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ダイナミック・モメント・オシレーター取引戦略

作者: リン・ハーンチャオチャン,日付: 2024-01-22 17:28:39
タグ:

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概要

戦略の論理

利点分析

この戦略の主な利点は以下の通りです.

リスク分析

この戦略の主なリスクは,

  1. 市場ショックでは,指標からの誤った信号の確率は高くなります.ストップロスはリスクを制御するために使用できます.

  2. 高い取引頻度は,利益に食いをかける相当な取引コストにつながる可能性があります.

オプティマイゼーションの方向性

戦略は以下の側面で最適化できます.

概要


/*backtest
start: 2023-01-15 00:00:00
end: 2024-01-21 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
////////////////////////////////////////////////////////////
//  Copyright by HPotter v1.0 10/04/2017
// In July 1996 Futures magazine, E. Marshall Wall introduces the 
// Dynamic Momentum Oscillator (Dynamo). Please refer to this article 
// for interpretation.
// The Dynamo oscillator is a normalizing function which adjusts the 
// values of a standard oscillator for trendiness by taking the difference 
// between the value of the oscillator and a moving average of the oscillator 
// and then subtracting that value from the oscillator midpoint.
//
// You can change long to short in the Input Settings
// Please, use it only for learning or paper trading. Do not for real trading
////////////////////////////////////////////////////////////
strategy(title="Dynamo", shorttitle="Dynamo")
OscLen = input(10, minval=1)
MALen = input(20, minval=1)
HiBand = input(77, minval=1)
LowBand = input(23)
reverse = input(false, title="Trade reverse")
hline(HiBand, color=red, linestyle=line)
hline(LowBand, color=green, linestyle=line)
xOscK = stoch(close, high, low, OscLen)
xOscAvg = sma(xOscK, OscLen)
xMAVal = sma(xOscAvg, MALen)
maxNum = 9999999
LowestSoFar = iff(xOscAvg < nz(LowestSoFar[1], maxNum), xOscAvg, nz(LowestSoFar[1], maxNum))
HighestSoFar = iff(xOscAvg > nz(HighestSoFar[1]), xOscAvg, nz(HighestSoFar[1]))
MidPnt = (LowestSoFar + HighestSoFar) / 2
nRes = MidPnt - (xMAVal - xOscAvg)
pos = iff(nRes > HiBand, 1,
	     iff(nRes < LowBand, -1, nz(pos[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)	   	    
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
plot(nRes, color=blue, title="Dynamo")

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