多重移動平均ダイナミックトレンド戦略 (Multiple Moving Average Dynamic Trend Strategy) は,複数の移動平均指標を用いてトレンドの方向性を判断し,ストロップラインの位置を動的に調整する量化取引戦略である.この戦略は,異なるタイプの移動平均を組み合わせることで,市場トレンドをより全面的かつ正確に判断し,高い勝率取引を実現する.
この策略は,主にカスタム関数によって8種類の異なる移動平均を実現します.これには,単純移動平均 (SMA),指数移動平均 (EMA),加重移動平均 (WMA),三角移動平均 (TMA),変数移動平均 (VIDYA),ワイルド移動平均 (WWMA),ゼロ遅れの指数移動平均 (ZLEMA) および実力強度指標 (TSF) が含まれています.この策略は,ユーザーが8種類の移動平均のうちの1つを判断の主な指標として選択することを可能にします.
策略は,まず選択されたタイプの移動平均を計算し,次に設定されたパーセントパラメータに基づいて動的に上線と下線の位置を計算する.価格が上線を突破すると買入シグナル,下線を突破すると売出シグナルである.さらに,策略は,移動平均と価格の交差を補助判断シグナルとして追跡する.
計算過程で,戦略は同時に市場のトレンドの方向を判断し,その結果,動的に上下線の位置を調整する.具体的には,上下線が上昇傾向であると判断されるとき,下線は価格上昇とともに上下線を調整し,ストップ・ローズ線が価格上昇を最適に追跡できるようにする.下下線が下下線と判断されるとき,上下線は価格低下とともに下下下線を調整し,ストップ・ローズを低下させ,損失を減らす.
対応方法:
この戦略は,さらに多くの改善の余地があります.
多重移動平均線動向トレンド戦略は,複数の移動平均線指標を組み合わせて市場トレンドを判断し,価格突破シグナルに補足して取引指令を発行し,同時にストップラインの位置を動的に調整し,効率的な利益を実現する.この戦略は,トレンドフォロー,突破取引,動向ストップローの3大主流の量化戦略の考え方を,安定性,収益性の強さを成功的に統合している.パラメータ最適化,パターン認識などの技術の導入により,戦略効果はさらに向上する余地があり,研究と応用の価値のある高度量化戦略である.
/*backtest
start: 2022-11-16 00:00:00
end: 2023-11-22 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic
//created by: @Anil_Ozeksi
//developer: ANIL ÖZEKŞİ
//author: @kivancozbilgic
strategy("Optimized Trend Tracker","OTTEx", overlay=true)
src = input(close, title="Source")
length=input(2, "OTT Period", minval=1)
percent=input(1.4, "OTT Percent", type=input.float, step=0.1, minval=0)
showsupport = input(title="Show Support Line?", type=input.bool, defval=true)
showsignalsk = input(title="Show Support Line Crossing Signals?", type=input.bool, defval=true)
showsignalsc = input(title="Show Price/OTT Crossing Signals?", type=input.bool, defval=false)
highlight = input(title="Show OTT Color Changes?", type=input.bool, defval=false)
showsignalsr = input(title="Show OTT Color Change Signals?", type=input.bool, defval=false)
highlighting = input(title="Highlighter On/Off ?", type=input.bool, defval=true)
mav = input(title="Moving Average Type", defval="VAR", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"])
Var_Func(src,length)=>
valpha=2/(length+1)
vud1=src>src[1] ? src-src[1] : 0
vdd1=src<src[1] ? src[1]-src : 0
vUD=sum(vud1,9)
vDD=sum(vdd1,9)
vCMO=nz((vUD-vDD)/(vUD+vDD))
VAR=0.0
VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
VAR=Var_Func(src,length)
Wwma_Func(src,length)=>
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
WWMA=Wwma_Func(src,length)
Zlema_Func(src,length)=>
zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2
zxEMAData = (src + (src - src[zxLag]))
ZLEMA = ema(zxEMAData, length)
ZLEMA=Zlema_Func(src,length)
Tsf_Func(src,length)=>
lrc = linreg(src, length, 0)
lrc1 = linreg(src,length,1)
lrs = (lrc-lrc1)
TSF = linreg(src, length, 0)+lrs
TSF=Tsf_Func(src,length)
getMA(src, length) =>
ma = 0.0
if mav == "SMA"
ma := sma(src, length)
ma
if mav == "EMA"
ma := ema(src, length)
ma
if mav == "WMA"
ma := wma(src, length)
ma
if mav == "TMA"
ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
ma
if mav == "VAR"
ma := VAR
ma
if mav == "WWMA"
ma := WWMA
ma
if mav == "ZLEMA"
ma := ZLEMA
ma
if mav == "TSF"
ma := TSF
ma
ma
MAvg=getMA(src, length)
fark=MAvg*percent*0.01
longStop = MAvg - fark
longStopPrev = nz(longStop[1], longStop)
longStop := MAvg > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = MAvg + fark
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := MAvg < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and MAvg > shortStopPrev ? 1 : dir == 1 and MAvg < longStopPrev ? -1 : dir
MT = dir==1 ? longStop: shortStop
OTT=MAvg>MT ? MT*(200+percent)/200 : MT*(200-percent)/200
plot(showsupport ? MAvg : na, color=#0585E1, linewidth=2, title="Support Line")
OTTC = highlight ? OTT[2] > OTT[3] ? color.green : color.red : #B800D9
pALL=plot(nz(OTT[2]), color=OTTC, linewidth=2, title="OTT", transp=0)
alertcondition(cross(OTT[2], OTT[3]), title="Color ALARM", message="OTT Has Changed Color!")
