Die Risikopositionen werden in den folgenden Kategorien aufgelistet:
Schriftsteller:ChaoZhang, Datum: 2023-11-21 16:17:34Tags:
Übersicht
Diese Strategie ist eine Trend-Folge-Strategie, die die Trendrichtung über RSI-, CCI- und Bollinger-Band-Indikatoren über verschiedene Zeitrahmen hinweg bestimmt und schrittweise über DCA in den Markt gelangt, um dem Gewinntrend zu folgen.
Strategie Logik
- Berechnung der RSI- und CCI-Indikatoren für die Zeitrahmen von 5 Minuten, 15 Minuten und 30 Minuten.
- Wenn der kurzfristige RSI unter eine Schwelle fällt und der längerfristige RSI ebenfalls unter eine Schwelle fällt, gilt er als überkauft. Wenn der kürzere RSI über eine Schwelle steigt und der längere RSI auch über eine Schwelle steigt, gilt er als überverkauft. Die CCI-Indikatorlogik ist dem RSI ähnlich.
- Bollinger Bands beurteilen, ob der Preis zu weit vom mittleren Band abgewichen ist.
- Allmählich lang bei Überverkauf und allmählich kurz bei Überkauf, um den DCA-Effekt zu erzielen.
Analyse der Vorteile
- Die Kombination von Indikatoren über Zeiträume hinweg verbessert die Genauigkeit
- Die DCA-Strategie senkt den durchschnittlichen Einstiegspreis
- Anpassbare Positionsgrößenkontrollen für Risiken
Risikoanalyse
- Risiko, dass der beste Eintrittspunkt fehlt
- Trendumkehrrisiko
- Übermäßiges Handelsrisiko aufgrund schlechter Parameter
Lösungen:
- Optimierung der Parameter zur Sicherstellung der Ausrichtung
- Einbeziehung weiterer Indikatoren zur Bestimmung des Trends
- Anpassung nach Bestellpositionsgröße
Optimierungsrichtlinien
- Testkombination mehrerer Indikatoren, um die beste Kombination zu finden
- Optimieren Sie die Größe der Positionen pro Bestellung
- Stop-Loss hinzufügen
Zusammenfassung
Diese Strategie bestimmt die Trendrichtung durch Multi-Timeframe RSI und CCI, kommt über abgestufte / überverkaufte Aufträge in den Markt. Es funktioniert sehr gut, wenn ein starker Trend entsteht. Aber unangemessene Parameter können auch zu Überhandel führen. Im Allgemeinen hat diese Strategie großen Raum für Parameter-Tuning und Stop-Loss-Optimierung und kann nach der Optimierung gute Ergebnisse erzielen.
/*backtest
start: 2022-11-14 00:00:00
end: 2023-11-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rrolik66
//@version=5
strategy(title="3RSI 3CCI BB 5orders DCA strategy+", overlay=true )
start_time = input(defval=timestamp('01 January 2021 00:00'), title='Start Time')
end_time = input(defval=timestamp('01 January 2022 00:00'), title='End Time')
src_bot = input.source(close, 'Source Bot')
tradeDirection = input.string(title='Trade Direction', options=['Long Bot', 'Short Bot'], defval='Long Bot')
weight_order0 = input.float(13.03, title='1 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order1 = input.float(14.29, title='2 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order2 = input.float(17.19, title='3 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order3 = input.float(22.67, title='4 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order4 = input.float(32.80, title='5 order (%)', group='weight of orders in %', inline='Input 2') * 0.01
st_long_orders = input.float(title='Rate cover (%)', minval=1, defval=80, group='Long Bot', inline='Input 1') / 4 * 0.01
longTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Long Bot', inline='Input 1') * 0.01
entry_long_SL = input.bool(defval=false, title='StopLoss', group='Long Bot', inline='Input 2')
longStopLoss = input.float(80, step=0.1, title='for Long Bot (%)', group='Long Bot', inline='Input 2') * 0.01
st_short_orders = input.float(title='Rate cover (%)', minval=1, defval=500, group='Short Bot', inline='Input 1') / 4 * 0.01
shortTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Short Bot', inline='Input 1') * 0.01
entry_short_SL = input.bool(defval=false, title='StopLoss', group='Short Bot', inline='Input 2')
shortStopLoss = input.float(500, step=0.1, title='for Short Bot (%)', group='Short Bot', inline='Input 2') * 0.01
//inputs for indicators
src = input.source(close, 'Source', group='indicators')
rsi1_input = input.bool(defval=true, title='RSI-1', group='RSI-1', inline='Input 0')
rsi1_res = input.timeframe(title='resolution', defval='5', group='RSI-1', inline='Input 0')
rsi1_low = input.int(65, minval=0, maxval=100, title='long <', group='RSI-1', inline='Input 1')
