Estrategia de seguimiento del impulso adaptativo de múltiples factores

El autor:¿ Qué pasa?, Fecha: 2023-12-12 12:02:13
Las etiquetas:

Resumen general

La estrategia de seguimiento de impulso adaptativo multifactor realiza el comercio automatizado de activos altamente volátiles como las criptomonedas mediante la identificación de tendencias de mercado y niveles clave de soporte / resistencia a través de la integración de múltiples indicadores técnicos.

Principio de la estrategia

El núcleo de la estrategia de seguimiento del impulso adaptativo multifactorial radica en la integración de múltiples indicadores técnicos.

Se pueden utilizar diferentes parámetros para identificar las señales regulares del RSI o las señales ajustadas del RSI de Connors para determinar si existen oportunidades de inversión.
Las señales de compra y venta se generan cuando la línea MACD cruza por encima o por debajo de la línea de señal.
Las combinaciones de cruz de oro y cruz de muerte de las líneas K y D indican si pueden ocurrir reversiones.
Calcula el cambio porcentual del precio más alto, el precio más bajo, el precio de cierre, etc. durante un cierto período para determinar si se ha producido una ruptura real.
Los EMAs para juzgar la tendencia general: el cruce de una EMA rápida por encima de una EMA lenta da señales alcistas mientras que el cruce descendente da señales bajistas.

La estrategia elige ir largo o corto en función de las condiciones del mercado, y establece stop loss y take profit después de ingresar posiciones para controlar eficazmente los riesgos.

Análisis de ventajas

Las ventajas de esta estrategia incluyen:

En comparación con los indicadores únicos, la combinación de múltiples indicadores permite la verificación mutua y resultados más fiables, ahorrando costes comerciales innecesarios.
La estrategia establece requisitos estrictos para las señales de compra/venta, requiriendo múltiples señales simultáneas para filtrar el ruido y evitar malas operaciones.
Los parámetros adaptativos reducen la interferencia manual. La capacidad incorporada para calcular dinámicamente los parámetros del indicador evita la subjetividad de la selección manual de parámetros, haciendo que los parámetros sean más científicos y objetivos.
La estrategia calcula y traza continuamente los niveles de stop loss/take profit después de abrir posiciones, limitando efectivamente la pérdida por operación y evitando las llamadas de margen.

Análisis de riesgos

Los riesgos que deben prevenirse incluyen:

Probabilidad de señales incorrectas de los indicadores. Aunque el proceso de verificación múltiple reduce en gran medida las señales erróneas, persiste cierta probabilidad. Esto puede conducir a pérdidas innecesarias.
En condiciones extremas de mercado, los precios pueden caer por el acantilado y penetrar fácilmente las pérdidas de stop originalmente establecidas, lo que conduce a pérdidas por encima del promedio.
Aunque los parámetros dinámicos reducen la subjetividad, también pueden conducir a un exceso de ajuste y pérdida de generalización.

Soluciones:

Aumentar el rigor del filtrado de señales para reducir las señales erróneas.
Adopte entradas escalonadas para evitar pérdidas de parada única de gran tamaño.
Mejorar las pruebas de muestras para evaluar estrictamente la estabilidad de los parámetros.

Direcciones de optimización

Esta estrategia se puede optimizar aún más mediante:

Aumentar los factores de juicio: Combinar señales de más indicadores de diferentes tipos, por ejemplo, volatilidad, volumen, etc., para ayudar a la evaluación.
Optimización de algoritmos de stop loss. Introduzca algoritmos de stop loss más avanzados como stop loss de seguimiento, stop loss de volatilidad, etc. para reducir aún más la probabilidad de que se produzca un stop loss.
Introducción de modelos de aprendizaje automático. Modelo de datos históricos utilizando RNN, LSTM, etc. para ayudar en las decisiones de compra/venta.
Adoptando múltiples subestrategias y utilizando métodos de conjunto para integrar un rendimiento general más robusto.

Conclusión

La estrategia de seguimiento de impulso adaptativo multifactor integra múltiples indicadores técnicos para identificar oportunidades comerciales. En comparación con indicadores únicos, esta estrategia tiene juicios más precisos, junto con adaptación de parámetros incorporados y mecanismos de stop loss para controlar los riesgos.

/*backtest
start: 2023-12-04 00:00:00
end: 2023-12-11 00:00:00
period: 3m
basePeriod: 1m
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/
//@version=4

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strategy(shorttitle='Ain1 No Label',title='All in One Strategy no RSI Label', overlay=true, scale=scale.left, initial_capital = 1000, process_orders_on_close=true, default_qty_type = strategy.percent_of_equity, default_qty_value = 100, commission_type=strategy.commission.percent, commission_value=0.18, calc_on_every_tick=true)

kcolor = color.new(#0094FF, 60)
dcolor = color.new(#FF6A00, 60)



// -----------------  Strategy Inputs -------------------------------------------------------------
//Backtest dates with auto finish date of today
start = input(defval = timestamp("01 April 2021 00:00 -0500"), title = "Start Time", type = input.time)
finish = input(defval = timestamp("31 December 2021 00:00 -0600"), title = "End Time", type = input.time)
window()  => true       // create function "within window of time"


// Strategy Selection - Long, Short, or Both
stratinfo = input(true, "Long/Short for Mixed Market, Long for Bull, Short for Bear")
strat = input(title="Trade Types", defval="Long/Short", options=["Long Only", "Long/Short", "Short Only"])
strat_val = strat == "Long Only" ? 1 : strat == "Long/Short" ? 0 : -1

// Risk Management Inputs
sl= input(10.0, "Stop Loss %", minval = 0, maxval = 100, step = 0.01)
stoploss = sl/100
tp = input(20.0, "Target Profit %", minval = 0, maxval = 100, step = 0.01)
TargetProfit = tp/100


useXRSI = input(false, "Use RSI crossing back, select only one strategy")
useCRSI = input(false, "Use Tweaked Connors RSI, select only one")
RSIInfo = input(true, "These are the RSI Strategy Inputs, RSI Length applies to MACD, set OB and OS to 45 for using Stoch and EMA strategies.")
length = input(14, "RSI Length", minval=1)
overbought= input(62, "Overbought")
oversold= input(35, "Oversold")
cl1 = input(3, "Connor's MA Length 1", minval=1, step=1)
cl2 = input(20, "Connor's MA Lenght 2", minval=1, step=1)
cl3 = input(50, "Connor's MA Lenght 3", minval=1, step=1)

// MACD and EMA Inputs
useMACD = input(false, "Use MACD Only, select only one strategy")
useEMA  = input(false, "Use EMA Only, select only one strategy (EMA uses Stochastic inputs too)")
MACDInfo=input(true, "These are the MACD strategy variables")
fastLength = input(5, minval=1, title="EMA Fast Length")
slowLength = input(10, minval=1, title="EMA Slow Length")
ob_min = input(52, "Overbought Lookback Minimum Value", minval=0, maxval=200)
ob_lb = input(25, "Overbought Lookback Bars", minval=0, maxval=100)
os_min = input(50, "Oversold Lookback Minimum Value", minval=0, maxval=200)
os_lb = input(35, "Oversold Lookback Bars", minval=0, maxval=100)
source = input(title="Source", type=input.source, defval=close)
RSI = rsi(source, length)


// Price Movement Inputs
PriceInfo = input(true, "Price Change Percentage Cross Check Inputs for all Strategies, added logic to avoid early sell")
lkbk = input(5,"Max Lookback Period")

// EMA and SMA Background Inputs
useStoch    = input(false, "Use Stochastic Strategy, choose only one")
StochInfo   = input(true, "Stochastic Strategy Inputs")
smoothK     = input(3, "K", minval=1)
smoothD     = input(3, "D", minval=1)
k_mode      = input("SMA", "K Mode", options=["SMA", "EMA", "WMA"])
high_source = input(high,"High Source")
low_source= input(low,"Low Source")
HTF = input("","Curernt or Higher time frame only", type=input.resolution)

// Selections to show or hide the overlays
showZones = input(true, title="Show Bullish/Bearish Zones")
showStoch = input(true, title="Show Stochastic Overlays")
showRSIBS = input(true, title="Show RSI Buy Sell Zones")
showMACD = input(true, title="Show MACD")
color_bars=input(true, "Color Bars")



// ------------------ Dynamic RSI Calculation ----------------------------------------

AvgHigh(src,cnt,val) =>
    total = 0.0
    count = 0
    for i = 0 to cnt
        if src[i] > val
            count := count + 1
            total := total + src[i]
    round(total / count)
    
