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Strategi Dagangan Jangka Pendek Pengiktirafan corak ZigZag

Penulis:ChaoZhang, Tarikh: 2024-01-23 15:09:13
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Ringkasan

Strategi ini mengenal pasti corak candlestick berdasarkan penunjuk ZigZag dan menetapkan tingkap kemasukan, mengambil keuntungan dan harga stop loss menggunakan retracements Fibonacci untuk perdagangan jangka pendek. Strategi ini menyokong 13 jenis corak untuk kedua-dua trend panjang dan pendek, termasuk Bat, Butterfly, Gartley dll.

Logika Strategi

  1. Mengenali titik pembalikan yang berpotensi menggunakan penunjuk ZigZag
  2. Mengira 4 titik pembalikan yang paling baru-baru ini dan periksa sama ada mereka sepadan dengan mana-mana daripada 13 corak yang telah ditetapkan
  3. Masuk perdagangan jika corak dipadankan dan harga memasuki kawasan retracement Fibonacci 0.382
  4. Set mengambil keuntungan kepada tahap retracement 0.618, hentikan kerugian kepada tahap retracement -0.618.
  5. Corak yang sah termasuk yang biasa seperti Bat, Butterfly, Gartley, serta beberapa corak terbalik seperti Anti-Bat, Anti-Butterfly dll

Analisis Kelebihan

  1. Indikator ZigZag berkesan menapis bunyi pasaran dan mengenal pasti titik pembalikan trend yang lebih jelas
  2. Pelbagai corak meningkatkan peluang untuk memasuki perdagangan sambil mengawal risiko
  3. Tahap retracement Fibonacci standardkan kemasukan, mengambil keuntungan dan berhenti kerugian

Analisis Risiko

  1. Indikator ZigZag sensitif kepada parameter, pengoptimuman diperlukan untuk mencari kombinasi parameter terbaik
  2. Terlalu banyak corak yang sesuai meningkatkan risiko pemasangan lekuk, prestasi dagangan sebenar mungkin kurang daripada hasil backtest
  3. Hanya 4 titik pembalikan yang paling baru dipertimbangkan, corak yang lebih kompleks diabaikan
  4. Tiada ujian semula retracement breakouts yang dipertimbangkan, boleh menyebabkan stop loss awal

Arahan pengoptimuman

  1. Mengoptimumkan parameter ZigZag untuk mencari kombinasi terbaik
  2. Tambah pemeriksaan kesahihan untuk corak, contohnya pengesahan titik utama dengan harga penutupan
  3. Memperluas perpustakaan corak untuk meningkatkan peluang kemasukan
  4. Menambah mekanisme ujian semula retracements untuk mengurangkan risiko stop loss

Kesimpulan

Strategi ini mengenal pasti titik pembalikan trend menggunakan penunjuk ZigZag dan corak candlestick, dan menetapkan logik masuk / keluar yang standard dengan zon retracement Fibonacci. Dengan parameter yang dioptimumkan dan mekanisme stop loss yang disesuaikan, ia mempunyai potensi untuk mencapai hasil perdagangan sebenar yang baik. Kuncinya adalah mencari kombinasi parameter terbaik dan menyesuaikan kerugian berhenti dengan sewajarnya.


/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy(title='[STRATEGY][RS]ZigZag PA Strategy V4', shorttitle='S', overlay=true)
useHA = input(false, title='Use Heikken Ashi Candles')
useAltTF = input(true, title='Use Alt Timeframe')
tf = input('60', title='Alt Timeframe')
showPatterns = input(true, title='Show Patterns')
showFib0000 = input(title='Display Fibonacci 0.000:', type=bool, defval=true)
showFib0236 = input(title='Display Fibonacci 0.236:', type=bool, defval=true)
showFib0382 = input(title='Display Fibonacci 0.382:', type=bool, defval=true)
showFib0500 = input(title='Display Fibonacci 0.500:', type=bool, defval=true)
showFib0618 = input(title='Display Fibonacci 0.618:', type=bool, defval=true)
showFib0764 = input(title='Display Fibonacci 0.764:', type=bool, defval=true)
showFib1000 = input(title='Display Fibonacci 1.000:', type=bool, defval=true)
zigzag() =>
    _isUp = close >= open
    _isDown = close <= open
    _direction = _isUp[1] and _isDown ? -1 : _isDown[1] and _isUp ? 1 : nz(_direction[1])
    _zigzag = _isUp[1] and _isDown and _direction[1] != -1 ? highest(2) : _isDown[1] and _isUp and _direction[1] != 1 ? lowest(2) : na