alertcondition(crossover(OTT[2], OTT[3]), title="GREEN ALERT", message="OTT GREEN BUY SIGNAL!")
alertcondition(crossunder(OTT[2], OTT[3]), title="RED ALERT", message="OTT RED SELL SIGNAL!")
alertcondition(cross(MAvg, OTT[2]), title="Cross Alert", message="OTT - Support Line Crossing!")
alertcondition(crossover(MAvg, OTT[2]), title="Crossover Alarm", message="Support Line BUY SIGNAL!")
alertcondition(crossunder(MAvg, OTT[2]), title="Crossunder Alarm", message="Support Line SELL SIGNAL!")
alertcondition(cross(src, OTT[2]), title="Price Cross Alert", message="OTT - Price Crossing!")
alertcondition(crossover(src, OTT[2]), title="Price Crossover Alarm", message="PRICE OVER OTT - BUY SIGNAL!")
alertcondition(crossunder(src, OTT[2]), title="Price Crossunder Alarm", message="PRICE UNDER OTT - SELL SIGNAL!")
buySignalk = crossover(MAvg, OTT[2])
plotshape(buySignalk and showsignalsk ? OTT*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
sellSignallk = crossunder(MAvg, OTT[2])
plotshape(sellSignallk and showsignalsk ? OTT*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
buySignalc = crossover(src, OTT[2])
plotshape(buySignalc and showsignalsc ? OTT*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
sellSignallc = crossunder(src, OTT[2])
plotshape(sellSignallc and showsignalsc ? OTT*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0,display=display.none)
longFillColor = highlighting ? (MAvg>OTT ? color.green : na) : na
shortFillColor = highlighting ? (MAvg<OTT ? color.red : na) : na
fill(mPlot, pALL, title="UpTrend Highligter", color=longFillColor)
fill(mPlot, pALL, title="DownTrend Highligter", color=shortFillColor)
buySignalr = crossover(OTT[2], OTT[3])
plotshape(buySignalr and showsignalsr ? OTT*0.995 : na, title="Buy", text="Buy", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
sellSignallr = crossunder(OTT[2], OTT[3])
plotshape(sellSignallr and showsignalsr ? OTT*1.005 : na, title="Sell", text="Sell", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
showscr = input(true, title="Show Screener Label")
posX_scr = input(20, title="Pos. Label x-axis")
posY_scr = input(1, title="Pos. Size Label y-axis")
colinput = input(title="Label Color", defval="Blue", options=["White", "Black", "Red", "Green", "Yellow", "Blue"])
col = color.gray
if colinput=="White"
col:=color.white
if colinput=="Black"
col:=color.black
if colinput=="Red"
col:=color.red
if colinput=="Green"
col:=color.green
if colinput=="Yellow"
col:=color.yellow
if colinput=="Blue"
col:=color.blue
dummy0 = input(true, title = "=Backtest Inputs=")
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromYear = input(defval = 2005, title = "From Year", minval = 2005)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToYear = input(defval = 9999, title = "To Year", minval = 2006)
Start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
Finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
Timerange() => true
if buySignalk
strategy.entry("Long", strategy.long,when=Timerange())
if sellSignallk
strategy.entry("Short", strategy.short,when=Timerange())
// t1=input('EURUSD', title='Symbol 01',type=input.symbol)
// t2=input('XAUUSD', title='Symbol 02',type=input.symbol)
