Strategie für den Durchbruch der doppelten VWAP-Oszillation

Schriftsteller:ChaoZhang, Datum: 2023-11-23 11:10:28
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Übersicht

Die doppelte VWAP-Oszillationsdurchbruchstrategie analysiert Markttrends mit doppelten VWAP-Bändern und sucht nach Durchbruchsmöglichkeiten in oszillierenden Märkten.

Strategieprinzipien

Die Strategie besteht aus folgenden Hauptbestandteilen:

VWAP-Einstellungen: Berechnen von VWAP-Bändern und deren Breite.stDevMultiplierDie äußere VWAP-Breite wird vonstDevMultiplier, standardmäßig auf 2.
ADX-Einstellungen: Berechnen Sie ADX-Werte, um festzustellen, ob der Markt oszilliert. Der Markt gilt als oszillierend, wenn ADX unterhalb der Schwelle liegt. ADX-Parameter sind konfigurierbar.
Eintritts-Einstellungen: Betreten Sie den Markt, wenn die Preise während der Oszillation die äußeren VWAP-Bänder durchbrechen.
Grenze für Einträge: Optionale EMA- oder Zeitrahmenfilter zur Vermeidung von Einträgen in ungünstigen Zeitabschnitten.
Profit Taking: Schließen von Positionen, wenn die Stop-Loss- oder Take-Profit-Preise verletzt werden.

Die Strategie identifiziert schwankende Märkte mithilfe des ADX-Indikators und sucht Eintrittsmöglichkeiten, wenn die Preise die VWAP-Bänder durchbrechen. Die doppelten VWAP-Bänder bieten zusätzliche Filter, um starke Eintrittssignale zu gewährleisten.

Analyse der Vorteile

Die doppelten VWAP-Bänder bieten zusätzliche Filter für stärkere Eingangssignale.
Der ADX-Oszillator identifiziert Schwankungen und vermeidet falsche Einträge während Trends.
Der Hinterhalt sichert den Gewinn und verhindert, dass man gefangen wird.
Hoch konfigurierbare Parameter passen sich den unterschiedlichen Marktbedingungen an.
Einfache Logik macht es leicht zu verstehen, zu replizieren und zu ändern.

Risiken und Lösungen

Eine unsachgemäße Einstellung der Parameter kann zu einem übermäßig eifrigen Ein- und Ausstieg führen.
Trailing-Stops können zu aggressiv oder konservativ sein.
Die Leistung hängt stark von den Handelssitzungen ab.
VWAP-Bänder, die anfällig für unregelmäßige Preise sind.

Optimierungsrichtlinien

Dynamische Anpassung der Stop-Loss-Bereiche auf der Grundlage von Volatilität und anderen Kennzahlen.
Zusätzlich zu den höheren Zeitrahmen-Trend- und Institutssignalen werden Gegentrend-Einträge vermieden.
Betrachtet die Positionsgröße auf der Grundlage von Volatilität und Gesamtkapital.
Verschiedene VWAP-Ankerperioden testen.

Zusammenfassung

Die doppelte VWAP-Oszillationsbreakout-Strategie identifiziert die Oszillation mit ADX und stellt zusätzliche Eingangsfilter mit den VWAP-Bändern bereit.

/*backtest
start: 2023-10-23 00:00:00
end: 2023-11-22 00:00:00
period: 1h
basePeriod: 15m
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/
// © jordanfray

//@version=5
strategy(title="Double VWAP Strategy", overlay=true, scale=scale.none, max_bars_back=500, default_qty_type=strategy.percent_of_equity, default_qty_value=100,initial_capital=100000, commission_type=strategy.commission.percent, commission_value=0.05, backtest_fill_limits_assumption=2)

// Indenting Classs
indent_1 = " "
indent_2 = "  "
indent_3 = "   "
indent_4 = "    "

// Group Titles
group_one_title = "VWAP Settings"
group_two_title = "ADX Settings"
group_three_title = "Entry Settings"
group_four_title = "Limit Entries"

// Input Tips
adx_thresholdToolTip = "The minumn ADX value to allow opening a postion"
adxCancelToolTip= "You can optionally set a different lower value for ADX that will allow entries even if below the trigger threshold."

