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Adaptive mengambil keuntungan dan strategi berhenti kerugian berdasarkan bingkai masa berganda dan penunjuk momentum

Penulis:ChaoZhang, Tarikh: 2023-11-23 17:57:52
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Ringkasan

Strategi ini menggabungkan bingkai masa berganda dan penunjuk momentum untuk mencapai mengambil keuntungan dan menghentikan kerugian adaptif. Bingkai masa utama memantau arah trend, sementara bingkai masa sekunder digunakan untuk mengesahkan isyarat. Isyarat perdagangan dihasilkan apabila arah kedua-dua sejajar. Selepas memasuki pasaran, mengambil keuntungan dan tahap hentian kerugian dikemas kini secara progresif.

Logika Strategi

  1. Rangka masa utama menggunakan penunjuk regresi linear Squeeze Momentum (SQM) untuk menentukan trend. Rangka masa sekunder menggunakan gabungan EMA pada penunjuk SQM untuk menapis isyarat palsu.

  2. Apabila carta utama SQM pecah ke atas dan carta sekunder SQM juga naik, kedudukan panjang diambil. Apabila carta utama SQM pecah ke bawah dan carta sekunder SQM juga turun, kedudukan pendek diambil.

  3. Selepas memasuki pasaran, tahap awal mengambil keuntungan dan stop loss ditetapkan berdasarkan parameter input. Apabila harga mencapai tahap mengambil keuntungan, kedua-dua tahap mengambil keuntungan dan stop loss dikemas kini. Khususnya, tahap mengambil keuntungan meningkat secara beransur-ansur dan tahap berhenti kerugian diperketatkan, mencapai pengambilan keuntungan secara beransur-ansur.

Kelebihan

  1. Rangka masa berganda menapis isyarat palsu dan memastikan ketepatan.

  2. Penunjuk SQM menentukan arah trend, mengelakkan bunyi pasaran.

  3. Mekanisme mengambil keuntungan dan menghentikan kerugian adaptif mengunci keuntungan sejauh mungkin dan mengawal risiko dengan berkesan.

Analisis Risiko

  1. Tetapan parameter SQM yang tidak betul mungkin terlepas titik perubahan trend, yang membawa kepada kerugian.

  2. Kerangka masa sekunder yang tidak betul mungkin gagal menapis bunyi bising dengan berkesan, menyebabkan perdagangan yang salah.

  3. Jika amplitud stop loss ditetapkan terlalu luas, kerugian setiap perdagangan boleh menjadi besar.

Peluang Peningkatan

  1. Parameter SQM perlu disesuaikan untuk pasaran yang berbeza untuk memastikan kepekaan.

  2. Tempoh jangka masa sekunder yang berbeza harus diuji untuk mencari kesan penapisan bunyi yang terbaik.

  3. Daripada nilai tetap, amplitud stop loss boleh mempunyai julat yang ditetapkan secara dinamik berdasarkan turun naik pasaran.

Ringkasan

Secara keseluruhan ini adalah strategi yang sangat praktikal. Gabungan bingkai masa berganda dengan penunjuk momentum untuk menentukan trend, bersama-sama dengan mengambil keuntungan adaptif dan kaedah hentian kerugian boleh menjana keuntungan yang stabil. Dengan mengoptimumkan parameter SQM, tempoh bingkai masa sekunder, dan amplitud hentian kerugian, hasil strategi dapat ditingkatkan lagi untuk aplikasi langsung yang produktif dan peningkatan.

/*backtest
start: 2023-11-15 00:00:00
end: 2023-11-22 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
strategy("SQZ Multiframe Strategy", overlay=true, default_qty_type=strategy.percent_of_equity, default_qty_value=10)
fast_ema_len = input(11, minval=5, title="Fast EMA")
slow_ema_len = input(34, minval=20, title="Slow EMA")
sqm_lengthKC = input(20, title="SQM KC Length")
kauf_period = input(20, title="Kauf Period")
kauf_mult = input(2,title="Kauf Mult factor")
min_profit_sl = input(5.0, minval=1, maxval=100, title="Min profit to start moving SL [%]")
longest_sl = input(10, minval=1, maxval=100, title="Maximum possible of SL [%]")
sl_step = input(0.5, minval=0.0, maxval=1.0, title="Take profit factor")
// ADMF
CMF_length = input(11, minval=1, title="CMF length") // EMA27 = SMMA/RMA14 ~ lunar month
show_plots = input(true, title="Show plots")

lower_resolution = timeframe.period=='1'?'5':timeframe.period=='5'?'15':timeframe.period=='15'?'30':timeframe.period=='30'?'60':timeframe.period=='60'?'240':timeframe.period=='240'?'D':timeframe.period=='D'?'W':'M'
higher_resolution = timeframe.period=='5'?'1':timeframe.period=='15'?'5':timeframe.period=='30'?'15':timeframe.period=='60'?'30':timeframe.period=='240'?'60':timeframe.period=='D'?'240':timeframe.period=='W'?'D':'W'

