Las operaciones de las entidades de crédito se considerarán financiadas por el Banco Central Europeo.
El autor:¿ Qué pasa?, Fecha: 2023-11-21 16:17:34Las etiquetas:
Resumen general
Esta estrategia es una estrategia de seguimiento de tendencias que determina la dirección de la tendencia a través de los indicadores RSI, CCI y Bollinger Band en diferentes plazos de tiempo y entra gradualmente en el mercado a través de DCA para seguir la tendencia de ganancias.
Estrategia lógica
- Calcular los indicadores RSI y CCI en los plazos de 5 minutos, 15 minutos y 30 minutos.
- Cuando el RSI de período más corto cae por debajo de un umbral y el RSI de período más largo también cae por debajo de un umbral, se considera sobrecomprado.
- Las bandas de Bollinger juzgan si el precio se ha desviado demasiado de la banda media.
- Gradualmente largo en sobreventa y gradualmente corto en sobrecompra para lograr el efecto DCA.
Análisis de ventajas
- La combinación de indicadores a través de marcos de tiempo mejora la precisión
- La estrategia DCA reduce el precio medio de entrada
- Control del riesgo de dimensionamiento de posición personalizable
Análisis de riesgos
- Riesgo de falta del mejor punto de entrada
- Riesgo de reversión de la tendencia
- Riesgo de negociación excesivo debido a unos parámetros deficientes
Soluciones:
- Optimizar los parámetros para garantizar la alineación
- Incorporar más indicadores para determinar la tendencia
- Ajuste de tamaño de posición por orden
Direcciones de optimización
- Combinación de pruebas de más indicadores para encontrar la mejor combinación
- Optimiza el tamaño de la posición por orden
- Añadir el stop loss
Resumen de las actividades
Esta estrategia determina la dirección de la tendencia a través de RSI y CCI de múltiples marcos de tiempo, entra en el mercado a través de órdenes escalonadas sobre sobrecompra / sobreventa. Funciona muy bien cuando surge una tendencia fuerte. Pero los parámetros inadecuados también pueden conducir a un sobrecomercio. En términos generales, esta estrategia tiene un gran espacio para el ajuste de parámetros y la optimización de pérdidas de parada y puede producir buenos resultados después de la optimización.
/*backtest
start: 2022-11-14 00:00:00
end: 2023-11-20 00:00:00
period: 1d
basePeriod: 1h
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © rrolik66
//@version=5
strategy(title="3RSI 3CCI BB 5orders DCA strategy+", overlay=true )
start_time = input(defval=timestamp('01 January 2021 00:00'), title='Start Time')
end_time = input(defval=timestamp('01 January 2022 00:00'), title='End Time')
src_bot = input.source(close, 'Source Bot')
tradeDirection = input.string(title='Trade Direction', options=['Long Bot', 'Short Bot'], defval='Long Bot')
weight_order0 = input.float(13.03, title='1 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order1 = input.float(14.29, title='2 order (%)', group='weight of orders in %', inline='Input 0') * 0.01
weight_order2 = input.float(17.19, title='3 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order3 = input.float(22.67, title='4 order (%)', group='weight of orders in %', inline='Input 1') * 0.01
weight_order4 = input.float(32.80, title='5 order (%)', group='weight of orders in %', inline='Input 2') * 0.01
st_long_orders = input.float(title='Rate cover (%)', minval=1, defval=80, group='Long Bot', inline='Input 1') / 4 * 0.01
longTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Long Bot', inline='Input 1') * 0.01
entry_long_SL = input.bool(defval=false, title='StopLoss', group='Long Bot', inline='Input 2')
