Estrategia de cruce de la media móvil ponderada por impulso dinámico

El autor:¿ Qué pasa?, Fecha: 2024-01-12 12:04:55
Las etiquetas:

Resumen general

Esta estrategia genera señales de compra y venta cuando dos promedios móviles de promedios móviles exponenciales (MAEMA) con períodos diferentes se cruzan.

Principios

Calcular el MAEMA rápido (80 períodos) y el MAEMA lento (144 períodos).
La línea rápida refleja la tendencia a corto plazo y los puntos de reversión.
Cuando la línea rápida cruza por encima de la línea lenta, se genera una señal de compra. Cuando la línea rápida cruza por debajo de la línea lenta, se genera una señal de venta.
La estrategia también traza 3 puntos previstos, que representan los posibles valores para el próximo período, para determinar la tendencia futura del cruce.
La estrategia aprovecha al máximo el impulso y la funcionalidad predictiva del propio MAEMA.

Ventajas

MAEMA incorpora el factor de impulso para capturar los cambios de tendencia más rápidamente.
La estrategia de media móvil doble juzga las tendencias en diferentes plazos de tiempo.
La combinación de cruces de líneas rápidos y lentos y los puntos predictivos de la MAEMA misma hace que las señales comerciales sean más confiables.
El gráfico automático completo proporciona una reflexión intuitiva de las fluctuaciones del mercado.

Los riesgos

Cuando se produce una volatilidad anormal, la sensibilidad de MAEMA puede ser demasiado alta, generando señales falsas.
Los sistemas de medias móviles tienden a dar señales falsas durante los mercados de rango.
Los períodos para las líneas rápidas y lentas deben determinarse mediante la búsqueda de parámetros óptimos para cada producto.

Mejoramiento

Optimizar los períodos de MAEMA rápido y lento para encontrar las mejores combinaciones de parámetros.
Añadir condiciones de filtro para evitar la apertura de posiciones durante los mercados en zigzag. Por ejemplo, introducir DMI, MACD para determinar la tendencia.
Seguir ajustando los múltiplos de ATR, las paradas traseras en función de los resultados de las pruebas de retroceso para reducir los falsos positivos y controlar los riesgos.

Resumen de las actividades

La estrategia juzga los cambios en la tendencia del mercado utilizando cruces de media móvil doble MAEMA. Los principios básicos son simples y claros. Combinados con el impulso y las capacidades predictivas de MAEMA en sí, es eficaz para identificar señales de reversión. Se debe prestar atención a la optimización de parámetros y mejorar los filtros para mejorar la robustez.

/*backtest
start: 2023-12-12 00:00:00
end: 2024-01-11 00:00:00
period: 1h
basePeriod: 15m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/

// © informanerd
//@version=4

strategy("MultiType Shifting Predictive MAs Crossover", shorttitle = "MTSPMAC + MBHB Strategy", overlay = true)

//inputs

predict = input(true, "Show MA Prediction Tails")
trendFill = input(true, "Fill Between MAs Based on Trend")
signal = input(true, "Show Cross Direction Signals")

showMA1 = input(true, "[ Show Fast Moving Average ]══════════")
type1 = input("MAEMA (Momentum Adjusted Exponential)", "Fast MA Type", options = ["MAEMA (Momentum Adjusted Exponential)", "DEMA (Double Exponential)", "EMA (Exponential)", "HMA (Hull)", "LSMA (Least Squares)", "RMA (Adjusted Exponential)", "SMA (Simple)", "SWMA (Symmetrically Weighted)", "TEMA (Triple Exponential)", "TMA (Triangular)", "VMA / VIDYA (Variable Index Dynamic Average)", "VWMA (Volume Weighted)", "WMA (Weighted)"])
src1 = input(high, "Fast MA Source")
len1 = input(80, "Fast MA Length", minval = 2)
shift1 = input(0, "Fast MA Shift")
maThickness1 = input(2, "Fast MA Thickness", minval = 1)
trendColor1 = input(false, "Color Fast MA Based on Detected Trend")
showBand1 = input(false, "Show Fast MA Range Band")
atrPer1 = input(20, "Fast Band ATR Lookback Period")
atrMult1 = input(3, "Fast Band ATR Multiplier")

showMA2 = input(true, "[ Show Slow Moving Average ]══════════")
type2 = input("MAEMA (Momentum Adjusted Exponential)", "Slow MA Type", options = ["MAEMA (Momentum Adjusted Exponential)", "DEMA (Double Exponential)", "EMA (Exponential)", "HMA (Hull)", "LSMA (Least Squares)", "RMA (Adjusted Exponential)", "SMA (Simple)", "SWMA (Symmetrically Weighted)", "TEMA (Triple Exponential)", "TMA (Triangular)", "VMA / VIDYA (Variable Index Dynamic Average)", "VWMA (Volume Weighted)", "WMA (Weighted)"])
src2 = input(close, "Slow MA Source")
len2 = input(144, "Slow MA Length", minval = 2)
shift2 = input(0, "Slow MA Shift")
maThickness2 = input(2, "Slow MA Thickness", minval = 1)
trendColor2 = input(false, "Color Slow MA Based on Detected Trend")
showBand2 = input(false, "Show Slow MA Range Band")
atrPer2 = input(20, "Slow Band ATR Lookback Period")
atrMult2 = input(3, "Slow Band ATR Multiplier")

//ma calculations

ma(type, src, len) =>
    if type == "MAEMA (Momentum Adjusted Exponential)"
        goldenRatio = (1 + sqrt(5)) / 2
        momentumLen = round(len / goldenRatio), momentum = change(src, momentumLen), probabilityLen = len / goldenRatio / goldenRatio
        ema(src + (momentum + change(momentum, momentumLen) * 0.5) * sum(change(src) > 0 ? 1 : 0, round(probabilityLen)) / probabilityLen, len)
    else if type == "DEMA (Double Exponential)"
        2 * ema(src, len) - ema(ema(src, len), len)
    else if type == "EMA (Exponential)"
        ema(src, len)
    else if type == "HMA (Hull)"
        wma(2 * wma(src, len / 2) - wma(src, len), round(sqrt(len)))
    else if type == "LSMA (Least Squares)"
        3 * wma(src, len) - 2 * sma(src, len)
    else if type == "RMA (Adjusted Exponential)"
        rma(src, len)
    else if type == "SMA (Simple)"
        sma(src, len)
    else if type == "SWMA (Symmetrically Weighted)"
        swma(src)
    else if type == "TEMA (Triple Exponential)"
        3 * ema(src, len) - 3 * ema(ema(src, len), len) + ema(ema(ema(src, len), len), len)
    else if type == "TMA (Triangular)"
        swma(wma(src, len))
    else if type == "VMA / VIDYA (Variable Index Dynamic Average)"
        smoothing = 2 / len, volIndex = abs(cmo(src, len) / 100)
        vma = 0., vma := (smoothing * volIndex * src) + (1 - smoothing * volIndex) * nz(vma[1])
    else if type == "VWMA (Volume Weighted)"
        vwma(src, len)
    else if type == "WMA (Weighted)"
        wma(src, len)

ma1 = ma(type1, src1, len1)
ma2 = ma(type2, src2, len2)

//ma predictions

pma11 = len1 > 2 ? (ma(type1, src1, len1 - 1) * (len1 - 1) + src1 * 1) / len1 : na
pma12 = len1 > 3 ? (ma(type1, src1, len1 - 2) * (len1 - 2) + src1 * 2) / len1 : na
pma13 = len1 > 4 ? (ma(type1, src1, len1 - 3) * (len1 - 3) + src1 * 3) / len1 : na

pma21 = len2 > 2 ? (ma(type2, src2, len2 - 1) * (len2 - 1) + src2 * 1) / len2 : na
pma22 = len2 > 3 ? (ma(type2, src2, len2 - 2) * (len2 - 2) + src2 * 2) / len2 : na
pma23 = len2 > 4 ? (ma(type2, src2, len2 - 3) * (len2 - 3) + src2 * 3) / len2 : na