rsi1_len_long = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 1')
rsi1_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-1', inline='Input 2')
rsi1_len_short = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 2')
rsi2_input = input.bool(defval=true, title='RSI-2', group='RSI-2', inline='Input 0')
rsi2_res = input.timeframe(title='resolution', defval='15', group='RSI-2', inline='Input 0')
rsi2_low = input.int(72, minval=0, maxval=100, title='long <', group='RSI-2', inline='Input 1')
rsi2_len_long = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 1')
rsi2_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-2', inline='Input 2')
rsi2_len_short = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 2')
rsi3_input = input.bool(defval=true, title='RSI-3', group='RSI-3', inline='Input 0')
rsi3_res = input.timeframe(title='resolution', defval='30', group='RSI-3', inline='Input 0')
rsi3_low = input.int(74, minval=0, maxval=100, title='long <', group='RSI-3', inline='Input 1')
rsi3_len_long = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 1')
rsi3_up = input.int(34, minval=0, maxval=100, title='short >', group='RSI-3', inline='Input 2')
rsi3_len_short = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 2')
cci1_input = input.bool(defval=true, title='CCI-1', group='CCI-1', inline='Input 0')
cci1_res = input.timeframe(title='resolution', defval='5', group='CCI-1', inline='Input 0')
cci1_low = input.int(190, step=5, title='long <', group='CCI-1', inline='Input 1')
cci1_len_long = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 1')
cci1_up = input.int(-175, step=5, title='short >', group='CCI-1', inline='Input 2')
cci1_len_short = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 2')
cci2_input = input.bool(defval=true, title='CCI-2', group='CCI-2', inline='Input 0')
cci2_res = input.timeframe(title='resolution', defval='15', group='CCI-2', inline='Input 0')
cci2_low = input.int(195, step=5, title='long <', group='CCI-2', inline='Input 1')
cci2_len_long = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 1')
cci2_up = input.int(-205, step=5, title='short >', group='CCI-2', inline='Input 2')
cci2_len_short = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 2')
cci3_input = input.bool(defval=true, title='CCI-3', group='CCI-3', inline='Input 0')
cci3_res = input.timeframe(title='resolution', defval='30', group='CCI-3', inline='Input 0')
cci3_low = input.int(200, step=5, title='long <', group='CCI-3', inline='Input 1')
cci3_len_long = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 1')
cci3_up = input.int(-220, step=5, title='short >', group='CCI-3', inline='Input 2')
cci3_len_short = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 2')
bb_input = input.bool(defval=false, title='BB', group='Bollinger Bands', tooltip='(for long trading) the price is below the lower band, (for short trading) the price is abowe the upper band, для лонга цена под нижней линией, для шорта цена над верхней линией', inline='Input 0')
bb_res = input.timeframe(title='resolution', defval='5', group='Bollinger Bands', inline='Input 0')
bb_dev = input.float(2.0, minval=0.1, maxval=50, step=0.1, title='Deviation', group='Bollinger Bands', inline='Input 2')
bb_len = input.int(20, minval=1, title='Length', group='Bollinger Bands', inline='Input 2')
cci_input = input.bool(defval=false, title='band CCI', group='band CCI', tooltip='this setting sets the trading range by the level of the "CCI" indicator, эта настройка задает диапазон торговли по уровню индикатора "CCI" (я не использую)', inline='Input 0')
cci_res = input.timeframe(title='resolution', defval='60', group='band CCI', inline='Input 0')
cci_len = input.int(20, minval=1, title='CCI Length', group='band CCI', inline='Input 1')
cci_low = input.int(-110, step=10, title='CCI >', group='band CCI', inline='Input 2')
cci_up = input.int(110, step=10, title='CCI <', group='band CCI', inline='Input 2')
show_signals = input.bool(defval=false, title='Show signals', inline='Input')
//Input to trading conditions
longOK = tradeDirection == 'Long Bot'
shortOK = tradeDirection == 'Short Bot'
within_window() => true
// get indicators
rsi1_sec_long = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_long))
rsi1_sec_short = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_short))
