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Strategi garisan pembalikan purata

Penulis:ChaoZhang, Tarikh: 2023-12-29 11:33:04
Tag:

Ringkasan

Strategi garis pembalikan purata adalah strategi perdagangan jangka pendek berdasarkan pembalikan purata bergerak. Ia menggabungkan Bollinger Bands, RSI, CCI dan penunjuk lain untuk menangkap turun naik pasaran jangka pendek dan mencapai matlamat membeli rendah dan menjual tinggi.

Strategi ini digunakan terutamanya untuk produk yang sangat cair seperti indeks saham, forex, dan logam mulia.

Prinsip Strategi

Gunakan Bollinger Bands untuk menilai zon penyimpangan harga. Pertimbangkan untuk pergi pendek apabila harga mendekati Bollinger Band atas dan pertimbangkan untuk pergi panjang apabila harga mendekati Bollinger Band bawah.
Menggabungkan penunjuk RSI untuk menentukan keadaan overbought dan oversold.
Menggunakan penunjuk CCI untuk menentukan isyarat pembalikan harga.
Pergi panjang apabila harga melanggar di atas purata bergerak 5 hari, dan pergi pendek apabila ia melanggar di bawah.
Setelah isyarat masuk disahkan, tutup kedudukan dengan cepat untuk mengambil keuntungan. Tetapkan stop loss berdasarkan retracement untuk merealisasikan kadar kemenangan yang tinggi.

Kelebihan Strategi

Gabungan pelbagai penunjuk meningkatkan ketepatan isyarat

Strategi garis pembalikan purata menggabungkan Bollinger Bands, RSI, CCI dan penunjuk lain. Penunjuk ini agak sensitif terhadap perubahan harga, dan gabungan mereka dapat meningkatkan ketepatan isyarat dan mengurangkan isyarat palsu.

Peraturan kemasukan yang ketat mengelakkan mengejar trend

Strategi ini memerlukan isyarat penunjuk dan harga yang serentak untuk mengelakkan mengelirukan dengan satu penunjuk sahaja.

Mekanisme stop loss yang cekap mengawal kerugian perdagangan tunggal

Sama ada pergi panjang atau pergi pendek, strategi akan menetapkan garis stop loss yang agak ketat. Sebaik sahaja harga memecahkan garis stop loss ke arah yang tidak menguntungkan, strategi akan dengan cepat menghentikan kerugian untuk mengelakkan kerugian besar setiap perdagangan.

Mengambil keuntungan yang munasabah bertujuan untuk memaksimumkan keuntungan setiap perdagangan

Strategi ini akan menetapkan dua sasaran mengambil keuntungan untuk merealisasikan keuntungan dalam langkah-langkah. Pada masa yang sama, selepas mengambil keuntungan, ia akan menggunakan langkah kecil penyesuaian penjejakan stop loss untuk memperluaskan ruang keuntungan setiap perdagangan.

Analisis Risiko

Volatiliti harga mencetuskan stop loss

Dalam kes turun naik harga yang melampau, garis stop loss boleh dilanggar, menyebabkan kerugian yang tidak perlu.

Risiko ini boleh dikurangkan dengan memperluaskan julat stop loss dan mengelakkan operasi semasa peristiwa besar.

Tidak dapat membalikkan selepas pemanasan berlebihan meningkat

Apabila trend menaik terlalu ganas, harga sering naik terlalu cepat untuk berbalik pada waktunya.

Lebih baik menunggu dan melihat sementara dalam kes ini, dan mempertimbangkan untuk pergi pendek hanya selepas momentum menaik telah melemah dengan ketara.

Arahan pengoptimuman

Mengoptimumkan parameter penunjuk untuk meningkatkan ketepatan isyarat

Hasil ujian belakang boleh diuji di bawah kombinasi parameter yang berbeza untuk memilih parameter yang optimum.

Masukkan penunjuk jumlah untuk menentukan masa pembalikan sebenar

Penunjuk jumlah seperti jumlah dagangan atau lebar jalur Bollinger boleh ditambah. Ini dapat mengelakkan penjanaan isyarat palsu apabila harga hanya menyesuaikan sedikit.

