Эта стратегия реализует сетевую торговлю путем размещения нескольких параллельных ордеров на покупку и продажу в пределах ценового диапазона.
Управление рисками:
Динамическая стратегия торговли сеткой адаптируется к рынку путем корректировки параметров сети. Она приносит прибыль на рынке с ограниченным диапазоном и волатильностью. При правильном контроле позиций риск смягчается. Оптимизация настроек сети и включение индикаторов оценки тренда могут еще больше улучшить стабильность стратегии.
/*backtest start: 2023-12-23 00:00:00 end: 2024-01-22 00:00:00 period: 1h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=4 strategy("sarasa srinivasa kumar", overlay=true, pyramiding=14, close_entries_rule="ANY", default_qty_type=strategy.cash, initial_capital=100.0, currency="USD", commission_type=strategy.commission.percent, commission_value=0.1) i_autoBounds = input(group="Grid Bounds", title="Use Auto Bounds?", defval=true, type=input.bool) // calculate upper and lower bound of the grid automatically? This will theorhetically be less profitable, but will certainly require less attention i_boundSrc = input(group="Grid Bounds", title="(Auto) Bound Source", defval="Hi & Low", options=["Hi & Low", "Average"]) // should bounds of the auto grid be calculated from recent High & Low, or from a Simple Moving Average i_boundLookback = input(group="Grid Bounds", title="(Auto) Bound Lookback", defval=250, type=input.integer, maxval=500, minval=0) // when calculating auto grid bounds, how far back should we look for a High & Low, or what should the length be of our sma i_boundDev = input(group="Grid Bounds", title="(Auto) Bound Deviation", defval=0.10, type=input.float, maxval=1, minval=-1) // if sourcing auto bounds from High & Low, this percentage will (positive) widen or (negative) narrow the bound limits. If sourcing from Average, this is the deviation (up and down) from the sma, and CANNOT be negative. i_upperBound = input(group="Grid Bounds", title="(Auto) Upper Boundry", defval=0.285, type=input.float) // for manual grid bounds only. The upperbound price of your grid i_lowerBound = input(group="Grid Bounds", title="(Auto) Lower Boundry", defval=0.225, type=input.float) // for manual grid bounds only. The lowerbound price of your grid. i_gridQty = input(group="Grid Lines", title="Grid Line Quantity", defval=8, maxval=15, minval=3, type=input.integer) // how many grid lines are in your grid f_getGridBounds(_bs, _bl, _bd, _up) => if _bs == "Hi & Low" _up ? highest(close, _bl) * (1 + _bd) : lowest(close, _bl) * (1 - _bd) else avg = sma(close, _bl) _up ? avg * (1 + _bd) : avg * (1 - _bd) f_buildGrid(_lb, _gw, _gq) => gridArr = array.new_float(0) for i=0 to _gq-1 array.push(gridArr, _lb+(_gw*i)) gridArr f_getNearGridLines(_gridArr, _price) => arr = array.new_int(3) for i = 0 to array.size(_gridArr)-1 if array.get(_gridArr, i) > _price array.set(arr, 0, i == array.size(_gridArr)-1 ? i : i+1) array.set(arr, 1, i == 0 ? i : i-1) break arr var upperBound = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true) : i_upperBound // upperbound of our grid var lowerBound = i_autoBounds ? f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false) : i_lowerBound // lowerbound of our grid var gridWidth = (upperBound - lowerBound)/(i_gridQty-1) // space between lines in our grid var gridLineArr = f_buildGrid(lowerBound, gridWidth, i_gridQty) // an array of prices that correspond to our grid lines var orderArr = array.new_bool(i_gridQty, false) // a boolean array that indicates if there is an open order corresponding to each grid line var closeLineArr = f_getNearGridLines(gridLineArr, close) // for plotting purposes - an array of 2 indices that correspond to grid lines near price var nearTopGridLine = array.get(closeLineArr, 0) // for plotting purposes - the index (in our grid line array) of the closest grid line above current price var nearBotGridLine = array.get(closeLineArr, 1) // for plotting purposes - the index (in our grid line array) of the closest grid line below current price strategy.initial_capital = 50000 for i = 0 to (array.size(gridLineArr) - 1) if close < array.get(gridLineArr, i) and not array.get(orderArr, i) and i < (array.size(gridLineArr) - 1) buyId = i array.set(orderArr, buyId, true) strategy.entry(id=tostring(buyId), long=true, qty=(strategy.initial_capital/(i_gridQty-1))/close, comment="#"+tostring(buyId)) if close > array.get(gridLineArr, i) and i != 0 if array.get(orderArr, i-1) sellId = i-1 array.set(orderArr, sellId, false) strategy.close(id=tostring(sellId), comment="#"+tostring(sellId)) if i_autoBounds upperBound := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, true) lowerBound := f_getGridBounds(i_boundSrc, i_boundLookback, i_boundDev, false) gridWidth := (upperBound - lowerBound)/(i_gridQty-1) gridLineArr := f_buildGrid(lowerBound, gridWidth, i_gridQty) closeLineArr := f_getNearGridLines(gridLineArr, close) nearTopGridLine := array.get(closeLineArr, 0) nearBotGridLine := array.get(closeLineArr, 1)