_ticker = useHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
sz = useAltTF ? (ta.change(time(tf)) != 0 ? request.security(_ticker, tf, zigzag()) : na) : zigzag()

plot(sz, title='zigzag', color=color.black, linewidth=2)

//  ||---   Pattern Recognition:

x = ta.valuewhen(sz, sz, 4) 
a = ta.valuewhen(sz, sz, 3) 
b = ta.valuewhen(sz, sz, 2) 
c = ta.valuewhen(sz, sz, 1) 
d = ta.valuewhen(sz, sz, 0)

xab = (abs(b-a)/abs(x-a))
xad = (abs(a-d)/abs(x-a))
abc = (abs(b-c)/abs(a-b))
bcd = (abs(c-d)/abs(b-c))

//  ||-->   Functions:
isBat(_mode)=>
    _xab = xab >= 0.382 and xab <= 0.5
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.618 and bcd <= 2.618
    _xad = xad <= 0.618 and xad <= 1.000    // 0.886
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiBat(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.886    // 0.618
    _abc = abc >= 1.000 and abc <= 2.618    // 1.13 --> 2.618
    _bcd = bcd >= 1.618 and bcd <= 2.618    // 2.0  --> 2.618
    _xad = xad >= 0.886 and xad <= 1.000    // 1.13
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAltBat(_mode)=>
    _xab = xab <= 0.382
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 2.0 and bcd <= 3.618
    _xad = xad <= 1.13
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isButterfly(_mode)=>
    _xab = xab <= 0.786
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.618 and bcd <= 2.618
    _xad = xad >= 1.27 and xad <= 1.618
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiButterfly(_mode)=>
    _xab = xab >= 0.236 and xab <= 0.886    // 0.382 - 0.618
    _abc = abc >= 1.130 and abc <= 2.618    // 1.130 - 2.618
    _bcd = bcd >= 1.000 and bcd <= 1.382    // 1.27
    _xad = xad >= 0.500 and xad <= 0.886    // 0.618 - 0.786
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isABCD(_mode)=>
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.13 and bcd <= 2.618
    _abc and _bcd and (_mode == 1 ? d < c : d > c)

isGartley(_mode)=>
    _xab = xab >= 0.5 and xab <= 0.618 // 0.618
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.13 and bcd <= 2.618
    _xad = xad >= 0.75 and xad <= 0.875 // 0.786
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiGartley(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.886    // 0.618 -> 0.786
    _abc = abc >= 1.000 and abc <= 2.618    // 1.130 -> 2.618
    _bcd = bcd >= 1.500 and bcd <= 5.000    // 1.618
    _xad = xad >= 1.000 and xad <= 5.000    // 1.272
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isCrab(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.875    // 0.886
    _abc = abc >= 0.382 and abc <= 0.886    
    _bcd = bcd >= 2.000 and bcd <= 5.000    // 3.618
    _xad = xad >= 1.382 and xad <= 5.000    // 1.618
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiCrab(_mode)=>
    _xab = xab >= 0.250 and xab <= 0.500    // 0.276 -> 0.446
    _abc = abc >= 1.130 and abc <= 2.618    // 1.130 -> 2.618
    _bcd = bcd >= 1.618 and bcd <= 2.618    // 1.618 -> 2.618
    _xad = xad >= 0.500 and xad <= 0.750    // 0.618
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isShark(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.875    // 0.5 --> 0.886
    _abc = abc >= 1.130 and abc <= 1.618    //
    _bcd = bcd >= 1.270 and bcd <= 2.240    //
    _xad = xad >= 0.886 and xad <= 1.130    // 0.886 --> 1.13
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiShark(_mode)=>
    _xab = xab >= 0.382 and xab <= 0.875    // 0.446 --> 0.618
    _abc = abc >= 0.500 and abc <= 1.000    // 0.618 --> 0.886
    _bcd = bcd >= 1.250 and bcd <= 2.618    // 1.618 --> 2.618
    _xad = xad >= 0.500 and xad <= 1.250    // 1.130 --> 1.130
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

