Optimalisasi Tren Rata-rata Bergerak Ganda Mengikuti Strategi Berdasarkan Kombinasi Indikator
Penulis:ChaoZhang, Tanggal: 2024-02-01 15:13:13Tag:
Gambaran umum
Strategi ini menghasilkan sinyal perdagangan dengan menghitung garis rata-rata bergerak cepat dan lambat dan menggabungkan indikator Parabolic SAR. Ini termasuk dalam strategi yang mengikuti tren. Ketika MA cepat melintasi MA lambat, posisi panjang akan dibuka. Ketika MA cepat melintasi di bawah MA lambat, posisi pendek akan dibuka. Parabolic SAR digunakan untuk menyaring breakout palsu.
Prinsip Strategi
- Menghitung garis rata-rata bergerak cepat dan lambat. parameter dapat disesuaikan.
- Bandingkan dua garis MA untuk menentukan tren pasar. Ketika MA cepat melintasi MA lambat, itu menunjukkan tren bullish. Ketika MA cepat melintasi di bawah MA lambat, itu menunjukkan tren bearish.
- Konfirmasi lebih lanjut dilakukan dengan memeriksa apakah harga penutupan di atas / di bawah MA cepat. Hanya ketika MA cepat melintasi MA lambat dan harga penutupan di atas MA cepat, sinyal panjang dihasilkan. Hanya ketika MA cepat melintasi MA lambat dan harga penutupan di bawah MA cepat, sinyal pendek dihasilkan.
- Parabolic SAR digunakan untuk menyaring sinyal palsu. Hanya ketika ketiga kriteria terpenuhi, sinyal akhir dihasilkan.
- Indikator ATR digunakan untuk menghitung harga stop loss dinamis.
Keuntungan
- Garis MA menentukan tren pasar dan menghindari perdagangan yang berlebihan di pasar yang terikat rentang.
- Filter ganda mengurangi risiko pelarian palsu secara signifikan.
- Strategi stop loss secara efektif membatasi kerugian per perdagangan.
Risiko
- Strategi indikator cenderung menghasilkan sinyal palsu
- Tidak mempertimbangkan risiko eksposur mata uang
- Potensi kehilangan tren awal ke arah yang berlawanan
Strategi dapat dioptimalkan dalam aspek berikut:
- Mengoptimalkan parameter MA agar sesuai dengan produk tertentu
- Tambahkan indikator atau model lain untuk penyaringan sinyal
- Pertimbangkan lindung nilai real-time atau konversi mata uang otomatis
Arahan untuk Optimalisasi
- Mengoptimalkan parameter MA untuk lebih menangkap tren
- Meningkatkan keragaman model untuk meningkatkan akurasi sinyal
- Verifikasi beberapa kerangka waktu untuk menghindari terjebak
- Meningkatkan strategi stop loss untuk meningkatkan stabilitas
Kesimpulan
Ini adalah kombinasi dua rata-rata bergerak silang dan indikator yang khas mengikuti tren strategi. Dengan membandingkan arah MA cepat dan lambat, tren pasar ditentukan. Berbagai indikator filter digunakan untuk menghindari sinyal palsu. Pada saat yang sama, fungsi stop loss diimplementasikan untuk mengendalikan kerugian per perdagangan. Keuntungannya adalah bahwa logika strategi sederhana dan mudah dipahami dan dioptimalkan. Kelemahannya adalah bahwa sebagai alat tren kasar, masih ada ruang untuk meningkatkan akurasi sinyal, dengan memperkenalkan model pembelajaran mesin misalnya.
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 00:00:00
period: 4h
basePeriod: 15m
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/
// © sosacur01
//@version=5
strategy(title="2 MA | Trend Following", overlay=true, pyramiding=1, commission_type=strategy.commission.percent, commission_value=0.2, initial_capital=10000)
//==========================================
//BACKTEST RANGE
useDateFilter = input.bool(true, title="Filter Date Range of Backtest",
group="Backtest Time Period")
backtestStartDate = input(timestamp("1 jan 2000"),
title="Start Date", group="Backtest Time Period",
tooltip="This start date is in the time zone of the exchange " +
"where the chart's instrument trades. It doesn't use the time " +
"zone of the chart or of your computer.")
