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Инкрементальный размер заказа Фибоначчи ретрассементный тренд после стратегии

Автор:Чао Чжан, Дата: 2023-10-18 11:40:01
Тэги:

Обзор

Это относительно сложная стратегия прорыва импульса, которая включает в себя множество технических индикаторов для суждения и реализует многоступенчатые пирамидальные ордера в разных направлениях и фазах для достижения цели масштабирования и выхода.

Принципы

Стратегия в основном сочетает в себе индикатор импульса MACD, индикатор перекупленности и перепродажи RSI и полосы Боллинджера для направленного суждения. Когда линия MACD выше 0, а RSI ниже линии перепродажи, это длинный сигнал. Когда линия MACD ниже 0, а RSI выше линии перекупленности, это короткий сигнал.

В конкретной реализации стратегия сначала оценивает производительность линии MACD и RSI, чтобы подтвердить фундаментальные показатели. Затем, в соответствии с прорывом верхней и нижней рельсов Болинджеровских полос, он принимает пирамидальные ордера в разных размерах.

Между тем, стратегия также отслеживает самую высокую и самую низкую цену для установки стоп-лосса и получения прибыли, соответствующим образом управляя ордерами.

Преимущества

Объединение нескольких индикаторов позволяет избежать ошибочных оценок одного инструмента.
Масштабирование с несколькими этапами может увеличить прибыль.
Установка стоп-лосса и прибыли помогает избежать потерь от высоких пиков.
Контролируемое сокращение, не будет больших потерь.

Риски и решения

Прорыв верхней и нижней рельсы не является на 100% надежным, может показать некоторые ложные сигналы.
Поэтапная пирамида требует точного понимания рыночного темпа, быстрые изменения могут привести к огромным потерям.
Необходимо следить за ликвидностью торговых инструментов, низкая ликвидность не подходит для крупных партий пирамиды.
Backtest ≠ live, расходы, такие как спред и комиссия, должны быть учтены в режиме реального времени.

Оптимизация

Можно проверить различные комбинации параметров, такие как период Боллинджера, мультипликатор СТД, параметры RSI, чтобы найти оптимальный.
Может исследовать другие методы масштабирования, такие как фиксированная дроби, критерий Келли и т.д.
Может реализовать динамическую оптимизацию параметров с помощью машинного обучения и т.д.
Может включать больше источников данных, таких как анализ настроений, социальные данные, чтобы помочь в суждении.
Может исследовать фьючерсный календарь для арбитража, расширять пространство прибыли.

Резюме

Эта стратегия комплексно использует несколько технических индикаторов, принимает поэтапную пирамиду, управляет рисками с остановкой потери и получением прибыли, что делает ее относительно полным трендом после стратегии. Но риски, такие как ложные сигналы и быстрые обратные действия, должны быть предупреждены, правильное регулирование параметров и размещения позиций может привести к более устойчивым избыточным доходам. Дальнейшая оптимизация с помощью машинного обучения и т. д. может улучшить эффективность стратегии.

/*backtest
start: 2022-10-11 00:00:00
end: 2023-10-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=2
strategy(title="Incremental Order size +", shorttitle="Strategy", overlay=true, default_qty_value=1, pyramiding=10)

//Heiken Ashi
isHA = input(false, "HA Candles", bool)

//MACD
fastLength = 12
slowlength = 26
MACDLength = 9

MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD

//Bollinger Bands Exponential
src = open
len = 18
e = ema(src,len)
evar = (src - e)*(src - e)
evar2 = (sum(evar,len))/len
std = sqrt(evar2)
Multiplier = input(3, minval = 0.01, title = "# of STDEV's")
upband = e + (Multiplier * std)
dnband = e - (Multiplier * std)

//EMA
ema3 = ema(close, 3)

//RSIplot
length = 45
overSold = 90
overBought = 10
price = close

vrsi = rsi(price, length)

notna = not na(vrsi)

macdlong = crossover(delta, 0)
macdshort = crossunder(delta, 0)
rsilong = notna and crossover(vrsi, overSold)
rsishort = notna and crossunder(vrsi, overBought)

lentt = input(14, "Pivot Length")
    //The length defines how many periods a high or low must hold to be a "relevant pivot"

h = highest(lentt)
    //The highest high over the length
h1 = dev(h, lentt) ? na : h
    //h1 is a pivot of h if it holds for the full length
hpivot = fixnan(h1)
    //creates a series which is equal to the last pivot

l = lowest(lentt)
l1 = dev(l, lentt) ? na : l
lpivot = fixnan(l1)
    //repeated for lows


last_hpivot = h1 ? time : nz(last_hpivot[1])
last_lpivot = l1 ? time : nz(last_lpivot[1])

long_time = last_hpivot > last_lpivot ? 0:1

//FIBS

z = input(100, "Z-Index")
p_offset= 2
transp = 60
a=(lowest(z)+highest(z))/2
b=lowest(z)
c=highest(z)
fibonacci = input(0, "Fibonacci") / 100

