Strategi kemasukan dan keluar rawak adalah strategi yang secara rawak memutuskan masa kemasukan dan keluar semasa perdagangan.
Logik teras strategi ini ialah:
Setiap lilin secara rawak akan menghasilkan nombor antara 0 hingga 100.
Jika nombor rawak adalah lebih rendah daripada ambang kemasukan yang ditetapkan, kedudukan akan dibuka.
Jika nombor rawak lebih rendah daripada ambang keluar yang ditetapkan, kedudukan akan ditutup.
Terdapat tiga pilihan arah: hanya panjang, hanya pendek, atau arah rawak.
Tahun permulaan juga boleh ditetapkan untuk mengelakkan tahun dengan turun naik pasaran yang besar.
Dengan menetapkan kombinasi yang berbeza dari kebarangkalian masuk, kebarangkalian keluar dan arah, kita boleh mensimulasikan tingkah laku perdagangan rawak dari pelbagai jenis peniaga dan memeriksa prestasi perdagangan rawak di pasaran yang berbeza.
Mensimulasikan pengambilan keputusan secara rawak pedagang sebenar, dekat dengan situasi pasaran sebenar.
Boleh menguji perbezaan prestasi perdagangan rawak di pelbagai pasaran.
Dapat mencari pasaran mana yang boleh menjana pulangan positif walaupun dengan perdagangan rawak.
Boleh menggunakan perdagangan rawak sebagai strategi penanda aras untuk menguji kelebihan strategi lain.
Tidak dapat mendapat keuntungan daripada trend pasaran, tidak dapat menentukan masa kemasukan yang optimum.
Keluar secara rawak boleh menghentikan kerugian pada tahap yang tidak baik.
Berprestasi buruk di pasaran dengan kecenderungan arah yang jelas.
Perlu mengoptimumkan kebarangkalian masuk/keluar untuk mengelakkan perdagangan berlebihan atau tempoh penahan yang tidak mencukupi.
Pertimbangkan untuk menambah stop loss untuk mengelakkan kerugian yang diperbesar.
Sesuaikan kebarangkalian masuk/keluar untuk mencari kombinasi yang sesuai untuk pasaran yang berbeza.
Tambah strategi stop loss untuk mengawal kerugian perdagangan tunggal.
Mengoptimumkan saiz kedudukan untuk mengurangkan risiko perdagangan tunggal.
Bertukar kepada trend mengikut strategi apabila trend jelas.
Gunakan analisis statistik untuk mengetahui pasaran mana yang lebih suka perdagangan rawak.
Strategi kemasukan dan keluar secara rawak menguji prestasi pasaran yang berbeza di bawah keputusan peniaga rawak yang disimulasikan. Logik strategi adalah mudah dan boleh berfungsi sebagai penanda aras untuk memeriksa strategi lain. Walau bagaimanapun, ia mempunyai kekurangannya seperti gagal menangkap trend dan kekurangan pengurusan stop loss yang betul.
/*backtest
start: 2022-10-04 00:00:00
end: 2023-10-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
args: [["v_input_1",2]]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © gregoirejohnb
//
// "tHe MaRkEtS aRe RaNdOm", say moron academics.
//
// The purpose of this study is to show that most markets are NOT random! Most markets show a clear bias where we can make such easy money, that a random number generator can do it.
//
// === HOW THE INDICATOR WORKS ===
//
// -The study will randomly enter the market
// -The study will randomly exit the market if in a trade
// -You can choose a Long Only, Short Only, or Bidirectional strategy
//
// === DEFAULT VALUES AND THEIR LOGIC ===
//
// Percent Chance to Enter Per Bar: 10%
// Percent Chance to Exit Per Bar: 1%
// Direction: Long Only
// Commission: 0
//
// Each bar has a 10% chance to enter the market. Each bar has a 1% to exit the market [if in a trade]. It will only enter long.
