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Segmentação do valor de mercado

Autora:ChaoZhang, Data: 2024-01-23 15:09:13
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Resumo

Esta estratégia identifica padrões de velas com base no indicador ZigZag e define janelas de entrada, preços de take profit e stop loss usando retracements de Fibonacci para negociação de curto prazo.

Estratégia lógica

Identificar pontos de reversão potenciais utilizando o indicador ZigZag
Calcule os 4 pontos de inversão mais recentes e verifique se eles correspondem a qualquer um dos 13 padrões predefinidos
Entre no comércio se um padrão for combinado e o preço entrar na área de retração Fibonacci 0,382
Set take profit para 0,618 retracement level, stop loss para -0,618 retracement level
Padrões válidos incluem os comuns como Bat, Butterfly, Gartley, bem como alguns padrões reversos como Anti-Bat, Anti-Butterfly etc

Análise das vantagens

O indicador ZigZag filtra eficazmente o ruído do mercado e identifica pontos de reversão de tendência mais claros
Padrões múltiplos aumentam as oportunidades de entrar em negócios enquanto controlam os riscos
Os níveis de retracement de Fibonacci padronizam a entrada, o take profit e o stop loss

Análise de riscos

O indicador ZigZag é sensível a parâmetros, otimização é necessária para encontrar a melhor combinação de parâmetros
Muitos padrões ajustados aumentam os riscos de ajustamento da curva, o desempenho comercial real pode ser inferior aos resultados dos backtests
Apenas os 4 pontos de inversão mais recentes considerados, padrões mais complexos são ignorados
Não se consideram novos testes de rupturas de retracement, podendo causar uma perda de parada prematura

Orientações de otimização

Otimize os parâmetros do ZigZag para encontrar a melhor combinação
Adicionar verificações de validade dos padrões, por exemplo, confirmação dos pontos-chave através dos preços de fechamento
Expandir a biblioteca de padrões para aumentar as oportunidades de entrada
Adicionar um mecanismo de re-teste de retracements para reduzir os riscos de stop loss

Conclusão

Esta estratégia identifica pontos de inversão de tendência usando o indicador ZigZag e padrões de velas, e define uma lógica de entrada/saída padronizada com zonas de retracementos de Fibonacci. Com parâmetros otimizados e mecanismos de stop loss ajustados, tem o potencial de alcançar bons resultados reais de negociação. A chave é encontrar as melhores combinações de parâmetros e ajustar as perdas de stop de acordo.

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 2h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4

strategy(title='[STRATEGY][RS]ZigZag PA Strategy V4', shorttitle='S', overlay=true)
useHA = input(false, title='Use Heikken Ashi Candles')
useAltTF = input(true, title='Use Alt Timeframe')
tf = input('60', title='Alt Timeframe')
showPatterns = input(true, title='Show Patterns')
showFib0000 = input(title='Display Fibonacci 0.000:', type=bool, defval=true)
showFib0236 = input(title='Display Fibonacci 0.236:', type=bool, defval=true)
showFib0382 = input(title='Display Fibonacci 0.382:', type=bool, defval=true)
showFib0500 = input(title='Display Fibonacci 0.500:', type=bool, defval=true)
showFib0618 = input(title='Display Fibonacci 0.618:', type=bool, defval=true)
showFib0764 = input(title='Display Fibonacci 0.764:', type=bool, defval=true)
showFib1000 = input(title='Display Fibonacci 1.000:', type=bool, defval=true)
zigzag() =>
    _isUp = close >= open
    _isDown = close <= open
    _direction = _isUp[1] and _isDown ? -1 : _isDown[1] and _isUp ? 1 : nz(_direction[1])
    _zigzag = _isUp[1] and _isDown and _direction[1] != -1 ? highest(2) : _isDown[1] and _isUp and _direction[1] != 1 ? lowest(2) : na

_ticker = useHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
sz = useAltTF ? (ta.change(time(tf)) != 0 ? request.security(_ticker, tf, zigzag()) : na) : zigzag()

plot(sz, title='zigzag', color=color.black, linewidth=2)

