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Strategi Guncangan Sokongan dan Rintangan Kuantitatif

Penulis:ChaoZhang, Tarikh: 2024-01-25 15:53:06
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Ringkasan

Prinsip Strategi

  1. Indikator RSI menentukan kawasan overbought dan oversold.
  2. Memperkenalkan pengenalan corak candlestick untuk membantu menilai isyarat trend untuk mengelakkan perdagangan yang salah.

Analisis Kelebihan

  2. Optimum parameter STO, penyesuaian kelancaran menapis bunyi bising dan meningkatkan kualiti isyarat.
  4. Garis SMA membantu menilai arah trend utama, mengelakkan perdagangan terhadap trend.
  5. Strategi stop loss mengunci keuntungan maksimum untuk setiap perdagangan.

Analisis Risiko

  1. Menghadapi risiko yang lebih besar apabila pasaran terus turun.
  3. RSI cenderung menghasilkan isyarat palsu, perlu penapisan oleh penunjuk lain.

Pengoptimuman Strategi

  1. Sesuaikan parameter RSI, optimumkan penilaian overbought oversold.
  2. Sesuaikan parameter STO, kelancaran dan tempoh untuk meningkatkan kualiti isyarat.
  3. Sesuaikan tempoh purata bergerak untuk mengoptimumkan penilaian trend.
  4. Memperkenalkan lebih banyak penunjuk teknikal untuk meningkatkan ketepatan isyarat.
  5. Mengoptimumkan nisbah stop loss untuk mengurangkan risiko perdagangan tunggal.

Kesimpulan

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//study(title="@sentenzal strategy", shorttitle="@sentenzal strategy", overlay=true)
strategy(title="@sentenzal strategy", shorttitle="@sentenzal strategy", overlay=true  )
smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
overbought = input(80, minval=1)
oversold = input(20, minval=1)
smaLengh = input(100, minval=1)
smaLengh2 = input(50, minval=1)
smaLengh3 = input(20, minval=1)

src = input(close, title="RSI Source")
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testPeriod() =>
    time >= testPeriodStart ? true : false

rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
crossBuy = crossover(k, d) and k < oversold
crossSell = crossunder(k, d) and k > overbought

dcLower = lowest(low, 10)
dcUpper = highest(high, 10)


heikinashi_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
heikinashi_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
heikinashi_low = security(heikinashi(syminfo.tickerid), timeframe.period, low)
heikinashi_high = security(heikinashi(syminfo.tickerid), timeframe.period, high)
heikinashiPositive = heikinashi_close >= heikinashi_open

heikinashiBuy = heikinashiPositive == true and heikinashiPositive[1] == false  and heikinashiPositive[2] == false
heikinashiSell = heikinashiPositive == false and heikinashiPositive[1] == true and heikinashiPositive[2] == true

//plotshape(heikinashiBuy, style=shape.arrowup, color=green, location=location.belowbar, size=size.tiny)
//plotshape(heikinashiSell, style=shape.arrowdown, color=red, location=location.abovebar, size=size.tiny)

buy = (crossBuy == true or crossBuy[1] == true or crossBuy[2] == true) and (heikinashiBuy == true or heikinashiBuy[1] == true or heikinashiBuy[2] == true)
sell = (crossSell == true or crossSell[1] == true or crossSell[2] == true) and (heikinashiSell == true or heikinashiSell[1] == true or heikinashiSell[2] == true)

mult = timeframe.period == '15' ? 4 : 1
mult2 = timeframe.period == '240' ? 0.25 : mult

movingAverage = sma(close, round(smaLengh))
movingAverage2 = sma(close, round(smaLengh2))
movingAverage3 = sma(close, round(smaLengh3))

uptrend = movingAverage < movingAverage2 and movingAverage2 < movingAverage3 and close > movingAverage
downtrend = movingAverage > movingAverage2 and movingAverage2 > movingAverage3 and close < movingAverage

signalBuy = (buy[1] == false and buy[2] == false and buy == true) and uptrend
signalSell = (sell[1] == false and sell[2] == false and sell == true) and downtrend

takeProfitSell = (buy[1] == false and buy[2] == false and buy == true) and uptrend == false
takeProfitBuy = (sell[1] == false and sell[2] == false and sell == true)  and uptrend

plotshape(signalBuy, style=shape.triangleup, color=green, location=location.belowbar, size=size.tiny)
plotshape(signalSell, style=shape.triangledown, color=red, location=location.abovebar, size=size.tiny)



plot(movingAverage, linewidth=3, color=orange, transp=0)
plot(movingAverage2, linewidth=2, color=purple, transp=0)
plot(movingAverage3, linewidth=1, color=navy, transp=0)

alertcondition(signalBuy, title='Signal Buy', message='Signal Buy')
alertcondition(signalSell, title='Signal Sell', message='Signal Sell')


strategy.close("L", when=dcLower[1] > low)
strategy.close("S", when=dcUpper[1] < high)

strategy.entry("L", strategy.long, 1, when = signalBuy and testPeriod() and uptrend) 
strategy.entry("S", strategy.short, 1, when = signalSell and testPeriod() and uptrend ==false) 

//strategy.exit("Exit Long", from_entry = "L", loss = 25000000, profit=25000000)
//strategy.exit("Exit Short", from_entry = "S", loss = 25000000, profit=25000000)
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