RSI_high = AvgHigh(RSI, ob_lb, ob_min)

AvgLow(src,cnt,val) =>
    total = 0.0
    count = 0
    for i = 0 to cnt
        if src[i] < val
            count := count + 1
            total := total + src[i]
    round(total / count)

RSI_low = AvgLow(RSI, os_lb, os_min)




// ------------------ Price Percentage Change Calculation -----------------------------------------
perc_change(lkbk) =>
    overall_change = ((close[0] - open[lkbk]) / open[lkbk]) * 100
    highest_high = 0.0
    lowest_low = 0.0
    for i = lkbk to 0
        highest_high := i == lkbk ? high : high[i] > high[(i + 1)] ? high[i] : highest_high[1]
        lowest_low := i == lkbk ? low : low[i] < low[(i + 1)] ? low[i] : lowest_low[1]
    
    start_to_high = ((highest_high - open[lkbk]) / open[lkbk]) * 100
    start_to_low = ((lowest_low - open[lkbk]) / open[lkbk]) * 100
    previous_to_high = ((highest_high - open[1])/open[1])*100
    previous_to_low = ((lowest_low-open[1])/open[1])*100
    previous_bar = ((close[1]-open[1])/open[1])*100
    
    [overall_change, start_to_high, start_to_low, previous_to_high, previous_to_low, previous_bar]
    
// Call the function    
[overall, to_high, to_low, last_high, last_low, last_bar] = perc_change(lkbk)

// Plot the function
//plot(overall*50, color=color.white, title='Overall Percentage Change', linewidth=3)
//plot(to_high*50, color=color.green,title='Percentage Change from Start to High', linewidth=2)
//plot(to_low*50, color=color.red, title='Percentage Change from Start to Low', linewidth=2)
//plot(last_high*100, color=color.teal, title="Previous to High", linewidth=2)
//plot(last_low*100, color=color.maroon, title="Previous to Close", linewidth=2)
//plot(last_bar*100, color=color.orange, title="Previous Bar", linewidth=2)
//hline(0, title='Center Line', color=color.orange, linewidth=2)

true_dip = overall < 0 and to_high > 0 and to_low < 0 and last_high > 0 and last_low < 0 and last_bar < 0
true_peak = overall > 0 and to_high > 0 and to_low > 0 and last_high > 0 and last_low < 0 and last_bar > 0

alertcondition(true_dip, title='True Dip', message='Dip')
alertcondition(true_peak, title='True Peak', message='Peak')

// ------------------ Background Colors based on EMA Indicators -----------------------------------
// Uses standard lengths of 9 and 21, if you want control delete the constant definition and uncomment the inputs
haClose(gap) => (open[gap] + high[gap] + low[gap] + close[gap]) / 4
rsi_ema = rsi(haClose(0), length)
v2 = ema(rsi_ema, length)                                                
v3 = 2 * v2 - ema(v2, length)  
emaA = ema(rsi_ema, fastLength)                                     
emaFast = 2 * emaA - ema(emaA, fastLength)
emaB = ema(rsi_ema, slowLength)                                     
emaSlow = 2 * emaB - ema(emaB, slowLength) 

//plot(rsi_ema, color=color.white, title='RSI EMA', linewidth=3)
//plot(v2, color=color.green,title='v2', linewidth=2)
//plot(v3, color=color.red, title='v3', linewidth=2)
//plot(emaFast, color=color.teal, title="EMA Fast", linewidth=2)
//plot(emaSlow, color=color.maroon, title="EMA Slow", linewidth=2)

EMABuy = crossunder(emaFast, v2) and window()
EMASell = crossover(emaFast, emaSlow) and window()


alertcondition(EMABuy, title='EMA Buy', message='EMA Buy Condition')
alertcondition(EMASell, title='EMA Sell', message='EMA Sell Condition')



// bullish signal rule: 
bullishRule =emaFast > emaSlow
// bearish signal rule: 
bearishRule =emaFast < emaSlow

// current trading State
ruleState = 0
ruleState := bullishRule ? 1 : bearishRule ? -1 : nz(ruleState[1])
ruleColor = ruleState==1 ? color.new(color.blue, 90) : ruleState == -1 ? color.new(color.red, 90) : ruleState == 0 ? color.new(color.gray, 90) : na
bgcolor(showZones ? ruleColor : na, title="Bullish/Bearish Zones")


