Quantitative Unterstützung und Widerstandsschwankungen

Schriftsteller:ChaoZhang, Datum: 2024-01-25 15:53:06
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Übersicht

Strategieprinzip

Analyse der Vorteile

Die Optimierung des RSI-Parameters bestimmt überkaufte und überverkaufte Bereiche genau, um falsche Trades zu vermeiden.
Heikin-Ashi-Technologie wurde eingeführt, um die Richtungsänderung der Kerzen zu erkennen und genaue Handelssignale zu gewährleisten.

Risikoanalyse

Ein größeres Risiko, wenn der Markt weiter sinkt.
Der RSI neigt dazu, falsche Signale zu erzeugen und muss durch andere Indikatoren gefiltert werden.

Optimierung der Strategie

Passen Sie die RSI-Parameter an, optimieren Sie das Überkauf-Überverkauf-Urteil.
Anpassen der STO-Parameter, der Schlankheit und der Periode zur Verbesserung der Signalqualität.
Mehr technische Indikatoren zur Verbesserung der Signalgenauigkeit.
Optimierung der Stop-Loss-Ratio zur Verringerung des Einzelhandelsrisikos.

Schlussfolgerung

/*backtest
start: 2023-12-01 00:00:00
end: 2023-12-31 23:59:59
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

//@version=4
//study(title="@sentenzal strategy", shorttitle="@sentenzal strategy", overlay=true)
strategy(title="@sentenzal strategy", shorttitle="@sentenzal strategy", overlay=true  )
smoothK = input(3, minval=1)
smoothD = input(3, minval=1)
lengthRSI = input(14, minval=1)
lengthStoch = input(14, minval=1)
overbought = input(80, minval=1)
oversold = input(20, minval=1)
smaLengh = input(100, minval=1)
smaLengh2 = input(50, minval=1)
smaLengh3 = input(20, minval=1)

src = input(close, title="RSI Source")
testStartYear = input(2017, "Backtest Start Year")
testStartMonth = input(1, "Backtest Start Month")
testStartDay = input(1, "Backtest Start Day")
testPeriodStart = timestamp(testStartYear,testStartMonth,testStartDay,0,0)
testPeriod() =>
    time >= testPeriodStart ? true : false

rsi1 = rsi(src, lengthRSI)
k = sma(stoch(rsi1, rsi1, rsi1, lengthStoch), smoothK)
d = sma(k, smoothD)
crossBuy = crossover(k, d) and k < oversold
crossSell = crossunder(k, d) and k > overbought

dcLower = lowest(low, 10)
dcUpper = highest(high, 10)


heikinashi_close = security(heikinashi(syminfo.tickerid), timeframe.period, close)
heikinashi_open = security(heikinashi(syminfo.tickerid), timeframe.period, open)
heikinashi_low = security(heikinashi(syminfo.tickerid), timeframe.period, low)
heikinashi_high = security(heikinashi(syminfo.tickerid), timeframe.period, high)
heikinashiPositive = heikinashi_close >= heikinashi_open

heikinashiBuy = heikinashiPositive == true and heikinashiPositive[1] == false  and heikinashiPositive[2] == false
heikinashiSell = heikinashiPositive == false and heikinashiPositive[1] == true and heikinashiPositive[2] == true

//plotshape(heikinashiBuy, style=shape.arrowup, color=green, location=location.belowbar, size=size.tiny)
//plotshape(heikinashiSell, style=shape.arrowdown, color=red, location=location.abovebar, size=size.tiny)

buy = (crossBuy == true or crossBuy[1] == true or crossBuy[2] == true) and (heikinashiBuy == true or heikinashiBuy[1] == true or heikinashiBuy[2] == true)
sell = (crossSell == true or crossSell[1] == true or crossSell[2] == true) and (heikinashiSell == true or heikinashiSell[1] == true or heikinashiSell[2] == true)

mult = timeframe.period == '15' ? 4 : 1
mult2 = timeframe.period == '240' ? 0.25 : mult

movingAverage = sma(close, round(smaLengh))
movingAverage2 = sma(close, round(smaLengh2))
movingAverage3 = sma(close, round(smaLengh3))

uptrend = movingAverage < movingAverage2 and movingAverage2 < movingAverage3 and close > movingAverage
downtrend = movingAverage > movingAverage2 and movingAverage2 > movingAverage3 and close < movingAverage

signalBuy = (buy[1] == false and buy[2] == false and buy == true) and uptrend
signalSell = (sell[1] == false and sell[2] == false and sell == true) and downtrend

takeProfitSell = (buy[1] == false and buy[2] == false and buy == true) and uptrend == false
takeProfitBuy = (sell[1] == false and sell[2] == false and sell == true)  and uptrend

plotshape(signalBuy, style=shape.triangleup, color=green, location=location.belowbar, size=size.tiny)
plotshape(signalSell, style=shape.triangledown, color=red, location=location.abovebar, size=size.tiny)



plot(movingAverage, linewidth=3, color=orange, transp=0)
plot(movingAverage2, linewidth=2, color=purple, transp=0)
plot(movingAverage3, linewidth=1, color=navy, transp=0)

alertcondition(signalBuy, title='Signal Buy', message='Signal Buy')
alertcondition(signalSell, title='Signal Sell', message='Signal Sell')


strategy.close("L", when=dcLower[1] > low)
strategy.close("S", when=dcUpper[1] < high)

strategy.entry("L", strategy.long, 1, when = signalBuy and testPeriod() and uptrend) 
strategy.entry("S", strategy.short, 1, when = signalSell and testPeriod() and uptrend ==false) 

//strategy.exit("Exit Long", from_entry = "L", loss = 25000000, profit=25000000)
//strategy.exit("Exit Short", from_entry = "S", loss = 25000000, profit=25000000)

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