backtestEndDate = input(timestamp("1 Jul 2100"),
title="End Date", group="Backtest Time Period",
tooltip="This end date is in the time zone of the exchange " +
"where the chart's instrument trades. It doesn't use the time " +
"zone of the chart or of your computer.")
inTradeWindow = true
if not inTradeWindow and inTradeWindow[1]
strategy.cancel_all()
strategy.close_all(comment="Date Range Exit")
//--------------------------------------
//LONG/SHORT POSITION ON/OFF INPUT
LongPositions = input.bool(title='On/Off Long Postion', defval=true, group="Long & Short Position")
ShortPositions = input.bool(title='On/Off Short Postion', defval=true, group="Long & Short Position")
//---------------------------------------
//SLOW MA INPUTS
averageType1 = input.string(defval="SMA", group="Slow MA Inputs", title="Slow MA Type", options=["SMA", "EMA", "WMA", "HMA", "RMA", "SWMA", "ALMA", "VWMA", "VWAP"])
averageLength1 = input.int(defval=160, group="Slow MA Inputs", title="Slow MA Length", minval=50)
averageSource1 = input(close, title="Slow MA Source", group="Slow MA Inputs")
//SLOW MA TYPE
MovAvgType1(averageType1, averageSource1, averageLength1) =>
switch str.upper(averageType1)
"SMA" => ta.sma(averageSource1, averageLength1)
"EMA" => ta.ema(averageSource1, averageLength1)
"WMA" => ta.wma(averageSource1, averageLength1)
"HMA" => ta.hma(averageSource1, averageLength1)
"RMA" => ta.rma(averageSource1, averageLength1)
"SWMA" => ta.swma(averageSource1)
"ALMA" => ta.alma(averageSource1, averageLength1, 0.85, 6)
"VWMA" => ta.vwma(averageSource1, averageLength1)
"VWAP" => ta.vwap(averageSource1)
=> runtime.error("Moving average type '" + averageType1 +
"' not found!"), na
//----------------------------------
//FAST MA INPUTS
averageType2 = input.string(defval="SMA", group="Fast MA Inputs", title="Fast MA Type", options=["SMA","EMA","WMA","HMA","RMA","SWMA","ALMA","VWMA","VWAP"])
averageLength2 = input.int(defval=40, group="Fast MA Inputs", title="Fast MA Length", maxval=40)
averageSource2 = input(close, title="Fast MA Source", group="Fast MA Inputs")
//FAST MA TYPE
MovAvgType2(averageType2, averageSource2, averageLength2) =>
switch str.upper(averageType2)
"SMA" => ta.sma(averageSource2, averageLength2)
"EMA" => ta.ema(averageSource2, averageLength2)
"WMA" => ta.wma(averageSource2, averageLength2)
"HMA" => ta.hma(averageSource2, averageLength2)
"RMA" => ta.rma(averageSource2, averageLength2)
"SWMA" => ta.swma(averageSource2)
"ALMA" => ta.alma(averageSource2, averageLength2, 0.85, 6)
"VWMA" => ta.vwma(averageSource2, averageLength2)
"VWAP" => ta.vwap(averageSource2)
=> runtime.error("Moving average type '" + averageType2 +
"' not found!"), na
//---------------------------------------------------
//MA VALUES
FASTMA = MovAvgType2(averageType2, averageSource2, averageLength2)
SLOWMA = MovAvgType1(averageType1, averageSource1, averageLength1)
//BUY/SELL TRIGGERS
bullish_trend = FASTMA > SLOWMA and close > FASTMA
bearish_trend = FASTMA < SLOWMA and close < FASTMA
//MAs PLOT
plot1 = plot(SLOWMA,color=color.gray, linewidth=1, title="Slow-MA")
plot2 = plot(FASTMA,color=color.yellow, linewidth=1, title="Fast-MA")
fill(plot1, plot2, color=SLOWMA>FASTMA ? color.new(color.red, 70) : color.new(color.green, 70), title="EMA Clouds")
//-----------------------------------------------------
//PARABOLIC SAR USER INPUT
usepsarFilter = input.bool(title='Use Parabolic Sar?', defval=true, group = "Parabolic SAR Inputs")
psar_display = input.bool(title="Display Parabolic Sar?", defval=false, group="Parabolic SAR Inputs")
