Strategi Mengikuti Trend Persilangan Purata Pergerakan


Tarikh penciptaan: 2023-09-15 16:56:40 Akhirnya diubah suai: 2023-09-15 16:56:40
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Strategi ini dinamakanStrategi Mengikuti Trend Persilangan Purata PergerakanStrategi ini menggunakan pelbagai kumpulan penunjuk purata bergerak untuk menentukan titik perubahan trend pasaran dan melakukan operasi pengesanan trend.

Prinsip Strategi

  1. Hitung purata bergerak untuk pelbagai set parameter yang berbeza, seperti MA ((5), MA ((10) dan sebagainya.

  2. Apabila purata bergerak kitaran pendek melintasi purata bergerak kitaran panjang, ia menghasilkan isyarat beli.

  3. Apabila purata bergerak kitaran pendek berada di bawah purata bergerak kitaran panjang, ia menghasilkan isyarat menjual.

  4. Crossover adalah fungsi silang, digunakan untuk menilai hubungan silang, jangka panjang atau pendek boleh disetel secara fleksibel.

Peraturan urus niaga khusus

  1. Tetapkan pelbagai kumpulan purata bergerak, seperti MA 8, MA 13, MA 21 dan sebagainya.

  2. Apabila memakai MA(8) pada MA(13) , buatlah entri tambahan.

  3. Apabila MA ((8) memakai MA ((13)), buat kosong masuk.

  4. Jenis purata bergerak boleh ditetapkan, seperti EMA, SMA dan lain-lain.

  5. Syarat penapisan lain boleh ditambah untuk mengelakkan penembusan palsu.

Kelebihan Strategik

  1. Menggunakan trend tracker untuk mengelakkan perdagangan berlawanan arah.

  2. Fleksibiliti untuk mengombinasikan kitaran MA, menyesuaikan diri dengan kitaran yang berbeza.

  3. Tanda penapis penunjuk tambahan boleh ditambah.

  4. Penarikan balik yang lebih kecil, boleh menetapkan stop loss untuk mengawal risiko lebih lanjut.

Risiko Strategik

  1. Risiko peningkatan kerugian pegangan semasa turun naik kitaran besar

  2. Peraturan kitaran MA yang tidak betul, mungkin kehilangan peluang dagangan.

  3. Ia perlu ditangguhkan untuk mengelakkan penarikan balik yang berlebihan.

  4. Kos transaksi juga mempengaruhi tahap keuntungan.

ringkaskan

Bergerak rata-rata strategi trend pengesanan silang, dengan trend sebagai raja, mengejar cetakan. Dengan parameter pengoptimuman, anda boleh mendapatkan jangka masa panjang dan jangka masa pendek. Analisis teknik tambahan dapat meningkatkan keberkesanan.

Kod sumber strategi
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-08 09:00:00
period: 10m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=3
//Converted to strategy by shawnteoh

strategy(title = "MA Emperor insiliconot Strategy" , overlay=true, pyramiding=1, precision=8)
strat_dir_input = input(title="Strategy Direction", defval="long", options=["long", "short", "all"])
strat_dir_value = strat_dir_input == "long" ? strategy.direction.long : strat_dir_input == "short" ? strategy.direction.short : strategy.direction.all
strategy.risk.allow_entry_in(strat_dir_value)

// Testing start dates
testStartYear = input(2020, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
//Stop date if you want to use a specific range of dates
testStopYear = input(2030, "Backtest Stop Year")
testStopMonth = input(12, "Backtest Stop Month")
testStopDay = input(30, "Backtest Stop Day")
testPeriodStop = timestamp(testStopYear,testStopMonth,testStopDay,0,0)
// Order size
orderQty = input(1, "Order quantity", type = float)
// Plot indicator
plotInd = input(false, "Plot indicators?", type = bool)

testPeriod() => true

haClose = close
haOpen  = open
haHigh  = high
haLow   = low 

haClose := (open + high + low + close) / 4
haOpen  := (nz(haOpen[1]) + nz(haClose[1])) / 2
haHigh  := max(high, max(haOpen, haClose))
haLow   := min(low , min(haOpen, haClose))

ssrc = close
ha = false

o = ha ? haOpen : open
c = ha ? haClose : close
h = ha ? haHigh : high
l = ha ? haLow : low

ssrc := ssrc == close ? ha ? haClose : c : ssrc
ssrc := ssrc == open ? ha ? haOpen : o : ssrc
ssrc := ssrc == high ? ha ? haHigh : h : ssrc
ssrc := ssrc == low ? ha ? haLow : l : ssrc
ssrc := ssrc == hl2 ? ha ? (haHigh + haLow) / 2 : hl2 : ssrc
ssrc := ssrc == hlc3 ? ha ? (haHigh + haLow + haClose) / 3 : hlc3 : ssrc
ssrc := ssrc == ohlc4 ? ha ? (haHigh + haLow + haClose+ haOpen) / 4 : ohlc4 : ssrc

