この戦略はフィッシャー変換指標に基づくバックテスト戦略である.フィッシャー変換公式は価格の極端とターニングポイントを特定するために価格データを正規分布に変換することができる.この戦略はフィッシャー変換指標を組み合わせて価格動向を決定し,自動取引を達成する.
リスク対策
上記の最適化は,戦略の勝利率をさらに向上させ,利益を固定し,リスクを制御し,より安定的かつ効率的な取引結果を得ることができます.
/*backtest start: 2023-12-01 00:00:00 end: 2023-12-31 23:59:59 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version = 2 //////////////////////////////////////////////////////////// // Copyright by HPotter v2.0 22/12/2016 // Market prices do not have a Gaussian probability density function // as many traders think. Their probability curve is not bell-shaped. // But trader can create a nearly Gaussian PDF for prices by normalizing // them or creating a normalized indicator such as the relative strength // index and applying the Fisher transform. Such a transformed output // creates the peak swings as relatively rare events. // Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x)) // The sharp turning points of these peak swings clearly and unambiguously // identify price reversals in a timely manner. // // For signal used zero. // 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="Fisher Transform Indicator by Ehlers Backtest", shorttitle="Fisher Transform Indicator by Ehlers") Length = input(10, minval=1) reverse = input(false, title="Trade reverse") hline(1, color=white) xHL2 = hl2 xMaxH = highest(xHL2, Length) xMinL = lowest(xHL2,Length) nValue1 = 0.33 * 2 * ((xHL2 - xMinL) / (xMaxH - xMinL) - 0.5) + 0.67 * nz(nValue1[1]) nValue2 = iff(nValue1 > .99, .999, iff(nValue1 < -.99, -.999, nValue1)) nFish = 0.5 * log((1 + nValue2) / (1 - nValue2)) + 0.5 * nz(nFish[1]) pos = iff(nFish > 0, 1, iff(nFish < 0, -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(nFish, color=green, title="Fisher") plot(nz(nFish[1]), color=red, title="Trigger")