, color=color.new(color.red, 40))
pre_up6 = plot(premium_zone_6, color=color.new(color.red, 30))
pre_up7 = plot(premium_zone_7, color=color.new(color.red, 20))
pre_up8 = plot(premium_zone_8, color=color.new(color.red, 10))
//pre_up9 = plot(premium_zone_9, color=color.new(color.red, 0))
//pre_up10 = plot(premium_zone_10, color=color.new(color.red, 0))
fill(dis_low1, dis_low2, color=color.new(color.green, 95))
fill(dis_low2, dis_low3, color=color.new(color.green, 90))
fill(dis_low3, dis_low4, color=color.new(color.green, 85))
fill(dis_low4, dis_low5, color=color.new(color.green, 80))
fill(dis_low5, dis_low6, color=color.new(color.green, 75))
fill(dis_low6, dis_low7, color=color.new(color.green, 70))
fill(dis_low7, dis_low8, color=color.new(color.green, 65))
//fill(dis_low8, dis_low9, color=color.new(color.green, 60))
//fill(dis_low9, dis_low10, color=color.new(color.green, 55))
fill(pre_up1, pre_up2, color=color.new(color.red, 95))
fill(pre_up2, pre_up3, color=color.new(color.red, 90))
fill(pre_up3, pre_up4, color=color.new(color.red, 85))
fill(pre_up4, pre_up5, color=color.new(color.red, 80))
fill(pre_up5, pre_up6, color=color.new(color.red, 75))
fill(pre_up6, pre_up7, color=color.new(color.red, 70))
fill(pre_up7, pre_up8, color=color.new(color.red, 65))
//fill(pre_up8, pre_up9, color=color.new(color.red, 60))
//fill(pre_up9, pre_up10, color=color.new(color.red, 55))
//Region End//
///////////////////////
//Region : Strategies//
///////////////////////
//Longs//
longCondition1 = ta.crossunder(low, discount_zone_7)
longCondition2 = ta.crossunder(low, discount_zone_6)
longCondition3 = ta.crossunder(low, discount_zone_5)
longCondition4 = ta.crossunder(low, discount_zone_4)
longCondition5 = ta.crossunder(low, discount_zone_3)
longCondition6 = ta.crossunder(low, discount_zone_2)
longCondition7 = ta.crossunder(low, discount_zone_1)
longCondition8 = ta.crossunder(low, main_plot)
longCondition9 = ta.crossunder(low, premium_zone_1)
longCondition10 = ta.crossunder(low, premium_zone_2)
longCondition11 = ta.crossunder(low, premium_zone_3)
longCondition12 = ta.crossunder(low, premium_zone_4)
longCondition13 = ta.crossunder(low, premium_zone_5)
longCondition14 = ta.crossunder(low, premium_zone_6)
longCondition15 = ta.crossunder(low, premium_zone_7)
if (longCondition1) and order_1 == false
strategy.entry("Long1", strategy.long)
order_1 := true
if (longCondition2) and order_2 == false
strategy.entry("Long2", strategy.long)
order_2 := true
if (longCondition3) and order_3 == false
strategy.entry("Long3", strategy.long)
order_3 := true
if (longCondition4) and order_4 == false
strategy.entry("Long4", strategy.long)
order_4 := true
if (longCondition5) and order_5 == false
strategy.entry("Long5", strategy.long)
order_5 := true
if (longCondition6) and order_6 == false
strategy.entry("Long6", strategy.long)
order_6 := true
if (longCondition7) and order_7 == false
strategy.entry("Long7", strategy.long)
order_7 := true
if (longCondition8) and order_8 == false
strategy.entry("Long8", strategy.long)
order_8 := true
if (longCondition9) and order_9 == false
strategy.entry("Long9", strategy.long)
order_9 := true
if (longCondition10) and order_10 == false
strategy.entry("Long10", strategy.long)
order_10 := true
if (longCondition11) and order_11 == false
strategy.entry("Long11", strategy.long)
order_11 := true
if (longCondition12) and order_12 == false
strategy.entry("Long12", strategy.long)
order_12 := true
if (longCondition13) and order_13 == false
strategy.entry("Long13", strategy.long)
order_13 := true
if (longCondition14) and order_14 == false
strategy.entry("Long14", strategy.long)
order_14 := true
if (longCondition15) and order_15 == false
strategy.entry("Long14", strategy.long)
order_15 := true
//Close//
shortCondition1 = ta.crossover(high, discount_zone_6)
shortCondition2 = ta.crossover(high, discount_zone_5)
shortCondition3 = ta.crossover(high, discount_zone_4)
shortCondition4 = ta.crossover(high, discount_zone_3)
shortCondition5 = ta.crossover(high, discount_zone_2)
shortCondition6 = ta.crossover(high, discount_zone_1)
shortCondition7 = ta.crossover(high, main_plot)
shortCondition8 = ta.crossover(high, premium_zone_1)
shortCondition9 = ta.crossover(high, premium_zone_2)
shortCondition10 = ta.crossover(high, premium_zone_3)
shortCondition11 = ta.crossover(high, premium_zone_4)
shortCondition12 = ta.crossover(high, premium_zone_5)
shortCondition13 = ta.crossover(high, premium_zone_6)
shortCondition14 = ta.crossover(high, premium_zone_7)
shortCondition15 = ta.crossover(high, premium_zone_8)
if (shortCondition1) and order_1 == true
strategy.close("Long1")
order_1 := false
if (shortCondition2) and order_2 == true
strategy.close("Long2")
order_2 := false
if (shortCondition3) and order_3 == true
strategy.close("Long3")
order_3 := false
if (shortCondition4) and order_4 == true
strategy.close("Long4")
order_4 := false
if (shortCondition5) and order_5 == true
strategy.close("Long5")
order_5 := false
if (shortCondition6) and order_6 == true
strategy.close("Long6")
order_6 := false
if (shortCondition7) and order_7 == true
strategy.close("Long7")
order_7 := false
if (shortCondition8) and order_8 == true
strategy.close("Long8")
order_8 := false
if (shortCondition9) and order_9 == true
strategy.close("Long9")
order_9 := false
if (shortCondition10) and order_10 == true
strategy.close("Long10")
order_10 := false
if (shortCondition11) and order_11 == true
strategy.close("Long11")
order_11 := false
if (shortCondition12) and order_12 == true
strategy.close("Long12")
order_12 := false
if (shortCondition13) and order_13 == true
strategy.close("Long13")
order_13 := false
if (shortCondition14) and order_14 == true
strategy.close("Long14")
order_14 := false
if (shortCondition15) and order_15 == true
strategy.close("Long15")
order_15 := false