rsi2_sec_long = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_long))
rsi2_sec_short = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_short))
rsi3_sec_long = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_long))
rsi3_sec_short = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_short))
cci1_sec_long = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_long))
cci1_sec_short = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_short))
cci2_sec_long = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_long))
cci2_sec_short = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_short))
cci3_sec_long = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_long))
cci3_sec_short = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_short))
[basis, upper_bb, lower_bb] = request.security(syminfo.tickerid, bb_res, ta.bb(src, bb_len, bb_dev))
cci_sec = request.security(syminfo.tickerid, cci_res, ta.cci(src, cci_len))
// calculate indicators
float rating_long = 0
float rating_long_num = 0
float rating_short = 0
float rating_short_num = 0
float rsi1_long = na
float rsi1_short = na
if not na(rsi1_sec_long) and rsi1_input and longOK
rsi1_long := rsi1_sec_long < rsi1_low ? 1 : 0
if not na(rsi1_sec_short) and rsi1_input and shortOK
rsi1_short := rsi1_sec_short > rsi1_up ? 1 : 0
if not na(rsi1_long)
rating_long += rsi1_long
rating_long_num += 1
if not na(rsi1_short)
rating_short += rsi1_short
rating_short_num += 1
float rsi2_long = na
float rsi2_short = na
if not na(rsi2_sec_long) and rsi2_input and longOK
rsi2_long := rsi2_sec_long < rsi2_low ? 1 : 0
if not na(rsi2_sec_short) and rsi2_input and shortOK
rsi2_short := rsi2_sec_short > rsi2_up ? 1 : 0
if not na(rsi2_long)
rating_long += rsi2_long
rating_long_num += 1
if not na(rsi2_short)
rating_short += rsi2_short
rating_short_num += 1
float rsi3_long = na
float rsi3_short = na
if not na(rsi3_sec_long) and rsi3_input and longOK
rsi3_long := rsi3_sec_long < rsi3_low ? 1 : 0
if not na(rsi3_sec_short) and rsi3_input and shortOK
rsi3_short := rsi3_sec_short > rsi3_up ? 1 : 0
if not na(rsi3_long)
rating_long += rsi3_long
rating_long_num += 1
if not na(rsi3_short)
rating_short += rsi3_short
rating_short_num += 1
float cci1_long = na
float cci1_short = na
if not na(cci1_sec_long) and cci1_input and longOK
cci1_long := cci1_sec_long < cci1_low ? 1 : 0
if not na(cci1_sec_short) and cci1_input and shortOK
cci1_short := cci1_sec_short > cci1_up ? 1 : 0
if not na(cci1_long)
rating_long += cci1_long
rating_long_num += 1
if not na(cci1_short)
rating_short += cci1_short
rating_short_num += 1
float cci2_long = na
float cci2_short = na
if not na(cci2_sec_long) and cci2_input and longOK
cci2_long := cci2_sec_long < cci2_low ? 1 : 0
if not na(cci2_sec_short) and cci2_input and shortOK
cci2_short := cci2_sec_short > cci2_up ? 1 : 0
if not na(cci2_long)
rating_long += cci2_long
rating_long_num += 1
if not na(cci2_short)
rating_short += cci2_short
rating_short_num += 1
float cci3_long = na
float cci3_short = na
if not na(cci3_sec_long) and cci3_input and longOK
cci3_long := cci3_sec_long < cci3_low ? 1 : 0
if not na(cci3_sec_short) and cci3_input and shortOK
cci3_short := cci3_sec_short > cci3_up ? 1 : 0
if not na(cci3_long)
rating_long += cci3_long
rating_long_num += 1
if not na(cci3_short)
rating_short += cci3_short
rating_short_num += 1
float bb_long = na
float bb_short = na
if not(na(lower_bb) or na(src) or na(src[1])) and bb_input and longOK
bb_long := src < lower_bb ? 1 : 0
if not(na(upper_bb) or na(src) or na(src[1])) and bb_input and shortOK
bb_short := src > upper_bb ? 1 : 0
if not na(bb_long)
rating_long += bb_long
rating_long_num += 1
if not na(bb_short)
rating_short += bb_short
rating_short_num += 1
float cci_band = na
if not na(cci_sec) and cci_input
cci_band := cci_sec < cci_up and cci_sec > cci_low ? 1 : 0
if not na(cci_band)
rating_long += cci_band
rating_long_num += 1
rating_short += cci_band
rating_short_num += 1
//Buy Sell
Buy_ok = rating_long_num != 0 and longOK ? rating_long == rating_long_num : true
Sell_ok = rating_short_num != 0 and shortOK ? rating_short == rating_short_num : true
// Plotting
plotshape(Buy_ok and show_signals and longOK, title='Buy', text='Long', textcolor=color.new(color.white, 0), style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), size=size.tiny)
