Strategi ini menggunakan penunjuk KD untuk menentukan kekuatan dan kelemahan pasaran, dan berdagang kedua-dua arah berdasarkan momentum. Khususnya, pasaran dianggap kuat apabila K melintasi di atas 80, dan lemah apabila K melintasi di bawah 20.
Kelebihan strategi ini adalah merebut pelbagai titik perubahan dengan cara yang tepat pada masanya. Walau bagaimanapun, KD sendiri mempunyai kelewatan yang kuat, dan tidak dapat mendahului belokan. Juga, piramid membawa risiko yang tinggi. Hentikan kerugian yang ketat adalah penting, jika tidak, kerugian boleh berkembang dengan cepat.
Ringkasnya, strategi pengesanan dua arah KD dapat memanfaatkan momentum yang kuat tetapi dengan risiko yang besar. Ujian balik yang komprehensif, pengoptimuman parameter, dan mekanisme stop loss yang baik diperlukan untuk aplikasi langsung yang stabil.
/*backtest
start: 2023-08-11 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
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/
// © Tonyder
//@version=4
// strategy("KD base strategy", overlay=true, pyramiding=1000, process_orders_on_close=true, precision=6, max_bars_back=720)
max=input(defval=20, title="庫存上限(share)", type=input.integer)
min=input(defval=-10, title="庫存下限(share)", type=input.integer)
period=input(defval=9, title="KD 週期(KD period)", type=input.integer, minval=2)
k=0.0
rsv=0.0
dir2=0
sum2=0.0
share2=0
first=0
up=0.0
bottom=0.0
k80=0.0
k50=0.0
k20=0.0
k_value=0.0
share=strategy.position_size
rsv:=stoch(close, high, low, period)
up:=highest(high,period)
bottom:=lowest(low,period)
if bar_index <= period
k:=rsv
dir2:=0
sum2:=0
else
k:=k[1]*2/3 + rsv/3
dir2 := dir2[1]
sum2 := sum2[1]
// rsv = 100 * (close - lowest(low, period)) / (highest(high, period) - lowest(low, period))
// k=k[1]*2/3 + rsv/3
// 3k=k[1]*2 + rsv
// 3k-k[1]*2= 100 * (close - lowest(low, period)) / (highest(high, period) - lowest(low, period))
// (3k-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period) = close
// let k = 80, close = (3*80-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
k80:=(3*80-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
k50:=(3*50-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
k20:=(3*20-k[1]*2)/100*(highest(high, period) - lowest(low, period)) + lowest(low, period)
// rule 1, strong target, buy when k < 50.
if (dir2 == 1 and k[1] >= 50 and k < 50 and sum2 < 1 and sum2 >= 0 and sum2 < 0.66)
sum2 := sum2 + 0.33
// rule 2, weak target, sell when k > 50.
if (dir2 == -1 and k[1] <= 50 and k > 50 and sum2 > -1 and sum2 <= 0 and sum2 > -0.66)
sum2 := sum2 -0.33
// become to strong
if (k >= 80)
dir2 := 1
// become to weak
if (k <= 20)
dir2 := -1
// rule 3, strong become to weak, buy when k < 20
if (dir2 == -1 and dir2[1] == 1)
sum2 := sum2 + 0.33
// rule 4, weak become to strong, buy when k > 80
if (dir2 == 1 and dir2[1] == -1)
sum2 := sum2 - 0.33
// rule 5, strong but share is smaller than 0
if (dir2 == 1 and k[1] >= 50 and k < 50 and sum2 <= 0)
sum2 := 0.33
// rule 6, weak but share is bigger than 0
if (dir2 == -1 and k[1] >= 50 and k < 50 and sum2 >= 0)
sum2 := -0.33
if sum2 > 0
share2 := round(sum2 * max)
else
if sum2 < 0
share2 := round(abs(sum2) * min)
if share2 > share
strategy.order(id='buy', long=true)
else
if share2 < share
strategy.order(id="sell", long=false)
plot(share, "持股(share)")
plot(dir2, "方向(direction)")
plot(k80, "Strong", color.red)
plot(k50, "Middle", color.white)
plot(k20, "Weak", color.green)
plot(k, "k")