Strategi ini menggabungkan penunjuk MACD dan RSI untuk melaksanakan perdagangan panjang dan pendek secara serentak, untuk mendapatkan pulangan yang berlebihan dalam situasi trend yang tidak jelas.
Penyelesaian Risiko:
Strategi ini melaksanakan perdagangan dua arah dengan kombinasi MACD dan RSI. Menggunakan stop loss yang mengikuti untuk mengunci keuntungan dapat menghasilkan pulangan yang berlebihan di pasaran bukan trend. Strategi ini boleh dioptimumkan lebih lanjut pada parameter, strategi stop loss dan lain-lain untuk mendapatkan pulangan yang lebih konsisten.
/*backtest
start: 2023-09-08 00:00:00
end: 2023-10-08 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
// Revision: 290
// Author: @Hugo_Moriceau
//study("Moriceau_Crypto_strategies_Long_short_indicator_thesis",overlay=true)
// Pyramide 10 order size 100, every tick
strategy("Moriceau_Crypto_strategies_Long_short_indicator",overlay=true)
// === GENERAL INPUTS ===
fast = 12, slow = 26
fastMA = ema(close, fast)
slowMA = ema(close, slow)
macd = fastMA - slowMA
signal = sma(macd, 9)
rsi = rsi(close,14)
dataB = macd < -0.1 and rsi<27 and fastMA < slowMA
// data1 = macd > 0.125 and rsi>81 and fastMA> slowMA
dataS = macd > 0.125 and rsi > 81 and fastMA > slowMA
tradeInvert = input(defval = false, title = "Invert Trade Direction?")
// === LOGIC ===
// is fast ma above slow ma?
Achat = macd < -0.1 and rsi < 27 and fastMA < slowMA ? true : false
vente = macd > 0.125 and rsi > 81 and fastMA > slowMA ? true : false
// are we inverting our trade direction?
tradeDirection = vente ? Achat ? false : true : Achat ? true : false
// === Plot Setting ===
plot(fastMA,color=red)
plot(slowMA,color=blue)
barcolor(color=iff(fastMA > slowMA, yellow, na))
barcolor(color=iff(fastMA < slowMA, black, na))
//barcolor(color=iff(macd > 0.12*close , fuchsia, na))
//barcolor(color=iff(macd < -0.1*close , lime, na))
plotchar(dataB, char='B',color=black,size = size.auto,location = location.belowbar,transp= 0)
plotchar(dataS, char='S',color=black,size = size.auto,location = location.abovebar,transp= 0)
//fast = plot(maFast, title = "FastMA", color = yellow, linewidth = 2, style = line, transp = 50)
//slow = plot(maSlow, title = "SlowMA", color = black, linewidth = 2, style = line, transp = 50)
// === BACKTEST RANGE ===
FromMonth = input(defval = 05, title = "From Month", minval = 1)
FromDay = input(defval = 23, title = "From Day", minval = 1)
FromYear = input(defval = 2021, title = "From Year", minval = 2017)
ToMonth = input(defval = 5, title = "To Month", minval = 1)
ToDay = input(defval = 25, title = "To Day", minval = 1)
ToYear = input(defval = 2021, title = "To Year", minval = 2017)
// === STRATEGY RELATED INPUTS ===+
// the risk management inputs
inpTakeProfit = input(defval = 2500, title = "Take Profit", minval = 28)
inpStopLoss = input(defval = 600, title = "Stop Loss", minval = 15)
inpTrailStop = input(defval = 300, title = "Trailing Stop Loss", minval = 5)
inpTrailOffset = input(defval = 50, title = "Trailing Stop Loss Offset", minval = 1)
// === RISK MANAGEMENT VALUE PREP ===
// if an input is less than 1, assuming not wanted so we assign 'na' value to disable it.
useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na
useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na
useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na
useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() => not tradeDirection[1] and tradeDirection
exitLong() => tradeDirection[1] and not tradeDirection
strategy.entry(id = "Achat", long = true, when = enterLong()) // use function or simple condition to decide when to get in
strategy.close(id = "TP 50% Sell", when = exitLong()) // ...and when to get out
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() => tradeDirection[1] and not tradeDirection
exitShort() => not tradeDirection[1] and tradeDirection
strategy.entry(id = "Vente", long = false, when = enterShort())
strategy.close(id = "Vente", when = exitShort())
// === STRATEGY RISK MANAGEMENT EXECUTION ===
// finally, make use of all the earlier values we got prepped
strategy.exit("Vente", from_entry = "Vente", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)
strategy.exit("Short", from_entry = "Achat", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset)