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Strategi Posisi Sepanjang Malam Pasar dengan Filter EMA

Penulis:ChaoZhang, Tanggal: 2024-11-12 10:49:00
Tag:EMAMA

Strategi ini adalah strategi posisi semalam lintas pasar berdasarkan indikator teknis EMA, yang dirancang untuk menangkap peluang perdagangan sebelum pasar ditutup dan setelah pasar dibuka.

Tinjauan Strategi

Strategi ini terutama memperoleh pengembalian dengan masuk pada waktu tertentu sebelum penutupan pasar dan keluar pada waktu tertentu setelah pasar terbuka pada hari berikutnya. Dikombinasikan dengan indikator EMA untuk konfirmasi tren, strategi ini mencari peluang perdagangan di beberapa pasar global (AS, Asia, Eropa). Strategi ini juga mengintegrasikan fungsi perdagangan otomatis untuk operasi tanpa pengawasan.

Prinsip Strategi

Kontrol waktu: Masuk pada waktu yang ditetapkan sebelum penutupan dan keluar pada waktu yang ditetapkan setelah dibuka berdasarkan waktu perdagangan pasar yang berbeda
EMA Filtering: Gunakan indikator EMA opsional untuk memvalidasi sinyal masuk
Pemilihan Pasar: Dukungan penyesuaian waktu perdagangan untuk pasar AS, Asia, dan Eropa
Perlindungan akhir pekan: Memaksa penutupan posisi sebelum penutupan hari Jumat untuk menghindari risiko kepemilikan akhir pekan

Keuntungan Strategi

Adaptabilitas multi-pasar: Penyesuaian waktu perdagangan yang fleksibel sesuai dengan karakteristik pasar yang berbeda
Pengendalian Risiko Komprehensif: Termasuk mekanisme perlindungan penutupan posisi akhir pekan
Tingkat Otomasi Tinggi: Mendukung integrasi antarmuka perdagangan otomatis
Parameter Fleksibel: Waktu perdagangan yang dapat disesuaikan dan parameter indikator teknis
Pertimbangan Biaya Perdagangan: Termasuk pengaturan komisi dan slippage

Risiko Strategi

Risiko Volatilitas Pasar: Posisi overnight mungkin menghadapi risiko gap
Dependensi waktu: Efektivitas strategi dipengaruhi oleh pemilihan periode waktu pasar
Keterbatasan Indikator Teknis: Indikator EMA tunggal mungkin menunjukkan lag Saran: Tetapkan batas stop-loss, tambahkan lebih banyak indikator teknis untuk validasi

Arah Optimasi Strategi

Tambahkan kombinasi indikator teknis
Memperkenalkan mekanisme penyaringan volatilitas
Optimalkan pilihan waktu masuk dan keluar
Tambahkan fungsionalitas penyesuaian parameter adaptif
Meningkatkan modul kontrol risiko

Ringkasan

Strategi ini mencapai sistem perdagangan overnight yang dapat diandalkan melalui kontrol waktu yang tepat dan penyaringan indikator teknis. Desain strategi secara komprehensif mempertimbangkan persyaratan praktis, termasuk adaptasi multi-pasar, kontrol risiko, dan elemen perdagangan otomatis, yang menunjukkan nilai praktis yang kuat. Melalui optimalisasi dan perbaikan terus-menerus, strategi ini memiliki potensi untuk mencapai pengembalian yang stabil dalam perdagangan langsung.

/*backtest
start: 2019-12-23 08:00:00
end: 2024-11-11 00:00:00
period: 1d
basePeriod: 1d
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/
// © PresentTrading

// This strategy, titled "Overnight Market Entry Strategy with EMA Filter," is designed for entering long positions shortly before 
// the market closes and exiting shortly after the market opens. The strategy allows for selecting between different global market sessions (US, Asia, Europe) and 
// uses an optional EMA (Exponential Moving Average) filter to validate entry signals. The core logic is to enter trades based on conditions set for a specified period before 
// the market close and to exit trades either after a specified period following the market open or just before the weekend close. 
// Additionally, 3commas bot integration is included to automate the execution of trades. The strategy dynamically adjusts to market open and close times, ensuring trades are properly timed based on the selected market. 
// It also includes a force-close mechanism on Fridays to prevent holding positions over the weekend.

