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Strategi Penembusan Ganda VWAP

Penulis:ChaoZhang, Tarikh: 2023-11-23 11:10:28
Tag:

Ringkasan

Strategi terobosan osilasi VWAP berganda menganalisis trend pasaran menggunakan jalur VWAP berganda dan mencari peluang terobosan di pasaran yang berosilasi.

Prinsip Strategi

Strategi ini terdiri daripada komponen utama berikut:

Tetapan VWAP: Mengira jalur VWAP dan lebar mereka. Lebar dalaman VWAP dikawal olehstDevMultiplier, lalai kepada 1. lebar VWAP luar dikawal olehstDevMultiplier, lalai kepada 2.
Tetapan ADX: Mengira nilai ADX untuk menentukan sama ada pasaran berayun. Pasaran dianggap berayun apabila ADX berada di bawah ambang. Parameter ADX boleh dikonfigurasi.
Tetapan Masuk: Masuk ke pasaran apabila harga menembusi jalur luar VWAP semasa goyangan. Harga Stop Loss dan mengambil keuntungan boleh dikonfigurasi.
Sempadan Pendaftaran: Pilihan EMA atau penapis jangka masa untuk mengelakkan masuk semasa tempoh masa yang tidak baik.
Mengambil keuntungan: Tutup kedudukan apabila harga stop loss atau mengambil keuntungan dilalui. Pilihan untuk keluar apabila harga memecahkan jalur luar VWAP.

Strategi ini mengenal pasti pasaran berayun menggunakan penunjuk ADX dan mencari peluang kemasukan apabila harga memecahkan jalur VWAP. Band VWAP berganda menyediakan penapis tambahan untuk memastikan isyarat kemasukan yang kuat. Stop trailing mengunci keuntungan dengan cara yang lebih stabil.

Analisis Kelebihan

Band VWAP berganda menyediakan penapis tambahan untuk isyarat masuk yang lebih kuat.
Osilator ADX mengenal pasti goyangan dan mengelakkan entri yang salah semasa trend.
Perhentian penghantaran mengunci keuntungan dan menghalang terperangkap.
Parameter yang sangat boleh dikonfigurasikan menyesuaikan diri dengan keadaan pasaran yang berbeza.
Logik yang mudah menjadikannya mudah difahami, ditiru dan diubah suai.

Risiko dan Penyelesaian

Penyesuaian parameter yang tidak betul boleh menyebabkan masuk dan keluar yang terlalu bersemangat.
Hentian penghantaran boleh terlalu agresif atau konservatif. Sesuaikan secara dinamik berdasarkan indikator turun naik.
Prestasi sangat bergantung kepada sesi dagangan.
VWAP rentang sensitif kepada harga yang tidak menentu.

Arahan pengoptimuman

Sesuaikan julat stop loss secara dinamik berdasarkan turun naik dan metrik lain.
Tambah trend jangka masa yang lebih tinggi dan isyarat institusi untuk mengelakkan entri yang bertentangan dengan trend.
Pertimbangkan saiz kedudukan berdasarkan turun naik dan jumlah modal.
Uji tempoh jangkar VWAP yang berbeza. Tempoh VWAP menentukan tempoh penyimpanan strategi keseluruhan.

Ringkasan

Strategi penembusan getaran VWAP berganda mengenal pasti getaran dengan ADX dan menyediakan penapis masuk tambahan dengan jalur VWAP. Logiknya mudah dilaksanakan. Penyesuaian parameter, pengoptimuman kehilangan berhenti dan ukuran kedudukan dapat meningkatkan kestabilan dengan ketara.

/*backtest
start: 2023-10-23 00:00:00
end: 2023-11-22 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © jordanfray

//@version=5
strategy(title="Double VWAP Strategy", overlay=true, scale=scale.none, max_bars_back=500, default_qty_type=strategy.percent_of_equity, default_qty_value=100,initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.05, backtest_fill_limits_assumption=2)

// Indenting Classs
indent_1 = " "
indent_2 = "  "
indent_3 = "   "
indent_4 = "    "

// Group Titles
group_one_title = "VWAP Settings"
group_two_title = "ADX Settings"
group_three_title = "Entry Settings"
group_four_title = "Limit Entries"

