Strategi Jaring Ikan yang Dipertingkatkan
Strategi ini meningkatkan strategi ikan tradisional dengan menambah ambang isyarat beli / jual dan stop loss untuk membentuk sistem trend berikut yang lebih lengkap.
Strategi Fish Net menilai trend pasaran dengan mengira kekuatan centroid harga, yang mencerminkan hubungan antara harga dan jumlah.
kunci dalam mengira kuasa centroid terletak pada hubungan antara harga dan masa. dalam istilah yang mudah, perubahan harga baru-baru ini mempunyai berat yang lebih besar dalam mempengaruhi penilaian trend keseluruhan, sementara harga lama mempunyai berat yang lebih kecil. jadi ketika mengira, berat yang merosot dalam masa dikalikan. ini membuat transaksi yang berlaku pada tahap yang lebih tinggi memberi kesan kepada penilaian keseluruhan lebih banyak.
Tetapi Fish Net asal hanya menilai panjang / pendek berdasarkan arah lengkung centroid, dengan mudah terjebak dalam pergerakan sisi. Versi yang lebih baik ini menambah ambang isyarat beli / jual yang ditakrifkan, hanya menghasilkan isyarat apabila daya centroid melebihi magnitud tertentu, menapis banyak bunyi bising.
Selain itu, versi yang dipertingkatkan melaksanakan mekanisme gabungan penangguhan stop loss dan penangguhan stop loss tetap untuk keluar. Selepas memasuki trend, penangguhan stop loss boleh terus menyesuaikan diri bersama dengan tindakan harga, mencapai kawalan risiko dinamik. Penangguhan stop loss tetap dapat lebih dipercayai mencegah kerugian daripada peristiwa tiba-tiba.
Sudah tentu, penunjuk kekuatan sentroid mempunyai keupayaan yang terhad dalam pasaran yang kompleks, dan penangguhan penangguhan juga boleh ditembusi jika ditetapkan dengan tidak betul, jadi peniaga perlu berjaga-jaga dan mengoptimumkan parameter dengan tepat pada masanya.
/*backtest
start: 2023-09-04 00:00:00
end: 2023-09-11 00:00:00
period: 30m
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// Copyright nilux: https://www.tradingview.com/u/nilux/
// Based on the original of dasanc: https://www.tradingview.com/u/dasanc/
strategy("FSCG-TSSL", "FSCG-TSSL Mod Backtest", default_qty_type = strategy.percent_of_equity, default_qty_value = 100, initial_capital = 100000, slippage = 5)
Price = input.source(close, "Source")
Length = input(20,"Period")
transform = input("Inphase-Quadrature","Use Transform?",options=["Hilbert","Inphase-Quadrature","False"])
min = input(108,"Min. Period")
buyTreshold = input(-2.41, title = "Buy Treshold (-)", type = float, defval=-2.0, minval = -2.50, maxval = -0.01, step = 0.01)
sellTreshold = input(2.43, title = "Sell Treshold (+)", type = float, defval=2.0, minval = 0.01, maxval = 2.50, step = 0.01)
// === TSSL ===
fixedSL = input(title="SL Activation", defval=300)
trailSL = input(title="SL Trigger", defval=1)
fixedTP = input(title="TP Activation", defval=150)
trailTP = input(title="TP Trigger", defval=50)
// === BACKTEST RANGE ===
FromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12)
FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31)
FromYear = input(defval = 2019, title = "From Year", minval = 2015)
ToMonth = input(defval = 1, title = "To Month", minval = 1, maxval = 12)
ToDay = input(defval = 1, title = "To Day", minval = 1, maxval = 31)
ToYear = input(defval = 9999, title = "To Year", minval = 2015)
start = timestamp(FromYear, FromMonth, FromDay, 00, 00)
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)
window() => time >= start and time <= finish ? true : false
getIQ(src,min,max) =>
PI = 3.14159265359
P = src - src[7]
lenIQ = 0.0
lenC = 0.0
