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Strategi Peningkatan Tren Kuantitatif Multilayer AO

Penulis:ChaoZhang, Tanggal: 2024-12-05 15:01:48
Tag:AOEMAWFWA

Gambaran umum

Strategi ini adalah sistem perdagangan multi-lapisan berdasarkan momentum dan mengikuti tren. Strategi ini menggabungkan Williams Alligator, Williams Fractals, Awesome Oscillator (AO), dan Exponential Moving Average (EMA) untuk mengidentifikasi peluang jangka panjang dengan probabilitas tinggi. Strategi ini menggunakan mekanisme penyebaran modal berlapis, secara bertahap meningkatkan posisi seiring meningkatnya tren, dengan kemampuan untuk memegang hingga 5 posisi secara bersamaan, masing-masing menggunakan 10% dari modal.

Prinsip Strategi

Strategi ini menggunakan beberapa mekanisme penyaringan untuk memastikan akurasi arah perdagangan. Pertama, menggunakan EMA untuk penilaian tren jangka panjang, mencari peluang jangka panjang hanya ketika harga di atas EMA. Kedua, menilai tren jangka pendek melalui kombinasi Buaya Williams dan Fraktal, mengkonfirmasi tren naik ketika pecah fraktal naik terjadi di atas garis gigi Buaya. Akhirnya, setelah konfirmasi tren, strategi mencari sinyal panjang indikator AO saucer untuk waktu masuk tertentu. Sistem hanya menggunakan 10% dari modal per perdagangan dan dapat membuka hingga 5 posisi panjang saat tren menguat. Ketika kombinasi fraktal dan Buaya menunjukkan pembalikan tren, semua posisi ditutup.

Keuntungan Strategi

Mekanisme penyaringan multi-lapisan secara efektif mengurangi sinyal palsu
Manajemen modal ilmiah dengan pembangunan posisi progresif
Karakteristik mengikuti tren memungkinkan untuk menangkap tren utama
Tidak ada stop loss tetap, menggunakan indikator teknis untuk penentuan akhir tren dinamis
Sistem memiliki konfigurasi yang baik untuk kondisi pasar yang berbeda
Backtesting menunjukkan faktor keuntungan yang baik dan pengembalian rata-rata

Risiko Strategi

Dapat menghasilkan sinyal palsu berturut-turut di berbagai pasar
Potensi pengurangan signifikan selama pembalikan tren
Beberapa kondisi penyaringan mungkin kehilangan beberapa peluang perdagangan
Dalam manajemen modal, pembentukan posisi berturut-turut dapat menimbulkan risiko selama periode volatilitas
Pilihan parameter EMA berdampak signifikan pada kinerja strategi

Untuk mengurangi risiko ini, disarankan untuk:

Mengoptimalkan parameter untuk lingkungan pasar yang berbeda
Pertimbangkan untuk menambahkan filter volatilitas
Menetapkan kondisi bangunan posisi yang lebih ketat
Menetapkan batas maksimum penarikan

Arah Optimasi Strategi

Memperkenalkan indikator ATR untuk penyaringan volatilitas
Tambahkan analisis volume untuk meningkatkan keandalan sinyal
Mengembangkan mekanisme adaptasi parameter dinamis
Mekanisme mengambil keuntungan yang sempurna untuk keluar tepat waktu ketika tren melemah
Tambahkan modul pengenalan keadaan pasar untuk set parameter yang berbeda di lingkungan pasar yang berbeda

Ringkasan

Ini adalah strategi trend-mengikuti yang dirancang dengan baik yang mencapai pengembalian yang baik sambil menjaga keamanan melalui kombinasi beberapa indikator teknis. Inovasi strategi terletak pada mekanisme konfirmasi tren multi-lapisan dan metode manajemen modal progresif. Meskipun ada area untuk optimasi, secara keseluruhan ini adalah sistem perdagangan yang layak dicoba.