ocean_blue = color.new(#0C6090,0)
sky_blue = color.new(#00A5FF,0)
green = color.new(#2DBD85,0)
red = color.new(#E02A4A,0)
light_blue = color.new(#00A5FF,90)
light_green = color.new(#2DBD85,90)
light_red = color.new(#E02A4A,90)
light_yellow = color.new(#FFF900,90)
white = color.new(#ffffff,0)
transparent = color.new(#000000,100)

// Strategy Settings - VWAP
var cumVol = 0.
cumVol += nz(volume)
if barstate.islast and cumVol == 0
    runtime.error("No volume is provided by the data vendor.")
    
computeVWAP(src, isNewPeriod, stDevMultiplier) =>
    var float sum_src_vol = na
    var float sum_vol = na
    var float sum_src_src_vol = na

    sum_src_vol := isNewPeriod ? src * volume : src * volume + sum_src_vol[1]
    sum_vol := isNewPeriod ? volume : volume + sum_vol[1]
    sum_src_src_vol := isNewPeriod ? volume * math.pow(src, 2) : volume * math.pow(src, 2) + sum_src_src_vol[1]

    _vwap = sum_src_vol / sum_vol
    variance = sum_src_src_vol / sum_vol - math.pow(_vwap, 2)
    variance := variance < 0 ? 0 : variance
    standard_deviation = math.sqrt(variance)

    lower_band_value = _vwap - standard_deviation * stDevMultiplier
    upper_band_value = _vwap + standard_deviation * stDevMultiplier

    [_vwap, lower_band_value, upper_band_value]

var anchor = input.string(defval="Session", title="Anchor Period", options=["Session", "Week", "Month", "Quarter", "Year"], group=group_one_title)
src = input(defval = close, title = "Inner VWAP Source", group=group_one_title)
multiplier_inner = input(defval=1.0, title="Inner Bands Multiplier", group=group_one_title)
multiplier_outer = input(defval=2.0, title="Outer Bands Multiplier", group=group_one_title)
show_bands = true

timeChange(period) =>
   ta.change(time(period))

isNewPeriod = switch anchor
    "Session" => timeChange("D")
    "Week" => timeChange("W")
    "Month" => timeChange("M")
    "Quarter" => timeChange("3M")
    "Year" => timeChange("12M")
    => false

float vwap_val = na
float upper_inner_band_value = na
float lower_inner_band_value = na
float upper_outer_band_value = na
float lower_outer_band_value = na

[inner_vwap, inner_bottom, inner_top] = computeVWAP(src, isNewPeriod, multiplier_inner)
[outer_vwap, outer_bottom, outer_top] = computeVWAP(src, isNewPeriod, multiplier_outer)
vwap_val := inner_vwap
upper_inner_band_value := show_bands ? inner_top : na
lower_inner_band_value := show_bands ? inner_bottom : na
upper_outer_band_value := show_bands ? outer_top : na
lower_outer_band_value := show_bands ? outer_bottom : na

plot(vwap_val, title="VWAP", color=green)

upper_inner_band = plot(upper_inner_band_value, title="Upper Inner Band", color=sky_blue)
lower_inner_band = plot(lower_inner_band_value, title="Lower Inner Band", color=sky_blue)
upper_outer_band = plot(upper_outer_band_value, title="Upper Outer Band", linewidth=2, color=ocean_blue)
lower_outer_band = plot(lower_outer_band_value, title="Lower Outer Band", linewidth=2, color=ocean_blue)

fill(upper_outer_band, lower_outer_band, title="VWAP Bands Fill", color= show_bands ? light_blue : na)

// ADX Settings
adx_len = input.int(defval=14, title="ADX Smoothing", group=group_two_title)
di_len = input.int(defval=14, title="DI Length", group=group_two_title)
adx_threshold = input.int(defval=40, title="ADX Threshold", group=group_two_title, tooltip=adx_thresholdToolTip)
dirmov(len) =>
    up = ta.change(high)
    down = -ta.change(low)
    plus_dm = na(up) ? na : (up > down and up > 0 ? up : 0)
    minus_dm = na(down) ? na : (down > up and down > 0 ? down : 0)
    true_range = ta.rma(ta.tr, len)
    plus = fixnan(100 * ta.rma(plus_dm, len) / true_range)
    minus = fixnan(100 * ta.rma(minus_dm, len) / true_range)
    [plus, minus]

adx(di_len, adx_len) =>
    [plus, minus] = dirmov(di_len)
    sum = plus + minus
    adx = 100 * ta.rma(math.abs(plus - minus) / (sum == 0 ? 1 : sum), adx_len)

adx_val = adx(di_len, adx_len)
plot(adx_val, title="ADX")

