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Trend Mengikuti Strategi dengan Purata Bergerak dan corak candlestick

Penulis:ChaoZhang, Tarikh: 2024-02-02 17:53:43
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Ringkasan

Strategi ini menggabungkan purata bergerak untuk menentukan arah trend dan corak lilin untuk mengenal pasti titik pembalikan yang berpotensi, untuk melaksanakan trend selepas perdagangan.

Prinsip Strategi

Strategi ini menggunakan purata bergerak mudah 10 hari untuk menentukan trend harga. Apabila harga berada di atas purata bergerak, ia dianggap berada dalam trend menaik; apabila harga berada di bawah purata bergerak, ia dianggap berada dalam trend menurun.

Selepas menentukan arah trend, strategi akan menilai titik pembalikan trend yang berpotensi berdasarkan satu siri corak candlestick bullish dan bearish. Corak bullish biasa termasuk Morning Star, Bullish Engulfing, Three White Soldiers, dan lain-lain; corak bearish biasa termasuk Evening Star, Three Black Crows, dan lain-lain. Apabila isyarat bullish dikenal pasti dalam trend menaik, strategi akan meletakkan pesanan beli; apabila isyarat bearish dikenal pasti dalam downtrend, strategi akan meletakkan pesanan jual.

Di samping itu, strategi ini juga menggabungkan tahap sokongan dan rintangan utama untuk menentukan harga kemasukan tertentu.

Kelebihan

Kelebihan terbesar strategi ini ialah ia menggabungkan kedua-dua penilaian trend dan isyarat pembalikan supaya ia dapat menangkap titik perubahan trend dengan tepat pada masanya untuk mengikuti trend.

Di samping itu, penggabungan penghakiman corak candlestick juga meningkatkan keupayaannya untuk menangani peristiwa tiba-tiba. Apabila peristiwa kemungkinan rendah menyebabkan pecah palsu di pasaran, corak candlestick dapat memainkan peranan penapis untuk mengelakkan perdagangan yang salah.

Risiko

Risiko utama strategi ini terletak pada ketepatan tetapan parameter purata bergerak dan penghakiman corak lilin. Jika tempoh purata bergerak ditetapkan dengan tidak betul, ia akan membawa kepada penentuan trend yang salah; jika penghakiman corak lilin mempunyai kesilapan, ia juga akan membawa kepada keputusan perdagangan yang salah.

Di samping itu, corak lilin pembalikan tidak dapat menjamin pembalikan trend dengan kepastian 100%, jadi masih ada beberapa risiko dalam strategi.

Arahan pengoptimuman

Terdapat ruang yang cukup untuk pengoptimuman dalam strategi ini. Sebagai contoh, kita boleh mempertimbangkan penyesuaian parameter purata bergerak secara dinamik dan mengamalkan tempoh purata bergerak yang berbeza di peringkat pasaran yang berbeza. Kita juga boleh memperkenalkan kaedah pembelajaran mesin untuk melatih model penilaian corak lilin menggunakan data sejarah untuk meningkatkan ketepatan penilaian.

Di samping itu, kita juga boleh mempertimbangkan untuk memasukkan lebih banyak faktor untuk menilai trend dan kawasan panas, seperti perubahan jumlah dagangan, penunjuk turun naik, dan lain-lain, untuk menjadikan strategi lebih komprehensif dan kukuh.

Kesimpulan

Secara umum, strategi ini sangat sesuai untuk mengesan trend jangka menengah di pasaran saham dan boleh memperoleh pulangan yang agak tinggi dan stabil. Jika dioptimumkan lebih lanjut, ia berpotensi menjadi strategi kuantitatif yang berfungsi dengan baik. Jika pelabur memahami penggunaan strategi ini, mereka juga boleh menggunakannya untuk membina pegangan jangka panjang untuk mengawal risiko saham individu sambil memperoleh pulangan yang lebih baik.

