Y-Profit Maximizer Strategy
Tarikh penciptaan:
2023-12-11 09:21:54
Akhirnya diubah suai:
2023-12-11 09:21:54
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ChaoZhang
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Gambaran keseluruhan
Idea teras strategi ini adalah untuk memaksimumkan nilai pengesanan berhenti bergerak, ditambah dengan penapis dan kaedah berhenti untuk mengoptimumkan kemasukan. Bentuk huruf Y dalam nama strategi mewakili bentuk persilangan garis isyarat strategi.
Prinsip Strategi
Strategi ini adalah berdasarkan kepada PMax Explorer oleh KivancOzbilgic, dengan beberapa perubahan.
PMax berdasarkan ATR dan purata bergerak. Menjana isyarat Beli apabila harga melewati PMax.
Menambah indikator T3 dan harga sebagai penapis untuk memastikan kemasukan semasa trend meningkat.
Tetapkan kaedah hentian: Tetapkan strategi BAND ganda untuk menilai hentian pertama; kemudian menilai hentian dan titik hentian seterusnya melalui strategi jarum.
Indeks MOST membantu menilai trend, untuk mengurangkan pembalikan yang tidak perlu.
Analisis kelebihan
Strategi PMax sendiri mempunyai kelebihan untuk mengelakkan penghentian tinggi, dan mekanisme penghentian bergerak lebih baik untuk mengurangkan DD.
Penapis berganda memastikan hanya masuk dalam trend menaik dan mengelakkan pecah palsu.
Terdapat banyak pilihan untuk membuat keuntungan yang lebih fleksibel.
Indikator MOST memastikan hanya operasi berbilang kepala dan mengelakkan perdagangan terbalik.
Analisis risiko
PMax sendiri mempunyai kemunduran dan mudah terlepas kejayaan pertama.
Penetapan penapis yang berlebihan juga boleh terlepas titik masuk emas.
Jika anda menetapkan stopwatch terlalu optimis, pesanan anda tidak akan dapat diselesaikan sepenuhnya.
Perdagangan berganda secara bersendirian tidak menguntungkan dalam varieti yang mempunyai kadar turun naik yang tinggi.
Arah pengoptimuman
Indikator MACD boleh diuji untuk menentukan penyesuaian jangka pendek untuk menentukan masa kemasukan.
Anda boleh menguji penapis yang disederhanakan dengan hanya mengekalkan satu penapis.
Mekanisme penangguhan penyesuaian automatik boleh dimasukkan, penangguhan penangguhan susulan disesuaikan dengan kadar turun naik dan kadar pulangan yang dinamik.
Anda boleh menguji kebolehan kosong, menyesuaikan nisbah kedudukan mengikut penapis.
ringkaskan
Strategi ini secara keseluruhannya membuat penghakiman masuk dengan PMax sebagai pusat, dan merancang pelbagai lapisan penapis dan kaedah penangguhan untuk pengoptimuman, yang dapat memperoleh keuntungan yang lebih baik dalam varieti yang sedang tren. Pada masa akan datang, dengan menyederhanakan penapis, mengoptimumkan tetapan penangguhan, dan menyesuaikan pengurusan kedudukan yang sesuai, anda boleh membuat strategi Parameter Optimization matang, menyesuaikan diri dengan lebih banyak varieti, dan dapat memperoleh prestasi yang lebih baik di dalam piring nyata.