//  ||---   Pattern Recognition:

x = ta.valuewhen(sz, sz, 4) 
a = ta.valuewhen(sz, sz, 3) 
b = ta.valuewhen(sz, sz, 2) 
c = ta.valuewhen(sz, sz, 1) 
d = ta.valuewhen(sz, sz, 0)

xab = (abs(b-a)/abs(x-a))
xad = (abs(a-d)/abs(x-a))
abc = (abs(b-c)/abs(a-b))
bcd = (abs(c-d)/abs(b-c))

//  ||-->   Functions:
isBat(_mode)=>
    _xab = xab >= 0.382 and xab <= 0.5
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.618 and bcd <= 2.618
    _xad = xad <= 0.618 and xad <= 1.000    // 0.886
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiBat(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.886    // 0.618
    _abc = abc >= 1.000 and abc <= 2.618    // 1.13 --> 2.618
    _bcd = bcd >= 1.618 and bcd <= 2.618    // 2.0  --> 2.618
    _xad = xad >= 0.886 and xad <= 1.000    // 1.13
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAltBat(_mode)=>
    _xab = xab <= 0.382
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 2.0 and bcd <= 3.618
    _xad = xad <= 1.13
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isButterfly(_mode)=>
    _xab = xab <= 0.786
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.618 and bcd <= 2.618
    _xad = xad >= 1.27 and xad <= 1.618
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiButterfly(_mode)=>
    _xab = xab >= 0.236 and xab <= 0.886    // 0.382 - 0.618
    _abc = abc >= 1.130 and abc <= 2.618    // 1.130 - 2.618
    _bcd = bcd >= 1.000 and bcd <= 1.382    // 1.27
    _xad = xad >= 0.500 and xad <= 0.886    // 0.618 - 0.786
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isABCD(_mode)=>
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.13 and bcd <= 2.618
    _abc and _bcd and (_mode == 1 ? d < c : d > c)

isGartley(_mode)=>
    _xab = xab >= 0.5 and xab <= 0.618 // 0.618
    _abc = abc >= 0.382 and abc <= 0.886
    _bcd = bcd >= 1.13 and bcd <= 2.618
    _xad = xad >= 0.75 and xad <= 0.875 // 0.786
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiGartley(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.886    // 0.618 -> 0.786
    _abc = abc >= 1.000 and abc <= 2.618    // 1.130 -> 2.618
    _bcd = bcd >= 1.500 and bcd <= 5.000    // 1.618
    _xad = xad >= 1.000 and xad <= 5.000    // 1.272
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isCrab(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.875    // 0.886
    _abc = abc >= 0.382 and abc <= 0.886    
    _bcd = bcd >= 2.000 and bcd <= 5.000    // 3.618
    _xad = xad >= 1.382 and xad <= 5.000    // 1.618
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiCrab(_mode)=>
    _xab = xab >= 0.250 and xab <= 0.500    // 0.276 -> 0.446
    _abc = abc >= 1.130 and abc <= 2.618    // 1.130 -> 2.618
    _bcd = bcd >= 1.618 and bcd <= 2.618    // 1.618 -> 2.618
    _xad = xad >= 0.500 and xad <= 0.750    // 0.618
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isShark(_mode)=>
    _xab = xab >= 0.500 and xab <= 0.875    // 0.5 --> 0.886
    _abc = abc >= 1.130 and abc <= 1.618    //
    _bcd = bcd >= 1.270 and bcd <= 2.240    //
    _xad = xad >= 0.886 and xad <= 1.130    // 0.886 --> 1.13
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isAntiShark(_mode)=>
    _xab = xab >= 0.382 and xab <= 0.875    // 0.446 --> 0.618
    _abc = abc >= 0.500 and abc <= 1.000    // 0.618 --> 0.886
    _bcd = bcd >= 1.250 and bcd <= 2.618    // 1.618 --> 2.618
    _xad = xad >= 0.500 and xad <= 1.250    // 1.130 --> 1.130
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

is5o(_mode)=>
    _xab = xab >= 1.13 and xab <= 1.618
    _abc = abc >= 1.618 and abc <= 2.24
    _bcd = bcd >= 0.5 and bcd <= 0.625 // 0.5
    _xad = xad >= 0.0 and xad <= 0.236 // negative?
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isWolf(_mode)=>
    _xab = xab >= 1.27 and xab <= 1.618
    _abc = abc >= 0 and abc <= 5
    _bcd = bcd >= 1.27 and bcd <= 1.618
    _xad = xad >= 0.0 and xad <= 5
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isHnS(_mode)=>
    _xab = xab >= 2.0 and xab <= 10
    _abc = abc >= 0.90 and abc <= 1.1
    _bcd = bcd >= 0.236 and bcd <= 0.88
    _xad = xad >= 0.90 and xad <= 1.1
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isConTria(_mode)=>
    _xab = xab >= 0.382 and xab <= 0.618
    _abc = abc >= 0.382 and abc <= 0.618
    _bcd = bcd >= 0.382 and bcd <= 0.618
    _xad = xad >= 0.236 and xad <= 0.764
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

