Quantitative Trend Strategy Based on Multi-factor
Author: ChaoZhang, Date: 2024-01-12 11:09:40Tags:
Overview
This strategy comprehensively considers factors like trading volume, volatility, closing price position, trend, etc. to identify trading opportunities. It belongs to the typical multi-factor quantitative strategy.
Strategy Principle
The core idea of this strategy is to identify entry and exit points by combining abnormal breakthroughs in trading volume, closing position, volatility range and other factors.
Specifically, the strategy calculates the average trading volume over a period of time. When the current period’s trading volume shows significant abnormal breakthrough, it may indicate a trend reversal. In addition, if the closing price is near the upper or lower limit of the volatility range, it also implies a possible trend reversal. By combining trading volume and closing position, potential entry and exit points can be initially judged.
To verify the trading signals, this strategy also takes volatility range into consideration. If the current volatility breaks through the average level over a period, it forms the first condition of trading signals. Then if the closing price of an up bar falls in the lower half of the volatility range with increasing volume, a sell signal is generated. On the contrary, if the closing price of a down bar lies in higher half of the volatility range with decreasing volume, then a buy signal is produced.
In addition, this strategy also employs moving average to determine the overall trend. Reversal of the medium-long term trend will also act as a condition for producing trading signals.
By integrating above indicators, this strategy can effectively identify entry and exit points of the market.
Advantages
The biggest advantage of this strategy is that it takes multiple factors into account for decision making, making the trading signals more reliable. Main advantages are:
- Detect signs of trend reversal early by abnormal trading volume.
- Determine real trend by volatility range and closing position, avoiding short-term noises.
- Ensure strategy align with major trend by checking medium-long term moving average.
- Reducing losses by verifying signals from multiple aspects.
Risks
There are also several risks of this strategy:
- Complex to optimize parameters with multiple factors.
- Unable to completely avoid false signals.
- Wrong major trend judgment can negatively impact overall performance.
- Volatility parameters need adjustments among varying market environments.
Optimization Directions
Major aspects that this strategy can be optimized:
- Use machine learning models to auto tune parameters.
- Add stop loss mechanisms to control risks.
- Integrate more factors like money flows to determine major trends.
- Design adaptive volatility parameter.
Conclusion
This strategy identifies trading chances by taking various factors into account. The advantages lie in comprehensive signaling mechanisms and steady performance, while main risks come from parameter tuning and inaccurate major trend prediction. Some techniques like machine learning can be applied for further optimization in the future. Overall speaking, this is a strategy with sound rationale and promising practical performance.
/*backtest
start: 2023-12-12 00:00:00
end: 2024-01-11 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=3
strategy("volume spread analysis ", overlay=true)
volavg = sma(volume,40)
c= close
l=low
h=high
v=volume
volmean = stdev(volavg,30)
volupband3 = volavg + 3*volmean
volupband2 = volavg + 2*volmean
volupband1 = volavg + 1*volmean
voldnband1 = volavg -1*volmean
voldnband2 = volavg -2*volmean
midprice = (high+low)/2
spread = (high-low)
avgspread = sma(spread,80)
avgspreadbar = spread > avgspread
widerangebar = spread>(1.5*avgspread)
narrowrangebar = spread<(0.7*avgspread)