/*backtest
start: 2019-12-23 08:00:00
end: 2024-12-04 00:00:00
period: 1d
basePeriod: 1d
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This Pine Script™ code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © Skyrexio

//@version=6
//_______ <licence>
strategy(title = "MultiLayer Awesome Oscillator Saucer Strategy [Skyrexio]", 
         shorttitle = "AO Saucer", 
         overlay = true, 
         format = format.inherit, 
         pyramiding = 5, 
         calc_on_order_fills = false, 
         calc_on_every_tick = false, 
         default_qty_type = strategy.percent_of_equity, 
         default_qty_value = 10, 
         initial_capital = 10000, 
         currency = currency.NONE,  
         commission_type = strategy.commission.percent, 
         commission_value = 0.1,
         slippage = 5,
         use_bar_magnifier = true)


//_______ <constant_declarations>
var const color skyrexGreen               = color.new(#2ECD99, 0)
var const color skyrexGray                = color.new(#F2F2F2, 0)
var const color skyrexWhite               = color.new(#FFFFFF, 0)


//________<variables declarations>
var int trend                             = 0
var float upFractalLevel                  = na
var float upFractalActivationLevel        = na
var float downFractalLevel                = na
var float downFractalActivationLevel      = na
var float saucerActivationLevel           = na
bool highCrossesUpfractalLevel            = ta.crossover(high, upFractalActivationLevel)
bool lowCrossesDownFractalLevel           = ta.crossunder(low, downFractalActivationLevel)
var int signalsQtyInRow                   = 0


//_______ <inputs>
// Trading bot settings
sourceUuid               = input.string(title = "sourceUuid:", defval = "yourBotSourceUuid", group = "🤖Trading Bot Settings🤖")
secretToken              = input.string(title = "secretToken:", defval = "yourBotSecretToken", group = "🤖Trading Bot Settings🤖")


// Trading period settings
lookBackPeriodStart      = input(title = "Trade Start Date/Time", defval = timestamp('2023-01-01T00:00:00'), group = "🕐Trading Period Settings🕐")
lookBackPeriodStop       = input(title = "Trade Stop Date/Time", defval = timestamp('2025-01-01T00:00:00'), group = "🕐Trading Period Settings🕐")


// Strategy settings
EMaLength                = input.int(100, minval = 10, step = 10, title = "EMA Length", group = "📈Strategy settings📈")


//_______ <function_declarations>
//@function       Used to calculate Simple moving average for Alligator
//@param src      Sourse for smma Calculations
//@param length   Number of bars to calculate smma
//@returns        The calculated smma value 
smma(src, length) =>
    var float smma = na
    sma_value = ta.sma(src, length)
    smma := na(smma) ? sma_value : (smma * (length - 1) + src) / length
    smma

//_______ <calculations>


//Upfractal calculation 
upFractalPrice = ta.pivothigh(2, 2)
upFractal = not na(upFractalPrice) 


//Downfractal calculation 
downFractalPrice = ta.pivotlow(2, 2)
downFractal = not na(downFractalPrice)


//Calculating Alligator's teeth 
teeth = smma(hl2, 8)[5]


//Calculating upfractal and downfractal levels
if upFractal 
    upFractalLevel := upFractalPrice
else
    upFractalLevel := upFractalLevel[1]


if downFractal
    downFractalLevel := downFractalPrice
else
    downFractalLevel := downFractalLevel[1]


//Calculating upfractal activation level, downfractal activation level to approximate the trend and this current trend 
if upFractalLevel > teeth
    upFractalActivationLevel := upFractalLevel

if highCrossesUpfractalLevel
    trend := 1
    upFractalActivationLevel := na 
    downFractalActivationLevel := downFractalLevel


if downFractalLevel < teeth
    downFractalActivationLevel := downFractalLevel

if lowCrossesDownFractalLevel
    trend := -1
    downFractalActivationLevel := na 
    upFractalActivationLevel := upFractalLevel


if trend == 1
    upFractalActivationLevel := na

if trend == -1
    downFractalActivationLevel := na


//Calculating filter EMA 
filterEMA = ta.ema(close, EMaLength)