// Calculate Squeeze Momentum
sqm_val = linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0)
sqm_val_high = security(syminfo.tickerid, higher_resolution, linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0), lookahead=barmerge.lookahead_on)
sqm_val_low = security(syminfo.tickerid, lower_resolution, linreg(close - avg(avg(highest(high, sqm_lengthKC), lowest(low, sqm_lengthKC)),sma(close,sqm_lengthKC)), sqm_lengthKC,0), gaps=barmerge.gaps_off, lookahead=barmerge.lookahead_on)

// Emas
high_close = security(syminfo.tickerid, higher_resolution, close, lookahead=barmerge.lookahead_on)
high_fast_ema = security(syminfo.tickerid, higher_resolution, ema(close, fast_ema_len), lookahead=barmerge.lookahead_on)
high_slow_ema = security(syminfo.tickerid, higher_resolution, ema(close, slow_ema_len), lookahead=barmerge.lookahead_on)
//low_fast_ema = security(syminfo.tickerid, lower_resolution, ema(close, fast_ema_len), lookahead=barmerge.lookahead_on)
//low_slow_ema = security(syminfo.tickerid, lower_resolution, ema(close, slow_ema_len), lookahead=barmerge.lookahead_on)

// CMF 
ad = close==high and close==low or high==low ? 0 : ((2*close-low-high)/(high-low))*volume
money_flow = sum(ad, CMF_length) / sum(volume, CMF_length)


// Entry conditions
low_condition_long  = (sqm_val_low > sqm_val_low[1])
low_condition_short = (sqm_val_low < sqm_val_low[1])
money_flow_min = (money_flow[4] > money_flow[3]) and (money_flow[3] > money_flow[2]) and (money_flow[2] < money_flow[1])  and (money_flow[1] < money_flow)
money_flow_max = (money_flow[4] < money_flow[3]) and (money_flow[3] < money_flow[2]) and (money_flow[2] > money_flow[1])  and (money_flow[1] > money_flow)
condition_long = ((sqm_val > sqm_val[1]))  and (money_flow_min or money_flow_min[1] or money_flow_min[2] or money_flow_min[3]) and lowest(sqm_val, 5) < 0
condition_short = ((sqm_val < sqm_val[1])) and (money_flow_max or money_flow_max[1] or money_flow_max[2] or money_flow_max[3]) and highest(sqm_val, 5) > 0
high_condition_long =  true//high_close > high_fast_ema and high_close > high_slow_ema //(high_fast_ema > high_slow_ema) //and (sqm_val_low > sqm_val_low[1])
high_condition_short = true//high_close < high_fast_ema and high_close < high_slow_ema//(high_fast_ema < high_slow_ema) //and (sqm_val_low < sqm_val_low[1])
enter_long = low_condition_long and condition_long and high_condition_long
enter_short = low_condition_short and condition_short and high_condition_short

// Stop conditions
var current_target_price = 0.0
var current_sl_price = 0.0 // Price limit to take profit
var current_target_per = 0.0
var current_profit_per = 0.0

set_targets(isLong, min_profit, current_target_per, current_profit_per) =>
    target = 0.0
    sl = 0.0
    if isLong
        target := close * (1.0 + current_target_per)
        sl := close * (1.0 - (longest_sl/100.0)) // Longest SL
    else
        target := close * (1.0 - current_target_per)
        sl := close * (1.0 + (longest_sl/100.0)) // Longest SL
    [target, sl]

target_reached(isLong, min_profit, current_target_per, current_profit_per) =>
    target = 0.0
    sl = 0.0
    profit_per = 0.0
    target_per = 0.0
    if current_profit_per == 0
        profit_per := (min_profit*sl_step) / 100.0
    else
        profit_per := current_profit_per +  ((min_profit*sl_step) / 100.0)
    target_per := current_target_per + (min_profit / 100.0) 
    if isLong
        target := strategy.position_avg_price * (1.0 + target_per)
        sl := strategy.position_avg_price * (1.0 + profit_per)
    else
        target := strategy.position_avg_price * (1.0 - target_per)
        sl := strategy.position_avg_price * (1.0 - profit_per)
    [target, sl, profit_per, target_per]

