Это стратегия торговли трендом, основанная на ценовых дивергентных сигналах. Она использует несколько индикаторов, таких как RSI, MACD, Stochastics и т. Д., Для обнаружения ценовых дивергенций и подтверждения математического осциллятора Мюррея.
Основой этой стратегии является теория ценовой дивергенции. Когда цена достигает нового максимума, но индикатор этого не делает, это считается медвежьей дивергенцией. Когда цена печатает новый минимум, но индикатор этого не делает, это бычье дивергенция. Это сигнализирует о потенциальном переходе тренда. Стратегия сочетает фрактальные сигналы с осциллятором для подтверждения торговых сигналов.
В частности, условия въезда:
Выход, когда осциллятор пересекает среднюю линию.
Преимущества этой стратегии:
Основными рисками являются:
Предложить стоп-лосс, размещение позиции, оптимизацию параметров для снижения рисков.
Некоторые дополнительные оптимизации:
Эта стратегия объединяет концепцию ценовой дивергенции с инструментами анализа тенденций для раннего обнаружения потенциальных переворотов. При надлежащем улучшении управления рисками можно достичь хорошей корректированной по риску доходности. Дальнейшие оптимизации на основе машинного обучения могут привести к более стабильной альфе.
/*backtest start: 2024-01-02 00:00:00 end: 2024-02-01 00:00:00 period: 2h basePeriod: 15m exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}] */ //@version=2 // // Title: [STRATEGY][UL]Price Divergence Strategy V1 // Author: JustUncleL // Date: 23-Oct-2016 // Version: v1.0 // // Description: // A trend trading strategy the uses Price Divergence detection signals, that // are confirmed by the "Murrey's Math Oscillator" (Donchanin Channel based). // // *** USE AT YOUR OWN RISK *** // // Mofidifications: // 1.0 - original // // References: // Strategy Based on: // - [RS]Price Divergence Detector V2 by RicardoSantos // - UCS_Murrey's Math Oscillator by Ucsgears // Some Code borrowed from: // - "Strategy Code Example by JayRogers" // Information on Divergence Trading: // - http://www.babypips.com/school/high-school/trading-divergences // strategy(title='[STRATEGY][UL]Price Divergence Strategy v1.0', pyramiding=0, overlay=true, initial_capital=10000, calc_on_every_tick=false, currency=currency.USD,default_qty_type=strategy.percent_of_equity,default_qty_value=10) // || General Input: method = input(title='Method (0=rsi, 1=macd, 2=stoch, 3=volume, 4=acc/dist, 5=fisher, 6=cci):', defval=1, minval=0, maxval=6) SHOW_LABEL = input(title='Show Labels', type=bool, defval=true) SHOW_CHANNEL = input(title='Show Channel', type=bool, defval=false) uHid = input(true,title="Use Hidden Divergence in Strategy") uReg = input(true,title="Use Regular Divergence in Strategy") // || RSI / STOCH / VOLUME / ACC/DIST Input: rsi_smooth = input(title='RSI/STOCH/Volume/ACC-DIST/Fisher/cci Smooth:', defval=5) // || MACD Input: macd_src = input(title='MACD Source:', defval=close) macd_fast = input(title='MACD Fast:', defval=12) macd_slow = input(title='MACD Slow:', defval=26) macd_smooth = input(title='MACD Smooth Signal:', defval=9) // || Functions: f_top_fractal(_src)=>_src[4] < _src[2] and _src[3] < _src[2] and _src[2] > _src[1] and _src[2] > _src[0] f_bot_fractal(_src)=>_src[4] > _src[2] and _src[3] > _src[2] and _src[2] < _src[1] and _src[2] < _src[0] f_fractalize(_src)=>f_top_fractal(_src) ? 1 : f_bot_fractal(_src) ? -1 : 0 // ||••> START MACD FUNCTION f_macd(_src, _fast, _slow, _smooth)=> _fast_ma = sma(_src, _fast) _slow_ma = sma(_src, _slow) _macd = _fast_ma-_slow_ma _signal = ema(_macd, _smooth) _hist = _macd - _signal // ||<•• END MACD FUNCTION // ||••> START ACC/DIST FUNCTION f_accdist(_smooth)=>_return=sma(cum(close==high and close==low or high==low ? 0 : ((2*close-low-high)/(high-low))*volume), _smooth) // ||<•• END ACC/DIST FUNCTION // ||••> START FISHER FUNCTION f_fisher(_src, _window)=> _h = highest(_src, _window) _l = lowest(_src, _window) _value0 = .66 * ((_src - _l) / max(_h - _l, .001) - .5) + .67 * nz(_value0[1]) _value1 = _value0 > .99 ? .999 : _value0 < -.99 ? -.999 : _value0 _fisher = .5 * log((1 + _value1) / max(1 - _value1, .001)) + .5 * nz(_fisher[1]) // ||<•• END FISHER FUNCTION method_high = method == 0 ? rsi(high, rsi_smooth) : method == 1 ? f_macd(macd_src, macd_fast, macd_slow, macd_smooth) : method == 2 ? stoch(close, high, low, rsi_smooth) : method == 3 ? sma(volume, rsi_smooth) : method == 4 ? f_accdist(rsi_smooth) : method == 5 ? f_fisher(high, rsi_smooth) : method == 6 ? cci(high, rsi_smooth) : na method_low = method == 0 ? rsi(low, rsi_smooth) : method == 1 ? f_macd(macd_src, macd_fast, macd_slow, macd_smooth) : method == 2 ? stoch(close, high, low, rsi_smooth) : method == 3 ? sma(volume, rsi_smooth) : method == 4 ? f_accdist(rsi_smooth) : method == 5 ? f_fisher(low, rsi_smooth) : method == 6 ? cci(low, rsi_smooth) : na fractal_top = f_fractalize(method_high) > 