双K线极速波段策略
该策略通过计算每日成交量变化和NVI指标的组合,判断极短线内的市场波段进行交易。
具体来说,它计算每日成交量较前一日减少的天数,通过NVI值的变化构成一个振荡指标。当该指标从负转正,并第2根K线仍然正值时做多;当该指标从正转负,并第2根K线仍然负值时做空。
这种策略的优点是捕捉极短线的落差,只需要2根K线即可形成交易信号,实现盈利。但是这种高频交易方式存在过优化风险,在不同市场时间段效果可能差异很大。
此外,如此短线交易对交易费用也有一定依赖,需要针对具体品种调整参数。同时,极小时间段交易决策的误差也可能造成亏损。只有严格控制了单笔交易资金规模,才能长期应用这种双K线策略。
/*backtest
start: 2022-09-04 00:00:00
end: 2023-09-10 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
strategy(title = "Strategy Only 2 Candles",
shorttitle = "SO2C",
overlay = true,
precision = 8,
calc_on_order_fills = true,
calc_on_every_tick = true,
backtest_fill_limits_assumption = 0,
default_qty_type = strategy.percent_of_equity,
default_qty_value = 100,
initial_capital = 1000,
currency = currency.USD,
linktoseries = true)
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
backTestSectionFrom = input(title = "═════════ DESDE ════════", defval = true, type = input.bool)
FromMonth = input(defval = 1, title = "Mes", minval = 1)
FromDay = input(defval = 1, title = "Dia", minval = 1)
FromYear = input(defval = 2018, title = "Año", minval = 2014)
backTestSectionTo = input(title = "═════════ HASTA ════════", defval = true, type = input.bool)
ToMonth = input(defval = 31, title = "Mes", minval = 1)
ToDay = input(defval = 12, title = "Dia", minval = 1)
ToYear = input(defval = 9999, title = "Año", minval = 2014)
backTestPeriod() => (time > timestamp(FromYear, FromMonth, FromDay, 00, 00)) and (time < timestamp(ToYear, ToMonth, ToDay, 23, 59))
//
// ▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒▒ //
nvi = 0.0
nvi := iff(volume < volume[1], nz(nvi[1]) + (close - close[1]) / close[1], nz(nvi[1]))
nvim = ema(nvi, 15)
nvimax = highest(nvim, 90)
nvimin = lowest(nvim, 90)
azul = (nvi - nvim) * 100 / (nvimax - nvimin)
// VARIABLES
var compra_activada = 0
var compra = true
var compra_1 = true
var cerrar_compra= 0
var venta_activada = 0
var venta = true
var venta_1 = true
var cerrar_venta= 0
// COMPRA
compra := azul > azul[1] and azul > 0 and azul[1] < 0
if (compra == 1 )
compra_activada := 1
// CIERRE COMPRA
cerrar_compra := compra_activada[2] == 1 ? 1 : 0
if (cerrar_compra == 1)
compra_activada := 0
// VENTA
venta := azul < azul[1] and azul < 0 and azul[1] > 0
if (venta == 1 )
venta_activada := 1
// CIERRE COMPRA
cerrar_venta := venta_activada[2] == 1 ? 1 : 0
if (cerrar_venta == 1)
venta_activada := 0
// ESTRATEGIA
if (backTestPeriod())
strategy.entry("Compra", true, when = compra == 1 )
strategy.entry("Venta", false, when = venta == 1 )
strategy.close("Compra", when = cerrar_compra == 1 )
strategy.close("Venta", when = cerrar_venta == 1 )