//@version=5
strategy("Overnight Positioning with EMA Confirmation - Strategy [presentTrading]", overlay=true, precision=3, commission_value=0.02, commission_type=strategy.commission.percent, slippage=1, currency=currency.USD, default_qty_type=strategy.percent_of_equity, default_qty_value=10, initial_capital=10000)

// Input parameters
entryMinutesBeforeClose = input.int(20, title="Minutes Before Close to Enter", minval=1)
exitMinutesAfterOpen = input.int(20, title="Minutes After Open to Exit", minval=1)
emaLength = input.int(100, title="EMA Length", minval=1)
emaTimeframe = input.timeframe("240", title="EMA Timeframe")
useEMA = input.bool(true, title="Use EMA Filter")

// Market Selection Input
marketSelection = input.string("US", title="Select Market", options=["US", "Asia", "Europe"])

// Timezone for each market
marketTimezone = marketSelection == "US" ? "America/New_York" :
                 marketSelection == "Asia" ? "Asia/Tokyo" :
                 "Europe/London"  // Default to London for Europe

// Market Open and Close Times for each market
var int marketOpenHour = na
var int marketOpenMinute = na
var int marketCloseHour = na
var int marketCloseMinute = na

if marketSelection == "US"
    marketOpenHour := 9
    marketOpenMinute := 30
    marketCloseHour := 16
    marketCloseMinute := 0
else if marketSelection == "Asia"
    marketOpenHour := 9
    marketOpenMinute := 0
    marketCloseHour := 15
    marketCloseMinute := 0
else if marketSelection == "Europe"
    marketOpenHour := 8
    marketOpenMinute := 0
    marketCloseHour := 16
    marketCloseMinute := 30

// 3commas Bot Settings
emailToken = input.string('', title='Email Token', group='3commas Bot Settings')
long_bot_id = input.string('', title='Long Bot ID', group='3commas Bot Settings')
usePairAdjust = input.bool(false, title='Use this pair in PERP', group='3commas Bot Settings')
selectedExchange = input.string("Binance", title="Select Exchange", group='3commas Bot Settings', options=["Binance", "OKX", "Gate.io", "Bitget"])

// Determine the trading pair based on settings
var pairString = ""
if usePairAdjust
    pairString := str.tostring(syminfo.currency) + "_" + str.tostring(syminfo.basecurrency) + (selectedExchange == "OKX" ? "-SWAP" : "") 
else
    pairString := str.tostring(syminfo.currency) + "_" + str.tostring(syminfo.basecurrency)

// Function to check if it's a trading day (excluding weekends)
isTradingDay(t) =>
    dayOfWeek = dayofweek(t, marketTimezone)
    dayOfWeek >= dayofweek.monday and dayOfWeek <= dayofweek.friday

// Function to get the timestamp for market open and close times
getMarketTimes(t) =>
    y = year(t, marketTimezone)
    m = month(t, marketTimezone)
    d = dayofmonth(t, marketTimezone)
    marketOpenTime = timestamp(marketTimezone, y, m, d, marketOpenHour, marketOpenMinute, 0)
    marketCloseTime = timestamp(marketTimezone, y, m, d, marketCloseHour, marketCloseMinute, 0)
    [marketOpenTime, marketCloseTime]

// Get the current time in the market's timezone
currentTime = time

// Calculate market times
[marketOpenTime, marketCloseTime] = getMarketTimes(currentTime)

// Calculate entry and exit times
entryTime = marketCloseTime - entryMinutesBeforeClose * 60 * 1000
exitTime = marketOpenTime + exitMinutesAfterOpen * 60 * 1000

// Get EMA data from the specified timeframe
emaValue = request.security(syminfo.tickerid, emaTimeframe, ta.ema(close, emaLength))

// Entry condition with optional EMA filter
longCondition = close > emaValue or not useEMA

// Functions to create JSON strings
getEnterJson() =>
    '{"message_type": "bot", "bot_id": "' + long_bot_id + '", "email_token": "' + emailToken + '", "delay_seconds": 0, "pair": "' + pairString + '"}'

getExitJson() =>
    '{"action": "close_at_market_price", "message_type": "bot", "bot_id": "' + long_bot_id + '", "email_token": "' + emailToken + '", "delay_seconds": 0, "pair": "' + pairString + '"}'

// Entry Signal
entrySignal = isTradingDay(currentTime) and currentTime >= entryTime and currentTime < marketCloseTime and dayofweek(currentTime, marketTimezone) != dayofweek.friday

// Exit Signal
exitSignal = isTradingDay(currentTime) and currentTime >= exitTime and currentTime < marketCloseTime

// Entry Logic
if strategy.position_size == 0 and longCondition
    strategy.entry("Long", strategy.long, alert_message=getEnterJson())

// Exit Logic
if  strategy.position_size > 0
    strategy.close("Long", alert_message=getExitJson())

// Force Close Logic on Friday before market close
isFriday = dayofweek(currentTime, marketTimezone) == dayofweek.friday
if  strategy.position_size > 0  // Close 5 minutes before market close on Friday
    strategy.close("Long", comment="Force close on Friday before market close", alert_message=getExitJson())

// Plotting entry and exit points
plotshape( strategy.position_size == 0 and longCondition, title="Entry", text="Entry", style=shape.triangleup, location=location.belowbar, color=color.green, size=size.small)
plotshape( strategy.position_size > 0, title="Exit", text="Exit", style=shape.triangledown, location=location.abovebar, color=color.red, size=size.small)

// Plot EMA for reference
plot(useEMA ? emaValue : na, title="EMA", color=color.blue)

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