isExpTria(_mode)=>
    _xab = xab >= 1.236 and xab <= 1.618
    _abc = abc >= 1.000 and abc <= 1.618
    _bcd = bcd >= 1.236 and bcd <= 2.000
    _xad = xad >= 2.000 and xad <= 2.236
    _xab and _abc and _bcd and _xad and (_mode == 1 ? d < c : d > c)

plotshape(not showPatterns ? na : isABCD(-1) and not isABCD(-1)[1], text="\nAB=CD", title='Bear ABCD', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isBat(-1) and not isBat(-1)[1], text="Bat", title='Bear Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAntiBat(-1) and not isAntiBat(-1)[1], text="Anti Bat", title='Bear Anti Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0, offset=-2)
plotshape(not showPatterns ? na : isAltBat(-1) and not isAltBat(-1)[1], text="Alt Bat", title='Bear Alt Bat', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isButterfly(-1) and not isButterfly(-1)[1], text="Butterfly", title='Bear Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(-1) and not isAntiButterfly(-1)[1], text="Anti Butterfly", title='Bear Anti Butterfly', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isGartley(-1) and not isGartley(-1)[1], text="Gartley", title='Bear Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(-1) and not isAntiGartley(-1)[1], text="Anti Gartley", title='Bear Anti Gartley', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isCrab(-1) and not isCrab(-1)[1], text="Crab", title='Bear Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(-1) and not isAntiCrab(-1)[1], text="Anti Crab", title='Bear Anti Crab', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isShark(-1) and not isShark(-1)[1], text="Shark", title='Bear Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isAntiShark(-1) and not isAntiShark(-1)[1], text="Anti Shark", title='Bear Anti Shark', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : is5o(-1) and not is5o(-1)[1], text="5-O", title='Bear 5-O', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isWolf(-1) and not isWolf(-1)[1], text="Wolf Wave", title='Bear Wolf Wave', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isHnS(-1) and not isHnS(-1)[1], text="Head and Shoulders", title='Bear Head and Shoulders', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isConTria(-1) and not isConTria(-1)[1], text="Contracting Triangle", title='Bear Contracting triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)
plotshape(not showPatterns ? na : isExpTria(-1) and not isExpTria(-1)[1], text="Expanding Triangle", title='Bear Expanding Triangle', style=shape.labeldown, color=maroon, textcolor=white, location=location.top, transp=0)

plotshape(not showPatterns ? na : isABCD(1) and not isABCD(1)[1], text="AB=CD\n", title='Bull ABCD', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isBat(1) and not isBat(1)[1], text="Bat", title='Bull Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiBat(1) and not isAntiBat(1)[1], text="Anti Bat", title='Bull Anti Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAltBat(1) and not isAltBat(1)[1], text="Alt Bat", title='Bull Alt Bat', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isButterfly(1) and not isButterfly(1)[1], text="Butterfly", title='Bull Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiButterfly(1) and not isAntiButterfly(1)[1], text="Anti Butterfly", title='Bull Anti Butterfly', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isGartley(1) and not isGartley(1)[1], text="Gartley", title='Bull Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiGartley(1) and not isAntiGartley(1)[1], text="Anti Gartley", title='Bull Anti Gartley', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isCrab(1) and not isCrab(1)[1], text="Crab", title='Bull Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiCrab(1) and not isAntiCrab(1)[1], text="Anti Crab", title='Bull Anti Crab', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isShark(1) and not isShark(1)[1], text="Shark", title='Bull Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isAntiShark(1) and not isAntiShark(1)[1], text="Anti Shark", title='Bull Anti Shark', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : is5o(1) and not is5o(1)[1], text="5-O", title='Bull 5-O', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isWolf(1) and not isWolf(1)[1], text="Wolf Wave", title='Bull Wolf Wave', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isHnS(1) and not isHnS(1)[1], text="Head and Shoulders", title='Bull Head and Shoulders', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isConTria(1) and not isConTria(1)[1], text="Contracting Triangle", title='Bull Contracting Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)
plotshape(not showPatterns ? na : isExpTria(1) and not isExpTria(1)[1], text="Expanding Triangle", title='Bull Expanding Triangle', style=shape.labelup, color=green, textcolor=white, location=location.bottom, transp=0)

