Estrategia de arbitraje de fibra con ruptura de impulso
Fecha de creación:
2023-10-18 11:40:01
Última modificación:
2023-10-18 11:40:01
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Descripción general
La estrategia es una estrategia de ruptura de movimiento más compleja, que combina varios indicadores técnicos para juzgar y lograr múltiples entradas en diferentes direcciones y etapas para alcanzar el objetivo de la arbitraje.
El principio
Esta estrategia combina el indicador de impulso MACD, el indicador de sobreventa RSI y el Brin para determinar la dirección de la posición en el mercado. Cuando la línea MACD es superior a 0 y el RSI es inferior a la línea de venta, se trata de una señal de más de una cabeza, y cuando la línea MACD es inferior a 0 y el RSI es superior a la línea de sobreventa, se trata de una señal de cabeza en el mercado.
En la implementación concreta, la estrategia primero juzga el rendimiento de la línea MACD y el RSI, confirma los fundamentos; luego, según el avance de la banda de Brin hacia arriba y hacia abajo, toma una cantidad diferente de lotes para construir posiciones. En la etapa de múltiples cabezas, gradualmente se acumula más posiciones cerca de la banda de Brin hacia abajo, y el aumento de las posiciones es cada vez mayor; en la etapa de cabezas vacías, la cantidad de vacío se incrementa gradualmente cerca de la banda de Brin hacia arriba y hacia abajo.
Al mismo tiempo, la estrategia también combina el seguimiento de los precios más altos y más bajos para establecer paros y paradas y administrar las órdenes de manera adecuada. En general, la estrategia combina varias herramientas de análisis para obtener mejores rendimientos mediante el arbitraje por lotes.
Las ventajas
- Combinación de varios indicadores para evitar el error de un solo instrumento
- El uso de la acumulación por lotes puede aumentar las ganancias
- Establezca un punto de parada de pérdidas para ayudar a evitar pérdidas por retroceso de la subida
- El retiro es controlado y no genera grandes pérdidas.
Riesgos y soluciones
La ruptura de la banda de Brin no es una señal de negociación 100% confiable, puede haber cierto riesgo de falsa señal. Se puede considerar agregar otros indicadores para confirmar, como la forma de la línea K, el volumen de transacciones, etc.
El aumento gradual de la posición requiere un control preciso del ritmo del mercado, que puede causar grandes pérdidas si se produce un ajuste rápido. Se puede reducir adecuadamente el número de aumentos de posición o establecer un punto de parada más relajado.
Se debe prestar atención a la liquidez de las variedades que se negocian. Las variedades con menor liquidez no deben utilizar un gran número de arbitrajes por lotes.
Los datos de retroalimentación no son iguales a los de los discos reales, los costes de los cargos en los discos reales, los puntos de deslizamiento, etc., también deben tenerse en cuenta. Se puede dejar un margen adecuado para la suspensión de pérdidas.
Dirección de optimización
Se pueden probar diferentes combinaciones de parámetros, como el ciclo de la banda de Bryn, el múltiplo de la diferencia estándar, el parámetro RSI, etc., para encontrar el parámetro óptimo.
Se pueden explorar otras estrategias de arbitraje, como la fracción fija, el criterio de Kelly y otras estrategias de gestión de fondos.
Optimización dinámica de los parámetros que se pueden combinar con métodos como el aprendizaje automático.
Se pueden introducir más fuentes de datos, como análisis de sentimientos textuales y datos sociales, para ayudar a juzgar la situación del mercado.
Se puede explorar el diferencial temporal de los futuros para el arbitraje, ampliando aún más el espacio de ganancias.
Resumir
La estrategia utiliza una combinación de indicadores técnicos, un arbitraje por lotes y un riesgo de gestión de stop loss. Esta estrategia es una estrategia de seguimiento de tendencias más completa. Sin embargo, se necesita estar alerta de las falsas señales y el riesgo de ajustes rápidos.