// t3=input('AMZN', title='Symbol 03',type=input.symbol)
// t4=input('TSLA', title='Symbol 04',type=input.symbol)
// t5=input('BTCUSDT', title='Symbol 05',type=input.symbol)
// t6=input('ETHBTC', title='Symbol 06',type=input.symbol)
// t7=input('XBTUSD', title='Symbol 07',type=input.symbol)
// t8=input('XRPBTC', title='Symbol 08',type=input.symbol)
// t9=input('THYAO', title='Symbol 09',type=input.symbol)
// t10=input('GARAN', title='Symbol 10',type=input.symbol)
// t11=input('', title='Symbol 11',type=input.symbol)
// t12=input('', title='Symbol 12',type=input.symbol)
// t13=input('', title='Symbol 13',type=input.symbol)
// t14=input('', title='Symbol 14',type=input.symbol)
// t15=input('', title='Symbol 15',type=input.symbol)
// t16=input('', title='Symbol 16',type=input.symbol)
// t17=input('', title='Symbol 17',type=input.symbol)
// t18=input('', title='Symbol 18',type=input.symbol)
// t19=input('', title='Symbol 19',type=input.symbol)
// t20=input('', title='Symbol 20',type=input.symbol)
// OTTs(percent, length) =>
// Up=MAvg-MAvg*percent*0.01
// Dn=MAvg+MAvg*percent*0.01
// TrendUp = 0.0
// TrendUp := MAvg[1]>TrendUp[1] ? max(Up,TrendUp[1]) : Up
// TrendDown = 0.0
// TrendDown := MAvg[1]<TrendDown[1]? min(Dn,TrendDown[1]) : Dn
// Trend = 0.0
// Trend := MAvg > TrendDown[1] ? 1: MAvg< TrendUp[1]? -1: nz(Trend[1],1)
// Tsl = Trend==1? TrendUp: TrendDown
// S_Buy = Trend == 1 ? 1 : 0
// S_Sell = Trend != 1 ? 1 : 0
// [Trend, Tsl]
// [Trend, Tsl] = OTTs(percent, length)
// TrendReversal = Trend != Trend[1]
// [t01, s01] = security(t1, timeframe.period, OTTs(percent, length))
// [t02, s02] = security(t2, timeframe.period, OTTs(percent, length))
// [t03, s03] = security(t3, timeframe.period, OTTs(percent, length))
// [t04, s04] = security(t4, timeframe.period, OTTs(percent, length))
// [t05, s05] = security(t5, timeframe.period, OTTs(percent, length))
// [t06, s06] = security(t6, timeframe.period, OTTs(percent, length))
// [t07, s07] = security(t7, timeframe.period, OTTs(percent, length))
// [t08, s08] = security(t8, timeframe.period, OTTs(percent, length))
// [t09, s09] = security(t9, timeframe.period, OTTs(percent, length))
// [t010, s010] = security(t10, timeframe.period, OTTs(percent, length))
// [t011, s011] = security(t11, timeframe.period, OTTs(percent, length))
// [t012, s012] = security(t12, timeframe.period, OTTs(percent, length))
// [t013, s013] = security(t13, timeframe.period, OTTs(percent, length))
// [t014, s014] = security(t14, timeframe.period, OTTs(percent, length))
// [t015, s015] = security(t15, timeframe.period, OTTs(percent, length))
// [t016, s016] = security(t16, timeframe.period, OTTs(percent, length))
// [t017, s017] = security(t17, timeframe.period, OTTs(percent, length))
// [t018, s018] = security(t18, timeframe.period, OTTs(percent, length))
// [t019, s019] = security(t19, timeframe.period, OTTs(percent, length))
// [t020, s020] = security(t20, timeframe.period, OTTs(percent, length))
// tr01 = t01 != t01[1], up01 = t01 == 1, dn01 = t01 == -1
// tr02 = t02 != t02[1], up02 = t02 == 1, dn02 = t02 == -1
// tr03 = t03 != t03[1], up03 = t03 == 1, dn03 = t03 == -1
// tr04 = t04 != t04[1], up04 = t04 == 1, dn04 = t04 == -1
