전반적인 설명 이 전략은 세 개의 이동 평균 라인 (MA1, MA2, MA3) 의 교차에 기반합니다. 세 가지 MAs의 유형, 기간, 가격 데이터 소스, 해상도를 설정하고 또한 교차 상에서 거래를 가능하게 함으로써 유연한 거래 전략 조합을 얻을 수 있습니다.
원칙 이 전략은 주로 3개의 이동 평균선 사이의 크로스오버 및 언더크로스 신호를 거래 신호로 사용합니다. 짧은 기간 MA가 더 긴 기간 MA를 밑에서 위로 넘으면 긴 입구 신호를 생성합니다. 짧은 기간 MA가 더 긴 기간 MA를 위에서 아래로 넘으면 출구 신호를 생성합니다.
사용자는 세 개의 MAs의 유형 (SMA, EMA, 등), 기간, 가격 데이터 소스 (폐기 가격, 최고 가격, 등) 및 해상도 (분간 바, 일간 바, 등) 를 자유롭게 선택할 수 있습니다. 또한 각 MA 사이의 교차에서 거래는 특정 교차에서 거래 조치를 취할지 여부를 결정하기 위해 활성화 또는 비활성화 할 수 있습니다.
현재 전략은 단지 시장 주문으로 입점 및 출점 포지션으로 장기간 진행됩니다. 기본적으로 각 거래는 전체 계정 자본의 100%를 사용합니다.
장점
위험성
최적화 제안
요약 이 전략은 MAs의 매끄러운 특성과 크로스오버 신호의 패턴 인식 능력을 포괄적으로 활용합니다. 사용자는 트렌드 다음과 역전 식별 사이의 균형을 맞추기 위해 매개 변수를 유연하게 선택할 수 있습니다. 또한 백테스트에서 시뮬레이션 된 복잡한 시장 조건 하에서 전략 견고성을 검증함으로써 과잉 적합성의 위험을 제어해야합니다. 결론적으로이 전략은 거래에 여러 MAs를 활용하는 효과적인 예를 제공합니다.
/*backtest start: 2023-11-19 00:00:00 end: 2023-12-19 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // // Pine Script v4 // @author BigBitsIO // Script Library: https://www.tradingview.com/u/BigBitsIO/#published-scripts // // study(title, shorttitle, overlay, format, precision) // https://www.tradingview.com/pine-script-reference/#fun_strategy strategy(shorttitle = "TManyMA Strategy - ST9 - Long Market Only", title="Triple Many Moving Averages", overlay=true, pyramiding=1, default_qty_type=strategy.percent_of_equity, default_qty_value=100) // MA#Period is a variable used to store the indicator lookback period. In this case, from the input. // input - https://www.tradingview.com/pine-script-docs/en/v4/annotations/Script_inputs.html MA1Period = input(50, title="MA1 Period", minval=1, step=1) MA1Type = input(title="MA1 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA1Source = input(title="MA1 Source", type=input.source, defval=close) MA1Resolution = input(title="MA1 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA1Visible = input(title="MA1 Visible", type=input.bool, defval=true) // Will automatically hide crossBovers containing this MA MA2Period = input(100, title="MA2 Period", minval=1, step=1) MA2Type = input(title="MA2 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA2Source = input(title="MA2 Source", type=input.source, defval=close) MA2Resolution = input(title="MA2 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA2Visible = input(title="MA2 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA MA3Period = input(200, title="MA3 Period", minval=1, step=1) MA3Type = input(title="MA3 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA3Source = input(title="MA3 Source", type=input.source, defval=close) MA3Resolution = input(title="MA3 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA3Visible = input(title="MA3 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA ShowCrosses = input(title="Show Crosses", type=input.bool, defval=false) ForecastBias = input(title="Forecast Bias", defval="Neutral", options=["Neutral", "Bullish", "Bearish"]) ForecastBiasPeriod = input(14, title="Forecast Bias Period") ForecastBiasMagnitude = input(1, title="Forecast Bias Magnitude", minval=0.25, maxval=20, step=0.25) ShowForecasts = input(title="Show Forecasts", type=input.bool, defval=true) ShowRibbons = input(title="Show Ribbons", type=input.bool, defval=true) TradeMA12Crosses = input(title="Trade MA 1-2 Crosses", type=input.bool, defval=true) TradeMA13Crosses = input(title="Trade MA 1-3 Crosses", type=input.bool, defval=true) TradeMA23Crosses = input(title="Trade MA 2-3 Crosses", type=input.bool, defval=true) // MA# is a variable used to store the actual moving average value. // if statements - https://www.tradingview.com/pine-script-reference/#op_if // MA functions - https://www.tradingview.com/pine-script-reference/ (must search for appropriate MA) // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions ma(MAType, MASource, MAPeriod) => if MAType == "SMA" ta.sma(MASource, MAPeriod) else if MAType == "EMA" ta.ema(MASource, MAPeriod) else if MAType == "WMA" ta.wma(MASource, MAPeriod) else if MAType == "RMA" ta.rma(MASource, MAPeriod) else if MAType == "HMA" ta.wma(2*wma(MASource, MAPeriod/2)-ta.wma(MASource, MAPeriod), round(sqrt(MAPeriod))) else if MAType == "DEMA" e = ta.ema(MASource, MAPeriod) 2 * e - ta.ema(e, MAPeriod) else if MAType == "TEMA" e = ta.ema(MASource, MAPeriod) 3 * (e - ta.ema(e, MAPeriod)) + ta.ema(ema(e, MAPeriod), MAPeriod) else if MAType == "VWMA" ta.vwma(MASource, MAPeriod) res(MAResolution) => if MAResolution == "00 Current" timeframe.period else if MAResolution == "01 1m" "1" else if MAResolution == "02 3m" "3" else if MAResolution == "03 5m" "5" else if MAResolution == "04 15m" "15" else if MAResolution == "05 30m" "30" else if MAResolution == "06 45m" "45" else if MAResolution == "07 1h" "60" else if MAResolution == "08 2h" "120" else if MAResolution == "09 3h" "180" else if MAResolution == "10 4h" "240" else if MAResolution == "11 1D" "1D" else if MAResolution == "12 1W" "1W" else if MAResolution == "13 1M" "1M" // https://www.tradingview.com/pine-script-reference/#fun_request.security