Código Fuente de la Estrategia
/*backtest
start: 2022-10-11 00:00:00
end: 2023-10-17 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
//@version=2
strategy(title="Incremental Order size +", shorttitle="Strategy", overlay=true, default_qty_value=1, pyramiding=10)
//Heiken Ashi
isHA = input(false, "HA Candles", bool)
//MACD
fastLength = 12
slowlength = 26
MACDLength = 9
MACD = ema(close, fastLength) - ema(close, slowlength)
aMACD = ema(MACD, MACDLength)
delta = MACD - aMACD
//Bollinger Bands Exponential
src = open
len = 18
e = ema(src,len)
evar = (src - e)*(src - e)
evar2 = (sum(evar,len))/len
std = sqrt(evar2)
Multiplier = input(3, minval = 0.01, title = "# of STDEV's")
upband = e + (Multiplier * std)
dnband = e - (Multiplier * std)
//EMA
ema3 = ema(close, 3)
//RSIplot
length = 45
overSold = 90
overBought = 10
price = close
vrsi = rsi(price, length)
notna = not na(vrsi)
macdlong = crossover(delta, 0)
macdshort = crossunder(delta, 0)
rsilong = notna and crossover(vrsi, overSold)
rsishort = notna and crossunder(vrsi, overBought)
lentt = input(14, "Pivot Length")
//The length defines how many periods a high or low must hold to be a "relevant pivot"
h = highest(lentt)
//The highest high over the length
h1 = dev(h, lentt) ? na : h
//h1 is a pivot of h if it holds for the full length
hpivot = fixnan(h1)
//creates a series which is equal to the last pivot
l = lowest(lentt)
l1 = dev(l, lentt) ? na : l
lpivot = fixnan(l1)
//repeated for lows
last_hpivot = h1 ? time : nz(last_hpivot[1])
last_lpivot = l1 ? time : nz(last_lpivot[1])
long_time = last_hpivot > last_lpivot ? 0:1
//FIBS
z = input(100, "Z-Index")
p_offset= 2
transp = 60
a=(lowest(z)+highest(z))/2
b=lowest(z)
c=highest(z)
fibonacci = input(0, "Fibonacci") / 100
//Fib Calls
fib0 = (((hpivot - lpivot)* fibonacci) + lpivot)
fib1 = (((hpivot - lpivot)*.21) + lpivot)
fib2 = (((hpivot - lpivot)*.3) + lpivot)
fib3 = (((hpivot - lpivot)*.5) + lpivot)
fib4 = (((hpivot - lpivot)*.62) + lpivot)
fib5 = (((hpivot - lpivot)*.7) + lpivot)
fib6 = (((hpivot - lpivot)* 1.00) + lpivot)
fib7 = (((hpivot - lpivot)* 1.27) + lpivot)
fib8 = (((hpivot - lpivot)* 2) + lpivot)
fib9 = (((hpivot - lpivot)* -.27) + lpivot)
fib10 = (((hpivot - lpivot)* -1) + lpivot)
//Heiken Ashi Candles
data2 = isHA ? heikenashi(syminfo.tickerid) : syminfo.tickerid
res5 = input("5", "Resolution")
//HT Fibs
hfib0 = security(data2, res5, fib0[1])
hfib1 = security(data2, res5, fib1[1])
hfib2 = security(data2, res5, fib2[1])
hfib3 = security(data2, res5, fib3[1])
hfib4 = security(data2, res5, fib4[1])
hfib5 = security(data2, res5, fib5[1])
hfib6 = security(data2, res5, fib6[1])
hfib7 = security(data2, res5, fib7[1])
hfib8 = security(data2, res5, fib8[1])
hfib9 = security(data2, res5, fib9[1])
hfib10 = security(data2, res5, fib10[1])
vrsiup = vrsi > vrsi[1] and vrsi[1] > vrsi[2]
vrsidown = vrsi < vrsi[1] and vrsi[1] < vrsi[2]
long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long2 = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short2 = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
// long = cross(close, fib0) and delta > 0 and vrsi < overSold and vrsiup
// short = cross(close, fib6) and delta < 0 and vrsi > overBought and vrsidown
reverseOpens = input(false, "Reverse Orders", bool)
if (reverseOpens)
tmplong = long
long := short
short := tmplong
//Strategy
ts = input(99999, "TS")
tp = input(30, "TP")
sl = input(10, "SL")
last_long = long ? time : nz(last_long[1])
last_short = short ? time : nz(last_short[1])
in_long = last_long > last_short
in_short = last_short > last_long
long_signal = crossover(last_long, last_short)
short_signal = crossover(last_short, last_long)
