Strategi Perdagangan Pembalikan dengan Bollinger Bands, RSI, ADX dan ATR
Penulis:ChaoZhang, Tarikh: 2024-02-21 14:13:47Tag:
Ringkasan
Strategi ini mengintegrasikan pelbagai penunjuk teknikal. Ia mencari peluang perdagangan pembalikan kebarangkalian tinggi apabila penunjuk Bollinger Bands menghasilkan isyarat pembalikan harga, digabungkan dengan penilaian mengenai struktur pasaran dari penunjuk RSI, ADX dan ATR.
Logika Strategi
-
Gunakan Bollinger Band 20 tempoh dan tunggu corak lilin pembalikan apabila harga mencapai band tertinggi atau terendah.
-
Indikator RSI menilai sama ada pasaran berada dalam mod julat, dengan RSI di atas 60 menunjukkan julat kenaikan dan di bawah 40 julat penurunan.
-
ADX di bawah 20 menunjukkan pasaran yang berbeza, manakala di atas 20 menunjukkan keadaan trend.
-
ATR menetapkan stop loss dan trailing stop loss.
-
Penapis tambahan dari garis EMA.
Analisis Kelebihan
-
Pelbagai penunjuk digabungkan memberikan isyarat perdagangan kebarangkalian tinggi.
-
Parameter yang boleh dikonfigurasikan disesuaikan dengan persekitaran pasaran yang berbeza.
-
Peraturan stop loss yang ketat mengawal risiko dengan berkesan.
Analisis Risiko
-
Tetapan parameter yang tidak betul boleh menyebabkan perdagangan yang terlalu kerap.
-
Kemungkinan kegagalan pembalikan masih wujud.
-
Penghentian kerugian boleh gagal di pasaran tertentu.
Arahan pengoptimuman
-
Uji lebih banyak kombinasi penunjuk untuk mencari konfigurasi parameter yang lebih baik.
-
Mengenali peluang pembalikan berterusan tepat pada masanya selepas kegagalan awal.
-
Uji kaedah stop loss yang berbeza untuk membuat berhenti lebih pintar.
Kesimpulan
Strategi ini menggunakan Bollinger Bands untuk isyarat perdagangan teras, dan beberapa penunjuk tambahan membentuk sistem penapisan kebarangkalian tinggi. Peraturan stop loss juga cukup lengkap. Penambahbaikan prestasi yang lebih lanjut dapat dicapai melalui penyesuaian parameter dan pengoptimuman penunjuk. Secara keseluruhan, strategi ini membentuk sistem perdagangan pembalikan yang boleh dipercayai.
/*backtest
start: 2024-01-01 00:00:00
end: 2024-01-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
strategy(shorttitle="BB + EMA + RSI + ADX + ATR Reversal", title="Bollinger Bands Reversal", overlay=true)
// Inputs
ema1Input = input(title = "EMA1 Input", defval = 200, minval = 10, maxval = 400, step = 10, group = "Indicators")
ema2Input = input(title = "EMA2 Input", defval = 100, minval = 10, maxval = 400, step = 10, group = "Indicators")
length = input(title = "BB Length", defval = 20, minval=1, group = "Bollinger Band Indicator")
bbsrc = input(title = "BB Source", defval = close, group = "Bollinger Band Indicator")
mult = input(title = "BB Standard Deviation", type = input.float, defval = 2.0, minval=0.001, maxval=50, group = "Bollinger Band Indicator")
offset = input(title = "BB Offset", defval = 0, minval = -500, maxval = 500, group = "Bollinger Band Indicator")
rsilen = input(title = "RSI Length", defval = 14, minval=1, group = "RSI Indicator")
rsisrc = input(title = "RSI Source", defval = close, group = "RSI Indicator")
rsiMaxEntry = input(title = "RSI Maximum Value", defval = 60, minval = 50, maxval = 100, group = "RSI Indicator")
rsiMinEntry = input(title = "RSI Minimum Value", defval = 40, minval = 0, maxval = 50, group = "RSI Indicator")
rsiMaxExit = input(title = "RSI Max Exit Value", defval = 70, minval = 50, maxval = 100, group = "RSI Indicator")
rsiMinExit = input(title = "RSI Min Exit Value", defval = 30, minval = 0, maxval = 50, group = "RSI Indicator")
atrLength = input(title = "ATR Length", defval = 14, minval = 1, group = "ATR Indicator")
useStructure = input(title = "Use Trailing Stop?", type = input.bool, defval = true, group = "ATR Indicator")
atrlookback = input(title = "ATR Lookback Period", defval = 7, minval = 1, group = "ATR Indicator")
atrMultiplier = input(title = "ATR Multiplier", type = input.float, defval = 1.0, minval = 0.1, group = "ATR Indicator")
sigMaxValue = input(title = "ADX Max Value", type = input.float, defval = 20.0, minval = 0, maxval = 100, step = 0.1, group = "ADX Indicator")
adxlen = input(title = "ADX Smoothing", defval = 14, group = "ADX Indicator")
dilen = input(title = "DI Length", defval = 14, group = "ADX Indicator")
// Date input
fromMonth = input(defval = 1, title = "From Month", minval = 1, maxval = 12, group = "Backtest Date Range")
fromDay = input(defval = 1, title = "From Day", minval = 1, maxval = 31, group = "Backtest Date Range")
