Strategi Tren Kuantitatif Berdasarkan Multi-faktor
Penulis:ChaoZhang, Tanggal: 2024-01-12 11:09:40Tag:
Gambaran umum
Strategi ini secara komprehensif mempertimbangkan faktor-faktor seperti volume perdagangan, volatilitas, posisi harga penutupan, tren, dll untuk mengidentifikasi peluang perdagangan.
Prinsip Strategi
Ide inti dari strategi ini adalah untuk mengidentifikasi titik masuk dan keluar dengan menggabungkan terobosan abnormal dalam volume perdagangan, posisi penutupan, rentang volatilitas dan faktor lainnya.
Secara khusus, strategi ini menghitung volume perdagangan rata-rata selama periode waktu tertentu. Ketika volume perdagangan periode saat ini menunjukkan terobosan abnormal yang signifikan, itu mungkin menunjukkan pembalikan tren. Selain itu, jika harga penutupan dekat dengan batas atas atau bawah rentang volatilitas, itu juga menyiratkan pembalikan tren yang mungkin terjadi. Dengan menggabungkan volume perdagangan dan posisi penutupan, titik masuk dan keluar potensial dapat dinilai pada awalnya.
Untuk memverifikasi sinyal perdagangan, strategi ini juga memperhitungkan rentang volatilitas. Jika volatilitas saat ini menembus tingkat rata-rata selama periode tertentu, itu membentuk kondisi pertama sinyal perdagangan. Kemudian jika harga penutupan up bar jatuh di bagian bawah rentang volatilitas dengan volume yang meningkat, sinyal jual dihasilkan. Sebaliknya, jika harga penutupan down bar berada di bagian atas rentang volatilitas dengan volume yang menurun, maka sinyal beli dihasilkan.
Selain itu, strategi ini juga menggunakan rata-rata bergerak untuk menentukan tren keseluruhan.
Dengan mengintegrasikan indikator di atas, strategi ini dapat secara efektif mengidentifikasi titik masuk dan keluar pasar.
Keuntungan
Keuntungan terbesar dari strategi ini adalah bahwa ia memperhitungkan beberapa faktor untuk pengambilan keputusan, membuat sinyal perdagangan lebih dapat diandalkan.
- Mengidentifikasi tanda-tanda pembalikan tren awal dengan volume perdagangan yang tidak normal.
- Tentukan tren nyata dengan rentang volatilitas dan posisi penutupan, menghindari kebisingan jangka pendek.
- Memastikan strategi selaras dengan tren utama dengan memeriksa rata-rata bergerak jangka menengah dan panjang.
- Mengurangi kerugian dengan memverifikasi sinyal dari berbagai aspek.
Risiko
Ada juga beberapa risiko dari strategi ini:
- Kompleks untuk mengoptimalkan parameter dengan beberapa faktor.
- Tidak bisa sepenuhnya menghindari sinyal palsu.
- Penilaian tren utama yang salah dapat berdampak negatif pada kinerja keseluruhan.
- Parameter volatilitas perlu disesuaikan dengan lingkungan pasar yang berbeda.
Arahan Optimasi
Aspek utama strategi ini dapat dioptimalkan:
- Gunakan model pembelajaran mesin untuk menyesuaikan parameter otomatis.
- Tambahkan mekanisme stop loss untuk mengendalikan risiko.
- Mengintegrasikan lebih banyak faktor seperti arus uang untuk menentukan tren utama.
- Desain parameter volatilitas adaptif.
Kesimpulan
Strategi ini mengidentifikasi peluang perdagangan dengan mempertimbangkan berbagai faktor. Keuntungannya terletak pada mekanisme sinyal yang komprehensif dan kinerja yang stabil, sementara risiko utama berasal dari penyesuaian parameter dan prediksi tren utama yang tidak akurat. Beberapa teknik seperti pembelajaran mesin dapat diterapkan untuk optimasi lebih lanjut di masa depan. Secara keseluruhan, ini adalah strategi dengan alasan yang masuk akal dan kinerja praktis yang menjanjikan.
