Esta é uma estratégia quantitativa simples que usa o Índice de Fluxo de Dinheiro para identificar os "grandes tubarões" no mercado.
A estratégia usa um Índice de Fluxo de Dinheiro de 3 períodos com um nível de sobrecompra definido em 100 e um nível de sobrevenda definido em 0. A estratégia espera que o Índice de Fluxo de Dinheiro atinja níveis de sobrecompra, indicando a presença de
Uma entrada longa é tomada quando o Índice de Fluxo de Dinheiro = 100 e a próxima vela é uma vela alta com mechas curtas.
A lógica acima pode ser usada de forma espelhada para tomar entradas curtas também.
Usando o Índice de Fluxo de Dinheiro pode identificar efetivamente o comportamento de acumulação por "grandes tubarões" no mercado, ações com potencial de continuação.
Os filtros de velas ajudam a confirmar quebras mais fortes, evitando muitas quebras falsas.
O filtro SMA evita comprar tendências decrescentes, reduzindo efetivamente o risco.
As saídas baseadas em tempo de 60 minutos bloqueiam rapidamente os lucros, reduzindo os drawdowns.
O Índice de Fluxo de Dinheiro pode gerar sinais falsos, levando a perdas desnecessárias.
As saídas de 60 minutos podem ser muito agressivas para ações de alta volatilidade.
A estratégia deve ser suspensa até que os mercados se estabilizem.
Teste diferentes combinações de parâmetros, como comprimento da IFM, períodos SMA, etc.
Adicione outros indicadores como Bandas de Bollinger, RSI para melhorar a precisão do sinal.
A expansão do teste pára para permitir metas de lucro maiores.
Desenvolver versões para outros prazos como 15 ou 30 minutos com base nos mesmos princípios.
A estratégia é simples e fácil de entender, alinhando-se com a abordagem clássica de rastreamento de "grandes tubarões".
O prazo de 60 minutos permite lucros rápidos, mas também introduz um risco maior.
/*backtest start: 2024-01-15 00:00:00 end: 2024-01-22 00:00:00 period: 1m basePeriod: 1m 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/ // From "Crypto Day Trading Strategy" PDF file. // * I'm using a SMA filter to avoid buying when the price is declining. Time frame was better at 15 min according to my test. // 1 - Apply the 3 period Money Flow Index indicator to the 5 minute chart, using 0 and 100 as our oversold and overbought boundaries // 2 - Wait for the MFI to reach overbought levels, that indicates the presence of "big sharks" in the market. Price needs to hold up // the first two MFI overbought occurrences of the day to be considered as a bullish entry signal.* // 3 - We buy when the MFI = 100 and the next candle is a bullish candle with short wicks. // 4 - We place our Stop Loss below the low of the trading day and we Take Profit during the first 60 minutes after taking the trade. // The logic above can be used in a mirrored fashion to take short entries, this is a custom parameter that can be modified from // the strategy Inputs panel. // © tweakerID //@version=4 strategy("Money Flow Index 5 min Strategy", overlay=true ) direction = input(0, title = "Strategy Direction", type=input.integer, minval=-1, maxval=1) strategy.risk.allow_entry_in(direction == 0 ? strategy.direction.all : (direction < 0 ? strategy.direction.short : strategy.direction.long)) /////////////////////// STRATEGY INPUTS //////////////////////////////////////// title1=input(true, "-----------------Strategy Inputs-------------------") i_MFI = input(3, title="MFI Length") OB=input(100, title="Overbought Level") OS=input(0, title="Oversold Level") barsizeThreshold=input(.5, step=.05, minval=.1, maxval=1, title="Bar Body Size, 1=No Wicks") i_MAFilter = input(true, title="Use MA Trend Filter") i_MALen = input(80, title="MA Length") i_timedexit=input(false, title="Use 60 minutes exit rule") short=input(true, title="Use Mirrored logic for Shorts") /////////////////////// BACKTESTER ///////////////////////////////////////////// title2=input(true, "-----------------General Inputs-------------------") // Backtester General Inputs i_SL=input(true, title="Use Stop Loss and Take Profit") i_SLType=input(defval="Strategy Stop", title="Type Of Stop", options=["Strategy Stop", "Swing Lo/Hi", "ATR Stop"]) i_SPL=input(defval=10, title="Swing Point Lookback") i_PercIncrement=input(defval=3, step=.1, title="Swing Point SL Perc Increment")*0.01 i_ATR = input(14, title="ATR Length") i_ATRMult = input(5, step=.1, title="ATR Multiple") i_TPRRR = input(2.2, step=.1, title="Take Profit Risk Reward Ratio") TS=input(false, title="Trailing Stop") // Bought and Sold Boolean Signal bought = strategy.position_size > strategy.position_size[1] or strategy.position_size < strategy.position_size[1] // Price Action Stop and Take Profit LL=(lowest(i_SPL))*(1-i_PercIncrement) HH=(highest(i_SPL))*(1+i_PercIncrement) LL_price = valuewhen(bought, LL, 0) HH_price = valuewhen(bought, HH, 0) entry_LL_price = strategy.position_size > 0 ? LL_price : na entry_HH_price = strategy.position_size < 0 ? HH_price : na tp=strategy.position_avg_price + (strategy.position_avg_price - entry_LL_price)*i_TPRRR stp=strategy.position_avg_price - (entry_HH_price - strategy.position_avg_price)*i_TPRRR // ATR Stop ATR=atr(i_ATR)*i_ATRMult ATRLong = ohlc4 - ATR ATRShort = ohlc4 + ATR ATRLongStop = valuewhen(bought, ATRLong, 0) ATRShortStop = valuewhen(bought, ATRShort, 0) LongSL_ATR_price = strategy.position_size > 0 ? ATRLongStop : na ShortSL_ATR_price = strategy.position_size < 0 ? ATRShortStop : na ATRtp=strategy.position_avg_price + (strategy.position_avg_price - LongSL_ATR_price)*i_TPRRR ATRstp=strategy.position_avg_price - (ShortSL_ATR_price - strategy.position_avg_price)*i_TPRRR // Strategy Stop DayStart = time == timestamp("UTC", year, month, dayofmonth, 0, 0, 0) plot(DayStart ? 1e9 : na, style=plot.style_columns, color=color.silver, transp=80, title="Trade Day Start") float LongStop = valuewhen(DayStart,low,0)*(1-i_PercIncrement) float ShortStop = valuewhen(DayStart,high,0)*(1+i_PercIncrement) float StratTP = strategy.position_avg_price + (strategy.position_avg_price - LongStop)*i_TPRRR float StratSTP = strategy.position_avg_price - (ShortStop - strategy.position_avg_price)*i_TPRRR /////////////////////// STRATEGY LOGIC ///////////////////////////////////////// MFI=mfi(close,i_MFI) barsize=high-low barbodysize=close>open?(open-close)*-1:(open-close) shortwicksbar=barbodysize>barsize*barsizeThreshold SMA=sma(close, i_MALen) MAFilter=close > SMA timesinceentry=(time - valuewhen(bought, time, 0)) / 60000 timedexit=timesinceentry == 60 BUY = MFI[1] == OB and close > open and shortwicksbar and (i_MAFilter ? MAFilter : true) bool SELL = na if short SELL := MFI[1] == OS and close < open and shortwicksbar and (i_MAFilter ? not MAFilter : true) //Debugging Plots plot(timesinceentry, transp=100, title="Time Since Entry") //Trading Inputs DPR=input(true, "Allow Direct Position Reverse") reverse=input(false, "Reverse Trades") // Entries if reverse if not DPR strategy.entry("long", strategy.long, when=SELL and strategy.position_size == 0) strategy.entry("short", strategy.short, when=BUY and strategy.position_size == 0) else strategy.entry("long", strategy.long, when=SELL) strategy.entry("short", strategy.short, when=BUY) else if not DPR strategy.entry("long", strategy.long, when=BUY and strategy.position_size == 0) strategy.entry("short", strategy.short, when=SELL and strategy.position_size == 0) else strategy.entry("long", strategy.long, when=BUY) strategy.entry("short", strategy.short, when=SELL) if i_timedexit strategy.close_all(when=timedexit) SL= i_SLType == "Swing Lo/Hi" ? entry_LL_price : i_SLType == "ATR Stop" ? LongSL_ATR_price : LongStop SSL= i_SLType == "Swing Lo/Hi" ? entry_HH_price : i_SLType == "ATR Stop" ? ShortSL_ATR_price : ShortStop TP= i_SLType == "Swing Lo/Hi" ? tp : i_SLType == "ATR Stop" ? ATRtp : StratTP STP= i_SLType == "Swing Lo/Hi" ? stp : i_SLType == "ATR Stop" ? ATRstp : StratSTP //TrailingStop dif=(valuewhen(strategy.position_size>0 and strategy.position_size[1]<=0, high,0)) -strategy.position_avg_price trailOffset = strategy.position_avg_price - SL var tstop = float(na) if strategy.position_size > 0 tstop := high- trailOffset - dif if tstop<tstop[1] tstop:=tstop[1] else tstop := na StrailOffset = SSL - strategy.position_avg_price var Ststop = float(na) Sdif=strategy.position_avg_price-(valuewhen(strategy.position_size<0 and strategy.position_size[1]>=0, low,0)) if strategy.position_size < 0 Ststop := low+ StrailOffset + Sdif if Ststop>Ststop[1] Ststop:=Ststop[1] else Ststop := na strategy.exit("TP & SL", "long", limit=TP, stop=TS? tstop : SL, when=i_SL) strategy.exit("TP & SL", "short", limit=STP, stop=TS? Ststop : SSL, when=i_SL) /////////////////////// PLOTS ////////////////////////////////////////////////// plot(i_SL and strategy.position_size > 0 and not TS ? SL : i_SL and strategy.position_size > 0 and TS ? tstop : na , title='SL', style=plot.style_cross, color=color.red) plot(i_SL and strategy.position_size < 0 and not TS ? SSL : i_SL and strategy.position_size < 0 and TS ? Ststop : na , title='SSL', style=plot.style_cross, color=color.red) plot(i_SL and strategy.position_size > 0 ? TP : na, title='TP', style=plot.style_cross, color=color.green) plot(i_SL and strategy.position_size < 0 ? STP : na, title='STP', style=plot.style_cross, color=color.green) // Draw price action setup arrows plotshape(BUY ? 1 : na, style=shape.triangleup, location=location.belowbar, color=color.green, title="Bullish Setup", size=size.auto) plotshape(SELL ? 1 : na, style=shape.triangledown, location=location.abovebar, color=color.red, title="Bearish Setup", size=size.auto)