plotshape(Sell_ok and show_signals and shortOK, title='Sell', text='Short', textcolor=color.new(color.white, 0), style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), size=size.tiny)
strategy.initial_capital =50000
//Figure in entry orders price
longEntryPrice0 = src_bot
longEntryPrice1 = longEntryPrice0 * (1 - st_long_orders)
longEntryPrice2 = longEntryPrice0 * (1 - st_long_orders * 2)
longEntryPrice3 = longEntryPrice0 * (1 - st_long_orders * 3)
longEntryPrice4 = longEntryPrice0 * (1 - st_long_orders * 4)
longEntryqty0 = strategy.initial_capital * weight_order0 / longEntryPrice0
longEntryqty1 = strategy.initial_capital * weight_order1 / longEntryPrice1
longEntryqty2 = strategy.initial_capital * weight_order2 / longEntryPrice2
longEntryqty3 = strategy.initial_capital * weight_order3 / longEntryPrice3
longEntryqty4 = strategy.initial_capital * weight_order4 / longEntryPrice4
shortEntryPrice0 = src_bot
shortEntryPrice1 = shortEntryPrice0 * (1 + st_short_orders)
shortEntryPrice2 = shortEntryPrice0 * (1 + st_short_orders * 2)
shortEntryPrice3 = shortEntryPrice0 * (1 + st_short_orders * 3)
shortEntryPrice4 = shortEntryPrice0 * (1 + st_short_orders * 4)
shortcontracts = strategy.initial_capital / shortEntryPrice0
shortEntryqty0 = shortcontracts * weight_order0
shortEntryqty1 = shortcontracts * weight_order1
shortEntryqty2 = shortcontracts * weight_order2
shortEntryqty3 = shortcontracts * weight_order3
shortEntryqty4 = shortcontracts * weight_order4
long_entry_price = strategy.opentrades.entry_price (0)
short_entry_price = strategy.opentrades.entry_price (0)
longTP = strategy.position_avg_price * (1 + longTakeProfit)
longSL = long_entry_price * (1 - longStopLoss)
shortTP = strategy.position_avg_price * (1 - shortTakeProfit)
shortSL = short_entry_price * (1 + shortStopLoss)
plot(series=strategy.position_size > 0 and longOK ? longTP : na, color=color.new(color.red, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size > 0 and entry_long_SL and longOK ? longSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 and shortOK ? shortTP : na, color=color.new(color.green, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size < 0 and entry_short_SL and shortOK ? shortSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')
// Submit entry orders
if strategy.opentrades == 0 and longOK and within_window()
strategy.order(id='Long0', direction=strategy.long, qty=longEntryqty0, limit=longEntryPrice0, when=Buy_ok)
strategy.order(id='Long1', direction=strategy.long, qty=longEntryqty1, limit=longEntryPrice1, when=Buy_ok)
strategy.order(id='Long2', direction=strategy.long, qty=longEntryqty2, limit=longEntryPrice2, when=Buy_ok)
strategy.order(id='Long3', direction=strategy.long, qty=longEntryqty3, limit=longEntryPrice3, when=Buy_ok)
strategy.order(id='Long4', direction=strategy.long, qty=longEntryqty4, limit=longEntryPrice4, when=Buy_ok)
if strategy.opentrades == 0 and shortOK and within_window()
strategy.order(id='Short0', direction=strategy.short, qty=shortEntryqty0, limit=shortEntryPrice0, when=Sell_ok)
strategy.order(id='Short1', direction=strategy.short, qty=shortEntryqty1, limit=shortEntryPrice1, when=Sell_ok)
strategy.order(id='Short2', direction=strategy.short, qty=shortEntryqty2, limit=shortEntryPrice2, when=Sell_ok)
strategy.order(id='Short3', direction=strategy.short, qty=shortEntryqty3, limit=shortEntryPrice3, when=Sell_ok)
strategy.order(id='Short4', direction=strategy.short, qty=shortEntryqty4, limit=shortEntryPrice4, when=Sell_ok)
// exit position
if (strategy.position_size > 0) and not entry_long_SL and longOK
strategy.exit(id='exit_Long', limit=longTP, qty=strategy.position_size, when=strategy.position_size[1] > 0)
if (strategy.position_size > 0) and entry_long_SL and longOK
strategy.exit(id='exit_Long', limit=longTP, stop=longSL, qty=strategy.position_size, when=strategy.position_size[1] > 0)
if (strategy.position_size < 0) and not entry_short_SL and shortOK
strategy.exit(id='exit_Short', limit=shortTP, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)
if (strategy.position_size < 0) and entry_short_SL and shortOK
strategy.exit(id='exit_Short', limit=shortTP, stop=shortSL, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)
// Cleanup
if ta.crossunder(strategy.opentrades, 0.5)
strategy.close_all()
strategy.cancel_all()
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