last_open_long = long ? open : nz(last_open_long[1])
last_open_short = short ? open : nz(last_open_short[1])
last_open_long_signal = long_signal ? open : nz(last_open_long_signal[1])
last_open_short_signal = short_signal ? open : nz(last_open_short_signal[1])
last_high = not in_long ? na : in_long and (na(last_high[1]) or high > nz(last_high[1])) ? high : nz(last_high[1])
last_low = not in_short ? na : in_short and (na(last_low[1]) or low < nz(last_low[1])) ? low : nz(last_low[1])
long_ts = not na(last_high) and high <= (last_high - ts) and high >= last_open_long_signal
short_ts = not na(last_low) and low >= (last_low + ts) and low <= last_open_short_signal
long_tp = high >= (last_open_long + tp) and long[1] == 0
short_tp = low <= (last_open_short - tp) and short[1] == 0
long_sl = low <= (last_open_long - sl) and long[1] == 0
short_sl = high >= (last_open_short + sl) and short[1] == 0
last_hfib_long = long_signal ? fib1 : nz(last_hfib_long[1])
last_hfib_short = short_signal ? fib5 : nz(last_hfib_short[1])
last_fib7 = long ? fib7 : nz(last_fib7[1])
last_fib10 = long ? fib10 : nz(last_fib10[1])
last_fib8 = short ? fib8 : nz(last_fib8[1])
last_fib9 = short ? fib9 : nz(last_fib9[1])
last_long_signal = long_signal ? time : nz(last_long_signal[1])
last_short_signal = short_signal ? time : nz(last_short_signal[1])
last_long_tp = long_tp ? time : nz(last_long_tp[1])
last_short_tp = short_tp ? time : nz(last_short_tp[1])
last_long_ts = long_ts ? time : nz(last_long_ts[1])
last_short_ts = short_ts ? time : nz(last_short_ts[1])
long_ts_signal = crossover(last_long_ts, last_long_signal)
short_ts_signal = crossover(last_short_ts, last_short_signal)
last_long_sl = long_sl ? time : nz(last_long_sl[1])
last_short_sl = short_sl ? time : nz(last_short_sl[1])
long_tp_signal = crossover(last_long_tp, last_long)
short_tp_signal = crossover(last_short_tp, last_short)
long_sl_signal = crossover(last_long_sl, last_long)
short_sl_signal = crossover(last_short_sl, last_short)
last_long_tp_signal = long_tp_signal ? time : nz(last_long_tp_signal[1])
last_short_tp_signal = short_tp_signal ? time : nz(last_short_tp_signal[1])
last_long_sl_signal = long_sl_signal ? time : nz(last_long_sl_signal[1])
last_short_sl_signal = short_sl_signal ? time : nz(last_short_sl_signal[1])
last_long_ts_signal = long_ts_signal ? time : nz(last_long_ts_signal[1])
last_short_ts_signal = short_ts_signal ? time : nz(last_short_ts_signal[1])
true_long_signal = long_signal and last_long_sl_signal > last_long_signal[1] or long_signal and last_long_tp_signal > last_long_signal[1] or long_signal and last_long_ts_signal > last_long_signal[1]
true_short_signal = short_signal and last_short_sl_signal > last_short_signal[1] or short_signal and last_short_tp_signal > last_short_signal[1] or short_signal and last_short_ts_signal > last_short_signal[1]
// strategy.entry("BLUE", strategy.long, when=long)
// strategy.entry("RED", strategy.short, when=short)
g = delta > 0 and vrsi < overSold and vrsiup
r = delta < 0 and vrsi > overBought and vrsidown
long1 = cross(close, fib1) and g and last_long_signal[1] > last_short_signal// and last_long_signal > long
short1 = cross(close, fib5) and r and last_short_signal[1] > last_long_signal// and last_short_signal > short
last_long1 = long1 ? time : nz(last_long1[1])
last_short1 = short1 ? time : nz(last_short1[1])
last_open_long1 = long1 ? open : nz(last_open_long1[1])
last_open_short1 = short1 ? open : nz(last_open_short1[1])
long1_signal = crossover(last_long1, last_long_signal)
short1_signal = crossover(last_short1, last_short_signal)
last_long1_signal = long1_signal ? time : nz(last_long1_signal[1])