//ma range bands

r1 = atr(atrPer1) * atrMult1
hBand1 = ma1 + r1
lBand1 = ma1 - r1

r2 = atr(atrPer2) * atrMult2
hBand2 = ma2 + r2
lBand2 = ma2 - r2

//drawings

ma1Plot = plot(showMA1 ? ma1 : na, "Fast MA", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, maThickness1, offset = shift1)
ma2Plot = plot(showMA2 ? ma2 : na, "Slow MA", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, maThickness2, offset = shift2)
fill(ma1Plot, ma2Plot, trendFill and ma1 > ma2 ? color.lime : trendFill and ma1 < ma2 ? color.maroon : na, 90)

plot(showMA1 and predict ? pma11 : na, "PossibleMA1-1", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, style = plot.style_circles, offset = shift1 + 1, show_last = 1)
plot(showMA1 and predict ? pma12 : na, "PossibleMA1-2", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, style = plot.style_circles, offset = shift1 + 2, show_last = 1)
plot(showMA1 and predict ? pma13 : na, "PossibleMA1-3", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, style = plot.style_circles, offset = shift1 + 3, show_last = 1)
plot(showMA2 and predict ? pma21 : na, "PossibleMA2-1", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, style = plot.style_circles, offset = shift2 + 1, show_last = 1)
plot(showMA2 and predict ? pma22 : na, "PossibleMA2-2", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, style = plot.style_circles, offset = shift2 + 2, show_last = 1)
plot(showMA2 and predict ? pma23 : na, "PossibleMA2-3", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, style = plot.style_circles, offset = shift2 + 3, show_last = 1)

plot(showBand1 ? hBand1 : na, "Fast Higher Band", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, offset = shift1)
plot(showBand1 ? lBand1 : na, "Fast Lower Band", trendColor1 and ma1 > src1 ? color.maroon : trendColor1 and ma1 < src1 ? color.lime : trendColor1 ? color.gray : color.red, offset = shift1)
plot(showBand2 ? hBand2 : na, "Slow Higher Band", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, offset = shift2)
plot(showBand2 ? lBand2 : na, "Slow Lower Band", trendColor2 and ma2 > src2 ? color.maroon : trendColor2 and ma2 < src2 ? color.lime : trendColor2 ? color.gray : color.green, offset = shift2)

//crosses & alerts

up = crossover(ma1, ma2)
down = crossover(ma2, ma1)

plotshape(signal ? up : na, "Buy", shape.triangleup, location.belowbar, color.green, offset = shift1, size = size.small)
plotshape(signal ? down : na, "Sell", shape.triangledown, location.abovebar, color.red, offset = shift1, size = size.small)

alertcondition(up, "Buy", "Buy")
alertcondition(down, "Sell", "Sell")

// @version=1

// Title: "Multi Bollinger Heat Bands - EMA/Breakout options".
// Author: JayRogers
//
// * Description *
//   Short: It's your Basic Bollinger Bands, but 3 of them, and some pointy things.
//
//   Long:  Three stacked sma based Bollinger Bands designed just to give you a quick visual on the "heat" of movement.
//          Set inner band as you would expect, then set your preferred additional multiplier increments for the outer 2 bands.
//          Option to use EMA as alternative basis, rather than SMA.
//          Breakout indication shapes, which have their own multiplier seperate from the BB's; but still tied to same length/period.