Kod sumber strategi
/*backtest
start: 2022-12-04 00:00:00
end: 2023-12-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © KivancOzbilgic
//developer: @KivancOzbilgic
//author: @enesyetkin
strategy("Y-Profit Maximizer Strategy with Exit Points", shorttitle="Y-PMax Strategy with Exit Points", overlay=true, default_qty_type=strategy.cash, default_qty_value=10000, initial_capital=10000, currency=currency.USD, commission_value=0.1, commission_type=strategy.commission.percent)
baslik1 = input(title="-------------------- PMax Ayarları -------------------", defval=false)
src = input(hl2, title="Kaynak")
Periods = input(title="ATR uzunluğu", type=input.integer, defval=10)
Multiplier = input(title="ATR Multiplier", type=input.float, step=0.1, defval=3.0)
mav = input(title="Moving Average Tipi", defval="VAR", options=["SMA", "EMA", "WMA", "TMA", "VAR", "WWMA", "ZLEMA", "TSF"])
length =input(13, "Moving Average uzunluğu", minval=1)
filtrelemeacik = input(title="Filtreleme Açık/Kapalı", type=input.bool, defval=false)
filtreleme = input(title="Filtreleme T3/Src (T3 Açık/Src Kapalı)", type=input.bool, defval=false)
changeATR= input(title="ATR Hesaplama Yöntemi Değişsin mi?", type=input.bool, defval=true)
showsupport = input(title="Moving Average i göster?", type=input.bool, defval=false)
showsignalsk = input(title="Al Sat Sinyallerini göster?", type=input.bool, defval=true)
showsignalsc = input(title="Fiyat/Pmax kesişim sinyallerini göster?", type=input.bool, defval=false)
highlighting = input(title="Bulut Açık/Kapalı?", type=input.bool, defval=false)
baslik4 = input(title="-------------------- T3 Ayarları --------------------", defval=false)
length1 = input(89, "T3 Uzunluğu")
length2 = input(5, "T3 Filter Uzunluğu")
a1 = input(0.84, "T3 Volume Faktörü")
a13 = 0.84
length12 = input(5, "Fibo T3 Uzunluğu")
a12 = input(0.618, "T3 Fİbo Volume Faktörü")
T31Show = input(title="T3 ü göster?", type=input.bool, defval=false)
T32Show = input(title= "T3 filtreyi göster?", type=input.bool, defval=false)
T3FiboLine = input(false, title="T3 Fibonacci Oranlı Çizgiler?")
shownum = true
baslik7 = input(title="---------------- Take Profit Ayarları --------------", defval=false)
len = input(25, "Yılan Genişliği")
domcycle = input(20, minval=10, title="Dominant Döngü Genişliği")
rapida = input(8, "Hızlı Ort")
lenta = input(26, "Yavaş Ort")
stdv = input(0.8, "Genişlik")
tpfiltre = input(false, title="TP Filtresi avg2/avg4?")
tplevelshow = input(false, title="TP Level ve Exit Level Sayım Açık Kapalı?")
tp1show = input(false, title="Erken TP Açık Kapalı")
baslik8 = input(title="------------------- MOST Ayarları ------------------", defval=false)
src_most=input(close,"Source")
AP2 = input(defval=8,title="Length",minval=1)
AF2 = input(defval=2,title="Percent",minval=0.1)/100
mav1 = input(title="Moving Average Tipi", defval="ZLEMovA", options=["EMovA","ZLEMovA"])
plotbuysell = input(true, "Al Sat Etiketleri", input.bool)
///T3 1&2
e1 = ema((high + low + 2 * close) / 4, length1)
e2 = ema(e1, length1)
e3 = ema(e2, length1)
e4 = ema(e3, length1)
e5 = ema(e4, length1)
e6 = ema(e5, length1)
c1 = -a1 * a1 * a1
c2 = 3 * a1 * a1 + 3 * a1 * a1 * a1