longStopLoss = input.float(80, step=0.1, title='for Long Bot (%)', group='Long Bot', inline='Input 2') * 0.01
st_short_orders = input.float(title='Rate cover (%)', minval=1, defval=500, group='Short Bot', inline='Input 1') / 4 * 0.01
shortTakeProfit = input.float(1.4, step=0.05, title='Take Profit (%)', group='Short Bot', inline='Input 1') * 0.01
entry_short_SL = input.bool(defval=false, title='StopLoss', group='Short Bot', inline='Input 2')
shortStopLoss = input.float(500, step=0.1, title='for Short Bot (%)', group='Short Bot', inline='Input 2') * 0.01
//inputs for indicators
src = input.source(close, 'Source', group='indicators')
rsi1_input = input.bool(defval=true, title='RSI-1', group='RSI-1', inline='Input 0')
rsi1_res = input.timeframe(title='resolution', defval='5', group='RSI-1', inline='Input 0')
rsi1_low = input.int(65, minval=0, maxval=100, title='long <', group='RSI-1', inline='Input 1')
rsi1_len_long = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 1')
rsi1_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-1', inline='Input 2')
rsi1_len_short = input.int(14, minval=1, title='Length', group='RSI-1', inline='Input 2')
rsi2_input = input.bool(defval=true, title='RSI-2', group='RSI-2', inline='Input 0')
rsi2_res = input.timeframe(title='resolution', defval='15', group='RSI-2', inline='Input 0')
rsi2_low = input.int(72, minval=0, maxval=100, title='long <', group='RSI-2', inline='Input 1')
rsi2_len_long = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 1')
rsi2_up = input.int(37, minval=0, maxval=100, title='short >', group='RSI-2', inline='Input 2')
rsi2_len_short = input.int(14, minval=1, title='Length', group='RSI-2', inline='Input 2')
rsi3_input = input.bool(defval=true, title='RSI-3', group='RSI-3', inline='Input 0')
rsi3_res = input.timeframe(title='resolution', defval='30', group='RSI-3', inline='Input 0')
rsi3_low = input.int(74, minval=0, maxval=100, title='long <', group='RSI-3', inline='Input 1')
rsi3_len_long = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 1')
rsi3_up = input.int(34, minval=0, maxval=100, title='short >', group='RSI-3', inline='Input 2')
rsi3_len_short = input.int(14, minval=1, title='Length', group='RSI-3', inline='Input 2')
cci1_input = input.bool(defval=true, title='CCI-1', group='CCI-1', inline='Input 0')
cci1_res = input.timeframe(title='resolution', defval='5', group='CCI-1', inline='Input 0')
cci1_low = input.int(190, step=5, title='long <', group='CCI-1', inline='Input 1')
cci1_len_long = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 1')
cci1_up = input.int(-175, step=5, title='short >', group='CCI-1', inline='Input 2')
cci1_len_short = input.int(20, minval=1, title='Length', group='CCI-1', inline='Input 2')
cci2_input = input.bool(defval=true, title='CCI-2', group='CCI-2', inline='Input 0')
cci2_res = input.timeframe(title='resolution', defval='15', group='CCI-2', inline='Input 0')
cci2_low = input.int(195, step=5, title='long <', group='CCI-2', inline='Input 1')
cci2_len_long = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 1')
cci2_up = input.int(-205, step=5, title='short >', group='CCI-2', inline='Input 2')
cci2_len_short = input.int(20, minval=1, title='Length', group='CCI-2', inline='Input 2')
cci3_input = input.bool(defval=true, title='CCI-3', group='CCI-3', inline='Input 0')
cci3_res = input.timeframe(title='resolution', defval='30', group='CCI-3', inline='Input 0')
cci3_low = input.int(200, step=5, title='long <', group='CCI-3', inline='Input 1')
cci3_len_long = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 1')