imult = 0.635
qmult = 0.338
inphase = 0.0
quadrature = 0.0
re = 0.0
im = 0.0
deltaIQ = 0.0
instIQ = 0.0
V = 0.0
inphase := 1.25*(P[4] - imult*P[2]) + imult*nz(inphase[3])
quadrature := P[2] - qmult*P + qmult*nz(quadrature[2])
re := 0.2*(inphase*inphase[1] + quadrature*quadrature[1]) + 0.8*nz(re[1])
im := 0.2*(inphase*quadrature[1] - inphase[1]*quadrature) + 0.8*nz(im[1])
if (re!= 0.0)
deltaIQ := atan(im/re)
for i=0 to max
V := V + deltaIQ[i]
if (V > 2*PI and instIQ == 0.0)
instIQ := i
if (instIQ == 0.0)
instIQ := nz(instIQ[1])
lenIQ := 0.25*instIQ + 0.75*nz(lenIQ[1],1)
length = lenIQ<min ? min : lenIQ
getHT(src) =>
Price = src
Imult = .635
Qmult = .338
PI = 3.14159
InPhase = 0.0
Quadrature = 0.0
Phase = 0.0
DeltaPhase = 0.0
InstPeriod = 0.0
Period = 0.0
Value4 = 0.0
if(n > 5)
//Detrend Price
Value3 = Price - Price[7]
//Compute InPhase and Quadrature components
InPhase := 1.25*(Value3[4] - Imult*Value3[2]) + Imult*nz(InPhase[3])
Quadrature := Value3[2] - Qmult*Value3 + Qmult*nz(Quadrature[2])
//Use ArcTangent to compute the current phase
if(abs(InPhase + InPhase[1]) > 0)
Phase := 180/PI * atan(abs((Quadrature + Quadrature[1]) / (InPhase + InPhase[1])))
//Resolve the ArcTangent ambiguity
if(InPhase < 0 and Quadrature > 0)
Phase := 180 - Phase
if(InPhase < 0 and Quadrature < 0)
Phase := 180 + Phase
if(InPhase > 0 and Quadrature < 0)
Phase := 360 - Phase
//Compute a differential phase, resolve phase wraparound, and limit delta phase errors
DeltaPhase := Phase[1] - Phase
if(Phase[1] < 90 and Phase > 270)
DeltaPhase := 360 + Phase[1] - Phase
if(DeltaPhase < 1)
DeltaPhase := 1
if(DeltaPhase > 60)
DeltaPhase := 60
//Sum DeltaPhases to reach 360 degrees. The sum is the instantaneous period.
for i = 0 to 50
Value4 := Value4 + DeltaPhase[i]
if(Value4 > 360 and InstPeriod == 0)
InstPeriod := i
//Resolve Instantaneous Period errors and smooth
if(InstPeriod == 0)
InstPeriod = nz(InstPeriod[1])
Period := .25*(InstPeriod) + .75*Period[1]
Period
//Get highest val in period
getHighest(src, len)=>
H = src[len]
for i=0 to len
if src[i]>H
H := src[i]
H
//Get lowest val in period
getLowest(src, len)=>
L = src[len]
for i=0 to len
if src[i]<L
L := src[i]
L
if transform == "Hilbert"
Length := round(getHT(Price)/2)
if transform == "Inphase-Quadrature"
Length := round(getIQ(Price,min,50)/2)
if Length<min
Length := min
Num = 0.0
Denom = 0.0
CG = 0.0
MaxCG = 0.0
MinCG = 0.0
Value1 = 0.0
Value2 = 0.0
Value3 = 0.0
for i = 0 to Length - 1
Num := Num + (1 + i)*(Price[i])
Denom := Denom + (Price[i])
if(Denom != 0)
CG := -Num/Denom + (Length + 1) / 2
MaxCG := getHighest(CG, Length)
MinCG := getLowest(CG, Length)
if(MaxCG != MinCG)
Value1 := (CG - MinCG) / (MaxCG - MinCG)
Value2 := (4*Value1 + 3*Value1[1] + 2*Value1[2] + Value1[3]) / 10
Value3 := .5*log((1+1.98*(Value2-.5))/(1-1.98*(Value2-.5)))
plot(Value3, "CG",orange, linewidth=2)
plot(Value3[1], "Trigger",green, linewidth=2)
hline(0,color=color(black,60))
hline(2,linestyle=hline.style_solid,color=color(black,70))
hline(-2,linestyle=hline.style_solid,color=color(black,70))
sell = crossover(Value3[1],Value3) and Value3 > sellTreshold
buy = crossunder(Value3[1],Value3) and Value3 < buyTreshold
strategy.entry("Long", strategy.long, when= buy and window())
strategy.exit("Exit", loss=fixedSL, trail_offset=trailTP, trail_points=fixedTP)
strategy.exit("Exit", when= sell)
strategy.entry("Short", strategy.short, when= sell and window())
strategy.exit("Exit", loss=fixedSL, trail_offset=trailTP, trail_points=fixedTP)
strategy.exit("Exit", when= buy)