// Entry Settings
stop_loss_val = input.float(defval=2.0, title="Stop Loss (%)", step=0.1, group=group_three_title)/100
take_profit_val = input.float(defval=6.0, title="Take Profit (%)", step=0.1, group=group_three_title)/100
long_entry_limit_lookback = input.int(defval=1, title="Long Entry Limit Lookback", minval=1, step=1, group=group_three_title)
short_entry_limit_lookback = input.int(defval=1, title="Short Entry Limit Lookback", minval=1, step=1, group=group_three_title)
limit_order_long_price = ta.lowest(close, long_entry_limit_lookback)
limit_order_short_price = ta.highest(close, short_entry_limit_lookback)
start_trailing_after = input.float(defval=3, title="Start Trailing After (%)", step=0.1, group=group_three_title)/100
trail_behind = input.float(defval=2, title="Trail Behind (%)", step=0.1, group=group_three_title)/100
close_early_if_crosses_outter_band = input.bool(defval=false, title="Close early if price crosses outer VWAP band")

// Limit Entries
enableEmaFilter = input.bool(defval=true, title="Use EMA Filter", group=group_four_title)
emaFilterTimeframe = input.timeframe(defval="", title=indent_4+"Timeframe", group=group_four_title)
emaFilterLength = input.int(defval=300, minval=1, step=10, title=indent_4+"Length", group=group_four_title)
emaFilterSource = input.source(defval=hl2, title=indent_4+"Source", group=group_four_title)
ema_filter = ta.ema(emaFilterSource, emaFilterLength)
ema_filter_smoothed = request.security(syminfo.tickerid, emaFilterTimeframe, ema_filter[barstate.isrealtime ? 1 : 0], gaps=barmerge.gaps_on)
plot(enableEmaFilter ? ema_filter_smoothed: na, title="EMA Macro Filter", linewidth=2, color=sky_blue, editable=true)

useTimeFilter = input.bool(defval=false, title="Use Time Session Filter", group=group_four_title)

withinTime = true


long_start_trailing_val = strategy.position_avg_price + (strategy.position_avg_price * start_trailing_after)
short_start_trailing_val = strategy.position_avg_price - (strategy.position_avg_price * start_trailing_after)
long_trail_behind_val = close - (strategy.position_avg_price * (trail_behind/100))
short_trail_behind_val = close + (strategy.position_avg_price * (trail_behind/100))
currently_in_a_long_postion = strategy.position_size > 0
currently_in_a_short_postion = strategy.position_size < 0
long_profit_target = strategy.position_avg_price * (1 + take_profit_val)
long_stop_loss = strategy.position_avg_price * (1.0 - stop_loss_val)
short_profit_target = strategy.position_avg_price * (1 - take_profit_val)
short_stop_loss = strategy.position_avg_price * (1 + stop_loss_val)
bars_since_entry = currently_in_a_long_postion or currently_in_a_short_postion ? bar_index - strategy.opentrades.entry_bar_index(strategy.opentrades - 1) + 1 : 5
plot(bars_since_entry, editable=false, title="Bars Since Entry", color=green)
long_run_up = ta.highest(high, bars_since_entry)
long_trailing_stop = currently_in_a_long_postion and bars_since_entry > 0 and long_run_up > long_start_trailing_val ? long_run_up - (long_run_up * trail_behind) : long_stop_loss
//long_run_up_line = plot(long_run_up, style=plot.style_stepline, editable=false, color=currently_in_a_long_postion ? green : transparent)
long_trailing_stop_line = plot(long_trailing_stop, style=plot.style_stepline, editable=false, color=currently_in_a_long_postion ? long_trailing_stop > strategy.position_avg_price ? green : red : transparent)
short_run_up = ta.lowest(low, bars_since_entry)
short_trailing_stop = currently_in_a_short_postion and bars_since_entry > 0 and short_run_up < short_start_trailing_val ? short_run_up + (short_run_up * trail_behind) : short_stop_loss
//short_run_up_line = plot(short_run_up, style=plot.style_stepline, editable=false, color=currently_in_a_short_postion ? green : transparent)
short_trailing_stop_line = plot(short_trailing_stop, style=plot.style_stepline, editable=false, color=currently_in_a_short_postion ? short_trailing_stop < strategy.position_avg_price ? green : red : transparent)


