この戦略は,MACDとRSI指標を組み合わせて,不透明なトレンド状況で過剰な収益を得るために,長期と短期取引を同時に実施します.
リスク対策
この戦略は,MACDとRSIの組み合わせで二方向取引を実装する.利益をロックするためにトレーリングストップロスを使用することで,トレンドではない市場で過剰なリターンを生むことができます.戦略は,より一貫した過剰なリターンを得るために,パラメータ,ストップロスの戦略などでさらに最適化することができます.
/*backtest
start: 2023-09-08 00:00:00
end: 2023-10-08 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// Revision: 290
// Author: @Hugo_Moriceau
//study("Moriceau_Crypto_strategies_Long_short_indicator_thesis",overlay=true)
// Pyramide 10 order size 100, every tick
strategy("Moriceau_Crypto_strategies_Long_short_indicator",overlay=true)
// === GENERAL INPUTS ===
fast = 12, slow = 26
fastMA = ema(close, fast)
slowMA = ema(close, slow)
macd = fastMA - slowMA
signal = sma(macd, 9)
rsi = rsi(close,14)
dataB = macd < -0.1 and rsi<27 and fastMA < slowMA
// data1 = macd > 0.125 and rsi>81 and fastMA> slowMA
dataS = macd > 0.125 and rsi > 81 and fastMA > slowMA
tradeInvert = input(defval = false, title = "Invert Trade Direction?")
// === LOGIC ===
// is fast ma above slow ma?
Achat = macd < -0.1 and rsi < 27 and fastMA < slowMA ? true : false
vente = macd > 0.125 and rsi > 81 and fastMA > slowMA ? true : false
// are we inverting our trade direction?
tradeDirection = vente ? Achat ? false : true : Achat ? true : false
// === Plot Setting ===
plot(fastMA,color=red)
plot(slowMA,color=blue)
barcolor(color=iff(fastMA > slowMA, yellow, na))
barcolor(color=iff(fastMA < slowMA, black, na))
//barcolor(color=iff(macd > 0.12*close , fuchsia, na))
//barcolor(color=iff(macd < -0.1*close , lime, na))
plotchar(dataB, char='B',color=black,size = size.auto,location = location.belowbar,transp= 0)
plotchar(dataS, char='S',color=black,size = size.auto,location = location.abovebar,transp= 0)
//fast = plot(maFast, title = "FastMA", color = yellow, linewidth = 2, style = line, transp = 50)
//slow = plot(maSlow, title = "SlowMA", color = black, linewidth = 2, style = line, transp = 50)
// === BACKTEST RANGE ===
FromMonth = input(defval = 05, title = "From Month", minval = 1)
FromDay = input(defval = 23, title = "From Day", minval = 1)
FromYear = input(defval = 2021, title = "From Year", minval = 2017)
ToMonth = input(defval = 5, title = "To Month", minval = 1)
ToDay = input(defval = 25, title = "To Day", minval = 1)
ToYear = input(defval = 2021, title = "To Year", minval = 2017)
// === STRATEGY RELATED INPUTS ===+
// the risk management inputs
inpTakeProfit = input(defval = 2500, title = "Take Profit", minval = 28)
inpStopLoss = input(defval = 600, title = "Stop Loss", minval = 15)
inpTrailStop = input(defval = 300, title = "Trailing Stop Loss", minval = 5)
inpTrailOffset = input(defval = 50, title = "Trailing Stop Loss Offset", minval = 1)
// === RISK MANAGEMENT VALUE PREP ===
// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na
useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() => not tradeDirection[1] and tradeDirection
exitLong() => tradeDirection[1] and not tradeDirection
strategy.entry(id = "Achat", long = true, when = enterLong()) // use function or simple condition to decide when to get in
strategy.close(id = "TP 50% Sell", when = exitLong()) // ...and when to get out
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() => tradeDirection[1] and not tradeDirection
exitShort() => not tradeDirection[1] and tradeDirection
strategy.entry(id = "Vente", long = false, when = enterShort())
strategy.close(id = "Vente", when = exitShort())
// === STRATEGY RISK MANAGEMENT EXECUTION ===
// finally, make use of all the earlier values we got prepped
strategy.exit("Vente", from_entry = "Vente", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Short", from_entry = "Achat", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)