c3 = -6 * a1 * a1 - 3 * a1 - 3 * a1 * a1 * a1
c4 = 1 + 3 * a1 + a1 * a1 * a1 + 3 * a1 * a1
T3 = c1 * e6 + c2 * e5 + c3 * e4 + c4 * e3
e13 = ema((high + low + 2 * close) / 4, length2)
e23 = ema(e13, length2)
e33 = ema(e23, length2)
e43 = ema(e33, length2)
e53 = ema(e43, length2)
e63 = ema(e53, length2)
c13 = -a13 * a13 * a13
c23 = 3 * a13 * a13 + 3 * a13 * a13 * a13
c33 = -6 * a13 * a13 - 3 * a13 - 3 * a13 * a13 * a13
c43 = 1 + 3 * a13 + a13 * a13 * a13 + 3 * a13 * a13
T33 = c13 * e63 + c23 * e53 + c33 * e43 + c43 * e33
///PMax
atr2 = sma(tr, Periods)
atr= changeATR ? atr(Periods) : atr2
valpha=2/(length+1)
vud1=src>src[1] ? src-src[1] : 0
vdd1=src<src[1] ? src[1]-src : 0
vUD=sum(vud1,9)
vDD=sum(vdd1,9)
vCMO=nz((vUD-vDD)/(vUD+vDD))
VAR=0.0
VAR:=nz(valpha*abs(vCMO)*src)+(1-valpha*abs(vCMO))*nz(VAR[1])
wwalpha = 1/ length
WWMA = 0.0
WWMA := wwalpha*src + (1-wwalpha)*nz(WWMA[1])
zxLag = length/2==round(length/2) ? length/2 : (length - 1) / 2
zxEMAData = (src + (src - src[zxLag]))
ZLEMA = ema(zxEMAData, length)
lrc = linreg(src, length, 0)
lrc1 = linreg(src,length,1)
lrs = (lrc-lrc1)
TSF = linreg(src, length, 0)+lrs
getMA(src, length) =>
ma = 0.0
if mav == "SMA"
ma := sma(src, length)
ma
if mav == "EMA"
ma := ema(src, length)
ma
if mav == "WMA"
ma := wma(src, length)
ma
if mav == "TMA"
ma := sma(sma(src, ceil(length / 2)), floor(length / 2) + 1)
ma
if mav == "VAR"
ma := VAR
ma
if mav == "WWMA"
ma := WWMA
ma
if mav == "ZLEMA"
ma := ZLEMA
ma
if mav == "TSF"
ma := TSF
ma
if mav == "T3"
ma := T3
ma
ma
MAvg=getMA(src, length)
longStop = MAvg - Multiplier*atr
longStopPrev = nz(longStop[1], longStop)
longStop := MAvg > longStopPrev ? max(longStop, longStopPrev) : longStop
shortStop = MAvg + Multiplier*atr
shortStopPrev = nz(shortStop[1], shortStop)
shortStop := MAvg < shortStopPrev ? min(shortStop, shortStopPrev) : shortStop
dir = 1
dir := nz(dir[1], dir)
dir := dir == -1 and MAvg > shortStopPrev ? 1 : dir == 1 and MAvg < longStopPrev ? -1 : dir
PMax = dir==1 ? longStop: shortStop
///MOST
zxLag1 = AP2/2==round(AP2/2) ? AP2/2 : (AP2 - 1) / 2
zxEMAData1 = (src_most + (src_most - src_most[zxLag1]))
ZLEMA1 = ema(zxEMAData1, AP2)
getMA1(src, length) =>
ma1 = 0.0
if mav1 == "EMovA"
ma1 := ema(close, 8)
ma1
if mav1 == "ZLEMovA"
ma1 := ZLEMA1
ma1
Trail1 = getMA1(src, length)
SL2 = Trail1*AF2 // Stop Loss
Trail2 = 0.0
Trail2 := iff(Trail1>nz(Trail2[1],0) and Trail1[1]>nz(Trail2[1],0),max(nz(Trail2[1],0),Trail1-SL2),iff(Trail1<nz(Trail2[1],0) and Trail1[1]<nz(Trail2[1],0),min(nz(Trail2[1],0),Trail1+SL2),iff(Trail1>nz(Trail2[1],0),Trail1-SL2,Trail1+SL2)))
Buy = crossover(Trail1, Trail2)
Sell = crossunder(Trail1, Trail2)
SR=(iff(Trail1 > Trail2 ,1, iff(Trail2 > Trail1,-1,0)))
////T3 TILLSON 1
col1 = T3 > T3[1]
col3 = T3 < T3[1]
col4 = T33 > T33[1]
col5 = T33 < T33[1]
color_1 = col1 ? color.green : col3 ? color.red : color.yellow
color_4 = col4 ? color.green : col5 ? color.red : color.yellow
e12 = ema((high + low + 2 * close) / 4, length12)
e22 = ema(e12, length12)
e32 = ema(e22, length12)
e42 = ema(e32, length12)
e52 = ema(e42, length12)
e62 = ema(e52, length12)
c12 = -a12 * a12 * a12
c22 = 3 * a12 * a12 + 3 * a12 * a12 * a12
c32 = -6 * a12 * a12 - 3 * a12 - 3 * a12 * a12 * a12
