この戦略は,波動トレンドオシレーターとVWMA指標を組み合わせて,量子取引戦略に従ってトレンドを実装する.それは市場のトレンドを特定し,波動トレンドオシレーターからの信号に基づいて購入または販売決定を下すことができる.一方,取引サイズはVWMA指標からの信号によって決定される.
この戦略は主に以下の2つの指標に基づいています
波動トレンドオシレーター:これは,価格変動における
VWMA インディケーター:これはボリューム重度の移動平均線です.価格はVWMA バンド (VWMA の上下帯) の内側か外側にあるかによって, +1 (上昇),0 (中立) または -1 (下落) の信号を生成します.
波動トレンド信号は,いつ買い,いつ売るべきかを決定する.一方,VWMA指標からの上昇/下落信号は,各取引の特定の取引サイズを決定する.
この戦略は,先進的なトレンドフォローアプローチのために,トレンド判断とボリューム能力を統合している.いくつかの利点はありますが,注意すべきリスクもあります.パラメータと規則のさらなる改善は,安定性と収益性を向上させることができます.
/*backtest start: 2023-12-26 00:00:00 end: 2024-01-25 00:00:00 period: 1h basePeriod: 15m 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/ // // Created by jadamcraig // // This strategy benefits from extracts taken from the following // studies/authors. Thank you for developing and sharing your ideas in an open // way! // * Wave Trend Strategy by thomas.gigure // * cRSI + Waves Strategy with VWMA overlay by Dr_Roboto // //@version=4 //============================================================================== //============================================================================== overlay = true // plots VWMA (need to close and re-add) //overlay = false // plots Wave Trend (need to close and re-add) strategy("Wave Trend w/ VWMA overlay", overlay=overlay) baseQty = input(defval=1, title="Base Quantity", type=input.float, minval=1) useSessions = input(defval=true, title="Limit Signals to Trading Sessions?") sess1_startHour = input(defval=8, title="Session 1: Start Hour", type=input.integer, minval=0, maxval=23) sess1_startMinute = input(defval=25, title="Session 1: Start Minute", type=input.integer, minval=0, maxval=59) sess1_stopHour = input(defval=10, title="Session 1: Stop Hour", type=input.integer, minval=0, maxval=23) sess1_stopMinute = input(defval=25, title="Session 1: Stop Minute", type=input.integer, minval=0, maxval=59) sess2_startHour = input(defval=12, title="Session 2: Start Hour", type=input.integer, minval=0, maxval=23) sess2_startMinute = input(defval=55, title="Session 2: Start Minute", type=input.integer, minval=0, maxval=59) sess2_stopHour = input(defval=14, title="Session 2: Stop Hour", type=input.integer, minval=0, maxval=23) sess2_stopMinute = input(defval=55, title="Session 2: Stop Minute", type=input.integer, minval=0, maxval=59) sess1_closeAll = input(defval=false, title="Close All at End of Session 1") sess2_closeAll = input(defval=true, title="Close All at End of Session 2") //============================================================================== //============================================================================== // Volume Weighted Moving Average (VWMA) //============================================================================== //============================================================================== plotVWMA = overlay // check if volume is available for this equity useVolume = input( title="VWMA: Use Volume (uncheck if equity does not have volume)", defval=true) vwmaLen = input(defval=21, title="VWMA: Length", type=input.integer, minval=1, maxval=200) vwma = vwma(close, vwmaLen) vwma_high = vwma(high, vwmaLen) vwma_low = vwma(low, vwmaLen) if not(useVolume) vwma := wma(close, vwmaLen) vwma_high := wma(high, vwmaLen) vwma_low := wma(low, vwmaLen) // +1 when above, -1 when below, 0 when inside vwmaSignal(priceOpen, priceClose, vwmaHigh, vwmaLow) => sig = 0 color = color.gray if priceClose > vwmaHigh sig := 1 color := color.green else if priceClose < vwmaLow sig := -1 color := color.red else sig := 0 color := color.gray [sig,color] [vwma_sig, vwma_color] = vwmaSignal(open, close, vwma_high, vwma_low) priceAboveVWMA = vwma_sig == 1 ? true : false priceBelowVWMA = vwma_sig == -1 ? true : false // plot(priceAboveVWMA?2.0:0,color=color.blue) // plot(priceBelowVWMA?2.0:0,color=color.maroon) //bandTrans = input(defval=70, title="VWMA Band Transparancy (100 invisible)", // type=input.integer, minval=0, maxval=100) //fillTrans = input(defval=70, title="VWMA Fill Transparancy (100 invisible)", // type=input.integer, minval=0, maxval=100) bandTrans = 60 fillTrans = 60 // ***** Plot VWMA ***** highband = plot(plotVWMA?fixnan(vwma_high):na, title='VWMA High band', color = vwma_color, linewidth=1, transp=bandTrans) lowband = plot(plotVWMA?fixnan(vwma_low):na, title='VWMA Low band', color = vwma_color, linewidth=1, transp=bandTrans) fill(lowband, highband, title='VWMA Band fill', color=vwma_color, transp=fillTrans) plot(plotVWMA?vwma:na, title='VWMA', color = vwma_color, linewidth=3, transp=bandTrans) //============================================================================== //============================================================================== // Wave Trend //============================================================================== //============================================================================== plotWaveTrend = not(overlay) n1 = input(10, "Wave Trend: Channel Length") n2 = input(21, "Wave Trend: Average Length") obLevel1 = input(60, "Wave Trend: Over Bought Level 1") obLevel2 = input(53, "Wave Trend: Over Bought Level 2") osLevel1 = input(-60, "Wave Trend: Over Sold Level 1") osLevel2 = input(-53, "Wave Trend: Over Sold Level 2") ap = hlc3 esa = ema(ap, n1) d = ema(abs(ap - esa), n1) ci = (ap - esa) / (0.015 * d) tci = ema(ci, n2) wt1 = tci wt2 = sma(wt1,4) plot(plotWaveTrend?0:na, color=color.gray) plot(plotWaveTrend?obLevel1:na, color=color.red) plot(plotWaveTrend?osLevel1:na, color=color.green) plot(plotWaveTrend?obLevel2:na, color=color.red, style=3) plot(plotWaveTrend?osLevel2:na, color=color.green, style=3) plot(plotWaveTrend?wt1:na, color=color.green) plot(plotWaveTrend?wt2:na, color=color.red, style=3) plot(plotWaveTrend?wt1-wt2:na, color=color.blue, transp=80) //============================================================================== //============================================================================== // Order Management //============================================================================== //============================================================================== // Define Long and Short Conditions longCondition = crossover(wt1, wt2) shortCondition = crossunder(wt1, wt2) // Define Quantities orderQty = baseQty * 2 if (longCondition) if (vwma_sig == 1) if ( strategy.position_size >= (baseQty * 4 * -1) and strategy.position_size < 0 ) orderQty := baseQty * 4 + abs(strategy.position_size) else orderQty := baseQty * 4 else if (vwma_sig == 0) if ( strategy.position_size >= (baseQty * 2 * -1) and strategy.position_size < 0 ) orderQty := baseQty * 2 + abs(strategy.position_size) else orderQty := baseQty * 2 else if (vwma_sig == -1) if ( strategy.position_size >= (baseQty * 1 * -1) and strategy.position_size < 0 ) orderQty := baseQty * 1 + abs(strategy.position_size) else orderQty := baseQty * 1 else if (shortCondition) if (vwma_sig == -1) if ( strategy.position_size <= (baseQty * 4) and strategy.position_size > 0 ) orderQty := baseQty * 4 + strategy.position_size else orderQty := baseQty * 4 else if (vwma_sig == 0) if ( strategy.position_size <= (baseQty * 2) and strategy.position_size > 2 ) orderQty := baseQty * 2 + strategy.position_size else orderQty := baseQty * 2 else if (vwma_sig == 1) if ( strategy.position_size <= (baseQty * 1) and strategy.position_size > 0 ) orderQty := baseQty * 1 + strategy.position_size else orderQty := baseQty * 1 // Determine if new trades are permitted newTrades = false if (useSessions) if ( hour == sess1_startHour and minute >= sess1_startMinute ) newTrades := true else if ( hour > sess1_startHour and hour < sess1_stopHour ) newTrades := true else if ( hour == sess1_stopHour and minute < sess1_stopMinute ) newTrades := true else if ( hour == sess2_startHour and minute >= sess2_startMinute ) newTrades := true else if ( hour > sess2_startHour and hour < sess2_stopHour ) newTrades := true else if ( hour == sess2_stopHour and minute < sess2_stopMinute ) newTrades := true else newTrades := false else newTrades := true // Long Signals if ( longCondition ) strategy.order("Buy", strategy.long, orderQty) // Short Signals if ( shortCondition ) strategy.order("Sell", strategy.short, orderQty) // Close open position at end of Session 1, if enabled if (sess1_closeAll ) strategy.close_all() // Close open position at end of Session 2, if enabled if (sess2_closeAll ) strategy.close_all()