hl_diff = sma(high - low, kauf_period)
stop_condition_long = 0.0
new_stop_condition_long = low - (hl_diff * kauf_mult)
if (strategy.position_size > 0) 
    if (close > current_target_price)
        [target, sl, profit_per, target_per] = target_reached(true, min_profit_sl, current_target_per, current_profit_per)
        current_target_price := target
        current_sl_price := sl
        current_profit_per := profit_per
        current_target_per := target_per
        
        
    stop_condition_long := max(stop_condition_long[1], current_sl_price)
else
    stop_condition_long := new_stop_condition_long
stop_condition_short = 99999999.9
new_stop_condition_short = high + (hl_diff * kauf_mult)
if (strategy.position_size < 0) 
    if (close < current_target_price)
        [target, sl, profit_per, target_per] = target_reached(false, min_profit_sl, current_target_per, current_profit_per)
        current_target_price := target
        current_sl_price := sl
        current_profit_per := profit_per
        current_target_per := target_per
    stop_condition_short := min(stop_condition_short[1], current_sl_price)
else
    stop_condition_short := new_stop_condition_short
    

// Submit entry orders
if (enter_long and (strategy.position_size <= 0))
    if (strategy.position_size < 0)
        strategy.close(id="SHORT")
    current_target_per := (min_profit_sl / 100.0)
    current_profit_per := 0.0
    [target, sl] = set_targets(true, min_profit_sl, current_target_per, current_profit_per)
    current_target_price := target
    current_sl_price := sl
    strategy.entry(id="LONG", long=true)
    // if show_plots
    //     label.new(bar_index, high, text=tostring("LONG\nSL: ") + tostring(stop_condition_long), style=label.style_labeldown, color=color.green)

if (enter_short and (strategy.position_size >= 0))
    if (strategy.position_size > 0)
        strategy.close(id="LONG")
    current_target_per := (min_profit_sl / 100.0)
    current_profit_per := 0.0
    [target, sl] = set_targets(false, min_profit_sl, current_target_per, current_profit_per)
    current_target_price := target
    current_sl_price := sl
    strategy.entry(id="SHORT", long=false)
    // if show_plots
        // label.new(bar_index, high, text=tostring("SHORT\nSL: ") + tostring(stop_condition_short), style=label.style_labeldown, color=color.red)
    
if (strategy.position_size > 0)
    strategy.exit(id="EXIT LONG", stop=stop_condition_long)
    
if (strategy.position_size < 0)
    strategy.exit(id="EXIT SHORT", stop=stop_condition_short)
    
// Plot anchor trend
plotshape(low_condition_long, style=shape.triangleup,
                 location=location.abovebar, color=color.green)
plotshape(low_condition_short, style=shape.triangledown,
                 location=location.abovebar, color=color.red)
                 
plotshape(condition_long, style=shape.triangleup,
                 location=location.belowbar, color=color.green)
plotshape(condition_short, style=shape.triangledown,
                 location=location.belowbar, color=color.red)
 
//plotshape((close < profit_target_short) ? profit_target_short : na, style=shape.triangledown,
//                 location=location.belowbar, color=color.yellow)                
plotshape(enter_long, style=shape.triangleup,
                 location=location.bottom, color=color.green)
plotshape(enter_short, style=shape.triangledown,
                 location=location.bottom, color=color.red)
                 
// Plot emas
plot(ema(close, 20), color=color.blue, title="20 EMA")
plot(ema(close, 50), color=color.orange, title="50 EMA")
plot(sma(close, 200), color=color.red, title="MA 200")

// Plot stop loss values for confirmation
plot(series=(strategy.position_size > 0) and show_plots ? stop_condition_long : na,
     color=color.green, style=plot.style_linebr,
     title="Long Stop")
plot(series=(strategy.position_size < 0) and show_plots ? stop_condition_short : na,
     color=color.green, style=plot.style_linebr,
     title="Short Stop")
plot(series=(strategy.position_size < 0) and show_plots ? current_target_price : na,
     color=color.yellow, style=plot.style_linebr,
     title="Short TP")
plot(series=(strategy.position_size > 0) and show_plots ? current_target_price : na,
     color=color.yellow, style=plot.style_linebr,
     title="Long TP")
//plot(series=(strategy.position_size < 0) ? profit_sl_short : na,
//     color=color.gray, style=plot.style_linebr,
//     title="Short Stop")
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