Strategi ini menggunakan gabungan Bollinger Bands dan isyarat Saluran Keltner untuk mengenal pasti trend pasaran. Bollinger Bands adalah alat analisis teknikal yang menentukan saluran berdasarkan julat turun naik harga. Isyarat Saluran Keltner menggabungkan turun naik harga dan trend untuk menentukan tahap sokongan atau rintangan. Strategi ini menggunakan kelebihan kedua-dua penunjuk dengan menilai sama ada persilangan emas berlaku antara Bollinger Bands dan Saluran Keltner untuk mencari peluang panjang dan pendek.
Strategi ini terutamanya bergantung kepada Bollinger Bands untuk menilai julat turun naik dan momentum. Saluran Keltner berfungsi sebagai alat pengesahan kerana ciri-ciri yang sama tetapi parameter yang berbeza. Menggunakan kedua-dua penunjuk ini bersama-sama meningkatkan ketepatan isyarat. Menggabungkan jumlah dagangan juga membantu menapis isyarat yang tidak sah.
Memperluaskan julat stop loss atau menambah penunjuk pengesahan seperti MACD dapat mengurangkan risiko daripada isyarat palsu.
Strategi ini menggabungkan Bollinger Bands dan Saluran Keltner untuk mengenal pasti trend, yang disahkan oleh jumlah dagangan. Penambahbaikan lanjut seperti pengoptimuman parameter dan menambah penunjuk akan memperkukuhkannya untuk lebih banyak rejim pasaran.
/*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"}] */ // This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/ // © jensenvilhelm //@version=5 strategy("BB and KC Strategy", overlay=true) // Define the input parameters for the strategy, these can be changed by the user to adjust the strategy kcLength = input.int(20, "KC Length", minval=1) // Length for Keltner Channel calculation kcStdDev = input.float(2.2, "KC StdDev") // Standard Deviation for Keltner Channel calculation bbLength = input.int(20, "BB Length", minval=1) // Length for Bollinger Bands calculation bbStdDev = input.float(2, "BB StdDev") // Standard Deviation for Bollinger Bands calculation volumeLength = input.int(10, "Volume MA Length", minval=1) // Length for moving average of volume calculation stopLossPercent = input.float(1.5, "Stop Loss (%)") // Percent of price for Stop loss trailStopPercent = input.float(2, "Trail Stop (%)") // Percent of price for Trailing Stop barsInTrade = input.int(20, "Bars in trade before exit", minval = 1) // Minimum number of bars in trade before considering exit // Calculate Bollinger Bands and Keltner Channel [bb_middle, bb_upper, bb_lower] = ta.bb(close, bbLength, bbStdDev) // Bollinger Bands calculation [kc_middle, kc_upper, kc_lower] = ta.kc(close, kcLength, kcStdDev) // Keltner Channel calculation // Calculate moving average of volume vol_ma = ta.sma(volume, volumeLength) // Moving average of volume calculation // Plotting Bollinger Bands and Keltner Channels on the chart plot(bb_upper, color=color.red) // Bollinger Bands upper line plot(bb_middle, color=color.blue) // Bollinger Bands middle line plot(bb_lower, color=color.red) // Bollinger Bands lower line plot(kc_upper, color=color.rgb(105, 255, 82)) // Keltner Channel upper line plot(kc_middle, color=color.blue) // Keltner Channel middle line plot(kc_lower, color=color.rgb(105, 255, 82)) // Keltner Channel lower line // Define entry conditions: long position if upper KC line crosses above upper BB line and volume is above MA of volume // and short position if lower KC line crosses below lower BB line and volume is above MA of volume longCond = ta.crossover(kc_upper, bb_upper) and volume > vol_ma // Entry condition for long position shortCond = ta.crossunder(kc_lower, bb_lower) and volume > vol_ma // Entry condition for short position // Define variables to store entry price and bar counter at entry point var float entry_price = na // variable to store entry price var int bar_counter = na // variable to store bar counter at entry point // Check entry conditions and if met, open long or short position if (longCond) strategy.entry("Buy", strategy.long) // Open long position entry_price := close // Store entry price bar_counter := 1 // Start bar counter if (shortCond) strategy.entry("Sell", strategy.short) // Open short position entry_price := close // Store entry price bar_counter := 1 // Start bar counter // If in a position and bar counter is not na, increment bar counter if (strategy.position_size != 0 and na(bar_counter) == false) bar_counter := bar_counter + 1 // Increment bar counter // Define exit conditions: close position if been in trade for more than specified bars // or if price drops by more than specified percent for long or rises by more than specified percent for short if (bar_counter > barsInTrade) // Only consider exit after minimum bars in trade if (bar_counter >= barsInTrade) strategy.close_all() // Close all positions // Stop loss and trailing stop if (strategy.position_size > 0) strategy.exit("Sell", "Buy", stop=entry_price * (1 - stopLossPercent/100), trail_points=entry_price * trailStopPercent/100) // Set stop loss and trailing stop for long position else if (strategy.position_size < 0) strategy.exit("Buy", "Sell", stop=entry_price * (1 + stopLossPercent/100), trail_points=entry_price * trailStopPercent/100) // Set stop loss and trailing stop for short position