start = input.float(title="Start", defval=0.02, group="Parabolic SAR Inputs", step=0.001)
increment = input.float(title="Increment", defval=0.02, group="Parabolic SAR Inputs", step=0.001)
maximum = input.float(title="Maximum", defval=0.2, group="Parabolic SAR Inputs", step=0.001)
//SAR VALUES
psar = request.security(syminfo.tickerid, "D", ta.sar(start, increment, maximum))
//BULLISH & BEARISH PSAR CONDITIONS
bullish_psar = (usepsarFilter ? low > psar : bullish_trend )
bearsish_psar = (usepsarFilter ? high < psar : bearish_trend)
//SAR PLOT
psar_plot = if low > psar
color.rgb(198, 234, 199, 13)
else
color.rgb(219, 134, 134, 48)
plot(psar_display ? psar : na, color=psar_plot, title="Par SAR")
//-------------------------------------
//ENTRIES AND EXITS
long_entry = if inTradeWindow and bullish_trend and bullish_psar and LongPositions
true
long_exit = if inTradeWindow and bearish_trend
true
short_entry = if inTradeWindow and bearish_trend and bearsish_psar and ShortPositions
true
short_exit = if inTradeWindow and bullish_trend
true
//--------------------------------------
//RISK MANAGEMENT - SL, MONEY AT RISK, POSITION SIZING
atrPeriod = input.int(14, "ATR Length", group="Risk Management Inputs")
sl_atr_multiplier = input.float(title="Long Position - Stop Loss - ATR Multiplier", defval=2, group="Risk Management Inputs", step=0.5)
sl_atr_multiplier_short = input.float(title="Short Position - Stop Loss - ATR Multiplier", defval=2, group="Risk Management Inputs", step=0.5)
i_pctStop = input.float(2, title="% of Equity at Risk", step=.5, group="Risk Management Inputs")/100
//ATR VALUE
_atr = ta.atr(atrPeriod)
//CALCULATE LAST ENTRY PRICE
lastEntryPrice = strategy.opentrades.entry_price(strategy.opentrades - 1)
//STOP LOSS - LONG POSITIONS
var float sl = na
//CALCULTE SL WITH ATR AT ENTRY PRICE - LONG POSITION
if (strategy.position_size[1] != strategy.position_size)
sl := lastEntryPrice - (_atr * sl_atr_multiplier)
//IN TRADE - LONG POSITIONS
inTrade = strategy.position_size > 0
//PLOT SL - LONG POSITIONS
plot(inTrade ? sl : na, color=color.blue, style=plot.style_circles, title="Long Position - Stop Loss")
//CALCULATE ORDER SIZE - LONG POSITIONS
positionSize = (strategy.equity * i_pctStop) / (_atr * sl_atr_multiplier)
//============================================================================================
//STOP LOSS - SHORT POSITIONS
var float sl_short = na
//CALCULTE SL WITH ATR AT ENTRY PRICE - SHORT POSITIONS
if (strategy.position_size[1] != strategy.position_size)
sl_short := lastEntryPrice + (_atr * sl_atr_multiplier_short)
//IN TRADE SHORT POSITIONS
inTrade_short = strategy.position_size < 0
//PLOT SL - SHORT POSITIONS
plot(inTrade_short ? sl_short : na, color=color.red, style=plot.style_circles, title="Short Position - Stop Loss")
//CALCULATE ORDER - SHORT POSITIONS
positionSize_short = (strategy.equity * i_pctStop) / (_atr * sl_atr_multiplier_short)
//===============================================
//LONG STRATEGY
strategy.entry("Long", strategy.long, comment="Long", when = long_entry, qty=positionSize)
if (strategy.position_size > 0)
strategy.close("Long", when = (long_exit), comment="Close Long")
strategy.exit("Long", stop = sl, comment="Exit Long")
//SHORT STRATEGY
strategy.entry("Short", strategy.short, comment="Short", when = short_entry, qty=positionSize_short)
if (strategy.position_size < 0)
strategy.close("Short", when = (short_exit), comment="Close Short")
strategy.exit("Short", stop = sl_short, comment="Exit Short")
//ONE DIRECTION TRADING COMMAND (BELLOW ONLY ACTIVATE TO CORRECT BUGS)
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