is5o(_mode)=>
    _xab = xab >= 1.13 and xab <= 1.618
    _abc = abc >= 1.618 and abc <= 2.24
    _bcd = bcd >= 0.5 and bcd <= 0.625 // 0.5
    _xad = xad >= 0.0 and xad <= 0.236 // negative?
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isWolf(_mode)=>
    _xab = xab >= 1.27 and xab <= 1.618
    _abc = abc >= 0 and abc <= 5
    _bcd = bcd >= 1.27 and bcd <= 1.618
    _xad = xad >= 0.0 and xad <= 5
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isHnS(_mode)=>
    _xab = xab >= 2.0 and xab <= 10
    _abc = abc >= 0.90 and abc <= 1.1
    _bcd = bcd >= 0.236 and bcd <= 0.88
    _xad = xad >= 0.90 and xad <= 1.1
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isConTria(_mode)=>
    _xab = xab >= 0.382 and xab <= 0.618
    _abc = abc >= 0.382 and abc <= 0.618
    _bcd = bcd >= 0.382 and bcd <= 0.618
    _xad = xad >= 0.236 and xad <= 0.764
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isExpTria(_mode)=>
    _xab = xab >= 1.236 and xab <= 1.618
    _abc = abc >= 1.000 and abc <= 1.618
    _bcd = bcd >= 1.236 and bcd <= 2.000
    _xad = xad >= 2.000 and xad <= 2.236
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

plotshape(not showPatterns ? na : isABCD(-1) and not isABCD(-1)[1], text="\nAB=CD", title='Bear ABCD', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isBat(-1) and not isBat(-1)[1], text="Bat", title='Bear Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAntiBat(-1) and not isAntiBat(-1)[1], text="Anti Bat", title='Bear Anti Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAltBat(-1) and not isAltBat(-1)[1], text="Alt Bat", title='Bear Alt Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isButterfly(-1) and not isButterfly(-1)[1], text="Butterfly", title='Bear Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(-1) and not isAntiButterfly(-1)[1], text="Anti Butterfly", title='Bear Anti Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isGartley(-1) and not isGartley(-1)[1], text="Gartley", title='Bear Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(-1) and not isAntiGartley(-1)[1], text="Anti Gartley", title='Bear Anti Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isCrab(-1) and not isCrab(-1)[1], text="Crab", title='Bear Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(-1) and not isAntiCrab(-1)[1], text="Anti Crab", title='Bear Anti Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isShark(-1) and not isShark(-1)[1], text="Shark", title='Bear Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiShark(-1) and not isAntiShark(-1)[1], text="Anti Shark", title='Bear Anti Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : is5o(-1) and not is5o(-1)[1], text="5-O", title='Bear 5-O', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isWolf(-1) and not isWolf(-1)[1], text="Wolf Wave", title='Bear Wolf Wave', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isHnS(-1) and not isHnS(-1)[1], text="Head and Shoulders", title='Bear Head and Shoulders', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isConTria(-1) and not isConTria(-1)[1], text="Contracting Triangle", title='Bear Contracting triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isExpTria(-1) and not isExpTria(-1)[1], text="Expanding Triangle", title='Bear Expanding Triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)

plotshape(not showPatterns ? na : isABCD(1) and not isABCD(1)[1], text="AB=CD\n", title='Bull ABCD', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isBat(1) and not isBat(1)[1], text="Bat", title='Bull Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiBat(1) and not isAntiBat(1)[1], text="Anti Bat", title='Bull Anti Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAltBat(1) and not isAltBat(1)[1], text="Alt Bat", title='Bull Alt Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isButterfly(1) and not isButterfly(1)[1], text="Butterfly", title='Bull Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(1) and not isAntiButterfly(1)[1], text="Anti Butterfly", title='Bull Anti Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isGartley(1) and not isGartley(1)[1], text="Gartley", title='Bull Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(1) and not isAntiGartley(1)[1], text="Anti Gartley", title='Bull Anti Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isCrab(1) and not isCrab(1)[1], text="Crab", title='Bull Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(1) and not isAntiCrab(1)[1], text="Anti Crab", title='Bull Anti Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isShark(1) and not isShark(1)[1], text="Shark", title='Bull Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiShark(1) and not isAntiShark(1)[1], text="Anti Shark", title='Bull Anti Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : is5o(1) and not is5o(1)[1], text="5-O", title='Bull 5-O', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isWolf(1) and not isWolf(1)[1], text="Wolf Wave", title='Bull Wolf Wave', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isHnS(1) and not isHnS(1)[1], text="Head and Shoulders", title='Bull Head and Shoulders', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isConTria(1) and not isConTria(1)[1], text="Contracting Triangle", title='Bull Contracting Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isExpTria(1) and not isExpTria(1)[1], text="Expanding Triangle", title='Bull Expanding Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)

