В этой статье представлена количественная стратегия торговли, которая сочетает в себе несколько индикаторов для определения тенденций.
Стратегия основана на:
Используя скользящие средние, новый индекс максимумов/минусов для определения тенденции цен.
Включение годовых уровней, чтобы избежать краткосрочных сбоев.
Ввод на выровненный индикатор пучок сигналов для фильтрации подделок.
Следуя за супертендентом, чтобы закрепить прибыль от тренда.
Остановка на перемещающихся средних нарушениях.
Преимущества стратегии:
Многочисленные показатели улучшают точность принятия решений.
Только торговля ясными тенденциями избегает ненужных сделок.
Супертенд задерживает прибыль и уменьшает выигрыш.
Своевременные остановки на бегствах повышают процент побед.
Ясная логика делает оптимизацию интуитивной.
Потенциальные риски включают:
Многочисленные фильтры могут привести к пропущенным сделкам.
Супер-тренды могут чрезмерно ограничивать прибыль.
Плохие остановки вызовут ненужные выходы.
Настройка параметров существенно влияет на производительность.
Эта стратегия сочетает в себе несколько технических индикаторов для определения тренда. При правильной оптимизации она может достичь хорошей доходности. Но трейдеры должны следить за точностью тренда и соответственно корректировать параметры.
/*backtest
start: 2023-08-16 00:00:00
end: 2023-09-15 00:00:00
period: 1h
basePeriod: 15m
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/
// © HeWhoMustNotBeNamed
//@version=4
strategy("AlignedMA and Cumulative HighLow Strategy V2", overlay=true, initial_capital = 1000, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type = strategy.commission.percent, pyramiding = 1, commission_value = 0.01, calc_on_order_fills = true)
MAType = input(title="Moving Average Type", defval="hma", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
includePartiallyAligned = input(true)
HighLowPeriod = input(22, minval=1,step=1)
LookbackPeriod = input(10, minval=1,step=1)
considerYearlyHighLow = input(false)
dirTBars = input(1)
dirRBars = input(30)
PMAType = input(title="Moving Average Type", defval="ema", options=["ema", "sma", "hma", "rma", "vwma", "wma"])
PMALength = input(10, minval=2, step=10)
shift = input(2, minval=1, step=1)
//Use 2 for ASX stocks
supertrendMult = input(3, minval=1, maxval=10, step=0.5)
supertrendLength = input(22, minval=1)
riskReward = input(2, minval=1, maxval=10, step=0.5)
tradeDirection = input(title="Trade Direction", defval=strategy.direction.all, options=[strategy.direction.all, strategy.direction.long, strategy.direction.short])
backtestYears = input(1, minval=1, step=1)
f_getMovingAverage(source, MAType, length)=>
ma = sma(source, length)
if(MAType == "ema")
ma := ema(source,length)
if(MAType == "hma")
ma := hma(source,length)
if(MAType == "rma")
ma := rma(source,length)
if(MAType == "vwma")
ma := vwma(source,length)
if(MAType == "wma")
ma := wma(source,length)
ma
f_getMaAlignment(MAType, includePartiallyAligned)=>
ma5 = f_getMovingAverage(close,MAType,5)
ma10 = f_getMovingAverage(close,MAType,10)
ma20 = f_getMovingAverage(close,MAType,20)
ma30 = f_getMovingAverage(close,MAType,30)
ma50 = f_getMovingAverage(close,MAType,50)
ma100 = f_getMovingAverage(close,MAType,100)
ma200 = f_getMovingAverage(close,MAType,200)
upwardScore = 0
upwardScore := close > ma5? upwardScore+1:upwardScore
upwardScore := ma5 > ma10? upwardScore+1:upwardScore
upwardScore := ma10 > ma20? upwardScore+1:upwardScore
upwardScore := ma20 > ma30? upwardScore+1:upwardScore
upwardScore := ma30 > ma50? upwardScore+1:upwardScore
upwardScore := ma50 > ma100? upwardScore+1:upwardScore
upwardScore := ma100 > ma200? upwardScore+1:upwardScore
upwards = close > ma5 and ma5 > ma10 and ma10 > ma20 and ma20 > ma30 and ma30 > ma50 and ma50 > ma100 and ma100 > ma200
downwards = close < ma5 and ma5 < ma10 and ma10 < ma20 and ma20 < ma30 and ma30 < ma50 and ma50 < ma100 and ma100 < ma200
upwards?1:downwards?-1:includePartiallyAligned ? (upwardScore > 5? 0.5: upwardScore < 2?-0.5:upwardScore>3?0.25:-0.25) : 0
f_getHighLowValue(HighLowPeriod)=>
currentHigh = highest(high,HighLowPeriod) == high
currentLow = lowest(low,HighLowPeriod) == low
currentHigh?1:currentLow?-1:0
f_getDirection(Series)=>
direction = Series > Series[1] ? 1 : Series < Series[1] ? -1 : 0
direction := direction == 0? nz(direction[1],0):direction
direction
f_getDirectionT(Series, tBars, rBars)=>