//-------------------------------------------------------------------------------------------------------------------------------------------------------------
fib_range = abs(d-c)
fib_0000 = not showFib0000 ? na : d > c ? d-(fib_range*0.000):d+(fib_range*0.000)
fib_0236 = not showFib0236 ? na : d > c ? d-(fib_range*0.236):d+(fib_range*0.236)
fib_0382 = not showFib0382 ? na : d > c ? d-(fib_range*0.382):d+(fib_range*0.382)
fib_0500 = not showFib0500 ? na : d > c ? d-(fib_range*0.500):d+(fib_range*0.500)
fib_0618 = not showFib0618 ? na : d > c ? d-(fib_range*0.618):d+(fib_range*0.618)
fib_0764 = not showFib0764 ? na : d > c ? d-(fib_range*0.764):d+(fib_range*0.764)
fib_1000 = not showFib1000 ? na : d > c ? d-(fib_range*1.000):d+(fib_range*1.000)
plot(title='Fib 0.000', series=fib_0000, color=fib_0000 != fib_0000[1] ? na : black)
plot(title='Fib 0.236', series=fib_0236, color=fib_0236 != fib_0236[1] ? na : red)
plot(title='Fib 0.382', series=fib_0382, color=fib_0382 != fib_0382[1] ? na : olive)
plot(title='Fib 0.500', series=fib_0500, color=fib_0500 != fib_0500[1] ? na : lime)
plot(title='Fib 0.618', series=fib_0618, color=fib_0618 != fib_0618[1] ? na : teal)
plot(title='Fib 0.764', series=fib_0764, color=fib_0764 != fib_0764[1] ? na : blue)
plot(title='Fib 1.000', series=fib_1000, color=fib_1000 != fib_1000[1] ? na : black)

bgcolor(not useAltTF ? na : change(time(tf))!=0?black:na)
f_last_fib(_rate)=>d > c ? d-(fib_range*_rate):d+(fib_range*_rate)

trade_size = input(title='Trade size:', type=float, defval=1.00)
ew_rate = input(title='Fib. Rate to use for Entry Window:', type=float, defval=0.382)
tp_rate = input(title='Fib. Rate to use for TP:', type=float, defval=0.618)
sl_rate = input(title='Fib. Rate to use for SL:', type=float, defval=-0.618)
buy_patterns_00 = isABCD(1) or isBat(1) or isAltBat(1) or isButterfly(1) or isGartley(1) or isCrab(1) or isShark(1) or is5o(1) or isWolf(1) or isHnS(1) or isConTria(1) or isExpTria(1)
buy_patterns_01 = isAntiBat(1) or isAntiButterfly(1) or isAntiGartley(1) or isAntiCrab(1) or isAntiShark(1)
sel_patterns_00 = isABCD(-1) or isBat(-1) or isAltBat(-1) or isButterfly(-1) or isGartley(-1) or isCrab(-1) or isShark(-1) or is5o(-1) or isWolf(-1) or isHnS(-1) or isConTria(-1) or isExpTria(-1)
sel_patterns_01 = isAntiBat(-1) or isAntiButterfly(-1) or isAntiGartley(-1) or isAntiCrab(-1) or isAntiShark(-1)
buy_entry = (buy_patterns_00 or buy_patterns_01) and close <= f_last_fib(ew_rate)
buy_close = high >= f_last_fib(tp_rate) or low <= f_last_fib(sl_rate)
sel_entry = (sel_patterns_00 or sel_patterns_01) and close >= f_last_fib(ew_rate)
sel_close = low <= f_last_fib(tp_rate) or high >= f_last_fib(sl_rate)
strategy.entry('buy', long=strategy.long, qty=trade_size, comment='buy', when=buy_entry)
strategy.close('buy', when=buy_close)
strategy.entry('sell', long=strategy.short, qty=trade_size, comment='sell', when=sel_entry)
strategy.close('sell', when=sel_close)

Mais.