// tr05 = t05 != t05[1], up05 = t05 == 1, dn05 = t05 == -1
// tr06 = t06 != t06[1], up06 = t06 == 1, dn06 = t06 == -1
// tr07 = t07 != t07[1], up07 = t07 == 1, dn07 = t07 == -1
// tr08 = t08 != t08[1], up08 = t08 == 1, dn08 = t08 == -1
// tr09 = t09 != t09[1], up09 = t09 == 1, dn09 = t09 == -1
// tr010 = t010 != t010[1], up010 = t010 == 1, dn010 = t010 == -1
// tr011 = t011 != t011[1], up011 = t011 == 1, dn011 = t011 == -1
// tr012 = t012 != t012[1], up012 = t012 == 1, dn012 = t012 == -1
// tr013 = t013 != t013[1], up013 = t013 == 1, dn013 = t013 == -1
// tr014 = t014 != t014[1], up014 = t014 == 1, dn014 = t014 == -1
// tr015 = t015 != t015[1], up015 = t015 == 1, dn015 = t015 == -1
// tr016 = t016 != t016[1], up016 = t016 == 1, dn016 = t016 == -1
// tr017 = t017 != t017[1], up017 = t017 == 1, dn017 = t017 == -1
// tr018 = t018 != t018[1], up018 = t018 == 1, dn018 = t018 == -1
// tr019 = t019 != t019[1], up019 = t019 == 1, dn019 = t019 == -1
// tr020 = t020 != t020[1], up020 = t020 == 1, dn020 = t020 == -1
// pot_label = 'Potential Reversal: \n'
// pot_label := tr01 ? pot_label + t1 + '\n' : pot_label
// pot_label := tr02 ? pot_label + t2 + '\n' : pot_label
// pot_label := tr03 ? pot_label + t3 + '\n' : pot_label
// pot_label := tr04 ? pot_label + t4 + '\n' : pot_label
// pot_label := tr05 ? pot_label + t5 + '\n' : pot_label
// pot_label := tr06 ? pot_label + t6 + '\n' : pot_label
// pot_label := tr07 ? pot_label + t7 + '\n' : pot_label
// pot_label := tr08 ? pot_label + t8 + '\n' : pot_label
// pot_label := tr09 ? pot_label + t9 + '\n' : pot_label
// pot_label := tr010 ? pot_label + t10 + '\n' : pot_label
// pot_label := tr011 ? pot_label + t11 + '\n' : pot_label
// pot_label := tr012 ? pot_label + t12 + '\n' : pot_label
// pot_label := tr013 ? pot_label + t13 + '\n' : pot_label
// pot_label := tr014 ? pot_label + t14 + '\n' : pot_label
// pot_label := tr015 ? pot_label + t15 + '\n' : pot_label
// pot_label := tr016 ? pot_label + t16 + '\n' : pot_label
// pot_label := tr017 ? pot_label + t17 + '\n' : pot_label
// pot_label := tr018 ? pot_label + t18 + '\n' : pot_label
// pot_label := tr019 ? pot_label + t19 + '\n' : pot_label
// pot_label := tr020 ? pot_label + t20 + '\n' : pot_label
// scr_label = 'Confirmed Reversal: \n'
// scr_label := tr01[1] ? scr_label + t1 + '\n' : scr_label
// scr_label := tr02[1] ? scr_label + t2 + '\n' : scr_label
// scr_label := tr03[1] ? scr_label + t3 + '\n' : scr_label
// scr_label := tr04[1] ? scr_label + t4 + '\n' : scr_label
// scr_label := tr05[1] ? scr_label + t5 + '\n' : scr_label
// scr_label := tr06[1] ? scr_label + t6 + '\n' : scr_label
// scr_label := tr07[1] ? scr_label + t7 + '\n' : scr_label
// scr_label := tr08[1] ? scr_label + t8 + '\n' : scr_label
// scr_label := tr09[1] ? scr_label + t9 + '\n' : scr_label
// scr_label := tr010[1] ? scr_label + t10 + '\n' : scr_label
// scr_label := tr011[1] ? scr_label + t11 + '\n' : scr_label
// scr_label := tr012[1] ? scr_label + t12 + '\n' : scr_label
// scr_label := tr013[1] ? scr_label + t13 + '\n' : scr_label
// scr_label := tr014[1] ? scr_label + t14 + '\n' : scr_label
// scr_label := tr015[1] ? scr_label + t15 + '\n' : scr_label