type = input(defval = "EMA", title = "Type", options = ["Butterworth_2Pole", "DEMA", "EMA", "Gaussian", "Geometric_Mean", "LowPass", "McGuinley", "SMA", "Sine_WMA", "Smoothed_MA", "Super_Smoother",  "Triangular_MA", "Wilders", "Zero_Lag"])

len1=input(8, title ="MA 1")
len2=input(13, title = "MA 2") 
len3=input(21, title = "MA 3")
len4=input(55, title = "MA 4")
len5=input(89, title = "MA 5")
lenrib=input(120, title = "IB")
lenrib2=input(121, title = "2B")
lenrib3=input(200, title = "21b")
lenrib4=input(221, title = "22b")

onOff1  = input(defval=true, title="Enable 1")
onOff2  = input(defval=true, title="Enable 2")
onOff3  = input(defval=true, title="Enable 3")
onOff4  = input(defval=false, title="Enable 4")
onOff5  = input(defval=false, title="Enable 5")
onOff6  = input(defval=false, title="Enable 6")
onOff7  = input(defval=false, title="Enable 7")
onOff8  = input(defval=false, title="Enable x")
onOff9  = input(defval=false, title="Enable x")


gauss_poles = input(3, "*** Gaussian poles ***",  minval = 1, maxval = 14) 
linew = 2
shapes = false

 
variant_supersmoother(src,len) =>
    Pi = 2 * asin(1)
    a1 = exp(-1.414* Pi / len)
    b1 = 2*a1*cos(1.414* Pi / len)
    c2 = b1
    c3 = (-a1)*a1
    c1 = 1 - c2 - c3
    v9 = 0.0
    v9 := c1*(src + nz(src[1])) / 2 + c2*nz(v9[1]) + c3*nz(v9[2])
    v9
    
variant_smoothed(src,len) =>
    v5 = 0.0
    v5 := na(v5[1]) ? sma(src, len) : (v5[1] * (len - 1) + src) / len
    v5

variant_zerolagema(src, len) =>
    price = src
    l = (len - 1) / 2
    d = (price + (price - price[l]))
    z = ema(d, len)
    z
    
variant_doubleema(src,len) =>
    v2 = ema(src, len)
    v6 = 2 * v2 - ema(v2, len)
    v6

variant_WiMA(src, length) =>
    MA_s= nz(src)
    MA_s:=(src + nz(MA_s[1] * (length-1)))/length
    MA_s
    
fact(num)=>
    a = 1
    nn = num <= 1 ? 1 : num
    for i = 1 to nn
        a := a * i
    a
    
getPoles(f, Poles, alfa)=>
    filt = f
    sign = 1
    results = 0 + n//tv series spoofing
    for r = 1 to max(min(Poles, n),1)
	    mult  = fact(Poles) / (fact(Poles - r) * fact(r))
	    matPo = pow(1 - alfa, r)
        prev  = nz(filt[r-1],0)
        sum   =  sign * mult * matPo * prev
        results := results + sum
        sign  := sign * -1
    results := results - n
    results
    
variant_gauss(Price, Lag, Poles)=>
    Pi = 2 * asin(1)
    beta = (1 - cos(2 * Pi / Lag)) / ( pow (sqrt(2), 2.0 / Poles) - 1)
    alfa = -beta + sqrt(beta * beta +  2 * beta)
    pre = nz(Price, 0) * pow(alfa, Poles) 
    filter = pre
    result = n > 0 ?  getPoles(nz(filter[1]), Poles, alfa) : 0
    filter := pre + result

variant_mg(src, len)=>
    mg = 0.0
    mg := na(mg[1]) ? ema(src, len) : mg[1] + (src - mg[1]) / (len * pow(src/mg[1], 4))
    mg
    
variant_sinewma(src, length) =>
    PI = 2 * asin(1)
    sum = 0.0
    weightSum = 0.0
    for i = 0 to length - 1
        weight = sin(i * PI / (length + 1))
        sum := sum + nz(src[i]) * weight
        weightSum := weightSum + weight
    sinewma = sum / weightSum
    sinewma
    
variant_geoMean(price, per)=>
    gmean = pow(price, 1.0/per)
    gx = for i = 1 to per-1
        gmean := gmean * pow(price[i], 1.0/per)
        gmean
    ggx = n > per? gx : price    
    ggx


