この記事では,暗号通貨のために設計された多指標量的な取引戦略を詳細に説明します. 入力信号とリスク管理のために移動平均値,振動器,チャネルなどを使用します.
I. 戦略の論理
主な指標カテゴリーは:
ROCオシレータは,過剰購入/過剰販売のレベルを測定するものです.
ドンチアン・チャネル 動的サポートと抵抗
熊の力 底の特徴を特定する
傾向判断のための力のバランス
トレンドフィルタリングの移動平均値
取引は複数の指標が一致する場合にのみ行われます.また,利益目標とストップロスは,単一の取引リスクを制御するために設定されています.
戦略の利点
最も大きな利点は,複数の次元から判断する指標の互いを補完することです.
もう一つの利点は 直接的で合理的なストップ・ロストと 慎重なマネー管理のための利益を取ることです
最後に,広いパラメータ空間は暗号通貨の微調整を可能にします.
III.潜在的なリスク
しかし,いくつかのリスクがあります.
まず,複数の指標を組み合わせると最適化が難しくなります
2つ目は,指標間の差異は 明確な論理的ルールが必要です
最後に,特定の製品に対するパラメータの最適化が必要です.
IV.要約
この記事では,暗号通貨に合わせた多指標量的な戦略について説明しています.リスクとマネーマネジメントのための指標を巧みに組み合わせています.パラメータ最適化によって安定した利益を達成できますが,最適化困難と指標使用を管理する必要があります.
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
period: 4m
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/
// © mbagheri746
//@version=4
strategy("Bagheri IG Ether", overlay=true, margin_long=100, margin_short=100)
TP = input(3000, minval = 1 , title ="Take Profit")
SL = input(3443, minval = 1 , title ="Stop Loss")
//_________________ RoC Definition _________________
rocLength = input(title="ROC Length", type=input.integer, minval=1, defval=185)
smoothingLength = input(title="Smoothing Length", type=input.integer, minval=1, defval=49)
src = input(title="Source", type=input.source, defval=close)
ma = ema(src, smoothingLength)
mom = change(ma, rocLength)
sroc = nz(ma[rocLength]) == 0
? 100
: mom == 0
? 0
: 100 * mom / ma[rocLength]
//srocColor = sroc >= 0 ? #0ebb23 : color.red
//plot(sroc, title="SROC", linewidth=2, color=srocColor, transp=0)
//hline(0, title="Zero Level", linestyle=hline.style_dotted, color=#989898)
//_________________ Donchian Channel _________________
length1 = input(43, minval=1, title="Upper Channel")
length2 = input(43, minval=1, title="Lower Channel")
offset_bar = input(90,minval=0, title ="Offset Bars")
upper = highest(length1)
lower = lowest(length2)
basis = avg(upper, lower)
DC_UP_Band = upper[offset_bar]
DC_LW_Band = lower[offset_bar]
l = plot(DC_LW_Band, style=plot.style_line, linewidth=2, color=color.red)
u = plot(DC_UP_Band, style=plot.style_line, linewidth=2, color=color.aqua)
fill(l,u,color = color.new(color.aqua,transp = 90))
//_________________ Bears Power _________________
wmaBP_period = input(61,minval=1,title="BearsP WMA Period")
line_wma = ema(close, wmaBP_period)
BP = low - line_wma
//_________________ Balance of Power _________________
ES_BoP=input(15, title="BoP Exponential Smoothing")
BOP=(close - open) / (high - low)
SBOP = rma(BOP, ES_BoP)
//_________________ Alligator _________________
//_________________ CCI _________________
//_________________ Moving Average _________________
sma_period = input(74, minval = 1 , title = "SMA Period")
sma_shift = input(37, minval = 1 , title = "SMA Shift")
sma_primary = sma(close,sma_period)
SMA_sh = sma_primary[sma_shift]
plot(SMA_sh, style=plot.style_line, linewidth=2, color=color.yellow)
//_________________ Long Entry Conditions _________________//
MA_Lcnd = SMA_sh > low and SMA_sh < high
ROC_Lcnd = sroc < 0