lowvolume = volume<volume[1] and volume<volume[2]
upbar = close>close[1]
downbar = close<close[1]
highvolume = volume>volume[1] and volume[1]>volume[2]
closefactor = close-low
clsposition = spread/closefactor
closeposition = iff(closefactor==0,avgspread,clsposition)
vb = volume>volavg or volume>volume[1]
upclose = close>=((spread*0.7)+low)// close is above 70% of the bar
downclose = close<=((spread*0.3)+low)// close is below the 30% of the bar
aboveclose = close>((spread*0.5)+low)// close is between 50% and 70% of the bar
belowclose = close<((spread*0.5)+low)// close is between 50% and 30% of the bar
midclose = close>((spread*0.3)+low) and c<((spread*0.7)+l)// close is between 30% and 70% of the bar
verylowclose = closeposition>4//close is below 25% of the bar
veryhighclose = closeposition<1.35// close is above 80% of the bar
closepos = iff(close<=((spread*0.2)+low),1,iff(close<=((spread*0.4)+low),2,iff(close<=((spread*0.6)+low),3,iff(close<=((spread*0.8)+low),4,5))))
// 1 = downclose, 2 = belowclose, 3 = midclose, 4 = aboveclose, 5 = upclose
volpos = iff(volume>volavg*2,1,iff(volume>volavg*1.3,2,iff(volume>volavg,3,iff(volume<volavg and volume>volavg*0.7,4,5))))
//// 1 = very high, 2 = high, 3 = above average, 4 = less than average, 5 = low
freshgndhi = close > highestbars(h,5)
freshgndlo = close < lowestbars(l,5)
//========================trend estimation =========================
//jtrend=sma(close,5)
//trendlongterm = linreg(jtrend,40)
//trendmediumterm = linreg(jtrend,10)
//trendshortterm = linreg(jtrend,3)
//tls=linreg(jtrend,3)
minperiodsrwist = input(title="short term min periods", defval=2, minval=1)
maxperiodsrwist = input(title="short term max periods", defval=8, minval=1)
minperiodsrwilt = input(title="long term min periods", defval=10, minval=1)
maxperiodsrwilt = input(title="long term max periods", defval=40, minval=1)
rwhmins = (high - nz(low[minperiodsrwist])) / (atr(minperiodsrwist) * sqrt(minperiodsrwist))
rwhmaxs = (high - nz(low[maxperiodsrwist])) / (atr(maxperiodsrwist) * sqrt(maxperiodsrwist))
rwhs = max( rwhmins, rwhmaxs )
rwlmins = (nz(high[minperiodsrwist]) - low) / (atr(minperiodsrwist) * sqrt(minperiodsrwist))
rwlmaxs = (nz(high[maxperiodsrwist]) - low) / (atr(maxperiodsrwist) * sqrt(maxperiodsrwist))
rwls = max( rwlmins, rwlmaxs )
rwhminl = (high - nz(low[minperiodsrwilt])) / (atr(minperiodsrwilt) * sqrt(minperiodsrwilt))
rwhmaxl = (high - nz(low[maxperiodsrwilt])) / (atr(maxperiodsrwilt) * sqrt(maxperiodsrwilt))
rwhl = max( rwhminl, rwhmaxl )
rwlminl = (nz(high[minperiodsrwilt]) - low) / (atr(minperiodsrwilt) * sqrt(minperiodsrwilt))
rwlmaxl = (nz(high[maxperiodsrwilt]) - low) / (atr(maxperiodsrwilt) * sqrt(maxperiodsrwilt))
rwll = max( rwlminl, rwlmaxl )
ground = rwhs
sky = rwls
j = rwhs-rwls
k = rwhl-rwll
j2 = rwhl
k2 = rwll
ja = cross(j,1)
jb = cross(1,j)
jc = cross(-1,j)
jd = cross(j,-1)
j2a = cross(j2,1)
j2b = cross(1,j2)
k2a = cross(k2,1)
k2b = cross(1,k2)
upmajoron = j > 1 and ja[1]
upmajoroff = j < 1 and jb[1]
upminoron = j2 > 1 and j2a[1]
upminoroff = j2 < 1 and j2b[1]
dnmajoron = j < -1 and jc[1]
dnmajoroff = j > -1 and jd[1]
dnminoron = k2 > 1 and k2a[1]
dnminoroff = k2 < 1 and k2b[1]
upimd = iff(ground > 1, 1,0)
dnimd = iff(sky > 1, 1, 0)
upmajor = iff(j>1,1,iff(j<(-1),-1,0))
upminor = iff(j2>1,1,-1)
dnminor = iff(k2>1,1,-1)
//======================================================================|
Buy_stop = lowest(low[1],5) - atr(20)[1]
plot(Buy_stop, color=red, title="buy_stoploss")
Sell_stop = highest(high[1],5) + atr(20)[1]
plot(Sell_stop, color=green, title="sell_stoploss")
//======================================================================|
//upthrustbar = widerangebar and downclose and upimd==1 and high>high[1] //wrb and uhs and fresh ground
nut = widerangebar and downclose and freshgndhi and highvolume // new signal
bc = widerangebar and aboveclose and volume == highest(volume,60) and upmajor==1 // new signal
upthrustbar = widerangebar and (closepos==1 or closepos==2) and upminor>0 and high>high[1] and (upimd>0or upmajor>0) and volpos <4// after minor up trend
upthrustbartrue = widerangebar and closepos==1 and upmajor>0 and high>high[1] and volpos <4//occurs after a major uptrend
upthrustcond1 = upthrustbar[1] and downbar and not narrowrangebar
upthrustcond2 = upthrustbar[1] and downbar and volpos == 2
upthrustcond3 = upthrustbar and volpos ==1
toprevbar = volume[1]>volavg and upbar[1] and widerangebar[1] and downbar and downclose and widerangebar and upmajor>0 and high==highest(high,10)
pseudoupthrust = upbar[1] and high>high[1] and volume[1]>1.5*volavg and downbar and downclose and not upthrustbar
pseudoutcond = pseudoupthrust[1] and downbar and downclose and not upthrustbar
trendchange = upbar[1] and high==highest(high,5) and downbar and (downclose or midclose) and volume>volavg and upmajor>0 and upimd>0 and not widerangebar and not pseudoupthrust
nodemandbarut = upbar and narrowrangebar and lowvolume and closepos> 3 and ((upminor>0 and upimd>0)or (upminor<0 and upminor>0))//in a up market
nodemandbardt = upbar and narrowrangebar and lowvolume and closepos> 3 and (upminor<=0or upimd<=0)// in a down or sidewayss market
nosupplybar = downbar and narrowrangebar and lowvolume and closepos<3 and ((upminor<1 and upimd<1)or (upminor>0 and upimd<1))
lowvoltest = low==lowest(low,5) and upclose and lowvolume//lowvolume and l<low[1] and upclose
lowvoltest1 = low==lowest(low,5) and volume<volavg and low<low[1] and upclose and upminor>0 and upmajor>0// and widerangebar
lowvoltest2 = lowvoltest[1] and upbar and upclose
sellcond1 = (upthrustcond1 or upthrustcond2 or upthrustcond3)
sellcond2 = sellcond1[1]==0
sellcond = sellcond1 and sellcond2
strengthdown0 = upmajor<0 and volpos<4 and downbar[1] and upbar and closepos>3 and upminor<0 and upimd<=0// strength after a long down trend
strengthdown = volpos<4 and downbar[1] and upbar and closepos>3 and upimd<=00 and upminor<0// strength after a down trend
strengthdown1 = upmajor<0 and volume>(volavg*1.5) and downbar[1] and upbar and closepos>3 and upminor<0 and upimd<=0//strength after downtrend . high volume
strengthdown2 = upimd<=0 and volume[1]<volavg and upbar and veryhighclose and volpos<4
buycond1 = strengthdown or strengthdown1
buycond = upbar and buycond1[1]
stopvolume = low==lowest(low,5) and (upclose or midclose) and v>1.5*volavg and upmajor<0
revupthrust = upmajor<0 and upbar and upclose and volume>volume[1] and volume>volavg and widerangebar and downbar[1] and downclose[1] and upminor<0
effortup = high>high[1] and low>low[1] and close>close[1] and close>=((high-low)*0.7+low) and spread>avgspread and volpos<4//and open<=((high-low)*0.3+low)
effortupfail = effortup[1] and (upthrustbar or upthrustcond1 or upthrustcond2 or upthrustcond3 or (downbar and avgspreadbar))
effortdown = high<high[1] and low<low[1] and close<close[1] and close<=((high-low)*0.25+low) and widerangebar and volume>volume[1]//o>=((high-low)*0.75+
effortdownfail = effortdown[1] and ((upbar and avgspreadbar)or revupthrust or buycond1)
upflag = (sellcond or buycond or effortup or effortupfail or stopvolume or effortdown or effortdownfail or revupthrust or nodemandbardt or nodemandbarut or nosupplybar or lowvoltest or lowvoltest1 or lowvoltest2 or bc)
bullbar = (volume>volavg or volume>volume[1]) and closeposition <2 and upbar and not upflag
bearbar = vb and downclose and downbar and spread>avgspread and not upflag
buy = (upbar and revupthrust[1])or lowvoltest2
burely = strengthdown1 and stopvolume[1]or (upbar and revupthrust[1])or lowvoltest2
//buy = effortup and lowvoltest2[1]
//sell = upthrustbartrue
sell = effortup[1] and effortupfail and upthrustcond3 and upthrustbartrue and toprevbar