variant_butt2pole(pr, p1)=>
    Pi = 2 * asin(1)
    DTR = Pi / 180    
    a1 = exp(-sqrt(2) * Pi / p1)
    b1 = 2 * a1 * cos(DTR * (sqrt(2) * 180 / p1))
    cf1 = (1 - b1 + a1 * a1) / 4
    cf2 = b1
    cf3 = -a1 * a1
    butt_filt = pr
    butt_filt := cf1 * (pr + 2 * nz(pr[1]) + nz(pr[2])) + cf2 * nz(butt_filt[1]) + cf3 * nz(butt_filt[2])

variant_lowPass(src, len)=>
    LP = src
    sr = src
    a = 2.0 / (1.0 + len)
    LP := (a - 0.25 * a * a) * sr + 0.5 * a * a * nz(sr[1]) - (a - 0.75 * a * a) * nz(sr[2]) + 2.0 * (1.0 - a) * nz(LP[1]) - (1.0 - a) * (1.0 - a) * nz(LP[2])
    LP


variant_sma(src, len) =>
    sum = 0.0
    for i = 0 to len - 1
        sum := sum + src[i] / len
    sum

variant_trima(src, length) =>
    len = ceil((length + 1) * 0.5)
    trima =  sum(sma(src, len), len)/len
    trima
 
 
    
variant(type, src, len) =>
      type=="EMA"   ? ema(src, len) : 
      type=="LowPass" ? variant_lowPass(src, len) :  
      type=="Linreg"  ? linreg(src, len, 0) : 
      type=="Gaussian"  ? variant_gauss(src, len, gauss_poles) :
      type=="Sine_WMA"  ? variant_sinewma(src, len) :
      
      type=="Geometric_Mean"  ? variant_geoMean(src, len) :
      
      type=="Butterworth_2Pole" ? variant_butt2pole(src, len) : 
      type=="Smoothed_MA"  ? variant_smoothed(src, len) :
      type=="Triangular_MA"  ? variant_trima(src, len) : 
      type=="McGuinley" ? variant_mg(src, len) : 
      type=="DEMA"  ? variant_doubleema(src, len):  
      type=="Super_Smoother"  ? variant_supersmoother(src, len) : 
      type=="Zero_Lag"  ? variant_zerolagema(src, len) :  
      type=="Wilders"? variant_WiMA(src, len) : variant_sma(src, len)


c1=#44E2D6
c2=#DDD10D
c3=#0AA368
c4=#E0670E
c5=#AB40B2

cRed = #F93A00


ma1 =  variant(type, ssrc, len1)
ma2 =  variant(type, ssrc, len2)
ma3 =  variant(type, ssrc, len3)
ma4 =  variant(type, ssrc, len4)
ma5 =  variant(type, ssrc, len5)
ma6 =  variant(type, ssrc, lenrib)
ma7 =  variant(type, ssrc, lenrib2)
ma8 =  variant(type, ssrc, lenrib3)
ma9 =  variant(type, ssrc, lenrib4)

col1 = c1
col2 = c2
col3 = c3
col4 = c4
col5 = c5

p1 = plot(onOff1 ? ma1 : na, title = "MA 1",  color = col1,  linewidth = linew, style = linebr)
p2 = plot(onOff2 ? ma2 : na, title = "MA 2",  color = col2,  linewidth = linew, style = linebr)
p3 = plot(onOff3 ? ma3 : na, title = "MA 3",  color = col3,  linewidth = linew, style = linebr)
p4 = plot(onOff4 ? ma4 : na, title = "MA 4",  color = col4,  linewidth = linew, style = linebr)
p5 = plot(onOff5 ? ma5 : na, title = "MA 5",  color = col5,  linewidth = linew, style = linebr)
p6 = plot(onOff6 ? ma6 : na, title = "MA 6",  color = col5,  linewidth = linew, style = linebr)
p7 = plot(onOff7 ? ma7 : na, title = "MA 7",  color = col5,  linewidth = linew, style = linebr)
p8 = plot(onOff8 ? ma8 : na, title = "MA 8",  color = col5,  linewidth = linew, style = linebr)
p9 = plot(onOff9 ? ma9 : na, title = "MA 9",  color = col5,  linewidth = linew, style = linebr)

longCond = crossover(ma2, ma3)
if longCond and testPeriod()
    strategy.entry("buy", strategy.long, qty = orderQty, when = open > ma2[1])

shortCond = crossunder(ma2, ma3)
if shortCond and testPeriod()
    strategy.entry("sell", strategy.short, qty = orderQty, when = open < ma2[1])

plotshape(series=plotInd? longCond : na, title="P", style=shape.triangleup, location=location.belowbar, color=green, text="P", size=size.small)   
plotshape(series=plotInd? shortCond : na, title="N", style=shape.triangledown, location=location.abovebar, color=red, text="N", size=size.small)