/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 3h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=5
strategy("Trend Following Strategy with Candlestick Patterns", overlay=true)

// Moving Average
ma_period = input(10, title="Moving Average Period")
moving_average = ta.sma(close, ma_period)

// Candlestick Patterns
// Custom Function
abs(x) => x >= 0 ? x : -x

// Candlestick Patterns
isDoji() =>
    (close - open) <= (high - low) * 0.1

isMarubozuWhite() =>
    close == high and open == low and close > open

isHammer() =>
    (high - low) >= 3 * abs(open - close) and (close - low) / (0.001 + high - low) > 0.6 and (open - low) / (0.001 + high - low) > 0.6

isInvertedHammer() =>
    (high - low) >= 3 * abs(open - close) and (high - close) / (0.001 + high - low) > 0.6 and (high - open) / (0.001 + high - low) > 0.6

isLongLowerShadow() =>
    (low - close) > 2 * abs(open - close) and (low - open) / (0.001 + high - low) > 0.6

isUpsideTasukiGap() =>
    close[1] < open[1] and open > close and open > close[1] and close < open[1]

isRisingWindow() =>
    high[1] < low and close > open

isPiercing() =>
    close[1] < open[1] and close > open and close > ((open + low) / 2) and close < open[1] and open < close[1]

isBullishEngulfing() =>
    close[1] < open[1] and close > open and high > high[1] and low < low[1]

isTweezerBottom() =>
    low == ta.valuewhen(low == ta.lowest(low, 10), low, 0) and low == ta.valuewhen(low == ta.lowest(low, 20), low, 0)

isBullishAbandonedBaby() =>
    close[2] < open[2] and close[1] > open[1] and low[1] > ta.valuewhen(high == ta.highest(high, 2), high, 0) and open > close and close > ta.valuewhen(high == ta.highest(high, 2), high, 0)

isMorningStar() =>
    close[2] < open[2] and close[1] < open[1] and close > open[1] and open < close[2] and open > close[1]

isMorningDojiStar() =>
    close[2] < open[2] and close[1] < open[1] and isDoji() and close > open[1] and open < close[2] and open > close[1]

isDragonflyDoji() =>
    isDoji() and (high - close) / (0.001 + high - low) < 0.1 and (open - low) / (0.001 + high - low) > 0.6

isThreeWhiteSoldiers() =>
    close[2] < open[2] and close[1] < open[1] and close > open and open < close[2] and open < close[1] and close > open[1]

isRisingThreeMethods() =>
    close[4] < open[4] and close[1] < open[1] and close > open and open < close[4] and open < close[1] and close > open[1]

isMarubozuBlack() =>
    close == low and open == high and open > close

isGravestoneDoji() =>
    isDoji() and (close - low) / (0.001 + high - low) < 0.1 and (high - open) / (0.001 + high - low) > 0.6

isHangingMan() =>
    (high - low) >= 4 * abs(open - close) and (open - close) / (0.001 + high - low) > 0.6 and (high - open) / (0.001 + high - low) > 0.6

isLongUpperShadow() =>
    (high - open) > 2 * abs(open - close) and (high - close) / (0.001 + high - low) > 0.6

isDownsideTasukiGap() =>
    close[1] > open[1] and open < close and open < close[1] and close > open[1]

isFallingWindow() =>
    low[1] > high and close < open

isDarkCloudCover() =>
    close[1] > open[1] and close < open and close < ((open + high) / 2) and close > open[1] and open > close[1]

isBearishEngulfing() =>
    close[1] > open[1] and close < open and high > high[1] and low < low[1]

isTweezerTop() =>
    high == ta.valuewhen(high == ta.highest(high, 10), high, 0) and high == ta.valuewhen(high == ta.highest(high, 20), high, 0)

isAbandonedBaby() =>
    close[2] > open[2] and close[1] < open[1] and high[1] < ta.valuewhen(low == ta.lowest(low, 2), low, 0) and open < close and close < ta.valuewhen(low == ta.lowest(low, 2), low, 0)

isEveningDojiStar() =>
    close[2] > open[2] and close[1] > open[1] and isDoji() and close < open[1] and open > close[2] and open < close[1]

isEveningStar() =>
    close[2] > open[2] and close[1] > open[1] and close < open[1] and open > close[2] and open < close[1]

isThreeBlackCrows() =>
    close[2] > open[2] and close[1] > open[1] and close < open and open > close[2] and open > close[1] and close < open[1]

isFallingThreeMethods() =>
    close[4] > open[4] and close[1] > open

isShootingStar() =>
    (high - low) >= 3 * abs(open - close) and (high - close) / (0.001 + high - low) > 0.6 and (high - open) / (0.001 + high - low) > 0.6