Mengoptimumkan mengambil keuntungan dan strategi berhenti kerugian untuk memaksimumkan keuntungan tunggal

Mata mengambil keuntungan dan stop loss yang berbeza boleh diuji untuk memaksimumkan keuntungan setiap perdagangan. Pada masa yang sama, risiko juga harus seimbang untuk mengelakkan stop loss mudah dipicu.

Kesimpulan

Strategi garis pembalikan purata menggunakan pelbagai penilaian penunjuk secara komprehensif dan mempunyai ciri isyarat yang tepat, operasi yang baik, dan risiko yang boleh dikawal. Ia sesuai untuk produk yang sangat sensitif terhadap perubahan pasaran dan mempunyai kecairan yang agak kuat. Ia dapat menangkap peluang pembalikan harga antara Bollinger Bands dan purata bergerak utama untuk mencapai matlamat membeli rendah dan menjual tinggi.

Dalam aplikasi praktikal, perhatian masih harus diberikan kepada pengoptimuman parameter penunjuk, sambil menggabungkan penunjuk jumlah untuk menentukan masa pembalikan sebenar. Di samping itu, pengurusan risiko yang betul harus diambil terhadap turun naik harga yang melampau. Jika digunakan dengan betul, strategi ini dapat memperoleh pulangan alpha yang agak stabil.

/*backtest
start: 2022-12-22 00:00:00
end: 2023-12-28 00:00:00
period: 1d
basePeriod: 1h
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/
// © sg1999

//@version=4


// >>>>>strategy name
strategy(title = "CCI-RSI MR", shorttitle = "CCI-RSI MR", overlay = true)

// >>>>input variables

// 1. risk per trade as % of initial capital
risk_limit = input(title="Risk Limit (%)", type=input.float, minval=0.1, defval=2.0, step=0.1)

// 2. drawdown
Draw_down = input(title="Max Drawdown (x ATR)", type=input.float, minval=0.5, maxval=10, defval=2.0, step=0.1)

// 3. type of stop loss to be used
original_sl_type  = input(title="SL Based on", defval="Close Price", options=["Close Price","Last Traded Price"])

// 4. entry signal validity for bollinger strategies
dist_from_signal= input(title="Entry distance from signal", type=input.integer, minval=1, maxval=20, defval=3, step=1)

// 5. multiple exit points
exit_1_pft_pct          = input(title="1st exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.0, step=0.1)
exit_1_qty_pct          = input(title="1st exit quantity %", type=input.float, minval=1, maxval=100, defval=100, step=5)
exit_2_pft_pct          = input(title="2nd exit when reward is", type=input.float, minval=0.5, maxval=100, defval=1.5, step=0.1)
sl_trail_pct            = input(title="Trailing SL compared to original SL", type=input.float, minval=0.5, maxval=100, defval=0.5, step=0.5)

//show signal bool
plotBB = input(title="Show BB", type=input.bool, defval=true)
plotSignals  = input(title="Show Signals", type=input.bool, defval=true)

// 6. date range to be used for backtesting
fromMonth = input(defval = 1,    title = "From Month",      type = input.integer, minval = 1, maxval = 12)
fromDay   = input(defval = 1,    title = "From Day",        type = input.integer, minval = 1, maxval = 31)
fromYear  = input(defval = 1990, title = "From Year",       type = input.integer, minval = 1970)
thruMonth = input(defval = 1,    title = "Thru Month",      type = input.integer, minval = 1, maxval = 12)
thruDay   = input(defval = 1,    title = "Thru Day",        type = input.integer, minval = 1, maxval = 31)
thruYear  = input(defval = 2022, title = "Thru Year",       type = input.integer, minval = 1970)

start     = timestamp(fromYear, fromMonth, fromDay, 00, 00)        // backtest start window
finish    = timestamp(thruYear, thruMonth, thruDay, 23, 59)        // backtest finish window
window()  => true