cci3_up = input.int(-220, step=5, title='short >', group='CCI-3', inline='Input 2')
cci3_len_short = input.int(20, minval=1, title='Length', group='CCI-3', inline='Input 2')
bb_input = input.bool(defval=false, title='BB', group='Bollinger Bands', tooltip='(for long trading) the price is below the lower band, (for short trading) the price is abowe the upper band, для лонга цена под нижней линией, для шорта цена над верхней линией', inline='Input 0')
bb_res = input.timeframe(title='resolution', defval='5', group='Bollinger Bands', inline='Input 0')
bb_dev = input.float(2.0, minval=0.1, maxval=50, step=0.1, title='Deviation', group='Bollinger Bands', inline='Input 2')
bb_len = input.int(20, minval=1, title='Length', group='Bollinger Bands', inline='Input 2')
cci_input = input.bool(defval=false, title='band CCI', group='band CCI', tooltip='this setting sets the trading range by the level of the "CCI" indicator, эта настройка задает диапазон торговли по уровню индикатора "CCI" (я не использую)', inline='Input 0')
cci_res = input.timeframe(title='resolution', defval='60', group='band CCI', inline='Input 0')
cci_len = input.int(20, minval=1, title='CCI Length', group='band CCI', inline='Input 1')
cci_low = input.int(-110, step=10, title='CCI >', group='band CCI', inline='Input 2')
cci_up = input.int(110, step=10, title='CCI <', group='band CCI', inline='Input 2')
show_signals = input.bool(defval=false, title='Show signals', inline='Input')
//Input to trading conditions
longOK = tradeDirection == 'Long Bot'
shortOK = tradeDirection == 'Short Bot'
within_window() => true
// get indicators
rsi1_sec_long = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_long))
rsi1_sec_short = request.security(syminfo.tickerid, rsi1_res, ta.rsi(src, rsi1_len_short))
rsi2_sec_long = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_long))
rsi2_sec_short = request.security(syminfo.tickerid, rsi2_res, ta.rsi(src, rsi2_len_short))
rsi3_sec_long = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_long))
rsi3_sec_short = request.security(syminfo.tickerid, rsi3_res, ta.rsi(src, rsi3_len_short))
cci1_sec_long = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_long))
cci1_sec_short = request.security(syminfo.tickerid, cci1_res, ta.cci(src, cci1_len_short))
cci2_sec_long = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_long))
cci2_sec_short = request.security(syminfo.tickerid, cci2_res, ta.cci(src, cci2_len_short))
cci3_sec_long = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_long))
cci3_sec_short = request.security(syminfo.tickerid, cci3_res, ta.cci(src, cci3_len_short))
[basis, upper_bb, lower_bb] = request.security(syminfo.tickerid, bb_res, ta.bb(src, bb_len, bb_dev))
cci_sec = request.security(syminfo.tickerid, cci_res, ta.cci(src, cci_len))
// calculate indicators
float rating_long = 0
float rating_long_num = 0
float rating_short = 0
float rating_short_num = 0
float rsi1_long = na
float rsi1_short = na
if not na(rsi1_sec_long) and rsi1_input and longOK
rsi1_long := rsi1_sec_long < rsi1_low ? 1 : 0
if not na(rsi1_sec_short) and rsi1_input and shortOK
rsi1_short := rsi1_sec_short > rsi1_up ? 1 : 0
if not na(rsi1_long)
rating_long += rsi1_long
rating_long_num += 1
if not na(rsi1_short)
rating_short += rsi1_short
rating_short_num += 1
float rsi2_long = na
float rsi2_short = na
if not na(rsi2_sec_long) and rsi2_input and longOK
rsi2_long := rsi2_sec_long < rsi2_low ? 1 : 0
if not na(rsi2_sec_short) and rsi2_input and shortOK
rsi2_short := rsi2_sec_short > rsi2_up ? 1 : 0
if not na(rsi2_long)
rating_long += rsi2_long