// Conditions
adx_is_below_threshold = adx_val < adx_threshold
price_crossed_down_VWAP_lower_outer_band = ta.crossunder(low, lower_outer_band_value)
price_closed_above_VWAP_lower_outer_band = close > lower_outer_band_value
price_crossed_up_VWAP_upper_outer_band =  ta.crossover(high,upper_outer_band_value)
price_closed_below_VWAP_upper_outer_band = close < upper_outer_band_value
price_above_ema_filter = close > ema_filter_smoothed
price_below_ema_filter = close < ema_filter_smoothed

//Trade Restirctions
no_trades_allowed = not withinTime or not adx_is_below_threshold

// Enter trades when...
long_conditions_met = enableEmaFilter ? price_above_ema_filter and not currently_in_a_long_postion and withinTime and adx_is_below_threshold and price_crossed_down_VWAP_lower_outer_band and price_closed_above_VWAP_lower_outer_band : not currently_in_a_long_postion and withinTime and adx_is_below_threshold and price_crossed_down_VWAP_lower_outer_band and price_closed_above_VWAP_lower_outer_band
short_conditions_met = enableEmaFilter ? price_below_ema_filter and not currently_in_a_short_postion and withinTime and adx_is_below_threshold and price_crossed_up_VWAP_upper_outer_band and price_closed_below_VWAP_upper_outer_band : not currently_in_a_short_postion and withinTime and adx_is_below_threshold and price_crossed_up_VWAP_upper_outer_band and price_closed_below_VWAP_upper_outer_band
plotshape(long_conditions_met ? close  : na, title="Long Entry Symbol", color=green, style=shape.triangleup, location=location.abovebar)
plotshape(short_conditions_met ? close  : na, title="Short Entry Symbol", color=red, style=shape.triangledown, location=location.belowbar)

// Take Profit When...
price_closed_below_short_trailing_stop = ta.cross(close, short_trailing_stop)
price_hit_short_entry_profit_target = low > short_profit_target
price_closed_above_long_entry_trailing_stop = ta.cross(close, long_trailing_stop)
price_hit_long_entry_profit_target = high > long_profit_target

long_position_take_profit = close_early_if_crosses_outter_band ? price_crossed_up_VWAP_upper_outer_band or price_closed_above_long_entry_trailing_stop or price_hit_long_entry_profit_target : price_closed_above_long_entry_trailing_stop or price_hit_long_entry_profit_target
short_position_take_profit = close_early_if_crosses_outter_band ? price_crossed_down_VWAP_lower_outer_band or price_closed_below_short_trailing_stop or price_hit_short_entry_profit_target : price_closed_below_short_trailing_stop or price_hit_short_entry_profit_target

// Cancel limir order if...
cancel_long_condition = false
cancel_short_condition = false


// Long Entry
strategy.entry(id="Long", direction=strategy.long, limit=limit_order_long_price, when=long_conditions_met)
strategy.cancel(id="Cancel Long", when=cancel_long_condition)
strategy.exit(id="Close Long", from_entry="Long", stop=long_trailing_stop, limit=long_profit_target, when=long_position_take_profit)

// Short Entry 
strategy.entry(id="Short", direction=strategy.short, limit=limit_order_short_price, when=short_conditions_met)
strategy.cancel(id="Cancel Short", when=cancel_short_condition)
strategy.exit(id="Close Short", from_entry="Short", stop=short_trailing_stop, limit=short_profit_target, when=short_position_take_profit)

entry = plot(strategy.position_avg_price, editable=false, title="Entry", style=plot.style_stepline, color=currently_in_a_long_postion or currently_in_a_short_postion ? color.blue : transparent, linewidth=1)
fill(entry,long_trailing_stop_line, editable=false, color=currently_in_a_long_postion ? long_trailing_stop > strategy.position_avg_price ? light_green : light_red : transparent)
fill(entry,short_trailing_stop_line, editable=false, color=currently_in_a_short_postion ? short_trailing_stop < strategy.position_avg_price ? light_green : light_red : transparent)
bgcolor(title="No Trades Allowed", color=no_trades_allowed ? light_red : light_green)

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