// >>>>>strategy variables

//input variables 
current_high = highest(high, 5)     // swing high (5 period)
current_low = lowest(low, 5)        // swing low (5 period)
current_ma = sma(close, 5)          // Simple Moving average (5 period)
atr_length = atr(20)                // ATR (20 period)  
CCI = cci(close,20)                 // CCI (20 period)
RSI = rsi(close,14)                 // RSI (14 period)
RSI_5 = sma (RSI, 5)                // Simple moving average of RSI (5 period)


// 1. for current candle

long_entry              = false 
short_entry             = false
risk_reward_ok          = false
sl_hit_flag             = false
tsl_hit_flag            = false
sl_cross                = false

// 2. across candles

var RSI_short           = false     //short signal boolean
var RSI_long            = false     //long signal boolean
var cci_sell            = false     //sellsignal crossunder boolean
var cci_buy             = false     //buy signal crossover boolean
var bar_count_long      = 0         // Number of bars after a long signal 
var bar_count_short     = 0         // Number of bars after a short signal
var candles_on_trade    = 0         
var entry_price         = 0.00
var sl_price            = 0.00
var qty                 = 0
var exit_1_qty          = 0
var exit_2_qty          = 0
var exit_1_price        = 0.0
var exit_2_price        = 0.0
var hold_high           = 0.0       // variable used to calculate Trailing sl
var hold_low            = 0.0       // variable used to calculate Trailing sl
var tsl_size            = 0.0       // Trailing Stop loss size(xR)
var sl_size             = 0.0       // Stop loss size (R)
var tsl_price           = 0.0       //Trailing stoploss price


// >>>>>strategy conditions.
// Bollinger bands (2 std)
[mBB0,uBB0,lBB0] = bb(close,20,2)
uBB0_low= lowest(uBB0,3) // lowest among upper BB of past 3 periods
lBB0_high= highest(lBB0,3) //highest among upper BB of past 3 periods


//RSI and CCI may not necessarily crossunder on the same candle
t_sell_RSI = sum( crossunder(RSI,RSI_5)? 1 : 0, 2) == 1 // checks if crossunder has happened in the last 3 candles (including the current candle)
t_sell_CCI = sum( crossunder(CCI,100)? 1 : 0, 2) == 1 //and (CCI >50)
t_buy_RSI  = sum( crossover(RSI,RSI_5)? 1 : 0, 2) == 1  //checks if crossover has happened in the last 3 candles (including the current candle)
t_buy_CCI  = sum( crossover(CCI,-100) ? 1 : 0, 2) == 1 //and (CCI<-50)

// CONDITIONS FOR A SELL signal
if t_sell_RSI and t_sell_CCI and (current_high >= uBB0_low) 
    cci_sell := true
    bar_count_short := 0
 
if  cci_sell and strategy.position_size ==0 
    bar_count_short := bar_count_short + 1
    
if  cci_sell and bar_count_short<= dist_from_signal and close <= current_ma  and strategy.position_size ==0
    RSI_short := true

//conditions for a BUY signal
if t_buy_RSI and t_buy_CCI and (current_low <= lBB0_high) // or current_low_close <= lBB01_high)
    cci_buy := true
    bar_count_long := 0

if  cci_buy and strategy.position_size ==0 
    bar_count_long := bar_count_long + 1
    
if  cci_buy and  bar_count_long<= dist_from_signal and close >= current_ma and strategy.position_size ==0
    RSI_long := true

if RSI_long and RSI_short
    RSI_long := false
    RSI_short := false



// >>>>>entry and target specifications

if strategy.position_size == 0 and RSI_short 
    short_entry         := true
    entry_price         := close
    sl_price            := current_high + syminfo.mintick // (swing high + one tick) is the stop loss
    sl_size             := abs(entry_price - sl_price)
    candles_on_trade    := 0
    tsl_size            := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size

if strategy.position_size == 0 and RSI_long 
    long_entry          := true
    entry_price         := close
    sl_price            := current_low -  syminfo.mintick //(swing low - one tick) is the stop loss
    candles_on_trade    := 0
    sl_size             := abs(entry_price - sl_price)
    tsl_size            := abs(entry_price - sl_price)*sl_trail_pct // Here sl_trail_pct is the multiple of R which is used to calculate TSL size
    
if long_entry and short_entry
    long_entry          := false
    short_entry         := false
    