MA1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period)) MA2 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period)) MA3 = request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period)) // Plotting crossover/unders for all combinations of crosses // Crossovers no longer detected in label code, they need to be re-used for strategy - crosses and visibility must be set MA12Crossover = MA1Visible and MA2Visible and ta.crossover(MA1, MA2) MA12Crossunder = MA1Visible and MA2Visible and ta.crossunder(MA1, MA2) MA13Crossover = MA1Visible and MA3Visible and ta.crossover(MA1, MA3) MA13Crossunder = MA1Visible and MA3Visible and ta.crossunder(MA1, MA3) MA23Crossover = MA2Visible and MA3Visible and ta.crossover(MA2, MA3) MA23Crossunder = MA2Visible and MA3Visible and ta.crossunder(MA2, MA3) // https://www.tradingview.com/pine-script-reference/v4/#fun_label%7Bdot%7Dnew if ShowCrosses and MA12Crossunder lun1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA2Period)+' '+MA2Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun1, MA1) if ShowCrosses and MA12Crossover lup1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA2Period)+' '+MA2Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup1, MA1) if ShowCrosses and MA13Crossunder lun2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun2, MA1) if ShowCrosses and MA13Crossover lup2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup2, MA1) if ShowCrosses and MA23Crossunder lun3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun3, MA2) if ShowCrosses and MA23Crossover lup3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup3, MA2) // plot - This will draw the information on the chart // plot - https://www.tradingview.com/pine-script-docs/en/v4/annotations/plot_annotation.html plot(MA1Visible ? MA1 : na, color=color.green, linewidth=2, title="MA1") plot(MA2Visible ? MA2 : na, color=color.yellow, linewidth=3, title="MA2") plot(MA3Visible ? MA3 : na, color=color.red, linewidth=4, title="MA3") // Forecasting - forcasted prices are calculated using our MAType and MASource for the MAPeriod - the last X candles. // it essentially replaces the oldest X candles, with the selected source * X candles // Bias - We'll add an "adjustment" for each additional candle being forecasted based on ATR of the previous X candles // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions bias(Bias, BiasPeriod) => if Bias == "Neutral" 0 else if Bias == "Bullish" (atr(BiasPeriod) * ForecastBiasMagnitude) else if Bias == "Bearish" ((atr(BiasPeriod) * ForecastBiasMagnitude) * -1) // multiplying by -1 to make it a negative, bearish bias // Note - Can not show forecasts on different resolutions at the moment, x-axis is an issue Bias = bias(ForecastBias, ForecastBiasPeriod) // 14 is default atr period MA1Forecast1 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 1)) * (MA1Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA1Period MA1Forecast2 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 2)) * (MA1Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA1Period MA1Forecast3 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 3)) * (MA1Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA1Period MA1Forecast4 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 4)) * (MA1Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA1Period MA1Forecast5 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 5)) * (MA1Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA1Period plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast1 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 1", offset=1, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast2 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 2", offset=2, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast3 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 3", offset=3, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast4 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 4", offset=4, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast5 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 5", offset=5, show_last=1) MA2Forecast1 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 1)) * (MA2Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA2Period MA2Forecast2 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 2)) * (MA2Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA2Period MA2Forecast3 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 3)) * (MA2Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA2Period MA2Forecast4 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 4)) * (MA2Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA2Period MA2Forecast5 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 5)) * (MA2Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA2Period plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast1 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 1", offset=1, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast2 