Strategi ini menggunakan Indeks Prestasi Harga (PPI) untuk menentukan arah trend pasaran - pergi lama apabila PPI naik dan pendek apabila jatuh.
Logik utama:
PPI mengira perubahan harga peratusan dalam tempoh (default 14 hari)
Apabila PPI naik, ia menunjukkan kenaikan harga - pergi panjang
Apabila PPI jatuh, ia menunjukkan penurunan harga - pergi pendek
Pilihan untuk membalikkan isyarat perdagangan
PPI yang meningkat menunjukkan momentum menaik, PPI yang jatuh menunjukkan momentum menurun. Mengesan PPI dengan parameter yang betul dapat menangkap trend jangka menengah dan panjang.
Penunjuk mudah untuk menentukan trend harga dan momentum
Parameter yang boleh disesuaikan sesuai dengan pelbagai produk
Logik perdagangan yang jelas dan intuitif
Perdagangan pembalikan menyesuaikan diri dengan persekitaran pasaran yang berbeza
Tidak dapat menapis bunyi jangka pendek, cenderung untuk pecah palsu
Tiada saiz kedudukan atau pengurusan stop loss
Parameter yang buruk mungkin terlepas trend atau perdagangan berlebihan
Pengurangan:
Mengoptimumkan parameter untuk mengimbangi kestabilan dan kepekaan
Tambah stop loss kepada loss kawalan setiap perdagangan
Pertimbangkan saiz kedudukan untuk mengurangkan risiko setiap perdagangan
Gabungan parameter ujian untuk produk yang berbeza
Tambah penapis lain untuk menyaring isyarat palsu
Membangunkan mekanisme pengukuran kedudukan dinamik
Tambah penangguhan atau stop loss berasaskan masa
ML untuk menilai kualiti isyarat
Strategi ini menentukan trend oleh indeks prestasi harga, dengan kesederhanaan dan keseragaman. Penambahbaikan lanjut dalam parameter, kawalan risiko dan lain-lain boleh menjadikannya strategi kuantiti yang kukuh. Ia menyediakan pendekatan yang berkesan menggunakan penunjuk mudah untuk pengesanan trend.
/*backtest
start: 2022-09-14 00:00:00
end: 2023-09-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 23/03/2018
// The Performance indicator or a more familiar term, KPI (key performance indicator),
// is an industry term that measures the performance. Generally used by organizations,
// they determine whether the company is successful or not, and the degree of success.
// It is used on a business’ different levels, to quantify the progress or regress of a
// department, of an employee or even of a certain program or activity. For a manager
// it’s extremely important to determine which KPIs are relevant for his activity, and
// what is important almost always depends on which department he wants to measure the
// performance for. So the indicators set for the financial team will be different than
// the ones for the marketing department and so on.
//
// Similar to the KPIs companies use to measure their performance on a monthly, quarterly
// and yearly basis, the stock market makes use of a performance indicator as well, although
// on the market, the performance index is calculated on a daily basis. The stock market
// performance indicates the direction of the stock market as a whole, or of a specific stock
// and gives traders an overall impression over the future security prices, helping them decide
// the best move. A change in the indicator gives information about future trends a stock could
// adopt, information about a sector or even on the whole economy. The financial sector is the
// most relevant department of the economy and the indicators provide information on its overall
// health, so when a stock price moves upwards, the indicators are a signal of good news. On the
// other hand, if the price of a particular stock decreases, that is because bad news about its
// performance are out and they generate negative signals to the market, causing the price to go
// downwards. One could state that the movement of the security prices and consequently, the movement
// of the indicators are an overall evaluation of a country’s economic trend.
//
// You can change long to short in the Input Settings
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
strategy(title="Perfomance index Backtest")
Period = input(14, minval=1)
reverse = input(false, title="Trade reverse")
xKPI = (close - close[Period]) * 100 / close[Period]
clr = iff(xKPI > 0, green, red)
p1 = plot(xKPI, color=blue, title="KPI")
p2 = plot(0, color=blue, title="0")
pos = iff(xKPI > 0, 1,
iff(xKPI < 0, -1, nz(pos[1], 0)))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1, 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
barcolor(possig == -1 ? red: possig == 1 ? green : blue )
fill(p1,p2,color=clr)