last_short1_signal = short1_signal ? time : nz(last_short1_signal[1])
long2 = cross(close, fib2) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short2 = cross(close, fib4) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long2 = long2 ? time : nz(last_long2[1])
last_short2 = short2 ? time : nz(last_short2[1])
last_open_short2 = short2 ? open : nz(last_open_short2[1])
long2_signal = crossover(last_long2, last_long1_signal) and long1_signal==0
short2_signal = crossover(last_short2, last_short1_signal) and short1_signal==0
last_long2_signal = long2_signal ? time : nz(last_long2_signal[1])
last_short2_signal = short2_signal ? time : nz(last_short2_signal[1])
//Trade 4
long3 = cross(close, fib3) and g and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short3 = cross(close, fib3) and r and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long3 = long3 ? time : nz(last_long3[1])
last_short3 = short3 ? time : nz(last_short3[1])
last_open_short3 = short3 ? open : nz(last_open_short3[1])
long3_signal = crossover(last_long3, last_long2_signal) and long2_signal==0
short3_signal = crossover(last_short3, last_short2_signal) and short2_signal==0
last_long3_signal = long3_signal ? time : nz(last_long3_signal[1])
last_short3_signal = short3_signal ? time : nz(last_short3_signal[1])
//Trade 5
long4 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short4 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long4 = long4 ? time : nz(last_long4[1])
last_short4 = short4 ? time : nz(last_short4[1])
long4_signal = crossover(last_long4, last_long3_signal) and long2_signal==0 and long3_signal==0
short4_signal = crossover(last_short4, last_short3_signal) and short2_signal==0 and short3_signal==0
last_long4_signal = long4_signal ? time : nz(last_long4_signal[1])
last_short4_signal = short4_signal ? time : nz(last_short4_signal[1])
//Trade 6
long5 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short5 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long5 = long5 ? time : nz(last_long5[1])
last_short5 = short5 ? time : nz(last_short5[1])
long5_signal = crossover(last_long5, last_long4_signal) and long3_signal==0 and long4_signal==0
short5_signal = crossover(last_short5, last_short4_signal) and short3_signal==0 and short4_signal==0
last_long5_signal = long5_signal ? time : nz(last_long5_signal[1])
last_short5_signal = short5_signal ? time : nz(last_short5_signal[1])
//Trade 7
long6 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short6 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long6 = long6 ? time : nz(last_long6[1])
last_short6 = short6 ? time : nz(last_short6[1])
long6_signal = crossover(last_long6, last_long5_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0
short6_signal = crossover(last_short6, last_short5_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0
last_long6_signal = long6_signal ? time : nz(last_long6_signal[1])
last_short6_signal = short6_signal ? time : nz(last_short6_signal[1])
//Trade 8
long7 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short7 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long7 = long7 ? time : nz(last_long7[1])
last_short7 = short7 ? time : nz(last_short7[1])
long7_signal = crossover(last_long7, last_long6_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0
short7_signal = crossover(last_short7, last_short6_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0
last_long7_signal = long7_signal ? time : nz(last_long7_signal[1])
last_short7_signal = short7_signal ? time : nz(last_short7_signal[1])
//Trade 9
long8 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short8 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long8 = long8 ? time : nz(last_long8[1])
