Overview

This strategy integrates time series decomposition, volume weighted average price, Bollinger Bands and delta(OBV-PVT) 4 technical indicators to make multidimensional judgments on price trends, overbought and oversold conditions.

Principles

1. Use time series decomposition to remove noise and periodicity in prices for more accurate trend judgment;
2. Calculate volume weighted new price based on the trend line;
3. Calculate the Bollinger Bands Percentage Width (BB%B) of closing price to determine overbought and oversold conditions;
4. Calculate the BB%B of Delta(OBV-PVT) as a measure of price-volume divergence;
5. Generate trading signals based on price-volume indicators crosses and Bollinger Bands overshoots and undershoots.

Advantages

1. Combines price, volume and statistical features for robust judgments;
2. BB%B combined with Delta(OBV-PVT) better identifies short-term overbought/oversold conditions;
3. Price-volume crossover signals filter out some false signals.

Risks

1. Too complex parameter tuning;
2. Short-term choppiness may increase losses;
3. Price-volume divergences do not completely filter false signals.

Parameters like moving averages, Bollinger Bands widths and risk-reward ratios can be optimized to reduce trading frequency while improving risk-adjusted returns per trade.

Conclusion

Integrating tools like time series decomposition, Bollinger Bands, OBV indicators, this strategy combines price-volume relationships, statistical properties and trend analysis to identify short-term reversals and catch major trends. There are also certain risks that need to be addressed through parameter tuning for optimal performance.