ChaoZhang
Overview
This strategy combines two quantitative trading strategies to generate more accurate and reliable trading signals. The first strategy is based on price reversal and the second is based on volume analysis. The combined signals can effectively improve profitability.
Strategy Logic
The strategy consists of two parts:
- Reversal strategy
Uses STO indicator for reversal signals. Goes long when close rises for 2 days and STO slow line is below 50. Goes short when close drops for 2 days and STO fast line is above 50.
- Volume strategy
Analyzes the price-volume relationship over a period to determine direction, with moving average smoothing.
It goes long when both strategies signal long, and goes short when both signal short.
The combo improves signal quality by greatly reducing false signals from either strategy.
Advantages
- Combines two independent strategies, improving accuracy
- Reversal catches turnaround opportunities, volume forecasts future direction
- Different strategy types verify each other, reducing false signals
- Simple direct combination, easy to implement
- Parameters of each strategy can be optimized separately
Risks
- Reversals risky without strict exit rules
- Volume analysis may lag
- Purely indicator-based, requires technical analysis
- Longer data series needed for moving averages
- Parameters may not be universal across products
Risks can be reduced by:
- Optimizing STO for better reversal detection
- Adding indicators to confirm volume breakouts
- Optimizing moving average periods
- Supplementary chart pattern analysis
- Separate parameter testing by product
Enhancement Directions
The strategy can be improved by:
- Optimizing STO parameters
Fine-tune K, D values for best combinations
- Secondary confirmation of volume breaks
With indicators like MACD, BOLL etc.
- Optimizing moving average periods
Testing different periods for more stable signals
- Adding chart patterns
Entering on patterns in addition to combo signals
- Product-specific parameter testing
Parameters may vary across different products
Summary
This strategy combines reversal and volume strategies for improved signal quality and accuracy. But parameter optimization, additional technical indicators etc. can further refine performance. We can continually adjust based on backtest results, validate in live trading, to obtain a truly robust combo strategy. This requires immense time and effort, but the rewards will be significant too.
/*backtest
start: 2023-09-13 00:00:00
end: 2023-09-20 00:00:00
period: 15m
basePeriod: 5m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 21/10/2020
// This is combo strategies for get a cumulative signal.
//
// First strategy
// This System was created from the Book "How I Tripled My Money In The
// Futures Market" by Ulf Jensen, Page 183. This is reverse type of strategies.
// The strategy buys at market, if close price is higher than the previous close
// during 2 days and the meaning of 9-days Stochastic Slow Oscillator is lower than 50.
// The strategy sells at market, if close price is lower than the previous close price
// during 2 days and the meaning of 9-days Stochastic Fast Oscillator is higher than 50.
//
// Second strategy
// This is another version of FVE indicator that we have posted earlier
// in this forum.
// This version has an important enhancement to the previous one that`s
// especially useful with intraday minute charts.
// Due to the volatility had not been taken into account to avoid the extra
// complication in the formula, the previous formula has some drawbacks:
// The main drawback is that the constant cutoff coefficient will overestimate
// price changes in minute charts and underestimate corresponding changes in
// weekly or monthly charts.
// And now the indicator uses adaptive cutoff coefficient which will adjust to
// all time frames automatically.
//
// WARNING:
// - For purpose educate only
// - This script to change bars colors.
////////////////////////////////////////////////////////////
Reversal123(Length, KSmoothing, DLength, Level) =>
vFast = sma(stoch(close, high, low, Length), KSmoothing)
vSlow = sma(vFast, DLength)
pos = 0.0
pos := iff(close[2] < close[1] and close > close[1] and vFast < vSlow and vFast > Level, 1,
iff(close[2] > close[1] and close < close[1] and vFast > vSlow and vFast < Level, -1, nz(pos[1], 0)))
pos
FVI(Samples,Perma,Cintra,Cinter) =>
pos = 0
xhl2 = hl2
xhlc3 = hlc3
xClose = close
xIntra = log(high) - log(low)
xInter = log(xhlc3) - log(xhlc3[1])
xStDevIntra = stdev(sma(xIntra, Samples) , Samples)
xStDevInter = stdev(sma(xInter, Samples) , Samples)
xVolume = volume
TP = xhlc3
TP1 = xhlc3[1]
Intra = xIntra
Vintra = xStDevIntra
Inter = xInter
Vinter = xStDevInter
CutOff = Cintra * Vintra + Cinter * Vinter
MF = xClose - xhl2 + TP - TP1
FveFactor = iff(MF > CutOff * xClose, 1,
iff(MF < -1 * CutOff * xClose, -1, 0))
xVolumePlusMinus = xVolume * FveFactor
Fvesum = sum(xVolumePlusMinus, Samples)
VolSum = sum(xVolume, Samples)
xFVE = (Fvesum / VolSum) * 100
xEMAFVE = ema(xFVE, Perma)
pos :=iff(xFVE > xEMAFVE, 1,
iff(xFVE < xEMAFVE, -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Volatility Finite Volume Elements", shorttitle="Combo", overlay = true)
Length = input(14, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
Samples = input(22, minval=1)
Perma = input(40, minval=1)
Cintra = input(0.1)
Cinter = input(0.1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posFVI = FVI(Samples,Perma,Cintra,Cinter)
pos = iff(posReversal123 == 1 and posFVI == 1 , 1,
iff(posReversal123 == -1 and posFVI == -1, -1, 0))
possig = iff(reverse and pos == 1, -1,
iff(reverse and pos == -1 , 1, pos))
if (possig == 1)
strategy.entry("Long", strategy.long)
if (possig == -1)
strategy.entry("Short", strategy.short)
if (possig == 0)
strategy.close_all()
barcolor(possig == -1 ? #b50404: possig == 1 ? #079605 : #0536b3 )