fromYear = input(defval = 2000, title = "From Year", minval = 1970, group = "Backtest Date Range")
thruMonth = input(defval = 1, title = "Thru Month", minval = 1, maxval = 12, group = "Backtest Date Range")
thruDay = input(defval = 1, title = "Thru Day", minval = 1, maxval = 31, group = "Backtest Date Range")
thruYear = input(defval = 2099, title = "Thru Year", minval = 1970, group = "Backtest Date Range")
inDataRange = true
// Built in Bollinger Band
basis = sma(bbsrc, length)
dev = mult * stdev(bbsrc, length)
upper = basis + dev
lower = basis - dev
// Built in RSI
up = rma(max(change(rsisrc), 0), rsilen)
down = rma(-min(change(rsisrc), 0), rsilen)
rsi = down == 0 ? 100 : up == 0 ? 0 : 100 - (100 / (1 + up / down))
// Built in ADX
dirmov(len) =>
up = change(high)
down = -change(low)
plusDM = na(up) ? na : (up > down and up > 0 ? up : 0)
minusDM = na(down) ? na : (down > up and down > 0 ? down : 0)
truerange = rma(tr, len)
plus = fixnan(100 * rma(plusDM, len) / truerange)
minus = fixnan(100 * rma(minusDM, len) / truerange)
[plus, minus]
adx(dilen, adxlen) =>
[plus, minus] = dirmov(dilen)
sum = plus + minus
adx = 100 * rma(abs(plus - minus) / (sum == 0 ? 1 : sum), adxlen)
sig = adx(dilen, adxlen)
// Custom variables
ema1 = ema(close, ema1Input)
ema2 = ema(close, ema2Input)
atr = atr(atrLength)
// Entry and exit signals
CrossLongEntry = (close <= lower or close[1] <= lower[1]) and close > open and close[1] < open[1] and close > ema1 and close > ema2 and strategy.position_size == 0 and inDataRange and rsi > rsiMinEntry and rsi < rsiMaxEntry and sig < sigMaxValue
CrossShortEntry = (close >= upper or close[1] >= upper[1]) and close < open and close[1] > open[1] and close < ema1 and close < ema2 and strategy.position_size == 0 and inDataRange and rsi > rsiMinEntry and rsi < rsiMaxEntry and sig < sigMaxValue
CrossLongExit = (close >= upper or close[1] >= upper[1]) and close < open and close[1] > open[1] and strategy.position_size > 0 and inDataRange or rsi < rsiMinExit or rsi > rsiMaxExit
CrossShortExit = (close <= lower or close[1] <= lower[1]) and close > open and close[1] < open[1] and strategy.position_size < 0 and inDataRange or rsi < rsiMinExit or rsi > rsiMaxExit
// Determining the stop loss based on ATR
StopLossLong = (useStructure ? lowest(low, atrlookback) : close) - atr * atrMultiplier
StopLossShort = (useStructure ? highest(high, atrlookback) : close) + atr * atrMultiplier
// Custom variables used to store the stoploss value
var StopLong = 0.0
var StopShort = 0.0
// Telling my script to store the stoploss value in the corresponding variables
if CrossLongEntry
StopLong := StopLossLong
if CrossShortEntry
StopShort := StopLossShort
// Strategy
strategy.entry("Entry Long", strategy.long, when = CrossLongEntry, comment = "Entry Long")
strategy.close("Entry Long", when = CrossLongExit or close < StopLong, comment = "Long Exit")
strategy.entry("Entry Short", strategy.short, when = CrossShortEntry, comment = "Entry Short")
strategy.close("Entry Short", when = CrossShortExit or close > StopShort, comment = "Short Exit")
// Plots the Bollinger Band
plot(basis, "Basis", color=#872323, offset = offset)
p1 = plot(upper, "Upper", color=color.teal, offset = offset)
p2 = plot(lower, "Lower", color=color.teal, offset = offset)
fill(p1, p2, title = "Background", color=#198787, transp=95)
// Use this if you want to see the stoploss visualised, be aware though plotting these can be confusing
// plot(StopLong)
// plot(StopShort)
Lebih lanjut
- Strategi Dagangan Berdasarkan Gabungan Penembusan EMA Kerangka Masa Berbilang dan corak K-line
- Trend Mengikuti Strategi dengan Stop Loss dan Ambil Keuntungan
- Strategi Kuantum Pengukuran Kedudukan Dinamik
- Strategi Beli Berdasarkan Penembusan Harga Dekat
- Strategi purata bergerak berganda
- Strategi Dagangan Osilasi Bollinger Bands Breakout
- Strategi Keseimbangan Psikologi Dagangan
- Strategi Dagangan Kuantitatif Berdasarkan Crossover Purata Bergerak Berganda
- Strategi Stop Multiple ATR Terbaik
- Bollinger Melalui Kematian Strategi Emas
- DEMA Crossover Trend Mengikut Strategi
- Strategi Tetapan Pembalikan Ekstrem
- Trend Berasaskan Penunjuk OBV dan CCI Mengikut Strategi
- Sistem Perdagangan Penembusan
- Strategi Breakout Bollinger Bands Multi-Timeframe yang merangkumi RSI
- Strategi Dagangan Pengumpulan Indikator Momentum
- Strategi Perdagangan Kuantum Berbilang Penunjuk
- TradingVMA
Strategi Dagangan Purata Bergerak Berubah - Strategi Perbezaan RSI
- Dual Donchian Channel Breakout Strategy