이 전략은 트렌드 편향을 위해 더 높은 시간 프레임 (예를 들어 매일) 에서 MACD를 사용하고 실행을 위해 더 낮은 시간 프레임 (예를 들어 5 분) 에서 거래를합니다. 크로스 기간 접근법은 기본 MACD 전략의 신뢰성을 향상시키는 것을 목표로합니다.
전략 논리:
전체 트렌드 방향에 대해 더 높은 시간 프레임에서 MACD를 계산합니다.
MACD가 신호선을 넘을 때 낮은 시간 프레임에 거래를 입력합니다.
추가 신호 확인을 위해 MFI 과잉 구매/ 과잉 판매를 추가합니다.
스톱을 사용해서 리스크 관리로 수익을 취하세요.
더 큰 안정성을 위해 매개 변수를 최적화
장점:
횡단 기간 분석은 단기 소음을 필터합니다.
MFI는 잘못된 신호를 피하고 정확성을 향상시킵니다.
스톱 로스/프로프트는 단일 트레이드 리스크를 제어합니다.
위험성:
횡단 기간 작전은 지연, 잠재적으로 최고의 항목을 놓치고 있습니다.
MACD와 MFI 모두 잘못된 신호를 줄 수 있어 주의가 필요합니다.
엄격한 리스크 관리가 필요해
요약하자면, 이 접근법은 편향을 위해 크로스 기간 MACD와 필터링을 위해 MFI를 사용하여 안정성을 위해 낮은 시간 프레임을 거래합니다. 그러나 지연 문제는 여전히 남아 있으므로 신중한 거래가 여전히 필요합니다.
/*backtest
start: 2022-09-11 00:00:00
end: 2023-01-18 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//(c) Wunderbit Trading
//Modified by Mauricio Zuniga - Trade at your own risk
//This script was originally shared on Wunderbit website as a free open source script for the community. (https://www.tradingview.com/u/Wunderbit/)
//
//WHAT THIS SCRIPT DOES:
// This is a scalping script originally intended to be used on altorightmic bot trading.
// This strategy is based on the trend-following momentum indicator. It includes the Money Flow index as an additional point for entry.
//HOW IT DOES IT:
// It uses a combination of MACD and MFI indicators to create entry signals. Parameters for each indicator have been surfaced for user configurability.
// Take profits are fixed, but stop loss uses ATR configuration to minimize losses and close profitably.
//HOW IS MY VERSION ORIGINAL:
// I started trying to deploy this script myself in my algorithmic tradingg but ran into some issues which I have tried to address in this version.
// Delayed Signals : The script has been refactored to use a time frame drop down. The higher time frame can be run on a faster chart (recommended on one minute chart for fastest signal confirmation and relay to algotrading platform.
// Repainting Issues : All indicators have been recoded to use the security function that checks to see if the current calculation is in realtime, if it is, then it uses the previous bar for calculation.
// If you are still experiencing repainting issues based on intended (or non intended use), please provide a report with screenshot and explanation so I can try to address.
// Filtering : I have added to additional filters an ABOVE EMA Filter and a BELOW RSI Filter (both can be turned on and off)
// Customizable Long and Clos Messages : This allows someone to use the script for algorithmic trading without having to alter code. It also means you can use one indicator for all of your different alterts required for your bots.
//HOW TO USE IT:
// Find a pair with high volatility - I have found it works particularly well with 3L and 3S tokens for crypto. although it the limitation is that confrigurations I have found to work typically have low R/R ratio, but very high win rate and profit factor.
// Ieally set one minute chart for bots, but you can use other charts for manual trading. The signal will be delayed by one bar but I have found configurations that still test well.
// Select a time frame in configuration for your indicator calculations.
// I like ot use 5 and 15 minutes for scalping scenarios, but I am interested in hearing back from other community memebers.
// Optimize your indicator without filters (trendFilter and RSI Filter)
// Use the TrendFilter and RSI Filter to further refine your signals for entry.