//Сalculating AO saucer signal
ao = ta.sma(hl2,5) - ta.sma(hl2,34)
diff = ao - ao[1]
saucerSignal = ao > ao[1] and ao[1] < ao[2] and ao > 0 and ao[1] > 0 and ao[2] > 0 and trend == 1 and close > filterEMA


//Calculating sauser activation level
if saucerSignal
    saucerActivationLevel := high    
else 
    saucerActivationLevel := saucerActivationLevel[1]


if not na(saucerActivationLevel[1]) and high < saucerActivationLevel[1] and diff > 0
    saucerActivationLevel := high
    saucerSignal := true
    

if (high > saucerActivationLevel[1] and not na(saucerActivationLevel)) or diff < 0
    saucerActivationLevel := na 


//Calculating number of valid saucer signal in current trading cycle 
if saucerSignal and not saucerSignal[1]
    signalsQtyInRow := signalsQtyInRow + 1


if not na(saucerActivationLevel[1]) and diff < 0 and na(saucerActivationLevel) and not (strategy.opentrades[1] <= strategy.opentrades - 1)
    signalsQtyInRow := signalsQtyInRow - 1


if trend == -1 and trend[1] == 1 
    signalsQtyInRow := 0


//_______ <strategy_calls>
//Defining trade close condition
closeCondition =  trend[1] == 1 and trend == -1


//Cancel stop buy order if current Awesome oscillator column lower, than prevoius 
if diff < 0 
    strategy.cancel_all()

//Strategy entry
if (signalsQtyInRow == 1 and not na(saucerActivationLevel)) 
    strategy.entry(id = "entry1", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick,  alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry1",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')

if (signalsQtyInRow == 2 and not na(saucerActivationLevel)) 
    strategy.entry(id = "entry2", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick,  alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry2",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')

if (signalsQtyInRow == 3 and not na(saucerActivationLevel)) 
    strategy.entry(id = "entry3", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick,  alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry3",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')

if (signalsQtyInRow == 4 and not na(saucerActivationLevel)) 
    strategy.entry(id = "entry4", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick,  alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry4",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')

if (signalsQtyInRow == 5 and not na(saucerActivationLevel)) 
    strategy.entry(id = "entry5", direction = strategy.long, stop = saucerActivationLevel + syminfo.mintick,  alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "entry5",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')

//Strategy exit 
if (closeCondition)
    strategy.close_all(alert_message = '{\n"base": "' + syminfo.basecurrency + '",\n"quote": "' + syminfo.currency + '",\n"position": "close",\n"price": "' + str.tostring(close) + '",\n"sourceUuid": "' + sourceUuid + '",\n"secretToken": "' + secretToken + '",\n"timestamp": "' + str.tostring(timenow) + '"\n}')


//_______ <visuals>
//Plotting shapes for adding to current long trades
gradPercent = if strategy.opentrades == 2
    90
else if strategy.opentrades == 3
    80
else if strategy.opentrades == 4
    70
else if strategy.opentrades == 5
    60

pricePlot = plot(close, title="Price", color=color.new(color.blue, 100))
teethPlot = plot(strategy.opentrades > 1 ? teeth : na, title="Teeth", color= skyrexGreen, style=plot.style_linebr, linewidth = 2)
fill(pricePlot, teethPlot, color = color.new(skyrexGreen, gradPercent))
if strategy.opentrades != 1 and  strategy.opentrades[1] == strategy.opentrades - 1
    label.new(bar_index, teeth, style = label.style_label_up, color = color.lime, size = size.tiny, text="Buy More", textcolor = color.black, text_formatting = text.format_bold)


//_______ <alerts>

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