    
// >>>>risk evaluation criteria
    
//>>>>> quantity determination and exit point specifications.
    
if (long_entry or short_entry) and strategy.position_size == 0 // Based on our risk (R), no.of lots is calculated by considering a risk per trade limit formula
    qty                 := round((strategy.equity) * (risk_limit/100)/(abs(entry_price - sl_price)*syminfo.pointvalue))
    exit_1_qty          := round(qty * (exit_1_qty_pct/100))
    exit_2_qty          := qty - (exit_1_qty)
    if long_entry
        exit_1_price    := entry_price + (sl_size * exit_1_pft_pct) 
        exit_2_price    := entry_price + (sl_size * exit_2_pft_pct)
    if short_entry
        exit_1_price    := entry_price - (sl_size * exit_1_pft_pct) 
        exit_2_price    := entry_price - (sl_size * exit_2_pft_pct)
        
        
// trail SL after 1st target is hit
if abs(strategy.position_size) == 0
    hold_high   := 0
    hold_low    := 0

if strategy.position_size > 0 and high > exit_1_price
    if high > hold_high or hold_high == 0
        hold_high    := high
    tsl_price        := hold_high - tsl_size
    

if strategy.position_size < 0 and low < exit_1_price
    if low  < hold_low or hold_low == 0
        hold_low     := low
    tsl_price        := hold_low + tsl_size

    
//>>>> entry conditons

if long_entry and strategy.position_size == 0
    strategy.cancel("BUY", window())   // add another window condition which considers day time (working hours)
    strategy.order("BUY", strategy.long, qty, comment="BUY @ "+ tostring(entry_price),when=window())

if short_entry and strategy.position_size == 0
    strategy.cancel("SELL", window()) // add another window condition which considers day time (working hours)
    strategy.order("SELL", strategy.short, qty, comment="SELL @ "+ tostring(entry_price),when=window())

//>>>> exit conditons

tsl_hit_flag     := false

//exit at tsl
if strategy.position_size > 0 and close < tsl_price  and abs(strategy.position_size)!=qty 
    strategy.order("EXIT at TSL", strategy.short, abs(strategy.position_size),  comment="EXIT TSL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0
    tsl_hit_flag              := true
    cci_sell := false
    cci_buy := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL",true)

if strategy.position_size < 0 and close > tsl_price  and abs(strategy.position_size)!=qty 
    strategy.order("EXIT at TSL", strategy.long, abs(strategy.position_size), comment="EXIT TSL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0   
    tsl_hit_flag              := true
    cci_sell := false
    cci_buy := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL",true)

//>>>>exit at sl
    
if strategy.position_size > 0 and original_sl_type == "Close Price" and close < sl_price and abs(strategy.position_size)==qty
    strategy.cancel("EXIT at SL", true)
    strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price,  comment="EXIT SL @ "+ tostring(close))
    RSI_short                := false   
    RSI_long                 := false
    bar_count_long            := 0
    bar_count_short           := 0
    cci_buy := false
    cci_sell := false
    sl_hit_flag               := true
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    

if strategy.position_size < 0 and original_sl_type == "Close Price" and close > sl_price and abs(strategy.position_size)==qty
    strategy.cancel("EXIT at SL", true)
    strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
    RSI_short               := false   
    RSI_long                := false
    bar_count_long           := 0
    bar_count_short          := 0   
    cci_buy := false
    cci_sell := false
    sl_hit_flag              := true
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    

    
//>>>>>for ltp sl setting

if strategy.position_size > 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
    strategy.order("EXIT at SL", strategy.short, abs(strategy.position_size),stop= sl_price,  comment="EXIT SL @ "+ tostring(close))
    RSI_short              := false   
    RSI_long               := false
    bar_count_long          := 0
    bar_count_short         := 0
    cci_buy := false
    cci_sell := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)
    
if strategy.position_size < 0 and original_sl_type == "Last Traded Price" and abs(strategy.position_size) ==qty
    strategy.order("EXIT at SL", strategy.long, abs(strategy.position_size), stop = sl_price, comment="EXIT SL @ "+ tostring(close))
    RSI_short              := false   
    RSI_long               := false
    bar_count_long          := 0
    bar_count_short         := 0   
    cci_buy := false
    cci_sell := false
    strategy.cancel("EXIT 1", true)
    strategy.cancel("EXIT 2", true)
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at TSL",true)