//@version=4
strategy("Customizable HTF MACD Strategy v1.5", overlay=false, pyramiding=0, commission_type=strategy.commission.percent, commission_value=0.08, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, currency = currency.USD, calc_on_every_tick=true)
openlongcomment = "Comment In Here"
closelongcomment = ""
openshortcomment = ""
closeshortcommment = ""
//RES
res = input(title="Resolution", type=input.resolution, defval="5", group="Strategy", inline="1")
ribbon_period = input(19, "Period", step=1, group="Strategy", inline="1")
olc = input(title="Open Long Comment", type=input.string, defval="",group="Strategy", inline="2")
clc = input(title="Close Long Comment", type=input.string, defval="",group="Strategy", inline="2")
if not(olc == "")
openlongcomment := olc
if not(clc == "")
closelongcomment := clc
// FUNCTIONS
Ema(src,p) =>
ema = 0.
sf = 2/(p+1)
ema := nz(ema[1] + sf*(src - ema[1]),src)
Sma(src,p) => a = cum(src), (a - a[max(p,0)])/max(p,0)
Atr(p, res) =>
atr = 0.
highHTF = security(syminfo.tickerid, res, high[barstate.isrealtime ? 1 : 0])
lowHTF = security(syminfo.tickerid, res, low[barstate.isrealtime ? 1 : 0])
closeHTF = security(syminfo.tickerid, res, close[barstate.isrealtime ? 1 : 0])
Tr = max(highHTF - lowHTF, max(abs(highHTF - closeHTF[1]), abs(lowHTF - closeHTF[1])))
atr := nz(atr[1] + (Tr - atr[1])/p,Tr)
htfClose = security(syminfo.tickerid, res, close[barstate.isrealtime ? 1 : 0])
leadLine1 = ema(htfClose, ribbon_period)
leadLine2 = sma(htfClose, ribbon_period)
// p3 = plot(leadLine1, color= #53b987, title="EMA", transp = 50, linewidth = 1)
// p4 = plot(leadLine2, color= #eb4d5c, title="SMA", transp = 50, linewidth = 1)
// fill(p3, p4, transp = 60, color = leadLine1 > leadLine2 ? #53b987 : #eb4d5c)
//Upward Trend
UT=leadLine2 < leadLine1
DT=leadLine2>leadLine1
// MACD
fast_length = input(title="Fast Length", type=input.integer, defval=7, group="MACD", inline='1')
slow_length = input(title="Slow Length", type=input.integer, defval=23, group="MACD", inline='1')
signal_length = input(title="Signal Smoothing", type=input.integer, minval = 1, maxval = 50, defval = 10, group="MACD", inline='2')
src = input(title="Source", type=input.source, defval=close, group="MACD", group="MACD", inline='2')
sma_source = input(title="Simple MA(Oscillator)", type=input.bool, defval=false, group="MACD", inline='3')
sma_signal = input(title="Simple MA(Signal Line)", type=input.bool, defval=false, group="MACD", inline='3')
// Plot colors
col_grow_above = #26A69A
col_grow_below = #FFCDD2
col_fall_above = #B2DFDB
col_fall_below = #EF5350
col_macd = #0094ff
col_signal = #ff6a00
srcHTF = security(syminfo.tickerid, res, src[barstate.isrealtime ? 1 : 0])
// Calculating
fast_ma = sma_source ? Sma(srcHTF, fast_length) : Ema(srcHTF, fast_length)
slow_ma = sma_source ? Sma(srcHTF, slow_length) : Ema(srcHTF, slow_length)
macd = fast_ma - slow_ma
signal = sma_signal ? Sma(macd, signal_length) : Ema(macd, signal_length)
hist = macd - signal
//plot(hist, title="Histogram", style=plot.style_columns, color=(hist>=0 ? (hist[1] < hist ? col_grow_above : col_fall_above) : (hist[1] < hist ? col_grow_below : col_fall_below) ), transp=0 )
plot(macd, title="MACD", color=col_macd, transp=0)
plot(signal, title="Signal", color=col_signal, transp=0)
/// MFI
MFIsource = hlc3
MFTsourceHTF = security(syminfo.tickerid, res, MFIsource[barstate.isrealtime ? 1 : 0])
length = input(15, minval=1, group="MFI", inline='1' )
lower = input(12, minval=0, maxval=50, group="MFI", inline='1')
upper = input(80, minval=50, maxval=100, group="MFI", inline='1')
// DrawMFI_f=input(true, title="Draw MFI?", type=bool)
HighlightBreaches=input(true, title="Highlight Oversold/Overbought?")