rating_long_num += 1
if not na(rsi2_short)
rating_short += rsi2_short
rating_short_num += 1
float rsi3_long = na
float rsi3_short = na
if not na(rsi3_sec_long) and rsi3_input and longOK
rsi3_long := rsi3_sec_long < rsi3_low ? 1 : 0
if not na(rsi3_sec_short) and rsi3_input and shortOK
rsi3_short := rsi3_sec_short > rsi3_up ? 1 : 0
if not na(rsi3_long)
rating_long += rsi3_long
rating_long_num += 1
if not na(rsi3_short)
rating_short += rsi3_short
rating_short_num += 1
float cci1_long = na
float cci1_short = na
if not na(cci1_sec_long) and cci1_input and longOK
cci1_long := cci1_sec_long < cci1_low ? 1 : 0
if not na(cci1_sec_short) and cci1_input and shortOK
cci1_short := cci1_sec_short > cci1_up ? 1 : 0
if not na(cci1_long)
rating_long += cci1_long
rating_long_num += 1
if not na(cci1_short)
rating_short += cci1_short
rating_short_num += 1
float cci2_long = na
float cci2_short = na
if not na(cci2_sec_long) and cci2_input and longOK
cci2_long := cci2_sec_long < cci2_low ? 1 : 0
if not na(cci2_sec_short) and cci2_input and shortOK
cci2_short := cci2_sec_short > cci2_up ? 1 : 0
if not na(cci2_long)
rating_long += cci2_long
rating_long_num += 1
if not na(cci2_short)
rating_short += cci2_short
rating_short_num += 1
float cci3_long = na
float cci3_short = na
if not na(cci3_sec_long) and cci3_input and longOK
cci3_long := cci3_sec_long < cci3_low ? 1 : 0
if not na(cci3_sec_short) and cci3_input and shortOK
cci3_short := cci3_sec_short > cci3_up ? 1 : 0
if not na(cci3_long)
rating_long += cci3_long
rating_long_num += 1
if not na(cci3_short)
rating_short += cci3_short
rating_short_num += 1
float bb_long = na
float bb_short = na
if not(na(lower_bb) or na(src) or na(src[1])) and bb_input and longOK
bb_long := src < lower_bb ? 1 : 0
if not(na(upper_bb) or na(src) or na(src[1])) and bb_input and shortOK
bb_short := src > upper_bb ? 1 : 0
if not na(bb_long)
rating_long += bb_long
rating_long_num += 1
if not na(bb_short)
rating_short += bb_short
rating_short_num += 1
float cci_band = na
if not na(cci_sec) and cci_input
cci_band := cci_sec < cci_up and cci_sec > cci_low ? 1 : 0
if not na(cci_band)
rating_long += cci_band
rating_long_num += 1
rating_short += cci_band
rating_short_num += 1
//Buy Sell
Buy_ok = rating_long_num != 0 and longOK ? rating_long == rating_long_num : true
Sell_ok = rating_short_num != 0 and shortOK ? rating_short == rating_short_num : true
// Plotting
plotshape(Buy_ok and show_signals and longOK, title='Buy', text='Long', textcolor=color.new(color.white, 0), style=shape.labelup, location=location.belowbar, color=color.new(color.green, 0), size=size.tiny)
plotshape(Sell_ok and show_signals and shortOK, title='Sell', text='Short', textcolor=color.new(color.white, 0), style=shape.labeldown, location=location.abovebar, color=color.new(color.red, 0), size=size.tiny)
strategy.initial_capital =50000
//Figure in entry orders price
longEntryPrice0 = src_bot
longEntryPrice1 = longEntryPrice0 * (1 - st_long_orders)
longEntryPrice2 = longEntryPrice0 * (1 - st_long_orders * 2)
longEntryPrice3 = longEntryPrice0 * (1 - st_long_orders * 3)
longEntryPrice4 = longEntryPrice0 * (1 - st_long_orders * 4)
longEntryqty0 = strategy.initial_capital * weight_order0 / longEntryPrice0
longEntryqty1 = strategy.initial_capital * weight_order1 / longEntryPrice1
longEntryqty2 = strategy.initial_capital * weight_order2 / longEntryPrice2
longEntryqty3 = strategy.initial_capital * weight_order3 / longEntryPrice3
longEntryqty4 = strategy.initial_capital * weight_order4 / longEntryPrice4
shortEntryPrice0 = src_bot