//Fib Calls
fib0 = (((hpivot - lpivot)* fibonacci) + lpivot)
fib1 = (((hpivot - lpivot)*.21) + lpivot)
fib2 = (((hpivot - lpivot)*.3) + lpivot)
fib3 = (((hpivot - lpivot)*.5) + lpivot)
fib4 = (((hpivot - lpivot)*.62) + lpivot)
fib5 = (((hpivot - lpivot)*.7) + lpivot)
fib6 = (((hpivot - lpivot)* 1.00) + lpivot)
fib7 = (((hpivot - lpivot)* 1.27) + lpivot)
fib8 = (((hpivot - lpivot)* 2) + lpivot)
fib9 = (((hpivot - lpivot)* -.27) + lpivot)
fib10 = (((hpivot - lpivot)* -1) + lpivot)

//Heiken Ashi Candles

data2 = isHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
res5 = input("5", "Resolution")

//HT Fibs

hfib0 =  security(data2, res5, fib0[1])
hfib1 =  security(data2, res5, fib1[1])
hfib2 =  security(data2, res5, fib2[1])
hfib3 =  security(data2, res5, fib3[1])
hfib4 =  security(data2, res5, fib4[1])
hfib5 =  security(data2, res5, fib5[1])
hfib6 =  security(data2, res5, fib6[1])
hfib7 =  security(data2, res5, fib7[1])
hfib8 =  security(data2, res5, fib8[1])
hfib9 =  security(data2, res5, fib9[1])
hfib10 =  security(data2, res5, fib10[1])

vrsiup = vrsi > vrsi[1] and vrsi[1] > vrsi[2]
vrsidown = vrsi < vrsi[1] and vrsi[1] < vrsi[2]

long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown

// long2 =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short2 = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown
// long =  cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup 
// short = cross(close, fib6) and delta < 0  and vrsi > overBought and vrsidown

reverseOpens = input(false, "Reverse Orders", bool)
if (reverseOpens)
	tmplong = long
	long := short
	short := tmplong

//Strategy
ts = input(99999, "TS")
tp = input(30, "TP")
sl = input(10, "SL")

last_long = long ? time : nz(last_long[1])
last_short = short ? time : nz(last_short[1])

in_long = last_long > last_short
in_short = last_short > last_long

long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)

last_open_long = long ? open : nz(last_open_long[1])
last_open_short = short ? open : nz(last_open_short[1])

last_open_long_signal = long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal = short_signal ? open : nz(last_open_short_signal[1])

last_high = not in_long ? na : in_long and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low = not in_short ? na : in_short and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])

long_ts = not na(last_high) and high <= (last_high - ts) and high >= last_open_long_signal
short_ts = not na(last_low) and low >= (last_low + ts) and low <= last_open_short_signal

long_tp = high >= (last_open_long + tp) and long[1] == 0
short_tp = low <= (last_open_short - tp) and short[1] == 0

long_sl = low <= (last_open_long - sl) and long[1] == 0
short_sl = high >= (last_open_short + sl) and short[1] == 0

last_hfib_long = long_signal ? fib1 : nz(last_hfib_long[1])
last_hfib_short = short_signal ? fib5 : nz(last_hfib_short[1])

last_fib7 = long ? fib7 : nz(last_fib7[1])
last_fib10 = long ? fib10 : nz(last_fib10[1])
last_fib8 = short ? fib8 : nz(last_fib8[1])
last_fib9 = short ? fib9 : nz(last_fib9[1])

last_long_signal = long_signal ? time : nz(last_long_signal[1])
last_short_signal = short_signal ? time : nz(last_short_signal[1])

last_long_tp = long_tp ? time : nz(last_long_tp[1])
last_short_tp = short_tp ? time : nz(last_short_tp[1])

last_long_ts = long_ts ? time : nz(last_long_ts[1])
last_short_ts = short_ts ? time : nz(last_short_ts[1])

long_ts_signal = crossover(last_long_ts, last_long_signal)
short_ts_signal = crossover(last_short_ts, last_short_signal)