volumeHTF = security(syminfo.tickerid, res, volume[barstate.isrealtime ? 1 : 0])
// MFI
upper_s = sum(volumeHTF * (change(MFTsourceHTF) <= 0 ? 0 : MFTsourceHTF), length)
lower_s = sum(volumeHTF * (change(MFTsourceHTF) >= 0 ? 0 : MFTsourceHTF), length)
mf = rsi(upper_s, lower_s)
mfp = plot(mf, color=color.new(color.gray,0), linewidth=1)
top = hline(upper, color=color.new(color.gray, 100), linewidth=1, editable=false)
bottom = hline(lower, color=color.new(color.gray,100), linewidth=1, editable=false)
hline(0, color=color.new(color.black,100), editable=false)
hline(100, color=color.new(color.black,100), editable=false)
// Breaches
b_color = (mf > upper) ? color.new(color.red,70) : (mf < lower) ? color.new(color.green,60) : na
bgcolor(HighlightBreaches ? b_color : na)
fill(top, bottom, color=color.gray, transp=75)
//DEPRACATED
// TAKE PROFIT AND STOP LOSS
//useTP1 = input(false, title="Use TPI", group="TP/SL", inline='1', type=input.bool)
//long_tp1_inp = input(1, title='Long TP 1 %', step=0.1, group="TP/SL", inline='1')/100
//long_tp1_qty = input(20, title="Long TP 1 Qty", step=1, group="TP/SL", inline='1')
//traling profit after goal
useTP1 = false //these are defined because of depracation above
long_tp1_inp = 6 //these are defined because of depracation above
long_tp1_qty = 100 //these are defined because of depracation above
enableTrailing = input(defval = true, title = 'Enable Trailing', type=input.bool, tooltip = 'Enable or disable the trailing for take profit.', group = 'Trailing Profit',inline='1')
longTakeProfitPerc = input(title="Long TP (%)", type=input.float, minval=0.0, step=0.1, defval=4, group = 'Trailing Profit', inline='1') * 0.01
trailingTakeProfitDeviationPerc = input(defval = 0.5, title = 'TTP Dev %%', type=input.float, minval = 0.01, maxval = 100, step = 0.1, tooltip = 'The step to follow the price when the take profit limit is reached.', group = 'Trailing Profit', inline='1') / 100
//DEPRACATED
long_trailing =1.3 // input(1.3, title='Trailing Stop', step=0.1, group="TP/SL", inline='1', tooltip="") / 100
long_take_level_1 = strategy.position_avg_price * (1 + long_tp1_inp)
longTPPrice = strategy.position_avg_price * (1 + longTakeProfitPerc)
longLossPerc = input(8, title="Fixed SL (%)", type=input.float, minval=0.0, step=0.1, defval=1, tooltip="Use 100 to turn off - Stop loss % even if ATR did not catch it") * 0.01
longStopPrice = strategy.position_avg_price * (1 - longLossPerc)
//DEPRACATED
// Stop Loss DEPRACATD
multiplier = 2 //input(2, "SL Mult", minval=1, step=0.1, group="TP/SL", inline='2')
ATR_period= 40 //input(40,"ATR Pd", minval=1, step=1, group="TP/SL", inline='2')
//DEPRACATED
//FILTER LOGIC
//Display numbers
showData = input(false, title="Show Data", group="Filters", inline='3', type=input.bool, tooltip="Use this to help see numbers and help set filters")
//Only trade above this MA
aboveTrend = input(false, title="Use Trend", group="Filters", inline='1', type=input.bool)
TrendLength = input(3, minval=1, title="Trend EMA", group="Filters", inline='1', type=input.integer)
aboveTrendFilter = ema(htfClose,TrendLength)
useRSI = input(false, title="Use RSI", group="Filters", inline='2', type=input.bool)
RSILength = input(34, minval=1, title="RSI Length", group="Filters", inline='2') // used to calculate RSI
belowRSIFilter = input(50, minval=1, title="Buy Below RSI Filter", group="Filters", inline='2') // only buy if its below this RSI - doesn't seem to work as expected
rsi = rsi(htfClose,RSILength)
//Filter via min ATR so you can make sure that there is enough volatility to make a profitable trade
