Ringkasan Strategi ini berdasarkan persilangan tiga garis purata bergerak (MA1, MA2, MA3). Dengan menetapkan jenis, tempoh, sumber data harga, resolusi tiga MA, serta membolehkan perdagangan di persilangan mereka, kombinasi strategi perdagangan yang fleksibel boleh diperoleh.
Prinsip Strategi ini terutamanya menggunakan isyarat crossover dan undercross antara tiga garis purata bergerak sebagai isyarat perdagangan. Apabila MA jangka pendek melintasi MA jangka panjang dari bawah ke atas, ia menghasilkan isyarat masuk yang panjang; apabila MA jangka pendek melintasi MA jangka panjang dari atas ke bawah, ia menghasilkan isyarat keluar.
Pengguna boleh bebas memilih jenis (SMA, EMA, dll), tempoh, sumber data harga (harga penutupan, harga tertinggi, dll) dan resolusi (bar minit, bar harian, dll) dari tiga MA. Juga, perdagangan pada persilangan antara setiap MA boleh diaktifkan atau dilumpuhkan untuk menentukan sama ada mengambil tindakan perdagangan pada persilangan tertentu.
Pada masa ini strategi hanya berjalan panjang, memasuki dan keluar kedudukan dengan pesanan pasaran. Secara lalai setiap perdagangan menggunakan 100% daripada jumlah ekuiti akaun.
Kelebihan
Risiko
Cadangan Pengoptimuman
Ringkasan Strategi ini secara komprehensif memanfaatkan sifat kelancaran MAs dan kuasa pengenalan corak isyarat silang. Pengguna boleh memilih parameter secara fleksibel untuk mengimbangi antara trend berikut dan pengenalan pembalikan. Juga risiko overfit harus dikawal dengan mengesahkan ketahanan strategi di bawah keadaan pasaran yang kompleks yang disimulasikan dalam backtest. Kesimpulannya, strategi ini memberikan contoh yang berkesan untuk menggunakan beberapa MAs untuk perdagangan.
/*backtest start: 2023-11-19 00:00:00 end: 2023-12-19 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 // // Pine Script v4 // @author BigBitsIO // Script Library: https://www.tradingview.com/u/BigBitsIO/#published-scripts // // study(title, shorttitle, overlay, format, precision) // https://www.tradingview.com/pine-script-reference/#fun_strategy strategy(shorttitle = "TManyMA Strategy - ST9 - Long Market Only", title="Triple Many Moving Averages", overlay=true, pyramiding=1, default_qty_type=strategy.percent_of_equity, default_qty_value=100) // MA#Period is a variable used to store the indicator lookback period. In this case, from the input. // input - https://www.tradingview.com/pine-script-docs/en/v4/annotations/Script_inputs.html MA1Period = input(50, title="MA1 Period", minval=1, step=1) MA1Type = input(title="MA1 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA1Source = input(title="MA1 Source", type=input.source, defval=close) MA1Resolution = input(title="MA1 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA1Visible = input(title="MA1 Visible", type=input.bool, defval=true) // Will automatically hide crossBovers containing this MA MA2Period = input(100, title="MA2 Period", minval=1, step=1) MA2Type = input(title="MA2 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA2Source = input(title="MA2 Source", type=input.source, defval=close) MA2Resolution = input(title="MA2 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA2Visible = input(title="MA2 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA MA3Period = input(200, title="MA3 Period", minval=1, step=1) MA3Type = input(title="MA3 Type", defval="SMA", options=["RMA", "SMA", "EMA", "WMA", "HMA", "DEMA", "TEMA", "VWMA"]) MA3Source = input(title="MA3 Source", type=input.source, defval=close) MA3Resolution = input(title="MA3 Resolution", defval="00 Current", options=["00 Current", "01 1m", "02 3m", "03 5m", "04 15m", "05 30m", "06 45m", "07 1h", "08 2h", "09 3h", "10 4h", "11 1D", "12 1W", "13 1M"]) MA3Visible = input(title="MA3 Visible", type=input.bool, defval=true) // Will automatically hide crossovers containing this MA ShowCrosses = input(title="Show Crosses", type=input.bool, defval=false) ForecastBias = input(title="Forecast Bias", defval="Neutral", options=["Neutral", "Bullish", "Bearish"]) ForecastBiasPeriod = input(14, title="Forecast Bias Period") ForecastBiasMagnitude = input(1, title="Forecast Bias Magnitude", minval=0.25, maxval=20, step=0.25) ShowForecasts = input(title="Show Forecasts", type=input.bool, defval=true) ShowRibbons = input(title="Show Ribbons", type=input.bool, defval=true) TradeMA12Crosses = input(title="Trade MA 1-2 Crosses", type=input.bool, defval=true) TradeMA13Crosses = input(title="Trade MA 1-3 Crosses", type=input.bool, defval=true) TradeMA23Crosses = input(title="Trade MA 2-3 Crosses", type=input.bool, defval=true) // MA# is a variable used to store the actual moving average value. // if statements - https://www.tradingview.com/pine-script-reference/#op_if // MA functions - https://www.tradingview.com/pine-script-reference/ (must search for appropriate MA) // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions ma(MAType, MASource, MAPeriod) => if MAType == "SMA" ta.sma(MASource, MAPeriod) else if MAType == "EMA" ta.ema(MASource, MAPeriod) else if MAType == "WMA" ta.wma(MASource, MAPeriod) else if MAType == "RMA" ta.rma(MASource, MAPeriod) else if MAType == "HMA" ta.wma(2*wma(MASource, MAPeriod/2)-ta.wma(MASource, MAPeriod), round(sqrt(MAPeriod))) else if MAType == "DEMA" e = ta.ema(MASource, MAPeriod) 2 * e - ta.ema(e, MAPeriod) else if MAType == "TEMA" e = ta.ema(MASource, MAPeriod) 3 * (e - ta.ema(e, MAPeriod)) + ta.ema(ema(e, MAPeriod), MAPeriod) else if MAType == "VWMA" ta.vwma(MASource, MAPeriod) res(MAResolution) => if MAResolution == "00 Current" timeframe.period else if MAResolution == "01 1m" "1" else if MAResolution == "02 3m" "3" else if MAResolution == "03 5m" "5" else if MAResolution == "04 15m" "15" else if MAResolution == "05 30m" "30" else if MAResolution == "06 45m" "45" else if MAResolution == "07 1h" "60" else if MAResolution == "08 2h" "120" else if MAResolution == "09 3h" "180" else if MAResolution == "10 4h" "240" else if MAResolution == "11 1D" "1D" else if MAResolution == "12 1W" "1W" else if MAResolution == "13 1M" "1M" // https://www.tradingview.com/pine-script-reference/#fun_request.security MA1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period)) MA2 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period)) MA3 = request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period)) // Plotting crossover/unders for all combinations of crosses // Crossovers no longer detected in label code, they need to be re-used for strategy - crosses and visibility must be set MA12Crossover = MA1Visible and MA2Visible and ta.crossover(MA1, MA2) MA12Crossunder = MA1Visible and MA2Visible and ta.crossunder(MA1, MA2) MA13Crossover = MA1Visible and MA3Visible and ta.crossover(MA1, MA3) MA13Crossunder = MA1Visible and MA3Visible and ta.crossunder(MA1, MA3) MA23Crossover = MA2Visible and MA3Visible and ta.crossover(MA2, MA3) MA23Crossunder = MA2Visible and MA3Visible and ta.crossunder(MA2, MA3) // https://www.tradingview.com/pine-script-reference/v4/#fun_label%7Bdot%7Dnew if ShowCrosses and MA12Crossunder lun1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA2Period)+' '+MA2Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun1, MA1) if ShowCrosses and MA12Crossover lup1 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA2Period)+' '+MA2Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup1, MA1) if ShowCrosses and MA13Crossunder lun2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun2, MA1) if ShowCrosses and MA13Crossover lup2 = label.new(bar_index, na, tostring(MA1Period)+' '+MA1Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup2, MA1) if ShowCrosses and MA23Crossunder lun3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed under '+tostring(MA3Period)+' '+MA3Type, color=color.red, textcolor=color.red, style=label.style_xcross, size=size.small) label.set_y(lun3, MA2) if ShowCrosses and MA23Crossover lup3 = label.new(bar_index, na, tostring(MA2Period)+' '+MA2Type+' crossed over '+tostring(MA3Period)+' '+MA3Type, color=color.green, textcolor=color.green, style=label.style_xcross, size=size.small) label.set_y(lup3, MA2) // plot - This will draw the information on the chart // plot - https://www.tradingview.com/pine-script-docs/en/v4/annotations/plot_annotation.html plot(MA1Visible ? MA1 : na, color=color.green, linewidth=2, title="MA1") plot(MA2Visible ? MA2 : na, color=color.yellow, linewidth=3, title="MA2") plot(MA3Visible ? MA3 : na, color=color.red, linewidth=4, title="MA3") // Forecasting - forcasted prices are calculated using our MAType and MASource for the MAPeriod - the last X candles. // it essentially replaces the oldest X candles, with the selected source * X candles // Bias - We'll add an "adjustment" for each additional candle being forecasted based on ATR of the previous X candles // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions bias(Bias, BiasPeriod) => if Bias == "Neutral" 0 else if Bias == "Bullish" (atr(BiasPeriod) * ForecastBiasMagnitude) else if Bias == "Bearish" ((atr(BiasPeriod) * ForecastBiasMagnitude) * -1) // multiplying by -1 to make it a negative, bearish bias // Note - Can not show forecasts on different resolutions at the moment, x-axis is an issue Bias = bias(ForecastBias, ForecastBiasPeriod) // 14 is default atr period MA1Forecast1 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 1)) * (MA1Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA1Period MA1Forecast2 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 2)) * (MA1Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA1Period MA1Forecast3 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 3)) * (MA1Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA1Period MA1Forecast4 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 4)) * (MA1Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA1Period MA1Forecast5 = (request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, MA1Period - 5)) * (MA1Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA1Period plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast1 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 1", offset=1, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast2 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 2", offset=2, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast3 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 3", offset=3, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast4 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 4", offset=4, show_last=1) plot(MA1Resolution == "00 Current" and ShowForecasts and MA1Visible ? MA1Forecast5 : na, color=color.green, linewidth=1, style=plot.style_circles, title="MA1 Forecast 5", offset=5, show_last=1) MA2Forecast1 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 1)) * (MA2Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA2Period MA2Forecast2 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 2)) * (MA2Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA2Period MA2Forecast3 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 3)) * (MA2Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA2Period MA2Forecast4 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 4)) * (MA2Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA2Period MA2Forecast5 = (request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, MA2Period - 5)) * (MA2Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA2Period plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast1 