shortEntryPrice1 = shortEntryPrice0 * (1 + st_short_orders)
shortEntryPrice2 = shortEntryPrice0 * (1 + st_short_orders * 2)
shortEntryPrice3 = shortEntryPrice0 * (1 + st_short_orders * 3)
shortEntryPrice4 = shortEntryPrice0 * (1 + st_short_orders * 4)
shortcontracts = strategy.initial_capital / shortEntryPrice0
shortEntryqty0 = shortcontracts * weight_order0
shortEntryqty1 = shortcontracts * weight_order1
shortEntryqty2 = shortcontracts * weight_order2
shortEntryqty3 = shortcontracts * weight_order3
shortEntryqty4 = shortcontracts * weight_order4
long_entry_price = strategy.opentrades.entry_price (0)
short_entry_price = strategy.opentrades.entry_price (0)
longTP = strategy.position_avg_price * (1 + longTakeProfit)
longSL = long_entry_price * (1 - longStopLoss)
shortTP = strategy.position_avg_price * (1 - shortTakeProfit)
shortSL = short_entry_price * (1 + shortStopLoss)
plot(series=strategy.position_size > 0 and longOK ? longTP : na, color=color.new(color.red, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size > 0 and entry_long_SL and longOK ? longSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')
plot(series=strategy.position_size < 0 and shortOK ? shortTP : na, color=color.new(color.green, 0), style=plot.style_circles, linewidth=3, title='Long Take Profit')
plot(series=strategy.position_size < 0 and entry_short_SL and shortOK ? shortSL : na, color=color.new(color.black, 0), style=plot.style_circles, linewidth=1, title='Long Stop Loss')
// Submit entry orders
if strategy.opentrades == 0 and longOK and within_window()
strategy.order(id='Long0', direction=strategy.long, qty=longEntryqty0, limit=longEntryPrice0, when=Buy_ok)
strategy.order(id='Long1', direction=strategy.long, qty=longEntryqty1, limit=longEntryPrice1, when=Buy_ok)
strategy.order(id='Long2', direction=strategy.long, qty=longEntryqty2, limit=longEntryPrice2, when=Buy_ok)
strategy.order(id='Long3', direction=strategy.long, qty=longEntryqty3, limit=longEntryPrice3, when=Buy_ok)
strategy.order(id='Long4', direction=strategy.long, qty=longEntryqty4, limit=longEntryPrice4, when=Buy_ok)
if strategy.opentrades == 0 and shortOK and within_window()
strategy.order(id='Short0', direction=strategy.short, qty=shortEntryqty0, limit=shortEntryPrice0, when=Sell_ok)
strategy.order(id='Short1', direction=strategy.short, qty=shortEntryqty1, limit=shortEntryPrice1, when=Sell_ok)
strategy.order(id='Short2', direction=strategy.short, qty=shortEntryqty2, limit=shortEntryPrice2, when=Sell_ok)
strategy.order(id='Short3', direction=strategy.short, qty=shortEntryqty3, limit=shortEntryPrice3, when=Sell_ok)
strategy.order(id='Short4', direction=strategy.short, qty=shortEntryqty4, limit=shortEntryPrice4, when=Sell_ok)
// exit position
if (strategy.position_size > 0) and not entry_long_SL and longOK
strategy.exit(id='exit_Long', limit=longTP, qty=strategy.position_size, when=strategy.position_size[1] > 0)
if (strategy.position_size > 0) and entry_long_SL and longOK
strategy.exit(id='exit_Long', limit=longTP, stop=longSL, qty=strategy.position_size, when=strategy.position_size[1] > 0)
if (strategy.position_size < 0) and not entry_short_SL and shortOK
strategy.exit(id='exit_Short', limit=shortTP, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)
if (strategy.position_size < 0) and entry_short_SL and shortOK
strategy.exit(id='exit_Short', limit=shortTP, stop=shortSL, qty=math.abs(strategy.position_size), when=strategy.position_size[1] < 0)
// Cleanup
if ta.crossunder(strategy.opentrades, 0.5)
strategy.close_all()
strategy.cancel_all()
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