// Input Tips
adx_thresholdToolTip = "The minumn ADX value to allow opening a postion"
adxCancelToolTip= "You can optionally set a different lower value for ADX that will allow entries even if below the trigger threshold."

ocean_blue = color.new(#0C6090,0)
sky_blue = color.new(#00A5FF,0)
green = color.new(#2DBD85,0)
red = color.new(#E02A4A,0)
light_blue = color.new(#00A5FF,90)
light_green = color.new(#2DBD85,90)
light_red = color.new(#E02A4A,90)
light_yellow = color.new(#FFF900,90)
white = color.new(#ffffff,0)
transparent = color.new(#000000,100)

// Strategy Settings - VWAP
var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")
    
computeVWAP(src, isNewPeriod, stDevMultiplier) =>
    var float sum_src_vol = na
    var float sum_vol = na
    var float sum_src_src_vol = na

    sum_src_vol := isNewPeriod ? src * volume : src * volume + sum_src_vol[1]
    sum_vol := isNewPeriod ? volume : volume + sum_vol[1]
    sum_src_src_vol := isNewPeriod ? volume * math.pow(src, 2) : volume * math.pow(src, 2) + sum_src_src_vol[1]

    _vwap = sum_src_vol / sum_vol
    variance = sum_src_src_vol / sum_vol - math.pow(_vwap, 2)
    variance := variance < 0 ? 0 : variance
    standard_deviation = math.sqrt(variance)

    lower_band_value = _vwap - standard_deviation * stDevMultiplier
    upper_band_value = _vwap + standard_deviation * stDevMultiplier

    [_vwap, lower_band_value, upper_band_value]

var anchor = input.string(defval="Session", title="Anchor Period", options=["Session", "Week", "Month", "Quarter", "Year"], group=group_one_title)
src = input(defval = close, title = "Inner VWAP Source", group=group_one_title)
multiplier_inner = input(defval=1.0, title="Inner Bands Multiplier", group=group_one_title)
multiplier_outer = input(defval=2.0, title="Outer Bands Multiplier", group=group_one_title)
show_bands = true

timeChange(period) =>
   ta.change(time(period))

isNewPeriod = switch anchor
    "Session" => timeChange("D")
    "Week" => timeChange("W")
    "Month" => timeChange("M")
    "Quarter" => timeChange("3M")
    "Year" => timeChange("12M")
    => false

float vwap_val = na
float upper_inner_band_value = na
float lower_inner_band_value = na
float upper_outer_band_value = na
float lower_outer_band_value = na

[inner_vwap, inner_bottom, inner_top] = computeVWAP(src, isNewPeriod, multiplier_inner)
[outer_vwap, outer_bottom, outer_top] = computeVWAP(src, isNewPeriod, multiplier_outer)
vwap_val := inner_vwap
upper_inner_band_value := show_bands ? inner_top : na
lower_inner_band_value := show_bands ? inner_bottom : na
upper_outer_band_value := show_bands ? outer_top : na
lower_outer_band_value := show_bands ? outer_bottom : na

plot(vwap_val, title="VWAP", color=green)

upper_inner_band = plot(upper_inner_band_value, title="Upper Inner Band", color=sky_blue)
lower_inner_band = plot(lower_inner_band_value, title="Lower Inner Band", color=sky_blue)
upper_outer_band = plot(upper_outer_band_value, title="Upper Outer Band", linewidth=2, color=ocean_blue)
lower_outer_band = plot(lower_outer_band_value, title="Lower Outer Band", linewidth=2, color=ocean_blue)

fill(upper_outer_band, lower_outer_band, title="VWAP Bands Fill", color= show_bands ? light_blue : na)

// ADX Settings
adx_len = input.int(defval=14, title="ADX Smoothing", group=group_two_title)
di_len = input.int(defval=14, title="DI Length", group=group_two_title)
adx_threshold = input.int(defval=40, title="ADX Threshold", group=group_two_title, tooltip=adx_thresholdToolTip)
dirmov(len) =>
    up = ta.change(high)
    down = -ta.change(low)
    plus_dm = na(up) ? na : (up > down and up > 0 ? up : 0)
    minus_dm = na(down) ? na : (down > up and down > 0 ? down : 0)
    true_range = ta.rma(ta.tr, len)
    plus = fixnan(100 * ta.rma(plus_dm, len) / true_range)
    minus = fixnan(100 * ta.rma(minus_dm, len) / true_range)
    [plus, minus]

adx(di_len, adx_len) =>
    [plus, minus] = dirmov(di_len)
    sum = plus + minus
    adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adx_len)

adx_val = adx(di_len, adx_len)
plot(adx_val, title="ADX")