minATR = input(0, title="Min ATR", type=input.float, minval=0.0, step=0.001, defval=1, tooltip="Use 0 to turn off - can remove periods of low volatility where less likely profitable")
if not(useRSI)
belowRSIFilter := 100
if not(aboveTrend)
aboveTrendFilter := 0 //should never have 0 moving average so should always be above
atr = Atr(ATR_period,res)
//show actual numbers
if bar_index % 25 == 0 and showData
label.new(bar_index, na, "RSI = " + tostring(rsi, format.mintick) + "\nATR = "+ tostring(atr, format.mintick), yloc = yloc.abovebar, style = label.style_none, textcolor = color.white, size = size.normal)
// Strategy
entry_long=(crossover(macd,signal) or (crossover(mf,lower) and leadLine2 < leadLine1)) and rsi < belowRSIFilter and close > aboveTrendFilter and atr > minATR
entry_price_long=valuewhen(entry_long,high,0)
//SL_floating_long = entry_price_long -( (entry_price_long)*multiplier/100)//*Atr(ATR_period,res)
//SL_floating_long = entry_price_long - multiplier*Atr(ATR_period,res)
SL_floating_long = entry_price_long - multiplier*atr
exit_long= close < SL_floating_long or close < longStopPrice
bool longIsActive = entry_long or strategy.position_size > 0
// LOGIC for Trailing Profit ============================================================================================================
float longTakeProfitPrice = na
longTakeProfitPrice := if longIsActive
if entry_long and not (strategy.position_size > 0)
close * (1 + longTakeProfitPerc)
else
nz(longTakeProfitPrice[1], close * (1 + longTakeProfitPerc))
else
na
longTrailingTakeProfitStepTicks = longTakeProfitPrice * trailingTakeProfitDeviationPerc / syminfo.mintick
var takeProfitColor = color.new(#419388, 0)
plot(series = longTakeProfitPrice, title = 'Long Take Profit', color = takeProfitColor, linewidth = 1, style = plot.style_linebr, offset = 1)
///// BACKTEST PERIOD ///////
testStartYear = input(2018, "Fr Year", group="Backtest", inline="1")
testStartMonth = input(1, "Fr Month", group="Backtest", inline="1")
testStartDay = input(1, "Fr Day", group="Backtest", inline="1")
testPeriodStart = timestamp(testStartYear, testStartMonth, testStartDay, 0, 0)
testStopYear = input(9999, "To Year", group="Backtest", inline="2")
testStopMonth = input(12, "To Month", group="Backtest", inline="2")
testStopDay = input(31, "To Day", group="Backtest", inline="2")
testPeriodStop = timestamp(testStopYear, testStopMonth, testStopDay, 0, 0)
testPeriod() =>
time >= testPeriodStart and time <= testPeriodStop ? true : false
if testPeriod()
if UT
strategy.entry("long", strategy.long, when=entry_long == true, comment=openlongcomment)
if (useTP1)
strategy.exit("TP1","long", qty_percent=long_tp1_qty, limit=long_take_level_1)
//if (strategy.position_size > 0)
if (strategy.position_size > 0) and close > longTPPrice
//strategy.exit(id="long", profit = longTPPrice, comment=closelongcomment)
// submit exit orders for trailing take profit price
strategy.exit(id = 'Long Trailing Profit', from_entry = 'long', comment=closelongcomment, limit = enableTrailing ? na : longTakeProfitPrice, trail_price = enableTrailing ? longTakeProfitPrice : na, trail_offset = enableTrailing ? longTrailingTakeProfitStepTicks : na, when = longIsActive, alert_message = 'Long(' + syminfo.ticker + '): Take Profit activated')
strategy.exit("ATR Trail stop","long", comment=closelongcomment, trail_points=entry_price_long * long_trailing / syminfo.mintick, trail_offset=entry_price_long * long_trailing / syminfo.mintick)
strategy.close("long", exit_long == true, comment=closelongcomment )