c42 = 1 + 3 * a12 + a12 * a12 * a12 + 3 * a12 * a12
T32 = c12 * e62 + c22 * e52 + c32 * e42 + c42 * e32
col12 = T32 > T32[1]
col32 = T32 < T32[1]
///TP BB ve SNAKE
h = ema(high, len)
l = ema(low, len)
hp = h / h[len]
lp = l / l[len]
avg = avg(hp, lp)
havg = ema(highest(avg, len), len)
lavg = ema(lowest(avg, len), len)
avg2 = avg(havg, lavg)
avg3 = avg(havg, avg2)
avg4 = avg(havg, avg3)
dif = havg - avg2
ust = havg + dif
alt = lavg - dif
///BB on MACD
SDev = 0.0
banda_supe = 0.0
banda_inf = 0.0
m_rapida = ema(close,rapida)
m_lenta = ema(close,lenta)
BBMacd = m_rapida - m_lenta
Avg = ema(BBMacd,9)
SDev := stdev(BBMacd,9)
banda_supe := Avg + stdv * SDev
banda_inf := Avg - stdv * SDev
color2 = col12 ? color.blue : col32 ? color.purple : color.yellow
TS1 = plot(Trail1, "ExMov", style=plot.style_line,color=Trail1 > Trail2 ? color.blue : color.yellow, linewidth=2)
TS2 = plot(Trail2, "Most", style=plot.style_line,color=Trail1 > Trail2 ? color.green : color.red, linewidth=2)
tp1 = tpfiltre ? crossunder(BBMacd,banda_supe) and (avg>avg2) and (MAvg>PMax) and nz(MAvg[10]) > nz(PMax[10]) : crossunder(BBMacd,banda_supe) and (avg>avg4) and (MAvg>PMax) and nz(MAvg[15]) > nz(PMax[15])
plotshape(tp1 and tp1show, title="TP1", text="TP1", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=color.aqua, textcolor=color.white,transp=0)
plot(T31Show ? T3 : na, color=color_1, linewidth=3, title="T3")
plot(T32Show ? T33 : na, color=color_4, linewidth=3, title="T3 Filter")
plot(T3FiboLine and T32 ? T32 : na, color=color2, linewidth=2, title="T3fibo")
plot(showsupport ? MAvg : na, color=#0585E1, linewidth=2, title="Moving Avg Line")
pALL=plot(PMax, color=color.red, linewidth=2, title="PMax", transp=100)
alertcondition(crossover(MAvg, PMax), title="1- Alım Sinyali", message="{{ticker}}, kapanış fiyatı = {{close}} için Alım Sinyali!")
alertcondition(crossunder(MAvg, PMax), title="2- Satım Sinyali", message="{{ticker}}, kapanış fiyatı = {{close}} için Satım Sinyali!")
buySignalk = filtrelemeacik ? filtreleme ? (crossover(MAvg, PMax) and T33>T3) : (crossover(MAvg, PMax) and src>T3): crossover(MAvg, PMax)
plotshape(buySignalk and showsignalsk ? PMax*0.995 : na, title="AL", text="AL", location=location.absolute, style=shape.labelup, size=size.tiny, color=color.green, textcolor=color.white, transp=0)
sellSignallk = crossunder(MAvg, PMax)
plotshape(sellSignallk and showsignalsk ? PMax*1.005 : na, title="Sat", text="SAT", location=location.absolute, style=shape.labeldown, size=size.tiny, color=color.red, textcolor=color.white, transp=0)
buySignalc = crossover(src, PMax)
plotshape(buySignalc and showsignalsc ? PMax*0.995 : na, title="AL-Fiyat", text="AL", location=location.absolute, style=shape.labelup, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
sellSignallc = crossunder(src, PMax)
plotshape(sellSignallc and showsignalsc ? PMax*1.005 : na, title="Sat-Fiyat", text="SAT", location=location.absolute, style=shape.labeldown, size=size.tiny, color=#0F18BF, textcolor=color.white, transp=0)
mPlot = plot(ohlc4, title="", style=plot.style_circles, linewidth=0,display=display.none)
longFillColor = highlighting ? (MAvg>PMax ? color.green : na) : na