0 ? method_high[2] : na fractal_bot = f_fractalize(method_low) < 0 ? method_low[2] : na high_prev = valuewhen(fractal_top, method_high[2], 1) high_price = valuewhen(fractal_top, high[2], 1) low_prev = valuewhen(fractal_bot, method_low[2], 1) low_price = valuewhen(fractal_bot, low[2], 1) regular_bearish_div = fractal_top and high[2] > high_price and method_high[2] < high_prev hidden_bearish_div = fractal_top and high[2] < high_price and method_high[2] > high_prev regular_bullish_div = fractal_bot and low[2] < low_price and method_low[2] > low_prev hidden_bullish_div = fractal_bot and low[2] > low_price and method_low[2] < low_prev plot(title='H F', series=fractal_top ? high[2] : na, color=regular_bearish_div or hidden_bearish_div ? maroon : not SHOW_CHANNEL ? na : silver, offset=-2) plot(title='L F', series=fractal_bot ? low[2] : na, color=regular_bullish_div or hidden_bullish_div ? green : not SHOW_CHANNEL ? na : silver, offset=-2) plot(title='H D', series=fractal_top ? high[2] : na, style=circles, color=regular_bearish_div or hidden_bearish_div ? maroon : not SHOW_CHANNEL ? na : silver, linewidth=3, offset=-2) plot(title='L D', series=fractal_bot ? low[2] : na, style=circles, color=regular_bullish_div or hidden_bullish_div ? green : not SHOW_CHANNEL ? na : silver, linewidth=3, offset=-2) plotshape(title='+RBD', series=not SHOW_LABEL ? na : regular_bearish_div ? high[2] : na, text='R', style=shape.labeldown, location=location.absolute, color=maroon, textcolor=white, offset=-2) plotshape(title='+HBD', series=not SHOW_LABEL ? na : hidden_bearish_div ? high[2] : na, text='H', style=shape.labeldown, location=location.absolute, color=maroon, textcolor=white, offset=-2) plotshape(title='-RBD', series=not SHOW_LABEL ? na : regular_bullish_div ? low[2] : na, text='R', style=shape.labelup, location=location.absolute, color=green, textcolor=white, offset=-2) plotshape(title='-HBD', series=not SHOW_LABEL ? na : hidden_bullish_div ? low[2] : na, text='H', style=shape.labelup, location=location.absolute, color=green, textcolor=white, offset=-2) // Code borrowed from UCS_Murrey's Math Oscillator by Ucsgears // - UCS_MMLO // Inputs length = input(100, minval = 10, title = "MMLO Look back Length") quad = input(2, minval = 1, maxval = 4, step = 1, title = "Mininum Quadrant for MMLO Support") mult = 0.125 // Donchanin Channel hi = highest(high, length) lo = lowest(low, length) range = hi - lo multiplier = (range) * mult midline = lo + multiplier * 4 oscillator = (close - midline)/(range/2) a = oscillator > 0 b = oscillator > 0 and oscillator > mult*2 c = oscillator > 0 and oscillator > mult*4 d = oscillator > 0 and oscillator > mult*6 z = oscillator < 0 y = oscillator < 0 and oscillator < -mult*2 x = oscillator < 0 and oscillator < -mult*4 w = oscillator < 0 and oscillator < -mult*6 // Strategy: (Thanks to JayRogers) // === STRATEGY RELATED INPUTS === //tradeInvert = input(defval = false, title = "Invert Trade Direction?") // the risk management inputs inpTakeProfit = input(defval = 0, title = "Take Profit Points", minval = 0) inpStopLoss = input(defval = 0, title = "Stop Loss Points", minval = 0) inpTrailStop = input(defval = 100, title = "Trailing Stop Loss Points", minval = 0) inpTrailOffset = input(defval = 0, title = "Trailing Stop Loss Offset Points", minval = 0) // === RISK MANAGEMENT VALUE PREP === // if an input is less than 1, assuming not wanted so we assign 'na' value to disable it. useTakeProfit = inpTakeProfit >= 1 ? inpTakeProfit : na useStopLoss = inpStopLoss >= 1 ? inpStopLoss : na useTrailStop = inpTrailStop >= 1 ? inpTrailStop : na useTrailOffset = inpTrailOffset >= 1 ? inpTrailOffset : na // === STRATEGY - LONG POSITION EXECUTION === enterLong() => ((uReg and regular_bullish_div) or (uHid and hidden_bullish_div)) and (quad==1? a[1]: quad==2?b[1]: quad==3?c[1]: quad==4?d[1]: false)// functions can be used to wrap up and work out complex conditions exitLong() => oscillator <= 0 strategy.entry(id = "Buy", long = true, when = enterLong() )// use function or simple condition to decide when to get in strategy.close(id = "Buy", when = exitLong() )// ...and when to get out // === STRATEGY - SHORT POSITION EXECUTION === enterShort() => ((uReg and regular_bearish_div) or (uHid and hidden_bearish_div)) and (quad==1? z[1]: quad==2?y[1]: quad==3?x[1]: quad==4?w[1]: false) exitShort() => oscillator >= 0 strategy.entry(id = "Sell", long = false, when = enterShort()) strategy.close(id = "Sell", when = exitShort() ) // === STRATEGY RISK MANAGEMENT EXECUTION === // finally, make use of all the earlier values we got prepped strategy.exit("Exit Buy", from_entry = "Buy", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset) strategy.exit("Exit Sell", from_entry = "Sell", profit = useTakeProfit, loss = useStopLoss, trail_points = useTrailStop, trail_offset = useTrailOffset) //EOF