// scr_label := tr016[1] ? scr_label + t16 + '\n' : scr_label
// scr_label := tr017[1] ? scr_label + t17 + '\n' : scr_label
// scr_label := tr018[1] ? scr_label + t18 + '\n' : scr_label
// scr_label := tr019[1] ? scr_label + t19 + '\n' : scr_label
// scr_label := tr020[1] ? scr_label + t20 + '\n' : scr_label
// up_label = 'Uptrend: \n'
// up_label := up01[1] ? up_label + t1 + '\n' : up_label
// up_label := up02[1] ? up_label + t2 + '\n' : up_label
// up_label := up03[1] ? up_label + t3 + '\n' : up_label
// up_label := up04[1] ? up_label + t4 + '\n' : up_label
// up_label := up05[1] ? up_label + t5 + '\n' : up_label
// up_label := up06[1] ? up_label + t6 + '\n' : up_label
// up_label := up07[1] ? up_label + t7 + '\n' : up_label
// up_label := up08[1] ? up_label + t8 + '\n' : up_label
// up_label := up09[1] ? up_label + t9 + '\n' : up_label
// up_label := up010[1] ? up_label + t10 + '\n' : up_label
// up_label := up011[1] ? up_label + t11 + '\n' : up_label
// up_label := up012[1] ? up_label + t12 + '\n' : up_label
// up_label := up013[1] ? up_label + t13 + '\n' : up_label
// up_label := up014[1] ? up_label + t14 + '\n' : up_label
// up_label := up015[1] ? up_label + t15 + '\n' : up_label
// up_label := up016[1] ? up_label + t16 + '\n' : up_label
// up_label := up017[1] ? up_label + t17 + '\n' : up_label
// up_label := up018[1] ? up_label + t18 + '\n' : up_label
// up_label := up019[1] ? up_label + t19 + '\n' : up_label
// up_label := up020[1] ? up_label + t20 + '\n' : up_label
// dn_label = 'Downtrend: \n'
// dn_label := dn01[1] ? dn_label + t1 + '\n' : dn_label
// dn_label := dn02[1] ? dn_label + t2 + '\n' : dn_label
// dn_label := dn03[1] ? dn_label + t3 + '\n' : dn_label
// dn_label := dn04[1] ? dn_label + t4 + '\n' : dn_label
// dn_label := dn05[1] ? dn_label + t5 + '\n' : dn_label
// dn_label := dn06[1] ? dn_label + t6 + '\n' : dn_label
// dn_label := dn07[1] ? dn_label + t7 + '\n' : dn_label
// dn_label := dn08[1] ? dn_label + t8 + '\n' : dn_label
// dn_label := dn09[1] ? dn_label + t9 + '\n' : dn_label
// dn_label := dn010[1] ? dn_label + t10 + '\n' : dn_label
// dn_label := dn011[1] ? dn_label + t11 + '\n' : dn_label
// dn_label := dn012[1] ? dn_label + t12 + '\n' : dn_label
// dn_label := dn013[1] ? dn_label + t13 + '\n' : dn_label
// dn_label := dn014[1] ? dn_label + t14 + '\n' : dn_label
// dn_label := dn015[1] ? dn_label + t15 + '\n' : dn_label
// dn_label := dn016[1] ? dn_label + t16 + '\n' : dn_label
// dn_label := dn017[1] ? dn_label + t17 + '\n' : dn_label
// dn_label := dn018[1] ? dn_label + t18 + '\n' : dn_label
// dn_label := dn019[1] ? dn_label + t19 + '\n' : dn_label
// dn_label := dn020[1] ? dn_label + t20 + '\n' : dn_label
// f_colorscr (_valscr ) =>
// _valscr ? #00000000 : na
// f_printscr (_txtscr ) =>
// var _lblscr = label(na),
// label.delete(_lblscr ),
// _lblscr := label.new(
// time + (time-time[1])*posX_scr ,
// ohlc4[posY_scr],
// _txtscr ,
// xloc.bar_time,
// yloc.price,
// f_colorscr ( showscr ),
// textcolor = showscr ? col : na,
// size = size.normal,
// style=label.style_label_center
// )
// f_printscr ( scr_label + '\n' + pot_label +'\n' + up_label + '\n' + dn_label)