// Entry Settings
stop_loss_val = input.float(defval=2.0, title="Stop Loss (%)", step=0.1, group=group_three_title)/100
take_profit_val = input.float(defval=6.0, title="Take Profit (%)", step=0.1, group=group_three_title)/100
long_entry_limit_lookback = input.int(defval=1, title="Long Entry Limit Lookback", minval=1, step=1, group=group_three_title)
short_entry_limit_lookback = input.int(defval=1, title="Short Entry Limit Lookback", minval=1, step=1, group=group_three_title)
limit_order_long_price = ta.lowest(close, long_entry_limit_lookback)
limit_order_short_price = ta.highest(close, short_entry_limit_lookback)
start_trailing_after = input.float(defval=3, title="Start Trailing After (%)", step=0.1, group=group_three_title)/100
trail_behind = input.float(defval=2, title="Trail Behind (%)", step=0.1, group=group_three_title)/100
close_early_if_crosses_outter_band = input.bool(defval=false, title="Close early if price crosses outer VWAP band")

// Limit Entries
enableEmaFilter = input.bool(defval=true, title="Use EMA Filter", group=group_four_title)
emaFilterTimeframe = input.timeframe(defval="", title=indent_4+"Timeframe", group=group_four_title)
emaFilterLength = input.int(defval=300, minval=1, step=10, title=indent_4+"Length", group=group_four_title)
emaFilterSource = input.source(defval=hl2, title=indent_4+"Source", group=group_four_title)
ema_filter = ta.ema(emaFilterSource, emaFilterLength)
ema_filter_smoothed = request.security(syminfo.tickerid, emaFilterTimeframe, ema_filter[barstate.isrealtime ? 1 : 0], gaps=barmerge.gaps_on)
plot(enableEmaFilter ? ema_filter_smoothed: na, title="EMA Macro Filter", linewidth=2, color=sky_blue, editable=true)

useTimeFilter = input.bool(defval=false, title="Use Time Session Filter", group=group_four_title)

withinTime = true


long_start_trailing_val = strategy.position_avg_price + (strategy.position_avg_price * start_trailing_after)
short_start_trailing_val = strategy.position_avg_price - (strategy.position_avg_price * start_trailing_after)
long_trail_behind_val = close - (strategy.position_avg_price * (trail_behind/100))
short_trail_behind_val = close + (strategy.position_avg_price * (trail_behind/100))
currently_in_a_long_postion = strategy.position_size > 0
currently_in_a_short_postion = strategy.position_size < 0
long_profit_target = strategy.position_avg_price * (1 + take_profit_val)
long_stop_loss = strategy.position_avg_price * (1.0 - stop_loss_val)
short_profit_target = strategy.position_avg_price * (1 - take_profit_val)
short_stop_loss = strategy.position_avg_price * (1 + stop_loss_val)
bars_since_entry = currently_in_a_long_postion or currently_in_a_short_postion ? bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) + 1 : 5
plot(bars_since_entry, editable=false, title="Bars Since Entry", color=green)
long_run_up = ta.highest(high, bars_since_entry)
long_trailing_stop = currently_in_a_long_postion and bars_since_entry > 0 and long_run_up > long_start_trailing_val ? long_run_up - (long_run_up * trail_behind) : long_stop_loss
//long_run_up_line = plot(long_run_up, style=plot.style_stepline, editable=false, color=currently_in_a_long_postion ? green : transparent)
long_trailing_stop_line = plot(long_trailing_stop, style=plot.style_stepline, editable=false, color=currently_in_a_long_postion ? long_trailing_stop > strategy.position_avg_price ? green : red : transparent)
short_run_up = ta.lowest(low, bars_since_entry)
short_trailing_stop = currently_in_a_short_postion and bars_since_entry > 0 and short_run_up < short_start_trailing_val ? short_run_up + (short_run_up * trail_behind) : short_stop_loss
//short_run_up_line = plot(short_run_up, style=plot.style_stepline, editable=false, color=currently_in_a_short_postion ? green : transparent)
short_trailing_stop_line = plot(short_trailing_stop, style=plot.style_stepline, editable=false, color=currently_in_a_short_postion ? short_trailing_stop < strategy.position_avg_price ? green : red : transparent)