last_long_sl = long_sl ? time : nz(last_long_sl[1])
last_short_sl = short_sl ? time : nz(last_short_sl[1])

long_tp_signal = crossover(last_long_tp, last_long)
short_tp_signal = crossover(last_short_tp, last_short)

long_sl_signal = crossover(last_long_sl, last_long)
short_sl_signal = crossover(last_short_sl, last_short)

last_long_tp_signal = long_tp_signal ? time : nz(last_long_tp_signal[1])
last_short_tp_signal = short_tp_signal ? time : nz(last_short_tp_signal[1])

last_long_sl_signal = long_sl_signal ? time : nz(last_long_sl_signal[1])
last_short_sl_signal = short_sl_signal ? time : nz(last_short_sl_signal[1])

last_long_ts_signal = long_ts_signal ? time : nz(last_long_ts_signal[1])
last_short_ts_signal = short_ts_signal ? time : nz(last_short_ts_signal[1])

true_long_signal = long_signal and last_long_sl_signal > last_long_signal[1] or long_signal and last_long_tp_signal > last_long_signal[1] or long_signal and last_long_ts_signal > last_long_signal[1]
true_short_signal = short_signal and last_short_sl_signal > last_short_signal[1] or short_signal and last_short_tp_signal > last_short_signal[1] or short_signal and last_short_ts_signal > last_short_signal[1]  


// strategy.entry("BLUE", strategy.long, when=long)
// strategy.entry("RED", strategy.short, when=short)

g = delta > 0 and vrsi < overSold and vrsiup
r = delta < 0  and vrsi > overBought and vrsidown

long1 = cross(close, fib1) and g and last_long_signal[1] > last_short_signal// and last_long_signal > long
short1 = cross(close, fib5) and r and last_short_signal[1] > last_long_signal// and last_short_signal > short

last_long1 = long1 ? time : nz(last_long1[1])
last_short1 = short1 ? time : nz(last_short1[1])

last_open_long1 = long1 ? open : nz(last_open_long1[1])
last_open_short1 = short1 ? open : nz(last_open_short1[1])

long1_signal = crossover(last_long1, last_long_signal)
short1_signal = crossover(last_short1, last_short_signal)

last_long1_signal = long1_signal ? time : nz(last_long1_signal[1])
last_short1_signal = short1_signal ? time : nz(last_short1_signal[1])


long2 = cross(close, fib2) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short2 = cross(close, fib4) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long2 = long2 ? time : nz(last_long2[1])
last_short2 = short2 ? time : nz(last_short2[1])

last_open_short2 = short2 ? open : nz(last_open_short2[1])

long2_signal = crossover(last_long2, last_long1_signal) and long1_signal==0
short2_signal = crossover(last_short2, last_short1_signal) and short1_signal==0

last_long2_signal = long2_signal ? time : nz(last_long2_signal[1])
last_short2_signal = short2_signal ? time : nz(last_short2_signal[1])

//Trade 4

long3 = cross(close, fib3) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short3 = cross(close, fib3) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long3 = long3 ? time : nz(last_long3[1])
last_short3 = short3 ? time : nz(last_short3[1])

last_open_short3 = short3 ? open : nz(last_open_short3[1])

long3_signal = crossover(last_long3, last_long2_signal) and long2_signal==0
short3_signal = crossover(last_short3, last_short2_signal) and short2_signal==0

last_long3_signal = long3_signal ? time : nz(last_long3_signal[1])
last_short3_signal = short3_signal ? time : nz(last_short3_signal[1])


//Trade 5
long4 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short4 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long4 = long4 ? time : nz(last_long4[1])
last_short4 = short4 ? time : nz(last_short4[1])

long4_signal = crossover(last_long4, last_long3_signal) and long2_signal==0 and long3_signal==0
short4_signal = crossover(last_short4, last_short3_signal) and short2_signal==0 and short3_signal==0

last_long4_signal = long4_signal ? time : nz(last_long4_signal[1])
last_short4_signal = short4_signal ? time : nz(last_short4_signal[1])

//Trade 6
long5 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short5 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long5 = long5 ? time : nz(last_long5[1])
last_short5 = short5 ? time : nz(last_short5[1])

long5_signal = crossover(last_long5, last_long4_signal) and long3_signal==0 and long4_signal==0
short5_signal = crossover(last_short5, last_short4_signal) and short3_signal==0 and short4_signal==0

last_long5_signal = long5_signal ? time : nz(last_long5_signal[1])
last_short5_signal = short5_signal ? time : nz(last_short5_signal[1])