// strategy(shorttitle="[JR]MBHB_EBO", title="[JR] Multi Bollinger Heat Bands - EMA/Breakout options", overlay=true)

// Bollinger Bands Inputs
bb_use_ema = input(false, title="Use EMA Basis?")
bb_length = input(80, minval=1, title="Bollinger Length")
bb_source = input(close, title="Bollinger Source")
bb_mult = input(1.0, title="Base Multiplier", minval=0.001, maxval=50)
bb_mult_inc = input(1, title="Multiplier Increment", minval=0.001, maxval=2)
// Breakout Indicator Inputs
break_mult = input(3, title="Breakout Multiplier", minval=0.001, maxval=50)
breakhigh_source = input(high, title="High Break Source")
breaklow_source = input(low, title="Low Break Source")

bb_basis = bb_use_ema ? ema(bb_source, bb_length) : sma(bb_source, bb_length)

// Deviation
// * I'm sure there's a way I could write some of this cleaner, but meh.
dev = stdev(bb_source, bb_length)
bb_dev_inner = bb_mult * dev
bb_dev_mid = (bb_mult + bb_mult_inc) * dev
bb_dev_outer = (bb_mult + (bb_mult_inc * 2)) * dev
break_dev = break_mult * dev

// Upper bands
inner_high = bb_basis + bb_dev_inner
mid_high = bb_basis + bb_dev_mid
outer_high = bb_basis + bb_dev_outer
// Lower Bands
inner_low = bb_basis - bb_dev_inner
mid_low = bb_basis - bb_dev_mid
outer_low = bb_basis - bb_dev_outer

// Breakout Deviation
break_high = bb_basis + break_dev
break_low = bb_basis - break_dev

// plot basis
plot(bb_basis, title="Basis Line", color=color.yellow, transp=50)

// plot and fill upper bands
ubi = plot(inner_high, title="Upper Band Inner", color=color.red, transp=90)
ubm = plot(mid_high, title="Upper Band Middle", color=color.red, transp=85)
ubo = plot(outer_high, title="Upper Band Outer", color=color.red, transp=80)
fill(ubi, ubm, title="Upper Bands Inner Fill", color=color.red, transp=90)
fill(ubm, ubo, title="Upper Bands Outer Fill",color=color.red, transp=80)

// plot and fill lower bands
lbi = plot(inner_low, title="Lower Band Inner", color=color.green, transp=90)
lbm = plot(mid_low, title="Lower Band Middle", color=color.green, transp=85)
lbo = plot(outer_low, title="Lower Band Outer", color=color.green, transp=80)
fill(lbi, lbm, title="Lower Bands Inner Fill", color=color.green, transp=90)
fill(lbm, lbo, title="Lower Bands Outer Fill", color=color.green, transp=80)

// center channel fill
fill(ubi, lbi, title="Center Channel Fill", color=color.silver, transp=100)

// plot breakouts
plotshape(breakhigh_source >= break_high, title="High Breakout", style=shape.triangledown, location=location.abovebar, size=size.tiny, color=color.white, transp=0)
plotshape(breaklow_source <= break_low, title="Low Breakout", style=shape.triangleup, location=location.belowbar, size=size.tiny, color=color.white, transp=0)
High_Break = breakhigh_source >= break_high
Low_Break = breaklow_source <= break_low

// Conditions
Stop_Momentum = low < ma1

//Strategy Tester

strategy.entry("long", strategy.long, when=(up and (hlc3 < inner_high)))
strategy.close("long", when=down)

strategy.entry("longwickdown", strategy.long, when=Low_Break)
strategy.close("longwickdown", when=(high > ma1))

//true signals test

//var winCount = 0, var loseCount = 0, testBarIndex = 1
//if (up[testBarIndex] and close > close[testBarIndex]) or (down[testBarIndex] and close < close[testBarIndex])
//    label.new(bar_index, 0, "W", yloc = yloc.abovebar, color = color.green)
//    winCount := winCount + 1
//else if (up[testBarIndex] and close < close[testBarIndex]) or (down[testBarIndex] and close > close[testBarIndex])
//    label.new(bar_index, 0, "L", yloc = yloc.abovebar, color = color.red)
//    loseCount := loseCount + 1
//winRate = label.new(time + (time - time[1]) * 2, ohlc4, tostring(round(winCount / (winCount + loseCount) * 100)) + "%", xloc = xloc.bar_time, color = color.orange, style = label.style_label_left)
//if not na(winRate[1])
//    label.delete(winRate[1])

Más.