// Conditions
adx_is_below_threshold = adx_val < adx_threshold
price_crossed_down_VWAP_lower_outer_band = ta.crossunder(low, lower_outer_band_value)
price_closed_above_VWAP_lower_outer_band = close > lower_outer_band_value
price_crossed_up_VWAP_upper_outer_band =  ta.crossover(high,upper_outer_band_value)
price_closed_below_VWAP_upper_outer_band = close < upper_outer_band_value
price_above_ema_filter = close > ema_filter_smoothed
price_below_ema_filter = close < ema_filter_smoothed

//Trade Restirctions
no_trades_allowed = not withinTime or not adx_is_below_threshold

// Enter trades when...
long_conditions_met = enableEmaFilter ? price_above_ema_filter and not currently_in_a_long_postion and withinTime and adx_is_below_threshold and price_crossed_down_VWAP_lower_outer_band and price_closed_above_VWAP_lower_outer_band : not currently_in_a_long_postion and withinTime and adx_is_below_threshold and price_crossed_down_VWAP_lower_outer_band and price_closed_above_VWAP_lower_outer_band
short_conditions_met = enableEmaFilter ? price_below_ema_filter and not currently_in_a_short_postion and withinTime and adx_is_below_threshold and price_crossed_up_VWAP_upper_outer_band and price_closed_below_VWAP_upper_outer_band : not currently_in_a_short_postion and withinTime and adx_is_below_threshold and price_crossed_up_VWAP_upper_outer_band and price_closed_below_VWAP_upper_outer_band
plotshape(long_conditions_met ? close  : na, title="Long Entry Symbol", color=green, style=shape.triangleup, location=location.abovebar)
plotshape(short_conditions_met ? close  : na, title="Short Entry Symbol", color=red, style=shape.triangledown, location=location.belowbar)

// Take Profit When...
price_closed_below_short_trailing_stop = ta.cross(close, short_trailing_stop)
price_hit_short_entry_profit_target = low > short_profit_target
price_closed_above_long_entry_trailing_stop = ta.cross(close, long_trailing_stop)
price_hit_long_entry_profit_target = high > long_profit_target

long_position_take_profit = close_early_if_crosses_outter_band ? price_crossed_up_VWAP_upper_outer_band or price_closed_above_long_entry_trailing_stop or price_hit_long_entry_profit_target : price_closed_above_long_entry_trailing_stop or price_hit_long_entry_profit_target
short_position_take_profit = close_early_if_crosses_outter_band ? price_crossed_down_VWAP_lower_outer_band or price_closed_below_short_trailing_stop or price_hit_short_entry_profit_target : price_closed_below_short_trailing_stop or price_hit_short_entry_profit_target

// Cancel limir order if...
cancel_long_condition = false
cancel_short_condition = false


// Long Entry
strategy.entry(id="Long", direction=strategy.long, limit=limit_order_long_price, when=long_conditions_met)
strategy.cancel(id="Cancel Long", when=cancel_long_condition)
strategy.exit(id="Close Long", from_entry="Long", stop=long_trailing_stop, limit=long_profit_target, when=long_position_take_profit)

// Short Entry 
strategy.entry(id="Short", direction=strategy.short, limit=limit_order_short_price, when=short_conditions_met)
strategy.cancel(id="Cancel Short", when=cancel_short_condition)
strategy.exit(id="Close Short", from_entry="Short", stop=short_trailing_stop, limit=short_profit_target, when=short_position_take_profit)

entry = plot(strategy.position_avg_price, editable=false, title="Entry", style=plot.style_stepline, color=currently_in_a_long_postion or currently_in_a_short_postion ? color.blue : transparent, linewidth=1)
fill(entry,long_trailing_stop_line, editable=false, color=currently_in_a_long_postion ? long_trailing_stop > strategy.position_avg_price ? light_green : light_red : transparent)
fill(entry,short_trailing_stop_line, editable=false, color=currently_in_a_short_postion ? short_trailing_stop < strategy.position_avg_price ? light_green : light_red : transparent)
bgcolor(title="No Trades Allowed", color=no_trades_allowed ? light_red : light_green)

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