Ini adalah strategi kuantitatif sederhana yang menggunakan Indeks Aliran Uang untuk mengidentifikasi
Strategi ini menggunakan Indeks Aliran Uang 3 periode dengan tingkat overbought ditetapkan pada 100 dan tingkat oversold ditetapkan pada 0. Strategi ini menunggu Indeks Aliran Uang untuk mencapai tingkat overbought, menunjukkan adanya
Sebuah entri panjang diambil ketika Indeks Aliran Uang = 100 dan lilin berikutnya adalah lilin bullish dengan lilin pendek. Stop loss ditetapkan di bawah titik terendah hari perdagangan dan keuntungan diambil dalam waktu 60 menit setelah masuk.
Logika di atas dapat digunakan dengan cara cermin untuk mengambil entri pendek juga.
Menggunakan Indeks Aliran Uang dapat secara efektif mengidentifikasi perilaku akumulasi oleh
Filter candlestick membantu mengkonfirmasi pecah yang lebih kuat, menghindari banyak pecah palsu.
Filter SMA menghindari membeli tren menurun, secara efektif mengurangi risiko.
Penarikan berbasis waktu 60 menit dengan cepat mengunci keuntungan, mengurangi penarikan.
Indeks Aliran Uang dapat menghasilkan sinyal palsu, yang menyebabkan kerugian yang tidak perlu.
Penarikan 60 menit mungkin terlalu agresif untuk saham volatilitas tinggi.
Strategi harus dihentikan sampai pasar stabil.
Uji kombinasi parameter yang berbeda seperti panjang MFI, periode SMA dll.
Tambahkan indikator lain seperti Bollinger Bands, RSI untuk meningkatkan akurasi sinyal.
Peningkatan uji berhenti untuk memungkinkan target keuntungan yang lebih besar.
Mengembangkan versi untuk jangka waktu lain seperti 15 atau 30 menit berdasarkan prinsip yang sama.
Strategi ini sederhana dan mudah dimengerti, selaras dengan pendekatan klasik pelacakan
Kerangka waktu 60 menit memungkinkan keuntungan cepat tetapi juga memperkenalkan risiko yang lebih tinggi. Secara keseluruhan templat strategi yang mendalam untuk eksplorasi dan optimalisasi, memberikan cetak biru untuk pengembangan sistematis.
/*backtest start: 2024-01-15 00:00:00 end: 2024-01-22 00:00:00 period: 1m basePeriod: 1m 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/ // From "Crypto Day Trading Strategy" PDF file. // * I'm using a SMA filter to avoid buying when the price is declining. Time frame was better at 15 min according to my test. // 1 - Apply the 3 period Money Flow Index indicator to the 5 minute chart, using 0 and 100 as our oversold and overbought boundaries // 2 - Wait for the MFI to reach overbought levels, that indicates the presence of "big sharks" in the market. Price needs to hold up // the first two MFI overbought occurrences of the day to be considered as a bullish entry signal.* // 3 - We buy when the MFI = 100 and the next candle is a bullish candle with short wicks. // 4 - We place our Stop Loss below the low of the trading day and we Take Profit during the first 60 minutes after taking the trade. // The logic above can be used in a mirrored fashion to take short entries, this is a custom parameter that can be modified from // the strategy Inputs panel. // © tweakerID //@version=4 strategy("Money Flow Index 5 min Strategy", overlay=true ) direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1) strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long)) /////////////////////// STRATEGY INPUTS //////////////////////////////////////// title1=input(true, "-----------------Strategy Inputs-------------------") i_MFI = input(3, title="MFI Length") OB=input(100, title="Overbought Level") OS=input(0, title="Oversold Level") barsizeThreshold=input(.5, step=.05, minval=.1, maxval=1, title="Bar Body Size, 1=No Wicks") i_MAFilter = input(true, title="Use MA Trend Filter") i_MALen = input(80, title="MA Length") i_timedexit=input(false, title="Use 60 minutes exit rule") short=input(true, title="Use Mirrored logic for Shorts") /////////////////////// BACKTESTER ///////////////////////////////////////////// title2=input(true, "-----------------General Inputs-------------------") // Backtester General Inputs i_SL=input(true, title="Use Stop Loss and Take Profit") i_SLType=input(defval="Strategy Stop", title="Type Of Stop", options=["Strategy Stop", "Swing Lo/Hi", "ATR Stop"]) i_SPL=input(defval=10, title="Swing Point Lookback") i_PercIncrement=input(defval=3, step=.1, title="Swing Point SL Perc Increment")*0.01 i_ATR = input(14, title="ATR Length") i_ATRMult = input(5, step=.1, title="ATR Multiple") i_TPRRR = input(2.2, step=.1, title="Take Profit Risk Reward Ratio") TS=input(false, title="Trailing Stop") // Bought and Sold Boolean Signal bought = strategy.position_size > strategy.position_size[1] or strategy.position_size < strategy.position_size[1] // Price Action Stop and Take Profit LL=(lowest(i_SPL))*(1-i_PercIncrement) HH=(highest(i_SPL))*(1+i_PercIncrement) LL_price = valuewhen(bought, LL, 0) HH_price = valuewhen(bought, HH, 0) entry_LL_price = strategy.position_size > 0 ? LL_price : na entry_HH_price = strategy.position_size < 0 ? HH_price : na tp=strategy.position_avg_price + (strategy.position_avg_price - entry_LL_price)*i_TPRRR stp=strategy.position_avg_price - (entry_HH_price - strategy.position_avg_price)*i_TPRRR // ATR Stop ATR=atr(i_ATR)*i_ATRMult ATRLong = ohlc4 - ATR ATRShort = ohlc4 + ATR ATRLongStop = valuewhen(bought, ATRLong, 0) ATRShortStop = valuewhen(bought, ATRShort, 0) LongSL_ATR_price = strategy.position_size > 0 ? ATRLongStop : na ShortSL_ATR_price = strategy.position_size < 0 ? ATRShortStop : na ATRtp=strategy.position_avg_price + (strategy.position_avg_price - LongSL_ATR_price)*i_TPRRR ATRstp=strategy.position_avg_price - (ShortSL_ATR_price - strategy.position_avg_price)*i_TPRRR // Strategy Stop DayStart = time == timestamp("UTC", year, month, dayofmonth, 0, 0, 0) plot(DayStart ? 1e9 : na, style=plot.style_columns, color=color.silver, transp=80, title="Trade Day Start") float LongStop = valuewhen(DayStart,low,0)*(1-i_PercIncrement) float ShortStop = valuewhen(DayStart,high,0)*(1+i_PercIncrement) float StratTP = strategy.position_avg_price + (strategy.position_avg_price - LongStop)*i_TPRRR float StratSTP = strategy.position_avg_price - (ShortStop - strategy.position_avg_price)*i_TPRRR /////////////////////// STRATEGY LOGIC ///////////////////////////////////////// MFI=mfi(close,i_MFI) barsize=high-low barbodysize=close>open?(open-close)*-1:(open-close) shortwicksbar=barbodysize>barsize*barsizeThreshold SMA=sma(close, i_MALen) MAFilter=close > SMA timesinceentry=(time - valuewhen(bought, time, 0)) / 60000 timedexit=timesinceentry == 60 BUY = MFI[1] == OB and close > open and shortwicksbar and (i_MAFilter ? MAFilter : true) bool SELL = na if short SELL := MFI[1] == OS and close < open and shortwicksbar and (i_MAFilter ? not MAFilter : true) //Debugging Plots plot(timesinceentry, transp=100, title="Time Since Entry") //Trading Inputs DPR=input(true, "Allow Direct Position Reverse") reverse=input(false, "Reverse Trades") // Entries if reverse if not DPR strategy.entry("long", strategy.long, when=SELL and strategy.position_size == 0) strategy.entry("short", strategy.short, when=BUY and strategy.position_size == 0) else strategy.entry("long", strategy.long, when=SELL) strategy.entry("short", strategy.short, when=BUY) else if not DPR strategy.entry("long", strategy.long, when=BUY and strategy.position_size == 0) strategy.entry("short", strategy.short, when=SELL and strategy.position_size == 0) else strategy.entry("long", strategy.long, when=BUY) strategy.entry("short", strategy.short, when=SELL) if i_timedexit strategy.close_all(when=timedexit) SL= i_SLType == "Swing Lo/Hi" ? entry_LL_price : i_SLType == "ATR Stop" ? LongSL_ATR_price : LongStop SSL= i_SLType == "Swing Lo/Hi" ? entry_HH_price : i_SLType == "ATR Stop" ? ShortSL_ATR_price : ShortStop TP= i_SLType == "Swing Lo/Hi" ? tp : i_SLType == "ATR Stop" ? ATRtp : StratTP STP= i_SLType == "Swing Lo/Hi" ? stp : i_SLType == "ATR Stop" ? ATRstp : StratSTP //TrailingStop dif=(valuewhen(strategy.position_size>0 and strategy.position_size[1]<=0, high,0)) -strategy.position_avg_price trailOffset = strategy.position_avg_price - SL var tstop = float(na) if strategy.position_size > 0 tstop := high- trailOffset - dif if tstop<tstop[1] tstop:=tstop[1] else tstop := na StrailOffset = SSL - strategy.position_avg_price var Ststop = float(na) Sdif=strategy.position_avg_price-(valuewhen(strategy.position_size<0 and strategy.position_size[1]>=0, low,0)) if strategy.position_size < 0 Ststop := low+ StrailOffset + Sdif if Ststop>Ststop[1] Ststop:=Ststop[1] else Ststop := na strategy.exit("TP & SL", "long", limit=TP, stop=TS? tstop : SL, when=i_SL) strategy.exit("TP & SL", "short", limit=STP, stop=TS? Ststop : SSL, when=i_SL) /////////////////////// PLOTS ////////////////////////////////////////////////// plot(i_SL and strategy.position_size > 0 and not TS ? SL : i_SL and strategy.position_size > 0 and TS ? tstop : na , title='SL', style=plot.style_cross, color=color.red) plot(i_SL and strategy.position_size < 0 and not TS ? SSL : i_SL and strategy.position_size < 0 and TS ? Ststop : na , title='SSL', style=plot.style_cross, color=color.red) plot(i_SL and strategy.position_size > 0 ? TP : na, title='TP', style=plot.style_cross, color=color.green) plot(i_SL and strategy.position_size < 0 ? STP : na, title='STP', style=plot.style_cross, color=color.green) // Draw price action setup arrows plotshape(BUY ? 1 : na, style=shape.triangleup, location=location.belowbar, color=color.green, title="Bullish Setup", size=size.auto) plotshape(SELL ? 1 : na, style=shape.triangledown, location=location.abovebar, color=color.red, title="Bearish Setup", size=size.auto)