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 2", offset=2, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast3 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 3", offset=3, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast4 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 4", offset=4, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast5 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 5", offset=5, show_last=1) MA3Forecast1 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 1)) * (MA3Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA3Period MA3Forecast2 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 2)) * (MA3Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA3Period MA3Forecast3 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 3)) * (MA3Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA3Period MA3Forecast4 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 4)) * (MA3Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA3Period MA3Forecast5 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 5)) * (MA3Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA3Period plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast1 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 1", offset=1, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast2 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 2", offset=2, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast3 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 3", offset=3, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast4 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 4", offset=4, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast5 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 5", offset=5, show_last=1) // Ribbon related code // For Ribbons to work - they must use the same MAType, MAResolution and MASource. This is to ensure the ribbons are fair between one to the other. // Ribbons also will usually look better if MA1Period < MA2Period and MA2Period < MA3Period // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions // This function is used to calculate the period to be used on a ribbon based on existing MAs rperiod(P1, P2, Step, Ribbons) => ((array.abs(P1 - P2)) / (Ribbons + 1) * Step) + math.min(P1, P2) // divide by +1 so that 5 lines can show. Divide by 5 and one line shows up on another MA // MA1-MA2 Ribbon1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 1, 5))) Ribbon2 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 2, 5))) Ribbon3 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 3, 5))) Ribbon4 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 4, 5))) Ribbon5 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 5, 5))) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon1 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon1", transp=90) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon2 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon2", transp=85) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon3 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon3", transp=80) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon4 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon4", transp=75) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon5 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon5", transp=70) // MA2-MA3 Ribbon6 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 1, 5))) Ribbon7 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 2, 5))) Ribbon8 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 3, 5))) Ribbon9 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 4, 5))) Ribbon10 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 5, 5))) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon6 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon6", transp=70) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon7 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon7", transp=75) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon8 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon8", transp=80) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon9 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon9", transp=85) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon10 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon10", transp=90) // Strategy Specific if MA12Crossover and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 2", strategy.long, comment="1 over 2") if MA12Crossunder and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 2") if MA13Crossover and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 3", strategy.long, comment="1 over 3") if MA13Crossunder and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 3") if MA23Crossover and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("2 over 3", strategy.long, comment="2 over 3") if MA23Crossunder and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("2 over 3")