//-------------------------------------------------------------------------------------------------------------------------------------------------------------
fib_range = abs(d-c)
fib_0000 = not showFib0000 ? na : d > c ? d-(fib_range*0.000):d+(fib_range*0.000)
fib_0236 = not showFib0236 ? na : d > c ? d-(fib_range*0.236):d+(fib_range*0.236)
fib_0382 = not showFib0382 ? na : d > c ? d-(fib_range*0.382):d+(fib_range*0.382)
fib_0500 = not showFib0500 ? na : d > c ? d-(fib_range*0.500):d+(fib_range*0.500)
fib_0618 = not showFib0618 ? na : d > c ? d-(fib_range*0.618):d+(fib_range*0.618)
fib_0764 = not showFib0764 ? na : d > c ? d-(fib_range*0.764):d+(fib_range*0.764)
fib_1000 = not showFib1000 ? na : d > c ? d-(fib_range*1.000):d+(fib_range*1.000)
plot(title='Fib 0.000', series=fib_0000, color=fib_0000 != fib_0000[1] ? na : black)
plot(title='Fib 0.236', series=fib_0236, color=fib_0236 != fib_0236[1] ? na : red)
plot(title='Fib 0.382', series=fib_0382, color=fib_0382 != fib_0382[1] ? na : olive)
plot(title='Fib 0.500', series=fib_0500, color=fib_0500 != fib_0500[1] ? na : lime)
plot(title='Fib 0.618', series=fib_0618, color=fib_0618 != fib_0618[1] ? na : teal)
plot(title='Fib 0.764', series=fib_0764, color=fib_0764 != fib_0764[1] ? na : blue)
plot(title='Fib 1.000', series=fib_1000, color=fib_1000 != fib_1000[1] ? na : black)

bgcolor(not useAltTF ? na : change(time(tf))!=0?black:na)
f_last_fib(_rate)=>d > c ? d-(fib_range*_rate):d+(fib_range*_rate)

trade_size = input(title='Trade size:', type=float, defval=1.00)
ew_rate = input(title='Fib. Rate to use for Entry Window:', type=float, defval=0.382)
tp_rate = input(title='Fib. Rate to use for TP:', type=float, defval=0.618)
sl_rate = input(title='Fib. Rate to use for SL:', type=float, defval=-0.618)
buy_patterns_00 = isABCD(1) or isBat(1) or isAltBat(1) or isButterfly(1) or isGartley(1) or isCrab(1) or isShark(1) or is5o(1) or isWolf(1) or isHnS(1) or isConTria(1) or isExpTria(1)
buy_patterns_01 = isAntiBat(1) or isAntiButterfly(1) or isAntiGartley(1) or isAntiCrab(1) or isAntiShark(1)
sel_patterns_00 = isABCD(-1) or isBat(-1) or isAltBat(-1) or isButterfly(-1) or isGartley(-1) or isCrab(-1) or isShark(-1) or is5o(-1) or isWolf(-1) or isHnS(-1) or isConTria(-1) or isExpTria(-1)
sel_patterns_01 = isAntiBat(-1) or isAntiButterfly(-1) or isAntiGartley(-1) or isAntiCrab(-1) or isAntiShark(-1)
buy_entry = (buy_patterns_00 or buy_patterns_01) and close <= f_last_fib(ew_rate)
buy_close = high >= f_last_fib(tp_rate) or low <= f_last_fib(sl_rate)
sel_entry = (sel_patterns_00 or sel_patterns_01) and close >= f_last_fib(ew_rate)
sel_close = low <= f_last_fib(tp_rate) or high >= f_last_fib(sl_rate)
strategy.entry('buy', long=strategy.long, qty=trade_size, comment='buy', when=buy_entry)
strategy.close('buy', when=buy_close)
strategy.entry('sell', long=strategy.short, qty=trade_size, comment='sell', when=sel_entry)
strategy.close('sell', when=sel_close)


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