DC_Lcnd = open < DC_LW_Band
BP_Lcnd = BP[1] < BP[0] and BP[1] < BP[2]
BOP_Lcnd = SBOP[1] < SBOP[0]
//_________________ Short Entry Conditions _________________//
MA_Scnd = SMA_sh > low and SMA_sh < high
ROC_Scnd = sroc > 0
DC_Scnd = open > DC_UP_Band
BP_Scnd = BP[1] > BP[0] and BP[1] > BP[2]
BOP_Scnd = SBOP[1] > SBOP[0]
//_________________ OPEN POSITION __________________//
strategy.entry(id = "BUY", long = true , when = MA_Lcnd and ROC_Lcnd and DC_Lcnd and BP_Lcnd and BOP_Lcnd)
strategy.entry(id = "SELL", long = false , when = MA_Scnd and ROC_Scnd and DC_Scnd and BP_Scnd and BOP_Scnd)
//_________________ CLOSE POSITION __________________//
strategy.exit(id = "CLOSE BUY", from_entry = "BUY", profit = TP , loss = SL)
strategy.exit(id = "CLOSE SELL", from_entry = "SELL" , profit = TP , loss = SL)
//_________________ TP and SL Plot __________________//
currentPL= strategy.openprofit
pos_price = strategy.position_avg_price
open_pos = strategy.position_size
TP_line = (strategy.position_size > 0) ? (pos_price + TP/100) : strategy.position_size < 0 ? (pos_price - TP/100) : 0.0
SL_line = (strategy.position_size > 0) ? (pos_price - SL/100) : strategy.position_size < 0 ? (pos_price + SL/100) : 0.0
// hline(TP_line, title = "Take Profit", color = color.green , linestyle = hline.style_dotted, editable = false)
// hline(SL_line, title = "Stop Loss", color = color.red , linestyle = hline.style_dotted, editable = false)
Tline = plot(TP_line != 0.0 ? TP_line : na , title="Take Profit", color=color.green, trackprice = true, show_last = 1)
Sline = plot(SL_line != 0.0 ? SL_line : na, title="Stop Loss", color=color.red, trackprice = true, show_last = 1)
Pline = plot(pos_price != 0.0 ? pos_price : na, title="Stop Loss", color=color.gray, trackprice = true, show_last = 1)
fill(Tline , Pline, color = color.new(color.green,transp = 90))
fill(Sline , Pline, color = color.new(color.red,transp = 90))
//_________________ Label __________________//
inMyPrice = input(title="My Price", type=input.float, defval=0)
inLabelStyle = input(title="Label Style", options=["Upper Right", "Lower Right"], defval="Lower Right")
posColor = color.new(color.green, 25)
negColor = color.new(color.red, 25)
dftColor = color.new(color.aqua, 25)
posPnL = (strategy.position_size != 0) ? (close * 100 / strategy.position_avg_price - 100) : 0.0
posDir = (strategy.position_size > 0) ? "long" : strategy.position_size < 0 ? "short" : "flat"
posCol = (posPnL > 0) ? posColor : (posPnL < 0) ? negColor : dftColor
myPnL = (inMyPrice != 0) ? (close * 100 / inMyPrice - 100) : 0.0
var label lb = na
label.delete(lb)
lb := label.new(bar_index, close,
color=posCol,
style=inLabelStyle=="Lower Right"?label.style_label_upper_left:label.style_label_lower_left,
text=
"╔═══════╗" +"\n" +
"Pos: " +posDir +"\n" +
"Pos Price: "+tostring(strategy.position_avg_price) +"\n" +
"Pos PnL: " +tostring(posPnL, "0.00") + "%" +"\n" +
"My Price: " +tostring(inMyPrice) +"\n" +
"My PnL: " +tostring(myPnL, "0.00") + "%" +"\n" +
"╚═══════╝")