Triple Overlapping Stochastic Momentum adalah strategi perdagangan jangka pendek yang tipikal. Ia mengira tiga indikator Stochastic Momentum Index (SMI) dengan tetapan parameter yang berbeza dan menghasilkan isyarat perdagangan apabila ketiga-tiga menunjukkan keadaan overbought atau oversold secara serentak. Dengan menggabungkan analisis pelbagai jangka masa, strategi ini dapat menapis bunyi pasaran dengan berkesan dan meningkatkan kualiti isyarat.
Penunjuk teras strategi ini adalah Indeks Momentum Stochastic (SMI).
SMI = 100 * EMA(EMA(Close - Midpoint of High-Low Range, N1), N2) / 0.5 * EMA(EMA(High - Low, N1), N2)
Di mana N1 dan N2 adalah panjang parameter. SMI berayun antara -100 dan 100. Nilai di atas 0 menunjukkan penutupan berada di separuh atas julat harian, sementara nilai di bawah 0 menunjukkan penutupan berada di separuh bawah.
Sama seperti Osilator Stochastic tradisional, tahap overbought (contohnya 40) / oversold (contohnya -40) menunjukkan isyarat pembalikan yang berpotensi. Isyarat bullish dan bearish dihasilkan apabila SMI melintasi di atas / di bawah garis purata bergerak.
Strategi menggunakan tiga penunjuk SMI dengan set parameter yang berbeza, khususnya:
Isyarat perdagangan dihasilkan apabila ketiga-tiga SMI menunjukkan keadaan overbought atau oversold secara serentak.
Pengurangan Risiko:
Strategi Momentum Stochastic berlapis tiga menggabungkan penjanaan isyarat yang kukuh merentasi beberapa bingkai masa dengan melapisi tiga penunjuk SMI dengan parameter yang unik. Berbanding dengan osilator tunggal, pendekatan multi-penunjuk ini menapis lebih banyak bunyi bising dan meningkatkan konsistensi. Penyempurnaan lanjut boleh dibuat ke hadapan melalui pengoptimuman parameter, pengesahan statistik, penunjuk tambahan dan lain-lain untuk meningkatkan ketahanan strategi.
/*backtest start: 2023-12-26 00:00:00 end: 2024-01-25 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=2 strategy("Stochastic Momentum multi strategy", "Stochastic Momentum Index multi strategy", overlay=false) q = input(10, title="%K Length") r = input(3, title="%K Smoothing Length") s = input(3, title="%K Double Smoothing Length") nsig = input(10, title="Signal Length") matype = input("ema", title="Signal MA Type") // possible: ema, sma, wma, trima, hma, dema, tema, zlema overbought = input(40, title="Overbought Level", type=float) oversold = input(-40, title="Oversold Level", type=float) trima(src, length) => sma(sma(src,length),length) hma(src, length) => wma(2*wma(src, length/2)-wma(src, length), round(sqrt(length))) dema(src, length) => 2*ema(src,length) - ema(ema(src,length),length) tema(src, length) => (3*ema(src,length) - 3*ema(ema(src,length),length)) + ema(ema(ema(src,length),length),length) zlema(src, length) => ema(src,length) + (ema(src,length) - ema(ema(src,length),length)) smi = 100 * ema(ema(close-0.5*(highest(q)+lowest(q)),r),s) / (0.5 * ema(ema(highest(q)-lowest(q),r),s)) sig = matype=="ema" ? ema(smi,nsig) : matype=="sma" ? sma(smi,nsig) : matype=="wma" ? wma(smi,nsig) : matype=="trima" ? trima(smi,nsig) : matype=="hma" ? hma(smi,nsig) : matype=="dema" ? dema(smi,nsig) : matype=="tema" ? tema(smi,nsig) : matype=="zlema" ? zlema(smi,nsig) : ema(smi,nsig) p_smi = plot(smi, title="SMI", color=aqua) p_sig = plot(sig, title="Signal", color=red) // plotchar(crossover(smi, sig), title= "low", location=location.bottom, color=green, char="▲", size= size.tiny) // plotchar(crossunder(smi, sig), title= "high", location=location.top, color=red, char="▼", size= size.tiny) /////////////////////////////2 q2 = input(20, title="%K Length 2") r2 = input(3, title="%K Smoothing Length 2") s2 = input(3, title="%K Double Smoothing Length 2") nsig2 = input(10, title="Signal Length 2") matype2 = input("ema", title="Signal MA Type 2") // possible: ema, sma, wma, trima, hma, dema, tema, zlema overbought2 = input(40, title="Overbought Level 2", type=float) oversold2 = input(-40, title="Oversold Level 2", type=float) trima2(src2, length2) => sma(sma(src2,length2),length2) hma2(src2, length2) => wma(2*wma(src2, length2/2)-wma(src2, length2), round(sqrt(length2))) dema2(src2, length2) => 