compH = Series > 0? Series[tBars] : Series[rBars]
compL = Series < 0? Series[tBars] : Series[rBars]
direction = Series > compH ? 1 : Series < compL ? -1 : 0
direction := direction == 0? nz(direction[1],0):direction
direction
f_getYearlyHighLowCondition(considerYearlyHighLow)=>
yhigh = security(syminfo.tickerid, '12M', high[1])
ylow = security(syminfo.tickerid, '12M', low[1])
yhighlast = yhigh[365]
ylowlast = ylow[365]
yhighllast = yhigh[2 * 365]
ylowllast = ylow[2 * 365]
yearlyTrendUp = na(yhigh)? true : na(yhighlast)? close > yhigh : na(yhighllast)? close > max(yhigh,yhighlast) : close > max(yhigh, min(yhighlast, yhighllast))
yearlyHighCondition = ( (na(yhigh) or na(yhighlast) ? true : (yhigh > yhighlast) ) and ( na(yhigh) or na(yhighllast) ? true : (yhigh > yhighllast))) or yearlyTrendUp or not considerYearlyHighLow
yearlyTrendDown = na(ylow)? true : na(ylowlast)? close < ylow : na(ylowllast)? close < min(ylow,ylowlast) : close < min(ylow, max(ylowlast, ylowllast))
yearlyLowCondition = ( (na(ylow) or na(ylowlast) ? true : (ylow < ylowlast) ) and ( na(ylow) or na(ylowllast) ? true : (ylow < ylowllast))) or yearlyTrendDown or not considerYearlyHighLow
[yearlyHighCondition,yearlyLowCondition]
f_getOpenCloseMA(MAType, length)=>
openMA = f_getMovingAverage(open, MAType, length)
closeMA = f_getMovingAverage(close, MAType, length)
direction = openMA < closeMA ? 1 : -1
[openMA, closeMA, direction]
inDateRange = true
maAlignment = f_getMaAlignment(MAType,includePartiallyAligned)
alignedMaIndex = sum(maAlignment,LookbackPeriod)
maAlignmentDirection=f_getDirectionT(alignedMaIndex,dirTBars, dirRBars)
atr = atr(22)
highLowIndex = f_getHighLowValue(HighLowPeriod)
cumulativeHighLowIndex = sum(highLowIndex,LookbackPeriod)
hlDirection = f_getDirectionT(cumulativeHighLowIndex,dirTBars,dirRBars)
[yearlyHighCondition,yearlyLowCondition] = f_getYearlyHighLowCondition(considerYearlyHighLow)
[supertrend, dir] = supertrend(supertrendMult, supertrendLength)
[esupertrend, edir] = supertrend(supertrendMult+1, supertrendLength)
movingAverage = f_getMovingAverage(close, PMAType, PMALength)
secondaryBuyFilter = movingAverage > movingAverage[shift]
secondarySellFilter = movingAverage < movingAverage[shift]
closeBuyFilter = dir == 1
closeSellFilter = dir == -1
buyFilter = (maAlignmentDirection == 1 and hlDirection == 1 and yearlyHighCondition)
sellFilter = (maAlignmentDirection == -1 and hlDirection == -1 and yearlyLowCondition)
barColor = buyFilter?color.lime:sellFilter?color.orange:color.gray
bandColor = secondaryBuyFilter ? color.green : secondarySellFilter ? color.red : color.gray
compound = strategy.position_size > 0? strategy.position_avg_price + (atr* supertrendMult * riskReward) : strategy.position_size < 0 ? strategy.position_avg_price - (atr* supertrendMult * riskReward) : na
riskFree = na(compound)?false:strategy.position_size > 0 ? supertrend > compound : strategy.position_size < 0 ? supertrend < compound : false
trailingStop = riskFree?(dir==-1?supertrend - 2*atr : supertrend + 2*atr) :supertrend
trailingStop := (strategy.position_size > 0 and trailingStop < trailingStop[1]) ? trailingStop[1] : ((strategy.position_size < 0 and trailingStop > trailingStop[1])? trailingStop[1] :trailingStop)
plot(trailingStop, title="Supertrend", color=riskFree? color.blue:dir==-1?color.green:color.red, linewidth=2)
buyEntry = buyFilter and secondaryBuyFilter and not closeBuyFilter and low > trailingStop
sellEntry = sellFilter and secondarySellFilter and not closeSellFilter and low < trailingStop
Fi1 = plot(movingAverage[shift], title="MA", color=color.red, linewidth=1, transp=50)
Fi2 = plot(movingAverage, title="Shift", color=color.green, linewidth=1, transp=50)
fill(Fi1, Fi2, title="Band Filler", color=bandColor, transp=40)
barcolor(barColor)
//plot(compound, title="Compound"mzn, color=dir==-1?color.lime:color.orange, linewidth=2)
strategy.risk.allow_entry_in(tradeDirection)
strategy.entry("Buy", strategy.long, when=buyEntry and inDateRange and (riskFree or strategy.position_size==0), oca_name="oca_buy")
strategy.exit("ExitBuy", "Buy", stop = trailingStop)
strategy.close("Buy", when=closeBuyFilter)
strategy.entry("Sell", strategy.short, when=sellEntry and inDateRange and (riskFree or strategy.position_size==0), oca_name="oca_sell")
strategy.exit("ExitSell", "Buy", stop = trailingStop)
strategy.close("Sell", when=closeSellFilter)