/*backtest
start: 2023-12-12 00:00:00
end: 2024-01-11 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("volume spread analysis ", overlay=true)
volavg = sma(volume,40)
c= close
l=low
h=high
v=volume
volmean = stdev(volavg,30)
volupband3 = volavg + 3*volmean
volupband2 = volavg + 2*volmean
volupband1 = volavg + 1*volmean
voldnband1 = volavg -1*volmean
voldnband2 = volavg -2*volmean
midprice = (high+low)/2
spread = (high-low)
avgspread = sma(spread,80)
avgspreadbar = spread > avgspread
widerangebar = spread>(1.5*avgspread)
narrowrangebar = spread<(0.7*avgspread)
lowvolume = volume<volume[1] and volume<volume[2]
upbar = close>close[1]
downbar = close<close[1]
highvolume = volume>volume[1] and volume[1]>volume[2]
closefactor = close-low
clsposition = spread/closefactor
closeposition = iff(closefactor==0,avgspread,clsposition)
vb = volume>volavg or volume>volume[1]
upclose = close>=((spread*0.7)+low)// close is above 70% of the bar
downclose = close<=((spread*0.3)+low)// close is below the 30% of the bar
aboveclose = close>((spread*0.5)+low)// close is between 50% and 70% of the bar
belowclose = close<((spread*0.5)+low)// close is between 50% and 30% of the bar
midclose = close>((spread*0.3)+low) and c<((spread*0.7)+l)// close is between 30% and 70% of the bar
verylowclose = closeposition>4//close is below 25% of the bar
veryhighclose = closeposition<1.35// close is above 80% of the bar
closepos = iff(close<=((spread*0.2)+low),1,iff(close<=((spread*0.4)+low),2,iff(close<=((spread*0.6)+low),3,iff(close<=((spread*0.8)+low),4,5))))
// 1 = downclose, 2 = belowclose, 3 = midclose, 4 = aboveclose, 5 = upclose
volpos = iff(volume>volavg*2,1,iff(volume>volavg*1.3,2,iff(volume>volavg,3,iff(volume<volavg and volume>volavg*0.7,4,5))))
//// 1 = very high, 2 = high, 3 = above average, 4 = less than average, 5 = low
freshgndhi = close > highestbars(h,5)
freshgndlo = close < lowestbars(l,5)
//========================trend estimation =========================
//jtrend=sma(close,5)
//trendlongterm = linreg(jtrend,40)
//trendmediumterm = linreg(jtrend,10)
//trendshortterm = linreg(jtrend,3)
//tls=linreg(jtrend,3)
minperiodsrwist = input(title="short term min periods", defval=2, minval=1)
maxperiodsrwist = input(title="short term max periods", defval=8, minval=1)
minperiodsrwilt = input(title="long term min periods", defval=10, minval=1)
maxperiodsrwilt = input(title="long term max periods", defval=40, minval=1)
rwhmins = (high - nz(low[minperiodsrwist])) / (atr(minperiodsrwist) * sqrt(minperiodsrwist))
rwhmaxs = (high - nz(low[maxperiodsrwist])) / (atr(maxperiodsrwist) * sqrt(maxperiodsrwist))
rwhs = max( rwhmins, rwhmaxs )
rwlmins = (nz(high[minperiodsrwist]) - low) / (atr(minperiodsrwist) * sqrt(minperiodsrwist))
rwlmaxs = (nz(high[maxperiodsrwist]) - low) / (atr(maxperiodsrwist) * sqrt(maxperiodsrwist))
rwls = max( rwlmins, rwlmaxs )
rwhminl = (high - nz(low[minperiodsrwilt])) / (atr(minperiodsrwilt) * sqrt(minperiodsrwilt))
rwhmaxl = (high - nz(low[maxperiodsrwilt])) / (atr(maxperiodsrwilt) * sqrt(maxperiodsrwilt))
rwhl = max( rwhminl, rwhmaxl )
rwlminl = (nz(high[minperiodsrwilt]) - low) / (atr(minperiodsrwilt) * sqrt(minperiodsrwilt))
rwlmaxl = (nz(high[maxperiodsrwilt]) - low) / (atr(maxperiodsrwilt) * sqrt(maxperiodsrwilt))
rwll = max( rwlminl, rwlmaxl )
ground = rwhs
sky = rwls
j = rwhs-rwls
k = rwhl-rwll
j2 = rwhl
k2 = rwll
ja = cross(j,1)
jb = cross(1,j)
jc = cross(-1,j)
jd = cross(j,-1)
j2a = cross(j2,1)
j2b = cross(1,j2)
k2a = cross(k2,1)
k2b = cross(1,k2)
upmajoron = j > 1 and ja[1]
upmajoroff = j < 1 and jb[1]
upminoron = j2 > 1 and j2a[1]
upminoroff = j2 < 1 and j2b[1]
dnmajoron = j < -1 and jc[1]
dnmajoroff = j > -1 and jd[1]
dnminoron = k2 > 1 and k2a[1]
dnminoroff = k2 < 1 and k2b[1]
upimd = iff(ground > 1, 1,0)
dnimd = iff(sky > 1, 1, 0)
upmajor = iff(j>1,1,iff(j<(-1),-1,0))
upminor = iff(j2>1,1,-1)
dnminor = iff(k2>1,1,-1)
//======================================================================|
Buy_stop = lowest(low[1],5) - atr(20)[1]
plot(Buy_stop, color=red, title="buy_stoploss")