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 1", offset=1, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast2 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 2", offset=2, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast3 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 3", offset=3, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast4 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 4", offset=4, show_last=1) plot(MA2Resolution == "00 Current" and ShowForecasts and MA2Visible ? MA2Forecast5 : na, color=color.yellow, linewidth=1, style=plot.style_circles, title="MA2 Forecast 5", offset=5, show_last=1) MA3Forecast1 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 1)) * (MA3Period - 1) + ((MA1Source * 1) + (Bias * 1))) / MA3Period MA3Forecast2 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 2)) * (MA3Period - 2) + ((MA1Source * 2) + (Bias * 2))) / MA3Period MA3Forecast3 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 3)) * (MA3Period - 3) + ((MA1Source * 3) + (Bias * 3))) / MA3Period MA3Forecast4 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 4)) * (MA3Period - 4) + ((MA1Source * 4) + (Bias * 4))) / MA3Period MA3Forecast5 = (request.security(syminfo.tickerid, res(MA3Resolution), ma(MA3Type, MA3Source, MA3Period - 5)) * (MA3Period - 5) + ((MA1Source * 5) + (Bias * 5))) / MA3Period plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast1 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 1", offset=1, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast2 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 2", offset=2, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast3 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 3", offset=3, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast4 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 4", offset=4, show_last=1) plot(MA3Resolution == "00 Current" and ShowForecasts and MA3Visible ? MA3Forecast5 : na, color=color.red, linewidth=1, style=plot.style_circles, title="MA3 Forecast 5", offset=5, show_last=1) // Ribbon related code // For Ribbons to work - they must use the same MAType, MAResolution and MASource. This is to ensure the ribbons are fair between one to the other. // Ribbons also will usually look better if MA1Period < MA2Period and MA2Period < MA3Period // custom functions in pine - https://www.tradingview.com/wiki/Declaring_Functions // This function is used to calculate the period to be used on a ribbon based on existing MAs rperiod(P1, P2, Step, Ribbons) => ((array.abs(P1 - P2)) / (Ribbons + 1) * Step) + math.min(P1, P2) // divide by +1 so that 5 lines can show. Divide by 5 and one line shows up on another MA // MA1-MA2 Ribbon1 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 1, 5))) Ribbon2 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 2, 5))) Ribbon3 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 3, 5))) Ribbon4 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 4, 5))) Ribbon5 = request.security(syminfo.tickerid, res(MA1Resolution), ma(MA1Type, MA1Source, rperiod(MA1Period, MA2Period, 5, 5))) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon1 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon1", transp=90) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon2 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon2", transp=85) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon3 : na, color=color.green, linewidth=1, style=plot.style_line, title="Ribbon3", transp=80) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon4 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon4", transp=75) plot(ShowRibbons and MA1Type == MA2Type and MA1Resolution == MA2Resolution and MA1Source == MA2Source ? Ribbon5 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon5", transp=70) // MA2-MA3 Ribbon6 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 1, 5))) Ribbon7 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 2, 5))) Ribbon8 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 3, 5))) Ribbon9 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 4, 5))) Ribbon10 = request.security(syminfo.tickerid, res(MA2Resolution), ma(MA2Type, MA2Source, rperiod(MA2Period, MA3Period, 5, 5))) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon6 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon6", transp=70) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon7 : na, color=color.yellow, linewidth=1, style=plot.style_line, title="Ribbon7", transp=75) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon8 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon8", transp=80) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon9 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon9", transp=85) plot(ShowRibbons and MA2Type == MA3Type and MA2Resolution == MA3Resolution and MA2Source == MA3Source ? Ribbon10 : na, color=color.red, linewidth=1, style=plot.style_line, title="Ribbon10", transp=90) // Strategy Specific if MA12Crossover and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 2", strategy.long, comment="1 over 2") if MA12Crossunder and TradeMA12Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 2") if MA13Crossover and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("1 over 3", strategy.long, comment="1 over 3") if MA13Crossunder and TradeMA13Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("1 over 3") if MA23Crossover and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}entry strategy.entry("2 over 3", strategy.long, comment="2 over 3") if MA23Crossunder and TradeMA23Crosses //https://www.tradingview.com/pine-script-reference/#fun_strategy{dot}close strategy.close("2 over 3")