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定量指標に基づく価格変化と平均価格戦略

作者: リン・ハーンチャオチャン, 日付: 2023-12-11 11:18:56
タグ:

概要

この戦略は,価格変動率と移動平均技術指標を組み合わせて,買い売りポイントを正確に位置付けます.価格が急落すると,買い値が設定されます.そして価格が引き続き下がると,ロングポジションが開かれます.価格が上昇すると,売り値が設定されます.価格が上昇し続け,売り値が突破すると,既存のロングポジションが閉鎖されます.同時に,戦略は,ピラミッド方法を採用し,コストを下げるためにさまざまな価格レベルで複数のロングポジションを開きます.

原則

ロングエントリー論理

価格の変化率 (ROC) を計算し,長いエントリー値線を設定します.
価格がロングエントリー限界線を下へと突破すると,このブレイクポイントを記録し,ロングエントリー限界線を起動します.
長いエントリー制限線は,入力パラメータによって定義された一定の期間を保持し,その後は終了します.
価格が引き続き下がり,ロングエントリー・リーミットラインを下回ると,最初のロングポジションが開きます.

ロング・クローズ・論理

価格の変化率 (ROC) を計算し,長い閉じる値線を設定します.
価格が長閉値を超えると,このブレイクポイントを記録し,長閉値線を開始します.
長い近限線は,入力パラメータによって定義された一定の期間を保持し,その後は終了します.
価格が上昇し続け,長い閉じる限界線を超えると,既存のすべてのロングポジションが閉鎖されます.

リスク管理

戦略には,リスクを動的に制御するためにカスタマイズできるストップ・ロストと利益の引き上げ機能が組み込まれています.

ピラミッド

新しい取引ポジションを開くとき,システムは入力パーセントパラメータに従って,次のロングエントリー価格を計算し,複数のロングエントリーを介して下向き平均を実装します.

利点

価格変動に敏感である.この指標は,価格変動に対して非常に敏感である.
誤ったブレーキを避けるため,入口と出口信号のさらなる確認のために,境界線を使用する.
ピラミッド型方法では市場価値を追跡しリスクをコントロールします
ストップ・ロストとテイク・プロフィットが組み込まれていますそれぞれのポジションのリスクを厳格に制御します

リスクと解決策

市場変動が激しくなりオープンポジションが多すぎる場合もありますオープンポジションを制限するためにピラミッド設定の合理的なパラメータを設定できます
市場が変動しているときに頻繁にストップ・ロストまたはテイク・プロフィートが起動する可能性があります. 横向市場では,パーセントレベルを緩めたり,SL&TPを無効にすることもできます.

最適化

移動平均値などの他の指標と組み合わせてエントリー信号をフィルターします.価格が実際にMA線を突破したときのみROC信号を採用します.
ピラミッドの論理を改良し価格が一定の割合で下がる時だけ進出価格を下げる代わりに次のポジションを開きます
最適パラメータ設定は,取引手段によって大きく異なる可能性があります.広範なバックテストとデモ取引が必要です.
市場変動条件に基づいて異なる割合レベルを持つ適応性のあるストップ・ロスのメカニズムを構築する.

結論

この戦略は,正確なエントリー信号と限界線フィルター,内蔵リスク管理機能,およびポジションサイジングのためのピラミディングを効果的に組み合わせます.合理的なパラメータ調整により,リスクをチェックしながら過剰なリターンを獲得することができます.将来の改善は,より広範な市場適応性のために信号フィルタリング方法とリスク管理に焦点を当てることがあります.

/*backtest
start: 2022-12-04 00:00:00
end: 2023-12-10 00:00:00
period: 1d
basePeriod: 1h
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/
// @version=4
// © A3Sh

// Rate of price change / Price averaging strategy //
// When the price drops to a specified percentage, a Long Entry Threshold is setup.
// The Long Entry Threshold is only active for a specified number of bars and will de-activate when not crossed. 
// When the price drops further and crosses the Entry Threshold with a minimum of a specified percentage, a Long Position is entered. 
// The same reverse logic used to close the Long Position.
// Stop loss and take profit are active by default. With proper tweaking of the settings it is possible to de-activate SL and TP.

// The strategy is inspired by the following strategies:
// Price Change Scalping Strategy developed by Prosum Solutions, https://www.tradingview.com/script/ue7Uc3sN-Price-Change-Scalping-Strategy-v1-0-0/
// Scalping Dips On Trend Strategy developed by Coinrule, https://www.tradingview.com/script/iHHO0PJA-Scalping-Dips-On-Trend-by-Coinrule/

strategy(title = "ROC_PA_Strategy_@A3Sh", overlay = true )

// Portfolio & Leverage Example
// credit: @RafaelZioni, https://www.tradingview.com/script/xGk5K4DE-BTC-15-min/
ge(value, precision) => round(value * (pow(10, precision))) / pow(10, precision)

port     = input(25, group = "Risk", title = "Portfolio Percentage", type = input.float, step = 0.1, minval = 0.1, maxval = 200)
leverage = input(1,  group = "Risk", title = "Leverage", minval = 1, maxval = 100)
mm       = input(5,  group = "Risk", title = "Broker Maintenance Margin Percentage", type = input.float, step = 0.1, minval = 0.1, maxval = 200)

c = ge((strategy.equity * leverage / open) * (port  / 100), 4)

// Take Profit
tpa = input(true, type = input.bool,  title = "Take Profit", group = "Risk", inline = "Take Profit")
tpp = input(5.6,    type = input.float, title = "Percentage" , group = "Risk", step = 0.1, minval = 0.1, inline = "Take Profit")
tp  = strategy.position_avg_price + (strategy.position_avg_price / 100 * tpp)
plot (tpa and strategy.position_size > 0 ? tp : na, color = color.gray, title = "take profit", style= plot.style_linebr, linewidth = 1)

// Stop Loss
sla = input(true, type = input.bool, title = "Stop Lossss ", group = "Risk", inline = "Stop Loss")
slp = input(2.5,   type = input.float, title = "Percentage",   group = "Risk", step = 0.1, minval = 0.1, inline = "Stop Loss")
sl  = strategy.position_avg_price - (strategy.position_avg_price / 100 *slp)
plot (sla and strategy.position_size > 0 ? sl : na, color = color.red, title = "stopp loss", style= plot.style_linebr, linewidth = 1)

stopLoss = sla ? sl : na

// Long position entry layers. Percentage from the entry price of the the first long
ps2 = input(2, group = "Price Averaging Layers", title = "2nd Layer Long Entry %", step = 0.1)
ps3 = input(5, group = "Price Averaging Layers", title = "3rd Layer Long Entry %", step = 0.1)
ps4 = input(9, group = "Price Averaging Layers", title = "4th Layer Long Entry %", step = 0.1)

// ROC_Trigger Logic to open Long Position
rocLookBack  = input(3,   group = "ROC Logic to OPEN Long Entry", title="Rate of Change bar lookback")
rocThreshold = input(0.5, group = "ROC Logic to OPEN Long Entry", title="ROC Threshold % to Setup Long Entry", step = 0.1)
entryLimit   = input(0.5, group = "ROC Logic to OPEN Long Entry", title="Price Drop Threshold % to OPEN Long Entry", step = 0.1)
entryTime    = input(3,   group = "ROC Logic to OPEN Long Entry", title="Duration of Long Entry Threshold Line in bars")
minLimit     = input(0.8, group = "ROC Logic to OPEN Long Entry", title="Min % of Price Drop to OPEN Long Entry", step = 0.1)

//ROC calculation based to the price level of previous X bars
roc = close[rocLookBack]  - (close / 100 * rocThreshold)
plot (roc, color = color.gray, title = "roc threshold", linewidth = 1 , transp = 20)

rocT1      = open > roc and close < roc ? 1 : 0 // When the price CROSSES the Entry Limit
rocT2      = (open < roc) and (close < roc) ? 1 : 0 // When the price is BELOW the Entry Limit
rocTrigger = rocT1 or rocT2

// Condition for Setting Up a Long Entry Thershold Line
rocCrossed    = false
var SetUpLong = false

if rocTrigger and not SetUpLong

    rocCrossed := true
    SetUpLong  := true

// Defining the Value of the Long Entry Thershold
condforValue = rocCrossed and (open - low) / (open / 100) > 0 or (open < roc and close < roc) ? low - (close / 100 * entryLimit) : roc - (close / 100 * entryLimit)
openValue    = valuewhen (rocCrossed, condforValue, 0)

// Defining the length of the Long Entry Thershold in bars, specified with an input parameter
sincerocCrossed = barssince (rocCrossed)
plotLineOpen    = (sincerocCrossed <= entryTime) ? openValue : na
endLineOpen     = sincerocCrossed == entryTime  ? 1 : 0

// Set the conditions back to false when the Entry Limit Threshold Line ends after specied number of bars
if endLineOpen and SetUpLong
    
    rocCrossed := false
    SetUpLong  := false    

// Set minimum percentage of price drop to open a Long Position.
minThres = (open - close) / (open / 100) > minLimit ? 1 : 0

// Open Long Trigger
openLong = crossunder (close, plotLineOpen) and strategy.position_size == 0 and minThres

plot (strategy.position_size == 0 ? plotLineOpen : na, title = "Long Entry Threshold", color= color.yellow, style= plot.style_linebr, linewidth = 2)

// Show vertical dashed line when long condition is triggered 
// credit: @midtownsk8rguy, https://www.tradingview.com/script/EmTkvfCM-vline-Function-for-Pine-Script-v4-0/
vline(BarIndex, Color, LineStyle, LineWidth) => 
    return = line.new(BarIndex, low - tr, BarIndex, high + tr, xloc.bar_index, extend.both, Color, LineStyle, LineWidth) 
// if (openLong)
//     vline(bar_index, color.blue, line.style_dashed, 1)

