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Термостат Стратегия использования на крипто рынке MyLanguage

Автор:Доброта, Создано: 2020-08-21 19:19:20, Обновлено: 2023-10-10 21:15:32

Thermostat Strategy using on crypto market by MyLanguage

Название стратегии: Усовершенствованная стратегия термостата

Цикл передачи данных: 1 час

Поддержка: Фьючерсы на товары, Фьючерсы на цифровую валюту, Спот на цифровую валюту

Thermostat Strategy using on crypto market by MyLanguage Thermostat Strategy using on crypto market by MyLanguage Thermostat Strategy using on crypto market by MyLanguage Thermostat Strategy using on crypto market by MyLanguage

  • Основная диаграмма: верхняя дорожка, формула: TOP^^MAC+N_TMPTMP; / / верхняя дорожка пузыря Нижняя рельса, формула: BOTTOM^^MAC-N_TMPTMP;//нижняя рельса пузыря

  • Вторичная карта: CMI, формула: CMI: ABS ((C-REF ((C,N_CMI-1))/(HHV ((H,N_CMI) -LLV ((L,N_CMI)) *100; //0-100 чем больше значение, тем сильнее тренд, CMI <20 - колебание, CMI>20 - тренд

Thermostat Strategy using on crypto market by MyLanguage

Источник:

(*backtest
start: 2018-11-06 00:00:00
end: 2018-12-04 00:00:00
period: 1h
exchanges: [{"eid":"Futures_CTP","currency":"FUTURES"}]
*)
 
MAC:=MA(CLOSE,N);
TMP:=STD(CLOSE,N);
TOP^^MAC+N_TMP*TMP;// upper track of boll
BOTTOM^^MAC-N_TMP*TMP;// lower track of boll
BBOLL:=C>MAC;
SBOLL:=C<MAC;
N_CMI:=30;
 
CMI:ABS(C-REF(C,N_CMI-1))/(HHV(H,N_CMI)-LLV(L,N_CMI))*100;
//0-100 the larger the value, the stronger the trend, CMI <20 is oscillation mode, CMI>20 is the trend
 
N_KD:=9;
M1:=3;
M2:=3;
RSV:=(CLOSE-LLV(LOW,N_KD))/(HHV(HIGH,N_KD)-LLV(LOW,N_KD))*100;
//(1)closing price - the lowest of cycle N, (2)the highest of cycle N - the lowest of cycle N, (1)/(2)
K:=SMA(RSV,M1,1);//MA of RSV
D:=SMA(K,M2,1);//MA of K
MIND:=30;
BKD:=K>D AND D<MIND;
SKD:=K<D AND D>100-MIND;
 
//oscillation mode
BUYPK1:=CMI < 20 AND BKD;//if it's oscillation, buy to cover and buy long immediately
SELLPK1:=CMI < 20 AND SKD;//if it's oscillation, sell to close long position and sell short to open position immediately
 
//Disposal of the original oscillating position under the trend mode
SELLY1:=REF(CMI,BARSBK) < 20 AND C>BKPRICE*(1+0.01*STOPLOSS*3) AND K<D;//if it's oscillation, long position take profit
BUYY1:=REF(CMI,BARSSK) < 20 AND C<SKPRICE*(1-0.01*STOPLOSS*3) AND K>D;//if it's oscillation, short position take profit
 
//trend mode
BUYPK2:=CMI >= 20 AND C > TOP;//if it's trend, buy to cover and buy long immediately
SELLPK2:=CMI >= 20 AND C < BOTTOM;//if it's trend, sell to close long position and sell short to open position immediately
 
//Disposal of the original oscillating position under the trend mode
SELLY2:=REF(CMI,BARSBK) >= 20 AND C>BKPRICE*(1+0.01*STOPLOSS*3) AND SBOLL;//if it's trend, long position take profit
BUYY2:=REF(CMI,BARSSK) >= 20 AND C<SKPRICE*(1-0.01*STOPLOSS*3) AND BBOLL;//if it's trend, short position take profit
 
SELLS2:=REF(CMI,BARSBK) >= 20 AND C<BKPRICE*(1-0.01*STOPLOSS) AND SBOLL;//if it's trend, long position stop loss
BUYS2:=REF(CMI,BARSSK) >= 20 AND C>SKPRICE*(1+0.01*STOPLOSS) AND BBOLL;//if it's trend, short position stop loss
 
IF BARPOS>N THEN BEGIN
    BUYPK1,BPK;
    SELLPK1,SPK;
    BUYPK2,BPK;
    SELLPK2,SPK;
END
BUYY1,BP(SKVOL);
BUYY2,BP(SKVOL);
BUYS2,BP(SKVOL);
SELLY1,SP(BKVOL);
SELLY2,SP(BKVOL);
SELLS2,SP(BKVOL);

Источник:https://www.fmz.com/strategy/129086


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