shortFillColor = highlighting ? (MAvg<PMax ? color.red : na) : na
fill(mPlot, pALL, title="Yükseliş Trend Bulutu", color=longFillColor)
fill(mPlot, pALL, title="Düşüş Trend Bulutu", color=shortFillColor)
tplevel = 0
//tplevel := tp1 ? nz(tplevel[1])==0 ? 1 : nz(tplevel[1])==1 ? 2 : 0 : nz(tplevel[1])==0 ? 0 : nz(tplevel[1])==1 ? 1 : nz(tplevel[1])==2 ? 2 : sellSignallk ? 0 : 0
//tplevel := sellSignallk or MAvg < PMax ? 0 : tp1 and nz(tplevel[1])==8 ? 9 : tp1 and nz(tplevel[1])==7 ? 8 : tp1 and nz(tplevel[1])==6 ? 7 : tp1 and nz(tplevel[1])==5 ? 6 : tp1 and nz(tplevel[1])==4 ? 5 : tp1 and nz(tplevel[1])==3 ? 4 : tp1 and nz(tplevel[1])==2 ? 3 : tp1 and nz(tplevel[1])==1 ? 2 : nz(tplevel[1])==1 ? 1 : nz(tplevel[1])==2 ? 2 : nz(tplevel[1])==3 ? 3 : nz(tplevel[1])==4 ? 4 : nz(tplevel[1])==5 ? 5 : nz(tplevel[1])==6 ? 6 : nz(tplevel[1])==7 ? 7 : nz(tplevel[1])==8 ? 8 : nz(tplevel[1])==9 ? 9 : 1
tplevel := sellSignallk or MAvg < PMax ? 0 : Trail1 < Trail2 ? 0 : tp1 and nz(tplevel[1])==1 ? 2 : nz(tplevel[1])==1 ? 1 : nz(tplevel[1])==2 ? 2 : 1
exitlevel = 0
exitlevel := sellSignallk or MAvg < PMax ? 0 : Sell and nz(tplevel[1])==2 and nz(exitlevel[1])==1 ? 2 : Sell and nz(tplevel[1])==2 and nz(exitlevel[1])==2 ? 3 : Sell and nz(tplevel[1])==2 and nz(exitlevel[1])==3 ? 4 : Sell and nz(tplevel[1])==2 and nz(exitlevel[1])==4 ? 5: nz(exitlevel[1])==1 ? 1 : nz(exitlevel[1])==2 ? 2 : nz(exitlevel[1])==3 ? 3 : nz(exitlevel[1])==4 ? 4 : nz(exitlevel[1])==5 ? 5: 1
plotchar(tplevel==0 and tplevelshow, char='0', color=color.green)
plotchar(tplevel==1 and tplevelshow , char='1', color=color.green)
plotchar(tplevel==2 and tplevelshow, char='2', color=color.green)
plotshape(exitlevel==0 and tplevelshow , text='0', location=location.belowbar, style=shape.triangledown, color=color.red)
plotshape(exitlevel==1 and tplevelshow , text='1', location=location.belowbar, style=shape.triangledown, color=color.red)
plotshape(exitlevel==2 and tplevelshow , text='2', location=location.belowbar, style=shape.triangledown, color=color.red)
plotshape(exitlevel==3 and tplevelshow , text='3', location=location.belowbar, style=shape.triangledown, color=color.red)
plotshape(exitlevel==4 and tplevelshow , text='4', location=location.belowbar, style=shape.triangledown, color=color.red)
plotshape(exitlevel==5 and tplevelshow , text='5', location=location.belowbar, style=shape.triangledown, color=color.red)
plotshape(nz(tplevel[1])==2 and Sell and exitlevel>=2, title="TP", text="TP", location=location.abovebar, style=shape.labeldown, size=size.tiny, color=color.lime, textcolor=color.white,transp=0)
if (buySignalk)
strategy.entry("Buy", strategy.long)
if nz(tplevel[1])==2 and Sell and exitlevel==2
strategy.exit ("Exit1", from_entry="Buy", limit=close, qty_percent = 33.3)
//if nz(tplevel[1])==2 and Sell and exitlevel==3
// strategy.exit ("Exit2", from_entry="Buy", limit=close, qty_percent = 33.3)
if nz(tplevel[1])==2 and Sell and exitlevel==3
strategy.exit ("Exit2", from_entry="Buy", limit=close, qty_percent = 50)
if nz(tplevel[1])==2 and Sell and exitlevel==4
strategy.exit ("Exit3", from_entry="Buy", limit=close)
if (sellSignallk)
strategy.close_all()