Esta é uma estratégia de negociação de grade que utiliza linhas médias móveis dinamicamente. Ela desenha várias zonas de compra e venda acima e abaixo da linha média móvel com base nas configurações da MA e do intervalo de volatilidade. Quando o preço cai em diferentes zonas de compra, as ordens longas correspondentes serão abertas. Quando o preço volta para as zonas de venda, as ordens abertas serão fechadas sequencialmente. Assim, forma um mecanismo de negociação de grade dinâmica.
Os riscos podem ser reduzidos através do relaxamento do intervalo de rede, da otimização do parâmetro ATR, da redução das quantidades de encomendas, etc. Também podem ser utilizados diferentes conjuntos de parâmetros para cenários de tendências e variações.
Estas novas otimizações tornarão a estratégia mais dinâmica e localmente reforçada.
Em conclusão, esta é uma estratégia de grade geral madura e simples de seguir tendências. Ele usa médias móveis para determinar as principais tendências e estabelece um mecanismo de grade dinâmica para transações lotadas. Tem certas capacidades de controle de risco.
/*backtest start: 2022-12-13 00:00:00 end: 2023-12-19 00:00:00 period: 1d basePeriod: 1h 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/ // © Seungdori_ //@version=5 strategy("Grid Strategy with MA", overlay=true, initial_capital = 100000, default_qty_type = strategy.cash, default_qty_value = 10000, pyramiding = 10, process_orders_on_close = true, commission_type = strategy.commission.percent, commission_value = 0.04) //Inputs// length = input.int(defval = 100, title = 'MA Length', group = 'MA') MA_Type = input.string("SMA", title="MA Type", options=['EMA', 'HMA', 'LSMA', 'RMA', 'SMA', 'WMA'],group = 'MA') logic = input.string(defval='ATR', title ='Grid Logic', options = ['ATR', 'Percent']) band_mult = input.float(2.5, step = 0.1, title = 'Band Multiplier/Percent', group = 'Parameter') atr_len = input.int(defval=100, title = 'ATR Length', group ='parameter') //Var// var int order_cond = 0 var bool order_1 = false var bool order_2 = false var bool order_3 = false var bool order_4 = false var bool order_5 = false var bool order_6 = false var bool order_7 = false var bool order_8 = false var bool order_9 = false var bool order_10 = false var bool order_11 = false var bool order_12 = false var bool order_13 = false var bool order_14 = false var bool order_15 = false ///////////////////// //Region : Function// ///////////////////// getMA(source ,ma_type, length) => maPrice = ta.ema(source, length) ema = ta.ema(source, length) sma = ta.sma(source, length) if ma_type == 'SMA' maPrice := ta.sma(source, length) maPrice if ma_type == 'HMA' maPrice := ta.hma(source, length) maPrice if ma_type == 'WMA' maPrice := ta.wma(source, length) maPrice if ma_type == "RMA" maPrice := ta.rma(source, length) if ma_type == "LSMA" maPrice := ta.linreg(source, length, 0) maPrice main_plot = getMA(ohlc4, MA_Type, length) atr = ta.atr(length) premium_zone_1 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*1), 5) : ta.ema((main_plot*(1+band_mult*0.01*1)), 5) premium_zone_2 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*2), 5) : ta.ema((main_plot*(1+band_mult*0.01*2)), 5) premium_zone_3 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*3), 5) : ta.ema((main_plot*(1+band_mult*0.01*3)), 5) premium_zone_4 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*4), 5) : ta.ema((main_plot*(1+band_mult*0.01*4)), 5) premium_zone_5 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*5), 5) : ta.ema((main_plot*(1+band_mult*0.01*5)), 5) premium_zone_6 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*6), 5) : ta.ema((main_plot*(1+band_mult*0.01*6)), 5) premium_zone_7 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*7), 5) : ta.ema((main_plot*(1+band_mult*0.01*7)), 5) premium_zone_8 = logic == 'ATR' ? ta.ema(main_plot + atr*(band_mult*8), 5) : ta.ema((main_plot*(1+band_mult*0.01*8)), 5) //premium_zone_9 = ta.rma(main_plot + atr*(band_mult*9), 5) //premium_zone_10 = ta.rma(main_plot + atr*(band_mult*10), 5) discount_zone_1 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*1), 5) : ta.ema((main_plot*(1-band_mult*0.01*1)), 5) discount_zone_2 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*2), 5) : ta.ema((main_plot*(1-band_mult*0.01*2)), 5) discount_zone_3 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*3), 5) : ta.ema((main_plot*(1-band_mult*0.01*3)), 5) discount_zone_4 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*4), 5) : ta.ema((main_plot*(1-band_mult*0.01*4)), 5) discount_zone_5 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*5), 5) : ta.ema((main_plot*(1-band_mult*0.01*5)), 5) discount_zone_6 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*6), 5) : ta.ema((main_plot*(1-band_mult*0.01*6)), 5) discount_zone_7 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*7), 5) : ta.ema((main_plot*(1-band_mult*0.01*7)), 5) discount_zone_8 = logic == 'ATR' ? ta.ema(main_plot - atr*(band_mult*8), 5) : ta.ema((main_plot*(1-band_mult*0.01*8)), 5) //discount_zon_9 = ta.sma(main_plot - atr*(band_mult*9), 5) //discount_zone_10 =ta.sma( main_plot - atr*(band_mult*10), 5) //Region End// //////////////////// // Region : Plots// /////////////////// dis_low1 = plot(discount_zone_1, color=color.new(color.green, 80)) dis_low2 = plot(discount_zone_2, color=color.new(color.green, 70)) dis_low3 = plot(discount_zone_3, color=color.new(color.green, 60)) dis_low4 = plot(discount_zone_4, color=color.new(color.green, 50)) dis_low5 = plot(discount_zone_5, color=color.new(color.green, 40)) dis_low6 = plot(discount_zone_6, color=color.new(color.green, 30)) dis_low7 = plot(discount_zone_7, color=color.new(color.green, 20)) dis_low8 = plot(discount_zone_8, color=color.new(color.green, 10)) //dis_low9 = plot(discount_zone_9, color=color.new(color.green, 0)) //dis_low10 = plot(discount_zone_10, color=color.new(color.green, 0)) plot(main_plot, color =color.new(color.gray, 10)) pre_up1 = plot(premium_zone_1, color=color.new(color.red, 80)) pre_up2 = plot(premium_zone_2, color=color.new(color.red, 70)) pre_up3 = plot(premium_zone_3, color=color.new(color.red, 60)) pre_up4 = plot(premium_zone_4, color=color.new(color.red, 50)) pre_up5 = plot(premium_zone_5, color=color.new(color.red, 40)) pre_up6 = plot(premium_zone_6, color=color.new(color.red, 30)) pre_up7 = plot(premium_zone_7, color=color.new(color.red, 20)) pre_up8 = plot(premium_zone_8, color=color.new(color.red, 10)) //pre_up9 = plot(premium_zone_9, color=color.new(color.red, 0)) //pre_up10 = plot(premium_zone_10, color=color.new(color.red, 0)) fill(dis_low1, dis_low2, color=color.new(color.green, 95)) fill(dis_low2, dis_low3, color=color.new(color.green, 90)) fill(dis_low3, dis_low4, color=color.new(color.green, 85)) fill(dis_low4, dis_low5, color=color.new(color.green, 80)) fill(dis_low5, dis_low6, color=color.new(color.green, 75)) fill(dis_low6, dis_low7, color=color.new(color.green, 70)) fill(dis_low7, dis_low8, color=color.new(color.green, 65)) //fill(dis_low8, dis_low9, color=color.new(color.green, 60)) //fill(dis_low9, dis_low10, color=color.new(color.green, 55)) fill(pre_up1, pre_up2, color=color.new(color.red, 95)) fill(pre_up2, pre_up3, color=color.new(color.red, 90)) fill(pre_up3, pre_up4, color=color.new(color.red, 85)) fill(pre_up4, pre_up5, color=color.new(color.red, 80)) fill(pre_up5, pre_up6, color=color.new(color.red, 75)) fill(pre_up6, pre_up7, color=color.new(color.red, 70)) fill(pre_up7, pre_up8, color=color.new(color.red, 65)) //fill(pre_up8, pre_up9, color=color.new(color.red, 60)) //fill(pre_up9, pre_up10, color=color.new(color.red, 55)) //Region End// /////////////////////// //Region : Strategies// /////////////////////// //Longs// longCondition1 = ta.crossunder(low, discount_zone_7) longCondition2 = ta.crossunder(low, discount_zone_6) longCondition3 = ta.crossunder(low, discount_zone_5) longCondition4 = ta.crossunder(low, discount_zone_4) longCondition5 = ta.crossunder(low, discount_zone_3) longCondition6 = ta.crossunder(low, discount_zone_2) longCondition7 = ta.crossunder(low, discount_zone_1) longCondition8 = ta.crossunder(low, main_plot) longCondition9 = ta.crossunder(low, premium_zone_1) longCondition10 = ta.crossunder(low, premium_zone_2) longCondition11 = ta.crossunder(low, premium_zone_3) longCondition12 = ta.crossunder(low, premium_zone_4) longCondition13 = ta.crossunder(low, premium_zone_5) longCondition14 = ta.crossunder(low, premium_zone_6) longCondition15 = ta.crossunder(low, premium_zone_7) if (longCondition1) and order_1 == false strategy.entry("Long1", strategy.long) order_1 := true if (longCondition2) and order_2 == false strategy.entry("Long2", strategy.long) order_2 := true if (longCondition3) and order_3 == false strategy.entry("Long3", strategy.long) order_3 := true if (longCondition4) and order_4 == false strategy.entry("Long4", strategy.long) order_4 := true if (longCondition5) and order_5 == false strategy.entry("Long5", strategy.long) order_5 := true if (longCondition6) and order_6 == false strategy.entry("Long6", strategy.long) order_6 := true if (longCondition7) and order_7 == false strategy.entry("Long7", strategy.long) order_7 := true if (longCondition8) and order_8 == false strategy.entry("Long8", strategy.long) order_8 := true if (longCondition9) and order_9 == false strategy.entry("Long9", strategy.long) order_9 := true if (longCondition10) and order_10 == false strategy.entry("Long10", strategy.long) order_10 := true if (longCondition11) and order_11 == false strategy.entry("Long11", strategy.long) order_11 := true if (longCondition12) and order_12 == false strategy.entry("Long12", strategy.long) order_12 := true if (longCondition13) and order_13 == false strategy.entry("Long13", strategy.long) order_13 := true if (longCondition14) and order_14 == false strategy.entry("Long14", strategy.long) order_14 := true if (longCondition15) and order_15 == false strategy.entry("Long14", strategy.long) order_15 := true //Close// shortCondition1 = ta.crossover(high, discount_zone_6) shortCondition2 = ta.crossover(high, discount_zone_5) shortCondition3 = ta.crossover(high, discount_zone_4) shortCondition4 = ta.crossover(high, discount_zone_3) shortCondition5 = ta.crossover(high, discount_zone_2) shortCondition6 = ta.crossover(high, discount_zone_1) shortCondition7 = ta.crossover(high, main_plot) shortCondition8 = ta.crossover(high, premium_zone_1) shortCondition9 = ta.crossover(high, premium_zone_2) shortCondition10 = ta.crossover(high, premium_zone_3) shortCondition11 = ta.crossover(high, premium_zone_4) shortCondition12 = ta.crossover(high, premium_zone_5) shortCondition13 = ta.crossover(high, premium_zone_6) shortCondition14 = ta.crossover(high, premium_zone_7) shortCondition15 = ta.crossover(high, premium_zone_8) if (shortCondition1) and order_1 == true strategy.close("Long1") order_1 := false if (shortCondition2) and order_2 == true strategy.close("Long2") order_2 := false if (shortCondition3) and order_3 == true strategy.close("Long3") order_3 := false if (shortCondition4) and order_4 == true strategy.close("Long4") order_4 := false if (shortCondition5) and order_5 == true strategy.close("Long5") order_5 := false if (shortCondition6) and order_6 == true strategy.close("Long6") order_6 := false if (shortCondition7) and order_7 == true strategy.close("Long7") order_7 := false if (shortCondition8) and order_8 == true strategy.close("Long8") order_8 := false if (shortCondition9) and order_9 == true strategy.close("Long9") order_9 := false if (shortCondition10) and order_10 == true strategy.close("Long10") order_10 := false if (shortCondition11) and order_11 == true strategy.close("Long11") order_11 := false if (shortCondition12) and order_12 == true strategy.close("Long12") order_12 := false if (shortCondition13) and order_13 == true strategy.close("Long13") order_13 := false if (shortCondition14) and order_14 == true strategy.close("Long14") order_14 := false if (shortCondition15) and order_15 == true strategy.close("Long15") order_15 := false