//
// I included zero commission for simplication. It's a good exercise to include a commission/slippage to see just how much trading fees take from you.
//
// === TIPS ===
//
// -Increasing "Percent Chance to Exit" will shorten the time in a trade. You can see the "Avg # Bars In Trade" go down as you increase. If "Percent Chance to Exit" is too high, the study won't be in the market long enough to catch any movement, possibly exiting on the same bar most of the time.
// -If you're getting the red screen, that means the strategy lost so much money it went broke. Try reducing the percent equity on the Properties tab.
// -Switch the start year to avoid black swan events like the covid drop in 2020.
// -
// === FINDINGS ===
//
// Most markets lose money with a "Random" direction strategy.
// Most markets lose ALL money with a "Short Only" strategy.
// Most markets make money with a "Long Only" strategy.
//
// Try this strategy on: Bitcoin (BTCUSD) and the NASDAQ (QQQ).
//
// There are two popular memes right now: "Bitcoin to the moon" and "Stocks only go up". Both are seemingly true. Bitcoin was the best performing asset of the 2010's, gaining several billion percent in gains. The stock market is on a 100 year long uptrend. Why? BECAUSE FIAT CURRENCIES ALWAYS GO DOWN! This is inflation. If we measure the market in terms of others assets instead of fiat, the Long Only strategy doesn't work anymore.
// Try this strategy on: Bitcoin/GLD (BTCUSD/GLD), the Eurodollar (EURUSD), and the S&P 500 measured in gold (SPY/GLD).
//
// Bitcoin measured in gold (BTCUSD/GLD) still works with a Long Only strategy because Bitcoin increased in value over both USD and gold.
// The Eurodollar (EURUSD) generally loses money no matter what, especially if you add any commission. This makes sense as they are both fiat currencies with similar inflation schedules.
// Gold and the S&P 500 have gained roughly the same amount since ~2000. Some years will show better results for a long strategy, while others will favor a short strategy. Now look at just SPY or GLD (which are both measured in USD by default!) and you'll see the same trend again: a Long Only strategy crushes even when entering and exiting randomly.
//
// === "JUST TELL ME WHAT TO DO, YOU NERD!" ===
//
// Bulls always win and Bears always lose because fiat currencies go to zero.
//
strategy(title="Random Entries Work", shorttitle="REW", overlay=true, pyramiding=0, default_qty_type=strategy.percent_of_equity, default_qty_value=100, currency=currency.USD,commission_type=strategy.commission.percent,commission_value=0)
// === GENERAL INPUTS ===
strategy = input(defval="Long Only",title="Direction",options=["Long Only", "Short Only", "Random"])
enter_frequency = input(defval=10,minval=1,maxval=100,title="Percent Chance to Enter")
exit_frequency = input(defval=3, minval=0,maxval=100,title="Percent Chance to Exit",tooltip="This should be much lower than Percent Chance to Enter. Higher values decrease time in market. Lower values increase time in market.")
start_year = input(defval=2020, title="Start Year")
// === LOGIC ===
r = random(0,100)
enter = enter_frequency > r[0]
exit = exit_frequency > r[0]
direction = random(0,100) >= 50
// === STRATEGY - LONG POSITION EXECUTION ===
enterLong() =>
strategy.opentrades == 0 and enter and (strategy == "Long Only" or (strategy == "Random") and direction) and
time > timestamp(start_year, 01, 01, 01, 01)
exitLong() =>
exit
strategy.entry(id="Long", long=strategy.long, when=enterLong())
strategy.close(id="Long", when=exitLong())
// === STRATEGY - SHORT POSITION EXECUTION ===
enterShort() =>
strategy.opentrades == 0 and enter and (strategy == "Short Only" or (strategy == "Random" and not direction)) and
time > timestamp(start_year, 01, 01, 01, 01)
exitShort() =>
exit
strategy.entry(id="Short", long=strategy.short, when=enterShort())
strategy.close(id="Short", when=exitShort())