doji = isDoji()
marubozuWhite = isMarubozuWhite()
hammer = isHammer()
invertedHammer = isInvertedHammer()
longLowerShadow = isLongLowerShadow()
upsideTasukiGap = isUpsideTasukiGap()
risingWindow = isRisingWindow()
piercing = isPiercing()
bullishEngulfing = isBullishEngulfing()
tweezerBottom = isTweezerBottom()
bullishAbandonedBaby = isBullishAbandonedBaby()
morningStar = isMorningStar()
morningDojiStar = isMorningDojiStar()
dragonflyDoji = isDragonflyDoji()
threeWhiteSoldiers = isThreeWhiteSoldiers()
risingThreeMethods = isRisingThreeMethods()
marubozuBlack = isMarubozuBlack()
gravestoneDoji = isGravestoneDoji()
hangingMan = isHangingMan()
longUpperShadow = isLongUpperShadow()
downsideTasukiGap = isDownsideTasukiGap()
fallingWindow = isFallingWindow()
darkCloudCover = isDarkCloudCover()
bearishEngulfing = isBearishEngulfing()
tweezerTop = isTweezerTop()
abandonedBaby = isAbandonedBaby()
eveningDojiStar = isEveningDojiStar()
eveningStar = isEveningStar()
threeBlackCrows = isThreeBlackCrows()
fallingThreeMethods = isFallingThreeMethods()
shootingStar = isShootingStar()
isBullishPattern() =>
    (isMarubozuWhite() or isHammer() or isInvertedHammer() or isDoji() or isMorningStar() or isBullishEngulfing() or isThreeWhiteSoldiers() or isMarubozuBlack() or isHangingMan() or isDownsideTasukiGap() or isDarkCloudCover())

isBearishPattern() =>
    (isMarubozuBlack() or isInvertedHammer() or isLongUpperShadow() or isTweezerTop() or isGravestoneDoji() or isEveningStar() or isBearishEngulfing() or isThreeBlackCrows() or isShootingStar())

isBullishCandle = isBullishPattern()
isBearishCandle = isBearishPattern()

// Calculate Pivot Points
pivotPoint(high, low, close) =>
    (high + low + close) / 3

r1 = pivotPoint(high[1], low[1], close[1]) * 2 - low[1]
s1 = pivotPoint(high[1], low[1], close[1]) * 2 - high[1]

r2 = pivotPoint(high[1], low[1], close[1]) + (high[1] - low[1])
s2 = pivotPoint(high[1], low[1], close[1]) - (high[1] - low[1])

r3 = high[1] + 2 * (pivotPoint(high[1], low[1], close[1]) - low[1])
s3 = low[1] - 2 * (high[1] - pivotPoint(high[1], low[1], close[1]))
// Trend Identification
is_uptrend = close > moving_average
is_downtrend = close < moving_average
// Entry and Exit Conditions with Trend Identification
enterLong = is_uptrend and isBullishCandle and close > r1
exitLong = is_uptrend and (bearishEngulfing or doji or close < s1)

enterShort = is_downtrend and isBearishCandle and close < s1
exitShort = is_downtrend and (bullishEngulfing or doji or close > r1)



// Strategy Execution
if enterLong and strategy.position_size == 0 and strategy.position_size[1] == 0 and close > r1
    strategy.entry("Buy", strategy.long, qty=1)

if exitLong and strategy.position_size > 0
    strategy.close("Buy")

if enterShort and strategy.position_size == 0 and close < s1
    strategy.entry("Sell", strategy.short, qty=1)

if exitShort and strategy.position_size < 0
    strategy.close("Sell")


// Stop-Loss and Trailing Stop-Loss
stop_loss_pct = input(2.0, title="Stop Loss Percentage")
trailing_stop_loss_pct = input(1.0, title="Trailing Stop Loss Percentage")
trailing_stop_loss_active = input(true, title="Trailing Stop Loss Active")

// Stop-Loss
stop_loss_level = strategy.position_avg_price * (1 - stop_loss_pct / 100)
strategy.exit("Stop Loss", "Buy", loss=stop_loss_level)

// Trailing Stop-Loss


// Plotting Moving Average
plot(moving_average, color=color.blue, title="Moving Average", linewidth=2)

// Plotting Candlestick Patterns
plotshape(isBullishCandle, title="Bullish Candle", location=location.belowbar, color=color.green, style=shape.labelup)
plotshape(isBearishCandle, title="Bearish Candle", location=location.abovebar, color=color.red, style=shape.labeldown)

// Plotting Support and Resistance Levels
//hline(r1, "Resistance Level 1", color=color.red, linestyle=hline.style_dotted)
//hline(s1, "Support Level 1", color=color.green, linestyle=hline.style_dotted)
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