この戦略は,BBパーセントインデックスとRSIおよびMFI指標を組み合わせたものです.これは,RSI過剰販売/過剰購入信号とMFI過剰販売/過剰購入信号とともに,ボリンジャーバンド上下レールの価格ブレイクを検出することによって,長期および短期間の決定を下します.これは典型的なトレンド消退トレード戦略です.
この戦略は主に高変動性非トレンド型機器に適用される.ボリンガーチャネルと指標の組み合わせを通じてトレンド淡化取引を実装する.リスク・リターン特性はパラメータを調整することによって制御できる.さらなる改善は,意思決定品質を最適化するためにより多くの補助指標とモデルを導入することによって行われ,それによってより良い戦略パフォーマンスを達成することができる.
/*backtest start: 2023-11-05 00:00:00 end: 2023-12-05 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //Noro //2018 //@version=2 strategy(title = "BB%/MFI/RSI", shorttitle = "BB%/MFI/RSI", default_qty_type = strategy.percent_of_equity, default_qty_value = 100, pyramiding = 100) //Settings needlong = input(true, defval = true, title = "Long") needshort = input(false, defval = false, title = "Short") capital = input(100, defval = 100, minval = 1, maxval = 10000, title = "Lot, %") fromyear = input(1900, defval = 1900, minval = 1900, maxval = 2100, title = "From Year") toyear = input(2100, defval = 2100, minval = 1900, maxval = 2100, title = "To Year") frommonth = input(01, defval = 01, minval = 01, maxval = 12, title = "From Month") tomonth = input(12, defval = 12, minval = 01, maxval = 12, title = "To Month") fromday = input(01, defval = 01, minval = 01, maxval = 31, title = "From Day") today = input(31, defval = 31, minval = 01, maxval = 31, title = "To Day") source = hlc3 length = input(14, minval=1), mult = input(2.0, minval=0.001, maxval=50), bblength = input(50, minval=1, title="BB Period") DrawRSI_f=input(true, title="Draw RSI?", type=bool) DrawMFI_f=input(false, title="Draw MFI?", type=bool) HighlightBreaches=input(true, title="Highlight Oversold/Overbought?", type=bool) DrawMFI = (not DrawMFI_f) and (not DrawRSI_f) ? true : DrawMFI_f DrawRSI = (DrawMFI_f and DrawRSI_f) ? false : DrawRSI_f // RSI rsi_s = DrawRSI ? rsi(source, length) : na plot(DrawRSI ? rsi_s : na, color=maroon, linewidth=2) // MFI upper_s = DrawMFI ? sum(volume * (change(source) <= 0 ? 0 : source), length) : na lower_s = DrawMFI ? sum(volume * (change(source) >= 0 ? 0 : source), length) : na mf = DrawMFI ? rsi(upper_s, lower_s) : na plot(DrawMFI ? mf : na, color=green, linewidth=2) // Draw BB on indices bb_s = DrawRSI ? rsi_s : DrawMFI ? mf : na basis = sma(bb_s, length) dev = mult * stdev(bb_s, bblength) upper = basis + dev lower = basis - dev plot(basis, color=red) p1 = plot(upper, color=blue) p2 = plot(lower, color=blue) fill(p1,p2, blue) b_color = (bb_s > upper) ? red : (bb_s < lower) ? lime : na bgcolor(HighlightBreaches ? b_color : na, transp = 0) //Signals up = bb_s < lower and close < open dn = bb_s > upper and close > open size = strategy.position_size lp = size > 0 and close > open sp = size < 0 and close < open exit = (up == false and dn == false) and (lp or sp) //Trading lot = strategy.position_size == 0 ? strategy.equity / close * capital / 100 : lot[1] if up if strategy.position_size < 0 strategy.close_all() strategy.entry("Long", strategy.long, needlong == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59))) if dn if strategy.position_size > 0 strategy.close_all() strategy.entry("Short", strategy.short, needshort == false ? 0 : lot, when=(time > timestamp(fromyear, frommonth, fromday, 00, 00) and time < timestamp(toyear, tomonth, today, 23, 59))) if time > timestamp(toyear, tomonth, today, 23, 59) or exit strategy.close_all()