//>>>>>exit at target

if strategy.position_size > 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
    strategy.order("EXIT 1", strategy.short, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
    strategy.cancel("Exit Drawd",true)
    cci_sell := false
    cci_buy := false

if strategy.position_size > 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty and not tsl_hit_flag
    strategy.order("EXIT 2", strategy.short, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
    RSI_short := false   
    RSI_long  := false
    bar_count_long := 0
    bar_count_short := 0
    cci_buy := false
    cci_sell := false
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL", true)

if strategy.position_size < 0 and abs(strategy.position_size) == qty and not tsl_hit_flag
    strategy.order("EXIT 1", strategy.long, exit_1_qty, limit=exit_1_price, comment="EXIT TG1 @ "+ tostring(exit_1_price))
    strategy.cancel("Exit Drawd",true)
    cci_buy := false
    cci_sell := false

if strategy.position_size < 0 and abs(strategy.position_size) < qty and abs(strategy.position_size) != qty 
    strategy.order("EXIT 2", strategy.long, exit_2_qty, limit=exit_2_price, comment="EXIT TG2 @ "+ tostring(exit_2_price))
    RSI_short := false   
    RSI_long  := false
    bar_count_long := 0
    bar_count_short := 0  
    cci_buy := false
    cci_sell := false
    strategy.cancel("Exit Drawd",true)
    strategy.cancel("EXIT at SL", true)
    
//>>>>>>drawdown execution

if strategy.position_size < 0 and original_sl_type == "Close Price" and not tsl_hit_flag  
    strategy.cancel("Exit Drawd",true)
    strategy.order("Exit Drawd", strategy.long, abs(strategy.position_size), stop= (entry_price + Draw_down*atr_length)  ,comment="Drawdown exit S")
    RSI_short            := false   
    RSI_long             := false
    bar_count_long        := 0
    bar_count_short       := 0
    cci_buy := false
    cci_sell := false
   
    
if strategy.position_size > 0 and original_sl_type == "Close Price" and not tsl_hit_flag and not sl_hit_flag 
    strategy.cancel("Exit Drawd",true)
    strategy.order("Exit Drawd", strategy.short, abs(strategy.position_size), stop= (entry_price - Draw_down*atr_length)  ,comment="Drawdown exit B")
    RSI_short           := false   
    RSI_long            := false
    bar_count_long       := 0
    bar_count_short      := 0
    cci_buy := false
    cci_sell := false
    
//>>>>to add sl hit sign  

if strategy.position_size != 0 and sl_hit_flag //For symbols on chart
    sl_cross := true

//>>>>>cancel all pending orders if the trade is booked

strategy.cancel_all(strategy.position_size == 0 and not (long_entry or short_entry))

//>>>>plot indicators
p_mBB = plot(plotBB ? mBB0 : na, color=color.teal)
p_uBB = plot(plotBB ? uBB0 : na, color=color.teal, style=plot.style_stepline)
p_lBB = plot(plotBB ? lBB0 : na, color=color.teal, style=plot.style_stepline)


plot(sma(close,5), color=color.blue, title="MA")





//>>>>plot signals

plotshape(plotSignals and RSI_short, style=shape.triangledown, location=location.abovebar, color=color.red)
plotshape(plotSignals and RSI_long, style=shape.triangleup, location=location.belowbar, color=color.green)
plotshape(sl_cross, text= "Stoploss Hit",size= size.normal,style=shape.xcross , location=location.belowbar, color=color.red)

//>>>>plot signal high low
if strategy.position_size != 0
    candles_on_trade := candles_on_trade + 1

if strategy.position_size != 0 and candles_on_trade == 1
    line.new(x1=bar_index[1], y1=high[1], x2=bar_index[0], y2=high[1], color=color.black, width=2)
    line.new(x1=bar_index[1], y1=low[1],  x2=bar_index[0], y2=low[1],  color=color.black, width=2)



//>>>>end of program

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