// ------------------  Stochastic Indicator Overlay -----------------------------------------------

// Calculation
// Use highest highs and lowest lows
h_high = highest(high_source ,lkbk)
l_low = lowest(low_source ,lkbk)

stoch = stoch(RSI, RSI_high, RSI_low, length)
k =
 k_mode=="EMA" ? ema(stoch, smoothK) :
 k_mode=="WMA" ? wma(stoch, smoothK) :
 sma(stoch, smoothK)
d = sma(k, smoothD)
k_c = change(k)
d_c = change(d)
kd = k - d

// Plot
signalColor = k>oversold and d<overbought and k>d and k_c>0 and d_c>0 ? kcolor : 
 k<overbought and d>oversold and k<d and k_c<0 and d_c<0 ? dcolor : na
kp = plot(showStoch ? k : na, "K", color=kcolor)
dp = plot(showStoch ? d : na, "D", color=dcolor)
fill(kp, dp, color = signalColor, title="K-D")
signalUp = showStoch ? not na(signalColor) and kd>0 : na
signalDown = showStoch ? not na(signalColor) and kd<0 : na
//plot(signalUp ? kd : na, "Signal Up", color=kcolor, transp=90, style=plot.style_columns)
//plot(signalDown ? (kd+100) : na , "Signal Down", color=dcolor, transp=90, style=plot.style_columns, histbase=100)

//StochBuy = crossover(k, d) and kd>0 and to_low<0 and window()
//StochSell = crossunder(k,d) and kd<0 and to_high>0 and window()

StochBuy = crossover(k, d) and window()
StochSell = crossunder(k, d) and window()

alertcondition(StochBuy, title='Stoch Buy', message='K Crossing D')
alertcondition(StochSell, title='Stoch Sell', message='D Crossing K')


// -------------- Add Price Movement -------------------------
// Calculations
h1 = vwma(high, length)
l1 = vwma(low, length)
hp = h_high[1]
lp = l_low[1]

// Plot
var plot_color=#353535
var sig = 0
if (h1 >hp)
    sig:=1
    plot_color:=color.lime
else if (l1 <lp)
    sig:=-1
    plot_color:=color.maroon
//plot(1,title = "Price Movement Bars", style=plot.style_columns,color=plot_color)
//plot(sig,title="Signal 1 or -1",display=display.none)



// --------------------------------------- RSI Plot ----------------------------------------------
// Plot Oversold and Overbought Lines
over = hline(oversold, title="Oversold", color=color.green)
under = hline(overbought, title="Overbought", color=color.red)
fillcolor = color.new(#9915FF, 90)
fill(over, under, fillcolor, title="Band Background")


// Show RSI and EMA crosses with arrows and RSI Color (tweaked Connors RSI)
// Improves strategy setting ease by showing where EMA 5 crosses EMA 10 from above to confirm overbought conditions or trend reversals
// This shows where you should enter shorts or exit longs

// Tweaked Connors RSI Calculation
connor_ob = overbought
connor_os = oversold
ma1 = sma(close,cl1)
ma2 = sma(close, cl2)
ma3 = sma(close, cl3)

// Buy Sell Zones using tweaked Connors RSI (RSI values of 80 and 20 for Crypto as well as ma3, ma20, and ma50 are the tweaks)
RSI_SELL = ma1 > ma2 and open > ma3 and RSI >= connor_ob and true_peak and window()
RSI_BUY = ma2 < ma3 and ma3 > close and RSI <= connor_os and true_dip and window()

alertcondition(RSI_BUY, title='Connors Buy', message='Connors RSI Buy')
alertcondition(RSI_SELL, title='Connors Sell', message='Connors RSI Sell')

// Color Definition
col = useCRSI ? (close > ma2 and close < ma3 and RSI <= connor_os ? color.lime : close < ma2 and close > ma3 and RSI <= connor_ob ? color.red : color.yellow ) : color.yellow

// Plot colored RSI Line
plot(RSI, title="RSI", linewidth=3, color=col)


//------------------- MACD Strategy -------------------------------------------------
[macdLine, signalLine, _] = macd(close, fastLength, slowLength, length)

bartrendcolor = macdLine > signalLine and k > 50 and RSI > 50 ? color.teal : macdLine < signalLine and k < 50 and RSI < 50 ? color.maroon : macdLine < signalLine ? color.yellow : color.gray
barcolor(color = color_bars ? bartrendcolor : na)