Sell_stop = highest(high[1],5) + atr(20)[1]
plot(Sell_stop, color=green, title="sell_stoploss")
//======================================================================|
//upthrustbar = widerangebar and downclose and upimd==1 and high>high[1] //wrb and uhs and fresh ground
nut = widerangebar and downclose and freshgndhi and highvolume // new signal
bc = widerangebar and aboveclose and volume == highest(volume,60) and upmajor==1 // new signal
upthrustbar = widerangebar and (closepos==1 or closepos==2) and upminor>0 and high>high[1] and (upimd>0or upmajor>0) and volpos <4// after minor up trend
upthrustbartrue = widerangebar and closepos==1 and upmajor>0 and high>high[1] and volpos <4//occurs after a major uptrend
upthrustcond1 = upthrustbar[1] and downbar and not narrowrangebar
upthrustcond2 = upthrustbar[1] and downbar and volpos == 2
upthrustcond3 = upthrustbar and volpos ==1
toprevbar = volume[1]>volavg and upbar[1] and widerangebar[1] and downbar and downclose and widerangebar and upmajor>0 and high==highest(high,10)
pseudoupthrust = upbar[1] and high>high[1] and volume[1]>1.5*volavg and downbar and downclose and not upthrustbar
pseudoutcond = pseudoupthrust[1] and downbar and downclose and not upthrustbar
trendchange = upbar[1] and high==highest(high,5) and downbar and (downclose or midclose) and volume>volavg and upmajor>0 and upimd>0 and not widerangebar and not pseudoupthrust
nodemandbarut = upbar and narrowrangebar and lowvolume and closepos> 3 and ((upminor>0 and upimd>0)or (upminor<0 and upminor>0))//in a up market
nodemandbardt = upbar and narrowrangebar and lowvolume and closepos> 3 and (upminor<=0or upimd<=0)// in a down or sidewayss market
nosupplybar = downbar and narrowrangebar and lowvolume and closepos<3 and ((upminor<1 and upimd<1)or (upminor>0 and upimd<1))
lowvoltest = low==lowest(low,5) and upclose and lowvolume//lowvolume and l<low[1] and upclose
lowvoltest1 = low==lowest(low,5) and volume<volavg and low<low[1] and upclose and upminor>0 and upmajor>0// and widerangebar
lowvoltest2 = lowvoltest[1] and upbar and upclose
sellcond1 = (upthrustcond1 or upthrustcond2 or upthrustcond3)
sellcond2 = sellcond1[1]==0
sellcond = sellcond1 and sellcond2
strengthdown0 = upmajor<0 and volpos<4 and downbar[1] and upbar and closepos>3 and upminor<0 and upimd<=0// strength after a long down trend
strengthdown = volpos<4 and downbar[1] and upbar and closepos>3 and upimd<=00 and upminor<0// strength after a down trend
strengthdown1 = upmajor<0 and volume>(volavg*1.5) and downbar[1] and upbar and closepos>3 and upminor<0 and upimd<=0//strength after downtrend . high volume
strengthdown2 = upimd<=0 and volume[1]<volavg and upbar and veryhighclose and volpos<4
buycond1 = strengthdown or strengthdown1
buycond = upbar and buycond1[1]
stopvolume = low==lowest(low,5) and (upclose or midclose) and v>1.5*volavg and upmajor<0
revupthrust = upmajor<0 and upbar and upclose and volume>volume[1] and volume>volavg and widerangebar and downbar[1] and downclose[1] and upminor<0
effortup = high>high[1] and low>low[1] and close>close[1] and close>=((high-low)*0.7+low) and spread>avgspread and volpos<4//and open<=((high-low)*0.3+low)
effortupfail = effortup[1] and (upthrustbar or upthrustcond1 or upthrustcond2 or upthrustcond3 or (downbar and avgspreadbar))
effortdown = high<high[1] and low<low[1] and close<close[1] and close<=((high-low)*0.25+low) and widerangebar and volume>volume[1]//o>=((high-low)*0.75+
effortdownfail = effortdown[1] and ((upbar and avgspreadbar)or revupthrust or buycond1)
upflag = (sellcond or buycond or effortup or effortupfail or stopvolume or effortdown or effortdownfail or revupthrust or nodemandbardt or nodemandbarut or nosupplybar or lowvoltest or lowvoltest1 or lowvoltest2 or bc)
bullbar = (volume>volavg or volume>volume[1]) and closeposition <2 and upbar and not upflag
bearbar = vb and downclose and downbar and spread>avgspread and not upflag
buy = (upbar and revupthrust[1])or lowvoltest2
burely = strengthdown1 and stopvolume[1]or (upbar and revupthrust[1])or lowvoltest2
//buy = effortup and lowvoltest2[1]
//sell = upthrustbartrue
sell = effortup[1] and effortupfail and upthrustcond3 and upthrustbartrue and toprevbar
strategy.entry("simpleBuy", strategy.long, when= (upbar and revupthrust[1])or lowvoltest2 )
strategy.close("simpleBuy",when=upthrustbartrue )
//strategy.entry("simpleSell", strategy.short,when= upthrustbartrue )
//strategy.close("simpleSell",when= (upbar and revupthrust[1])or lowvoltest2)
//|============================================================================================|
//data = close >= open
//plotshape(true, style=shape.flag, color=data ? green : red)
plotshape((upthrustbar or upthrustbartrue) ,title="upthrustbaro" ,style=shape.arrowdown ,size=size.huge,color=red )
//plotshape(toprevbar ,title="toprevbar" ,style=shape.flag ,size=size.small,color=blue )
//plotshape((pseudoupthrust) ,title="(pseudoupthrus" ,style=shape.circle ,size=size.small,color=blue )
//plotshape((upthrustcond1 or upthrustcond2) ,title="upthrustcond1" ,style=shape.triangleup ,size=size.small,color=red )
plotshape(trendchange ,title="trendchange" ,style=shape.xcross ,size=size.small,color=red )
//plotshape((nodemandbardt) ,title="(nodemandbardt" ,style=shape.square ,size=size.small,color=orange )
//plotshape(nosupplybar ,title="nosupplybar" ,style=shape.cross ,size=size.small,color=blue)
plotshape(revupthrust ,title="revupthrust" ,style=shape.arrowup ,size=size.huge,color=green )
//plotshape((upthrustbar or upthrustbartrue) ,title="upthrustbaro" ,style=shape.cross ,size=size.small,color=red )
//plotshape((upthrustcond1 or upthrustcond2) ,title="upthrustcond1" ,style=shape.triangledown ,size=size.small,color=white )
//plotshape((pseudoupthrust) ,title="(pseudoupthrus" ,style=shape.arrowup ,size=size.small,color=blue )
//plotshape(nodemandbarut ,title="nodemandbarut" ,style=shape.labelup ,size=size.small,color=orange )
//plotshape(nodemandbarut ,title="nodemandbarut" ,style=shape.labeldown ,size=size.small,color=yellow )
//plotshape(nodemandbardt ,title="nodemandbardt" ,style=shape.diamond ,size=size.small,color=yellow )
//plotshape(nosupplybar ,title="nosupplybar" ,style=shape.xcross ,size=size.small,color=blue )
plotshape(lowvoltest ,title="lowvoltest" ,style=shape.triangleup ,size=size.small,color=blue )
//plotshape(lowvoltest2 ,title="lowvoltest2" ,style=shape.triangledown ,size=size.small,color=yellow )
//plotshape(strengthdown ,title="strengthdown" ,style=shape.flag ,size=size.small,color=green)
//plotshape(strengthdown ,title="strengthdown" ,style=shape.circle ,size=size.small,color=lime )
//plotshape(strengthdown2 ,title="strengthdown2" ,style=shape.arrowup ,size=size.small,color=silver )
//plotshape(strengthdown2 ,title="strengthdown2" ,style=shape.arrowdown ,size=size.small,color=red )
//plotshape(stopvolume ,title="stopvolume" ,style=shape.labelup ,size=size.small,color=green )
//plotshape(stopvolume ,title="stopvolume" ,style=shape.labeldown ,size=size.small,color=yellow )
plotshape(effortup ,title="effortup" ,style=shape.diamond ,size=size.small,color=lime )
plotshape(effortupfail ,title="effortupfail" ,style=shape.xcross ,size=size.small,color=blue )
//plotshape(effortupfail ,title="effortupfail" ,style=shape.cross ,size=size.small,color=white )
plotshape(effortdown ,title="effortdown" ,style=shape.triangledown ,size=size.small,color=red )
plotshape(effortdownfail ,title="effortdownfail" ,style=shape.xcross ,size=size.small,color=green )
//plotshape(effortdownfail ,title="effortdownfail" ,style=shape.flag ,size=size.small,color=white )
//plotshape(buycond ,title="buycond" ,style=shape.circle ,size=size.small,color=green )
//plotshape(sellcond ,title="sellcond" ,style=shape.arrowup ,size=size.small,color=orange )
//plotshape((nut) ,title="(nut)" ,style=shape.arrowdown ,size=size.small,color=lime )
//plotshape((bc ) ,title="(bc" ,style=shape.labelup ,size=size.small,color=red )
//plotshape(buy ,title="buy" ,style=shape.labeldown ,size=size.small,color=white )
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