strategy.entry("simpleBuy", strategy.long, when= (upbar and revupthrust[1])or lowvoltest2 )
strategy.close("simpleBuy",when=upthrustbartrue )
//strategy.entry("simpleSell", strategy.short,when= upthrustbartrue )
//strategy.close("simpleSell",when= (upbar and revupthrust[1])or lowvoltest2)
//|============================================================================================|
//data = close >= open
//plotshape(true, style=shape.flag, color=data ? green : red)
plotshape((upthrustbar or upthrustbartrue) ,title="upthrustbaro" ,style=shape.arrowdown ,size=size.huge,color=red )
//plotshape(toprevbar ,title="toprevbar" ,style=shape.flag ,size=size.small,color=blue )
//plotshape((pseudoupthrust) ,title="(pseudoupthrus" ,style=shape.circle ,size=size.small,color=blue )
//plotshape((upthrustcond1 or upthrustcond2) ,title="upthrustcond1" ,style=shape.triangleup ,size=size.small,color=red )
plotshape(trendchange ,title="trendchange" ,style=shape.xcross ,size=size.small,color=red )
//plotshape((nodemandbardt) ,title="(nodemandbardt" ,style=shape.square ,size=size.small,color=orange )
//plotshape(nosupplybar ,title="nosupplybar" ,style=shape.cross ,size=size.small,color=blue)
plotshape(revupthrust ,title="revupthrust" ,style=shape.arrowup ,size=size.huge,color=green )
//plotshape((upthrustbar or upthrustbartrue) ,title="upthrustbaro" ,style=shape.cross ,size=size.small,color=red )
//plotshape((upthrustcond1 or upthrustcond2) ,title="upthrustcond1" ,style=shape.triangledown ,size=size.small,color=white )
//plotshape((pseudoupthrust) ,title="(pseudoupthrus" ,style=shape.arrowup ,size=size.small,color=blue )
//plotshape(nodemandbarut ,title="nodemandbarut" ,style=shape.labelup ,size=size.small,color=orange )
//plotshape(nodemandbarut ,title="nodemandbarut" ,style=shape.labeldown ,size=size.small,color=yellow )
//plotshape(nodemandbardt ,title="nodemandbardt" ,style=shape.diamond ,size=size.small,color=yellow )
//plotshape(nosupplybar ,title="nosupplybar" ,style=shape.xcross ,size=size.small,color=blue )
plotshape(lowvoltest ,title="lowvoltest" ,style=shape.triangleup ,size=size.small,color=blue )
//plotshape(lowvoltest2 ,title="lowvoltest2" ,style=shape.triangledown ,size=size.small,color=yellow )
//plotshape(strengthdown ,title="strengthdown" ,style=shape.flag ,size=size.small,color=green)
//plotshape(strengthdown ,title="strengthdown" ,style=shape.circle ,size=size.small,color=lime )
//plotshape(strengthdown2 ,title="strengthdown2" ,style=shape.arrowup ,size=size.small,color=silver )
//plotshape(strengthdown2 ,title="strengthdown2" ,style=shape.arrowdown ,size=size.small,color=red )
//plotshape(stopvolume ,title="stopvolume" ,style=shape.labelup ,size=size.small,color=green )
//plotshape(stopvolume ,title="stopvolume" ,style=shape.labeldown ,size=size.small,color=yellow )
plotshape(effortup ,title="effortup" ,style=shape.diamond ,size=size.small,color=lime )
plotshape(effortupfail ,title="effortupfail" ,style=shape.xcross ,size=size.small,color=blue )
//plotshape(effortupfail ,title="effortupfail" ,style=shape.cross ,size=size.small,color=white )
plotshape(effortdown ,title="effortdown" ,style=shape.triangledown ,size=size.small,color=red )
plotshape(effortdownfail ,title="effortdownfail" ,style=shape.xcross ,size=size.small,color=green )
//plotshape(effortdownfail ,title="effortdownfail" ,style=shape.flag ,size=size.small,color=white )
//plotshape(buycond ,title="buycond" ,style=shape.circle ,size=size.small,color=green )
//plotshape(sellcond ,title="sellcond" ,style=shape.arrowup ,size=size.small,color=orange )
//plotshape((nut) ,title="(nut)" ,style=shape.arrowdown ,size=size.small,color=lime )
//plotshape((bc ) ,title="(bc" ,style=shape.labelup ,size=size.small,color=red )
//plotshape(buy ,title="buy" ,style=shape.labeldown ,size=size.small,color=white )
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