last_short8 = short8 ? time : nz(last_short8[1])
long8_signal = crossover(last_long8, last_long7_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0
short8_signal = crossover(last_short8, last_short7_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0
last_long8_signal = long8_signal ? time : nz(last_long8_signal[1])
last_short8_signal = short8_signal ? time : nz(last_short8_signal[1])
//Trade 10
long9 = long and last_long1_signal > last_long_signal[1] and long1_signal == 0 and last_long_signal[1] > last_short_signal
short9 = short and last_short1_signal > last_short_signal[1] and short1_signal == 0 and last_short_signal[1] > last_long_signal
last_long9 = long9 ? time : nz(last_long9[1])
last_short9 = short9 ? time : nz(last_short9[1])
long9_signal = crossover(last_long9, last_long8_signal) and long2_signal==0 and long4_signal==0 and long5_signal==0 and long6_signal==0 and long7_signal==0 and long8_signal==0
short9_signal = crossover(last_short9, last_short8_signal) and short2_signal==0 and short4_signal==0 and short5_signal==0 and short6_signal==0 and short7_signal==0 and short8_signal==0
last_long9_signal = long9_signal ? time : nz(last_long9_signal[1])
last_short9_signal = short9_signal ? time : nz(last_short9_signal[1])
strategy.entry("Long", strategy.long, qty=1, when=long_signal)
strategy.entry("Short", strategy.short, qty=1, when=short_signal)
strategy.entry("Long", strategy.long, qty=2, when=long1_signal)
strategy.entry("Short1", strategy.short, qty=2, when=short1_signal)
strategy.entry("Long", strategy.long, qty=4, when=long2_signal)
strategy.entry("Short2", strategy.short, qty=4, when=short2_signal)
strategy.entry("Long", strategy.long, qty=8, when=long3_signal)
strategy.entry("Short3", strategy.short, qty=8, when=short3_signal)
strategy.entry("Long", strategy.long, qty=5, when=long4_signal)
strategy.entry("Short", strategy.short, qty=5, when=short4_signal)
strategy.entry("Long", strategy.long, qty=6, when=long5_signal)
strategy.entry("Short", strategy.short, qty=6, when=short5_signal)
strategy.entry("Long", strategy.long, qty=7, when=long6_signal)
strategy.entry("Short", strategy.short, qty=7, when=short6_signal)
strategy.entry("Long", strategy.long, qty=8, when=long7_signal)
strategy.entry("Short", strategy.short, qty=8, when=short7_signal)
strategy.entry("Long", strategy.long, qty=9, when=long8_signal)
strategy.entry("Short", strategy.short, qty=9, when=short8_signal)
strategy.entry("Long", strategy.long, qty=10, when=long9_signal)
strategy.entry("Short", strategy.short, qty=10, when=short9_signal)
short1_tp = low <= (last_open_short1 - tp) and short1[1] == 0
short2_tp = low <= (last_open_short2 - tp) and short2[1] == 0
short3_tp = low <= (last_open_short3 - tp) and short3[1] == 0
short1_sl = high >= (last_open_short1 + sl) and short1[1] == 0
short2_sl = high >= (last_open_short2 + sl) and short2[1] == 0
short3_sl = high >= (last_open_short3 + sl) and short3[1] == 0
close_long = cross(close, fib6)
close_short = cross(close, fib0)
// strategy.close("Long", when=close_long)
// strategy.close("Long", when=long_tp)
// strategy.close("Long", when=long_sl)
// strategy.close("Short", when=long_signal)
// strategy.close("Short1", when=long_signal)
// strategy.close("Short2", when=long_signal)
// strategy.close("Short3", when=long_signal)
strategy.close("Short", when=short_tp)
strategy.close("Short1", when=short1_tp)
strategy.close("Short2", when=short2_tp)
strategy.close("Short3", when=short3_tp)
strategy.close("Short", when=short_sl)
strategy.close("Short1", when=short1_sl)
strategy.close("Short2", when=short2_sl)
strategy.close("Short3", when=short3_sl)