この戦略は,より正確で信頼性の高い取引シグナルを生成するための2つの定量的な取引戦略を組み合わせます.最初の戦略は価格逆転,第2の戦略はボリューム分析に基づいています.組み合わせたシグナルは収益性を効果的に改善することができます.
戦略は2つの部分からなる.
STOインジケータを逆転信号に使用する. ストロが2日間上昇し,ストロのスローラインが50を下回るとロング. ストロが2日間低下し,ストロのスローラインが50を超えるとショート.
移動平均の平滑で方向を決定するために,期間中の価格・量関係を分析します.
両方の戦略が短信号を出すと 短信号になります
コンボは2つの戦略から誤った信号を大幅に削減することで信号品質を改善します
リスクは以下によって軽減できます.
戦略は以下によって改善できます.
STO パラメーターの最適化
最適な組み合わせのための微調整K,D値
音量断定の二次確認
MACD,BOLLなどの指標で
移動平均期間の最適化
より安定した信号のテスト
チャートパターンを追加する
コンボ信号に加えてパターンを入力
製品特異パラメータ試験
パラメータは異なる製品によって異なります.
この戦略は,信号の品質と精度を向上させるため,逆転とボリューム戦略を組み合わせます. しかし,パラメータ最適化,追加の技術指標などによりパフォーマンスを改善することができます. 裏テスト結果に基づいて継続的に調整し,ライブトレーディングで検証し,真に堅牢なコンボ戦略を得ることができます. これには膨大な時間と労力が必要ですが,報酬も重要です.
/*backtest
start: 2023-09-13 00:00:00
end: 2023-09-20 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 21/10/2020
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This is another version of FVE indicator that we have posted earlier
// in this forum.
// This version has an important enhancement to the previous one that`s
// especially useful with intraday minute charts.
// Due to the volatility had not been taken into account to avoid the extra
// complication in the formula, the previous formula has some drawbacks:
// The main drawback is that the constant cutoff coefficient will overestimate
// price changes in minute charts and underestimate corresponding changes in
// weekly or monthly charts.
// And now the indicator uses adaptive cutoff coefficient which will adjust to
// all time frames automatically.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
FVI(Samples,Perma,Cintra,Cinter) =>
pos = 0
xhl2 = hl2
xhlc3 = hlc3
xClose = close
xIntra = log(high) - log(low)
xInter = log(xhlc3) - log(xhlc3[1])
xStDevIntra = stdev(sma(xIntra, Samples) , Samples)
xStDevInter = stdev(sma(xInter, Samples) , Samples)
xVolume = volume
TP = xhlc3
TP1 = xhlc3[1]
Intra = xIntra
Vintra = xStDevIntra
Inter = xInter
Vinter = xStDevInter
CutOff = Cintra * Vintra + Cinter * Vinter
MF = xClose - xhl2 + TP - TP1
FveFactor = iff(MF > CutOff * xClose, 1,
iff(MF < -1 * CutOff * xClose, -1, 0))
xVolumePlusMinus = xVolume * FveFactor
Fvesum = sum(xVolumePlusMinus, Samples)
VolSum = sum(xVolume, Samples)
xFVE = (Fvesum / VolSum) * 100
xEMAFVE = ema(xFVE, Perma)
pos :=iff(xFVE > xEMAFVE, 1,
iff(xFVE < xEMAFVE, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Volatility Finite Volume Elements", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
Samples = input(22, minval=1)
Perma = input(40, minval=1)
Cintra = input(0.1)
Cinter = input(0.1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posFVI = FVI(Samples,Perma,Cintra,Cinter)
pos = iff(posReversal123 == 1 and posFVI == 1 , 1,
iff(posReversal123 == -1 and posFVI == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )