Esta estrategia se llama
El patrón de reversión 123 se refiere a precios que se diferencian significativamente durante tres días consecutivos con el tercer día cerrando en la dirección opuesta a los dos días anteriores.
El indicador de transformación de Fisher normaliza los precios en una curva similar a la de Gauss, y sus puntos de inflexión extremos pueden identificar efectivamente las reversiones de precios.
La lógica de negociación es:
El patrón de inversión 123 muestra señales de compra o venta.
La curva de transformación de Fisher muestra señales de compra o venta.
Cuando los dos dan señales concurrentes, se realizan las operaciones de compra o venta correspondientes.
Cuando los dos dan señales opuestas, las posiciones se mantienen fijas.
La ventaja de esta estrategia es que la combinación de indicadores puede mejorar la precisión de juicio del tiempo de reversión.
En conclusión, la integración de indicadores constituye una perspectiva analítica más completa, pero los operadores todavía necesitan suficiente discreción para ajustar las estrategias en función de las condiciones del mercado.
/*backtest
start: 2023-08-13 00:00:00
end: 2023-09-12 00:00:00
period: 4h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=4
////////////////////////////////////////////////////////////
// Copyright by HPotter v1.0 28/08/2020
// 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
// Market prices do not have a Gaussian probability density function
// as many traders think. Their probability curve is not bell-shaped.
// But trader can create a nearly Gaussian PDF for prices by normalizing
// them or creating a normalized indicator such as the relative strength
// index and applying the Fisher transform. Such a transformed output
// creates the peak swings as relatively rare events.
// Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x))
// The sharp turning points of these peak swings clearly and unambiguously
// identify price reversals in a timely manner.
//
// 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
FTI(Length) =>
pos = 0
nValue1 =0.0
nFish = 0.0
xHL2 = hl2
xMaxH = highest(xHL2, Length)
xMinL = lowest(xHL2,Length)
nValue1 := 0.33 * 2 * ((xHL2 - xMinL) / (xMaxH - xMinL) - 0.5) + 0.67 * nz(nValue1[1])
nValue2 = iff(nValue1 > .99, .999,
iff(nValue1 < -.99, -.999, nValue1))
nFish := 0.5 * log((1 + nValue2) / (1 - nValue2)) + 0.5 * nz(nFish[1])
pos := iff(nFish > nz(nFish[1]), 1,
iff(nFish < nz(nFish[1]), -1, nz(pos[1], 0)))
pos
strategy(title="Combo Backtest 123 Reversal & Fisher Transform Indicator", shorttitle="Combo", overlay = true)
Length = input(15, minval=1)
KSmoothing = input(1, minval=1)
DLength = input(3, minval=1)
Level = input(50, minval=1)
//-------------------------
LengthFTI = input(10, minval=1)
reverse = input(false, title="Trade reverse")
posReversal123 = Reversal123(Length, KSmoothing, DLength, Level)
posFTI = FTI(LengthFTI)
pos = iff(posReversal123 == 1 and posFTI == 1 , 1,
iff(posReversal123 == -1 and posFTI == -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 )