// ROC_Trigger Logic to close Long Position
rocLookBackL    = input(3,   group = "ROC Logic to CLOSE Long Entry", title = "Rate of Change bar lookback")
entryThresholdL = input(0.8, group = "ROC Logic to CLOSE Long Entry", title = "ROC Threshold % to Setup Close Threshold", step = 0.1) // Percentage from close price
entryLimit_CL   = input(1.7, group = "ROC Logic to CLOSE Long Entry", title = "Price Rise Threshold % to CLOSE Long Entry", step = 0.1) // Percentage from roc threshold
entryTime_CL    = input(3,   group = "ROC Logic to CLOSE Long Entry", title = "Duration of Entry Limit in bars")

roc_CL = close[rocLookBackL]  + (close/100 *entryThresholdL)
//plot(rocL, color=color.gray, linewidth=1, transp=20)

rocT1_CL = open < roc_CL and close > roc_CL ? 1 : 0
rocT2_CL = (open > roc_CL) and (close > roc_CL)  ? 1 : 0 
rocTrigger_CL = rocT1_CL or rocT2_CL

// Condition for Setting Up a Long CLOSE Thershold Line
rocCrossed_CL  = false

var SetUpClose = false

if rocTrigger_CL and not SetUpClose
    // The trigger for condA occurs and the last condition set was condB.
    rocCrossed_CL := true
    SetUpClose    := true

// Defining the Value of the Long CLOSE Thershold
condforValue_CL= rocCrossed_CL and (high - open) / (open / 100) > 0 or (open > roc_CL and close > roc_CL) ? high + (close / 100 * entryLimit_CL) : roc_CL + (close / 100 * entryLimit_CL)
closeValue = valuewhen (rocCrossed_CL, condforValue_CL, 0)

// Defining the length of the Long CLOSE Thershold in bars, specified with an input parameter
sincerocCrossed_CL = barssince(rocCrossed_CL)
plotLineClose = (sincerocCrossed_CL <= entryTime_CL) ? closeValue : na
endLineClose = (sincerocCrossed_CL == entryTime_CL)  ? 1 : 0

// Set the conditions back to false when the CLOSE Limit Threshold Line ends after specied number of bars
if endLineClose and SetUpClose

    rocCrossed_CL := false
    SetUpClose := false    

plot(strategy.position_size > 0 ? plotLineClose : na, color = color.white, title = "Close Long Threshold", style = plot.style_linebr, linewidth = 2)

// ROC Close + Take Profit combined
closeCondition = close < tp ? plotLineClose : tpa ? tp : plotLineClose

// Store values to create and plot the different PA layers
long1 = valuewhen(openLong, close, 0)
long2 = valuewhen(openLong, close - (close / 100 * ps2), 0)
long3 = valuewhen(openLong, close - (close / 100 * ps3), 0)
long4 = valuewhen(openLong, close - (close / 100 * ps4), 0)

eps1 = 0.00
eps1 := na(eps1[1]) ? na : eps1[1]

eps2 = 0.00
eps2 := na(eps2[1]) ? na : eps2[1]

eps3 = 0.00
eps3 := na(eps3[1]) ? na : eps3[1]

eps4 = 0.00
eps4 := na(eps4[1]) ? na : eps4[1]

plot (strategy.position_size > 0 ? eps1 : na, title = "Long 1 Layer", style = plot.style_linebr)
plot (strategy.position_size > 0 ? eps2 : na, title = "Long 2 Layer", style = plot.style_linebr)
plot (strategy.position_size > 0 ? eps3 : na, title = "Long 3 Layer", style = plot.style_linebr)
plot (strategy.position_size > 0 ? eps4 : na, title = "Long 4 Layer", style = plot.style_linebr)

// Ener Long Positions
if (openLong and strategy.opentrades == 0) 
    eps1 := long1
    eps2 := long2
    eps3 := long3
    eps4 := long4
    strategy.entry("Long1", strategy.long, c, comment = "a=binance2 e=binance s=bnbusdt b=buy q=20% t=market")

if (strategy.opentrades == 1)
    strategy.entry("Long2", strategy.long, c, limit = eps2, comment = "a=binance2 e=binance s=bnbusdt b=buy q=25% t=market")

if (strategy.opentrades == 2)
    strategy.entry("Long3", strategy.long, c, limit = eps3, comment = "a=binance2 e=binance s=bnbusdt b=buy q=33.3% t=market")

if (strategy.opentrades == 3)
    strategy.entry("Long4", strategy.long, c, limit = eps4, comment = "a=binance2 e=binance s=bnbusdt b=buy q=50% t=market")

// Setup Limit Close / Take Profit / Stop Loss order 
strategy.exit("Exit", stop = stopLoss, limit = closeCondition, when =(rocTrigger_CL and strategy.position_size > 0), comment= "a=binance2 e=binance s=bnbusdt b=sell q=100% t=market")

// Make sure that all open limit orders are canceled after exiting all the positions 
longClose = strategy.position_size[1] > 0 and strategy.position_size == 0 ? 1 : 0   

if longClose
    strategy.cancel_all()

もっと

2019 FMZ - すべての権利は保護されています.