//Trade 7
long6 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short6 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long6 = long6 ? time : nz(last_long6[1])
last_short6 = short6 ? time : nz(last_short6[1])

long6_signal = crossover(last_long6, last_long5_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0
short6_signal = crossover(last_short6, last_short5_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0

last_long6_signal = long6_signal ? time : nz(last_long6_signal[1])
last_short6_signal = short6_signal ? time : nz(last_short6_signal[1])


//Trade 8
long7 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short7 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long7 = long7 ? time : nz(last_long7[1])
last_short7 = short7 ? time : nz(last_short7[1])

long7_signal = crossover(last_long7, last_long6_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0
short7_signal = crossover(last_short7, last_short6_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0

last_long7_signal = long7_signal ? time : nz(last_long7_signal[1])
last_short7_signal = short7_signal ? time : nz(last_short7_signal[1])


//Trade 9
long8 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short8 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long8 = long8 ? time : nz(last_long8[1])
last_short8 = short8 ? time : nz(last_short8[1])

long8_signal = crossover(last_long8, last_long7_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0
short8_signal = crossover(last_short8, last_short7_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0

last_long8_signal = long8_signal ? time : nz(last_long8_signal[1])
last_short8_signal = short8_signal ? time : nz(last_short8_signal[1])

//Trade 10
long9 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short9 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal

last_long9 = long9 ? time : nz(last_long9[1])
last_short9 = short9 ? time : nz(last_short9[1])

long9_signal = crossover(last_long9, last_long8_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0 and long8_signal==0
short9_signal = crossover(last_short9, last_short8_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0 and short8_signal==0

last_long9_signal = long9_signal ? time : nz(last_long9_signal[1])
last_short9_signal = short9_signal ? time : nz(last_short9_signal[1])


strategy.entry("Long", strategy.long, qty=1, when=long_signal)
strategy.entry("Short", strategy.short, qty=1, when=short_signal)
strategy.entry("Long", strategy.long, qty=2, when=long1_signal)
strategy.entry("Short1", strategy.short, qty=2, when=short1_signal)
strategy.entry("Long", strategy.long, qty=4, when=long2_signal)
strategy.entry("Short2", strategy.short, qty=4, when=short2_signal)
strategy.entry("Long", strategy.long, qty=8, when=long3_signal)
strategy.entry("Short3", strategy.short, qty=8, when=short3_signal)
strategy.entry("Long", strategy.long, qty=5, when=long4_signal)
strategy.entry("Short", strategy.short, qty=5, when=short4_signal)
strategy.entry("Long", strategy.long, qty=6, when=long5_signal)
strategy.entry("Short", strategy.short, qty=6, when=short5_signal)
strategy.entry("Long", strategy.long, qty=7, when=long6_signal)
strategy.entry("Short", strategy.short, qty=7, when=short6_signal)
strategy.entry("Long", strategy.long, qty=8, when=long7_signal)
strategy.entry("Short", strategy.short, qty=8, when=short7_signal)
strategy.entry("Long", strategy.long, qty=9, when=long8_signal)
strategy.entry("Short", strategy.short, qty=9, when=short8_signal)
strategy.entry("Long", strategy.long, qty=10, when=long9_signal)
strategy.entry("Short", strategy.short, qty=10, when=short9_signal)

short1_tp = low <= (last_open_short1 - tp) and short1[1] == 0
short2_tp = low <= (last_open_short2 - tp) and short2[1] == 0
short3_tp = low <= (last_open_short3 - tp) and short3[1] == 0
short1_sl = high >= (last_open_short1 + sl) and short1[1] == 0
short2_sl = high >= (last_open_short2 + sl) and short2[1] == 0
short3_sl = high >= (last_open_short3 + sl) and short3[1] == 0

close_long = cross(close, fib6)
close_short = cross(close, fib0)

// strategy.close("Long", when=close_long)
// strategy.close("Long", when=long_tp)
// strategy.close("Long", when=long_sl)

// strategy.close("Short", when=long_signal)
// strategy.close("Short1", when=long_signal)
// strategy.close("Short2", when=long_signal)
// strategy.close("Short3", when=long_signal)
strategy.close("Short", when=short_tp)
strategy.close("Short1", when=short1_tp)
strategy.close("Short2", when=short2_tp)
strategy.close("Short3", when=short3_tp)
strategy.close("Short", when=short_sl)
strategy.close("Short1", when=short1_sl)
strategy.close("Short2", when=short2_sl)
strategy.close("Short3", when=short3_sl)

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