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Strategi Lini Keuntungan Konfirmasi Rata-rata Bergerak Ganda

Penulis:ChaoZhang
Tag:

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Gambaran umum

Prinsip Strategi

Keuntungan

  4. Parameter sederhana, mudah diterapkan

Risiko

  2. Parameter tetap dapat menyebabkan overfitting

Arahan Optimasi

Ringkasan

/*backtest
start: 2023-01-16 00:00:00
end: 2024-01-22 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/
// © exlux99

//@version=4

strategy(title = "Aroon Strategy long only", overlay = true,  pyramiding=1,initial_capital = 100, default_qty_type= strategy.percent_of_equity, default_qty_value = 100, calc_on_order_fills=false, slippage=0,commission_type=strategy.commission.percent,commission_value=0.1)

//Time
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 = 2010, title = "From Year", minval = 1970)
 //monday and session 
// To Date Inputs
toDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31)
toMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12)
toYear = input(defval = 2021, title = "To Year", minval = 1970)

startDate = timestamp(fromYear, fromMonth, fromDay, 00, 00)
finishDate = timestamp(toYear, toMonth, toDay, 00, 00)
time_cond = true

//INPUTS

length = input(15, minval=1, title="Aroon Legnth")
upper = 100 * (highestbars(high, length+1) + length)/length
lower = 100 * (lowestbars(low, length+1) + length)/length

lengthx = input(title="Length LSMA", type=input.integer, defval=20)
offset = 0//input(title="Offset", type=input.integer, defval=0)
src = input(close, title="Source")
lsma = linreg(src, lengthx, offset)


long = crossover(upper,lower) and close > lsma
longexit = crossunder(upper,lower) and close < lsma

if(time_cond)
    strategy.entry("long",1,when=long)
    strategy.close("long",when=longexit)
Lebih banyak

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