2*ema(src2,length2) - ema(ema(src2,length2),length2) tema2(src2, length2) => (3*ema(src2,length2) - 3*ema(ema(src2,length2),length2)) + ema(ema(ema(src2,length2),length2),length2) zlema2(src2, length2) => ema(src2,length2) + (ema(src2,length2) - ema(ema(src2,length2),length2)) smi2 = 100 * ema(ema(close-0.5*(highest(q2)+lowest(q2)),r2),s2) / (0.5 * ema(ema(highest(q2)-lowest(q2),r2),s2)) sig2 = matype2=="ema" ? ema(smi2,nsig2) : matype2=="sma 2" ? sma(smi2,nsig2) : matype2=="wma 2" ? wma(smi2,nsig2) : matype2=="trima 2" ? trima2(smi2,nsig2) : matype2=="hma 2" ? hma2(smi2,nsig2) : matype=="dema 2" ? dema2(smi2,nsig2) : matype2=="tema 2" ? tema2(smi2,nsig2) : matype2=="zlema 2" ? zlema2(smi2,nsig2) : ema(smi2,nsig2) p_smi2 = plot(smi2, title="SMI 2", color=aqua) p_sig2 = plot(sig2, title="Signal2", color=red) // plotchar(crossover(smi2, sig2), title= "low2", location=location.bottom, color=green, char="▲", size= size.tiny) // plotchar(crossunder(smi2, sig2), title= "high2", location=location.top, color=red, char="▼", size= size.tiny) /////////////////////////////3 q3 = input(5, title="%K Length 3") r3 = input(3, title="%K Smoothing Length 3") s3 = input(3, title="%K Double Smoothing Length 3") nsig3 = input(10, title="Signal Length 3") matype3 = input("ema", title="Signal MA Type 3") // possible: ema, sma, wma, trima, hma, dema, tema, zlema overbought3 = input(40, title="Overbought Level 3", type=float) oversold3 = input(-40, title="Oversold Level 3", type=float) trima3(src3, length3) => sma(sma(src3,length3),length3) hma3(src3, length3) => wma(2*wma(src3, length3/2)-wma(src3, length3), round(sqrt(length3))) dema3(src3, length3) => 2*ema(src3,length3) - ema(ema(src3,length3),length3) tema3(src3, length3) => (3*ema(src3,length3) - 3*ema(ema(src3,length3),length3)) + ema(ema(ema(src3,length3),length3),length3) zlema3(src3, length3) => ema(src3,length3) + (ema(src3,length3) - ema(ema(src3,length3),length3)) smi3 = 100 * ema(ema(close-0.5*(highest(q3)+lowest(q3)),r3),s3) / (0.5 * ema(ema(highest(q3)-lowest(q3),r3),s3)) sig3 = matype3=="ema" ? ema(smi3,nsig3) : matype3=="sma 3" ? sma(smi3,nsig3) : matype3=="wma 3" ? wma(smi3,nsig3) : matype3=="trima 3" ? trima3(smi3,nsig3) : matype3=="hma 3" ? hma3(smi3,nsig3) : matype=="dema 3" ? dema3(smi3,nsig3) : matype3=="tema 3" ? tema3(smi3,nsig3) : matype3=="zlema 3" ? zlema3(smi3,nsig3) : ema(smi3,nsig3) p_smi3 = plot(smi3, title="SMI 3", color=aqua) p_sig3 = plot(sig3, title="Signal3", color=red) // plotchar(crossover(smi3, sig3) and crossover(smi2, sig2) and crossover(smi, sig), title= "low3", location=location.bottom, color=green, char="▲", size= size.tiny) // plotchar(crossunder(smi3, sig3) and crossunder(smi2, sig2) and crossunder(smi, sig), title= "high3", location=location.top, color=red, char="▼", size= size.tiny) plotchar (((smi3 < sig3) and (smi2 < sig2) and (smi < sig)), title= "low3", location=location.bottom, color=green, char="▲", size= size.tiny) plotchar (((smi3 > sig3) and (smi2 > sig2) and (smi > sig)), title= "high3", location=location.top, color=red, char="▼", size= size.tiny) // === BACKTEST RANGE === FromMonth = input(defval = 8, title = "From Month", minval = 1, maxval = 12) FromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31) FromYear = input(defval = 2018, title = "From Year", minval = 2014) ToMonth = input(defval = 12, title = "To Month", minval = 1, maxval = 12) ToDay = input(defval = 31, title = "To Day", minval = 1, maxval = 31) ToYear = input(defval = 2018, title = "To Year", minval = 2014) longCondition = ((smi3 < sig3) and (smi2 < sig2) and (smi < sig)) shortCondition = ((smi3 > sig3) and (smi2 > sig2) and (smi > sig)) // buy = longCondition == 1 and longCondition[1] == 1 ? longCondition : na buy = longCondition == 1 ? longCondition : na sell = shortCondition == 1? shortCondition : na // === ALERTS === strategy.entry("L", strategy.long, when=buy) strategy.entry("S", strategy.short, when=sell) alertcondition(((smi3 < sig3) and (smi2 < sig2) and (smi < sig)), title='Low Fib.', message='Low Fib. Buy') alertcondition(((smi3 > sig3) and (smi2 > sig2) and (smi > sig)), title='High Fib.', message='High Fib. Low')