MACDBuy = macdLine>signalLine and RSI<RSI_low and overall<0 and window()
MACDSell = macdLine<signalLine and RSI>RSI_high and overall>0 and window()

//plotshape(showMACD ? MACDBuy: na, title = "MACD Buy", style = shape.arrowup, text = "MACD Buy", color=color.green, textcolor=color.green, size=size.small)
//plotshape(showMACD ? MACDSell: na, title = "MACD Sell", style = shape.arrowdown, text = "MACD Sell", color=color.red, textcolor=color.red, size=size.small)
MACColor = MACDBuy ? color.new(color.teal, 50) : MACDSell ? color.new(color.maroon, 50) : na
bgcolor(showMACD ? MACColor : na, title ="MACD Signals")


// -------------------------------- Entry and Exit Logic ------------------------------------


// Entry Logic
XRSI_OB = crossunder(RSI, overbought) and overall<0 and window()
RSI_OB = RSI>overbought and true_peak and window()
XRSI_OS = crossover(RSI, oversold) and overall>0 and window()
RSI_OS = RSI<oversold and true_dip and window()

alertcondition(XRSI_OB, title='Reverse RSI Sell', message='RSI Crossing back under OB')
alertcondition(XRSI_OS, title='Reverse RSI Buy', message='RSI Crossing back over OS')

alertcondition(RSI_OS, title='RSI Buy', message='RSI Crossover OS')
alertcondition(RSI_SELL, title='RSI Sell', message='RSI Crossunder OB')


// Strategy Entry and Exit with built in Risk Management
GoLong = strategy.position_size==0 and strat_val > -1 and rsi_ema > RSI and k < d ? (useXRSI ? XRSI_OS : useMACD ? MACDBuy : useCRSI ? RSI_BUY : useStoch ? StochBuy : RSI_OS) : false

GoShort = strategy.position_size==0 and strat_val < 1 and rsi_ema < RSI and d < k ? (useXRSI ? XRSI_OB : useMACD ? MACDSell : useCRSI ? RSI_SELL : useStoch ? StochSell : RSI_OB) : false

if (GoLong)
    strategy.entry("LONG", strategy.long)

if (GoShort) 
    strategy.entry("SHORT", strategy.short)


longStopPrice  = strategy.position_avg_price * (1 - stoploss)
longTakePrice  = strategy.position_avg_price * (1 + TargetProfit)
shortStopPrice = strategy.position_avg_price * (1 + stoploss)
shortTakePrice = strategy.position_avg_price * (1 - TargetProfit)

//plot(series=(strategy.position_size > 0) ? longTakePrice : na, color=color.green, style=plot.style_circles, linewidth=3, title="Long Take Profit")
//plot(series=(strategy.position_size < 0) ? shortTakePrice : na, color=color.green, style=plot.style_circles, linewidth=3, title="Short Take Profit")
//plot(series=(strategy.position_size > 0) ? longStopPrice : na, color=color.red, style=plot.style_cross, linewidth=2, title="Long Stop Loss")
//plot(series=(strategy.position_size < 0) ? shortStopPrice : na, color=color.red, style=plot.style_cross, linewidth=2, title="Short Stop Loss")

if (strategy.position_size > 0)
    strategy.exit(id="Exit Long", from_entry = "LONG", stop = longStopPrice, limit = longTakePrice)
    
if (strategy.position_size < 0)
    strategy.exit(id="Exit Short", from_entry = "SHORT", stop = shortStopPrice, limit = shortTakePrice)


CloseLong = strat_val > -1 and strategy.position_size > 0 and rsi_ema > RSI and d > k ? (useXRSI ? XRSI_OB : useMACD ? MACDSell : useCRSI ? RSI_SELL : RSI_OB) : false

if(CloseLong)
    strategy.close("LONG")
        
CloseShort = strat_val < 1 and strategy.position_size < 0 and rsi_ema < RSI and k > d ? (useXRSI ? XRSI_OS : useMACD ? MACDBuy : useCRSI ? RSI_BUY : RSI_OS) : false

if(CloseShort)
    strategy.close("SHORT")

Más.