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Estrategia de negociación direccional con doble fondo

El autor:¿ Qué pasa?, Fecha: 2024-01-29 11:38:42
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Resumen general

La estrategia de trading direccional de PPO es una estrategia de trading que utiliza la identificación de las formaciones de doble fondo de precios por el indicador PPO (Percentage Price Oscillator) para generar señales comerciales.

Principios de estrategia

La estrategia emplea el indicador PPO para determinar las características de doble fondo del precio, al tiempo que incorpora el juicio del punto mínimo del precio para monitorear la formación de fondo del indicador PPO en tiempo real.

Por otro lado, la estrategia colabora con la determinación del valor mínimo del precio para determinar si el precio se encuentra en niveles relativamente bajos.

Mediante el doble mecanismo de validación de las características de reversión de la PPO y de confirmación del nivel de precios, se pueden identificar eficazmente las posibilidades de reversión de precios potenciales, filtrando las señales falsas y mejorando la calidad de la señal.

Análisis de ventajas

  1. El patrón de doble fondo PPO permite un tiempo preciso en los puntos de entrada.

  2. La combinación de la confirmación del nivel de precio filtra las señales falsas que ocurren a niveles relativamente altos, mejorando la calidad de la señal.

  3. El PPO es sensible y capta rápidamente los cambios de tendencia de precios, adecuado para el seguimiento de tendencias.

  4. El mecanismo de doble confirmación reduce efectivamente el riesgo de negociación.

Riesgos y soluciones

  1. La PPO tiende a producir señales falsas, que requieren confirmación de otros indicadores.

  2. La inversión de doble fondo puede no sostenerse, enfrentando riesgos de mayor declive.

  3. La configuración inadecuada de parámetros conduce a ganancias perdidas o entradas incorrectas.

  4. Hay un volumen de código sustancial con las replicaciones.

Direcciones de optimización

  1. Incorporar el módulo de stop loss y optimizar las estrategias de posicionamiento.

  2. Introducir indicadores de media móvil o de volatilidad como herramientas de confirmación.

  3. Modularizar los códigos para evitar juicios lógicos redundantes.

  4. Continúa ajustando los parámetros para mejorar la estabilidad.

  5. Prueba aplicaciones de comercio de distribución en más productos.

Conclusión

La estrategia de negociación de doble fondo captura las características de doble fondo del indicador PPO junto con la doble confirmación del posicionamiento del nivel de precio para detectar efectivamente los puntos de inversión de precios.

/*backtest
start: 2024-01-27 00:00:00
end: 2024-01-28 00:00:00
period: 2h
basePeriod: 15m
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/
// © luciancapdefier

//@version=4
strategy("PPO Divergence ST", overlay=true, initial_capital=30000, calc_on_order_fills=true, default_qty_type=strategy.percent_of_equity, default_qty_value=100)

// time
FromYear = input(2019, "Backtest Start Year")
FromMonth = input(1, "Backtest Start Month")
FromDay = input(1, "Backtest Start Day")
ToYear = input(2999, "Backtest End Year")
ToMonth = input(1, "Backtest End Month")
ToDay = input(1, "Backtest End Day")
start = timestamp(FromYear, FromMonth, FromDay, 00, 00)  // backtest start window
finish = timestamp(ToYear, ToMonth, ToDay, 23, 59)        // backtest finish window
window() => time >= start and time <= finish ? true : false 

source = close
topbots = input(true, title="Show PPO high/low triangles?")
long_term_div = input(true, title="Use long term divergences?")
div_lookback_period = input(55, minval=1, title="Lookback Period")
fastLength = input(12, minval=1, title="PPO Fast")
slowLength=input(26, minval=1, title="PPO Slow")
signalLength=input(9,minval=1, title="PPO Signal")
smoother = input(2,minval=1, title="PPO Smooth")
fastMA = ema(source, fastLength)
slowMA = ema(source, slowLength)
macd = fastMA - slowMA
macd2=(macd/slowMA)*100
d = sma(macd2, smoother) // smoothing PPO
 
bullishPrice = low 

priceMins = bullishPrice > bullishPrice[1] and bullishPrice[1] < bullishPrice[2] or low[1] == low[2] and low[1] < low and low[1] < low[3] or low[1] == low[2] and low[1] == low[3] and low[1] < low and low[1] < low[4] or low[1] == low[2] and low[1] == low[3] and low[1] and low[1] == low[4] and low[1] < low and low[1] < low[5] // this line identifies bottoms and plateaus in the price
oscMins= d > d[1] and d[1] < d[2] // this line identifies bottoms in the PPO

BottomPointsInPPO = oscMins

bearishPrice = high
priceMax = bearishPrice < bearishPrice[1] and bearishPrice[1] > bearishPrice[2] or high[1] == high[2] and high[1] > high and high[1] > high[3] or high[1] == high[2] and high[1] == high[3] and high[1] > high and high[1] > high[4] or high[1] == high[2] and high[1] == high[3] and high[1] and high[1] == high[4] and high[1] > high and high[1] > high[5]  // this line identifies tops in the price
oscMax = d < d[1] and d[1] > d[2]   // this line identifies tops in the PPO

TopPointsInPPO = oscMax

currenttrough4=valuewhen (oscMins, d[1], 0) // identifies the value of PPO at the most recent BOTTOM in the PPO
lasttrough4=valuewhen (oscMins, d[1], 1) // NOT USED identifies the value of PPO at the second most recent BOTTOM in the PPO
currenttrough5=valuewhen (oscMax, d[1], 0) // identifies the value of PPO at the most recent TOP in the PPO
lasttrough5=valuewhen (oscMax, d[1], 1) // NOT USED identifies the value of PPO at the second most recent TOP in the PPO

currenttrough6=valuewhen (priceMins, low[1], 0) // this line identifies the low (price) at the most recent bottom in the Price
lasttrough6=valuewhen (priceMins, low[1], 1) // NOT USED this line identifies the low (price) at the second most recent bottom in the Price
currenttrough7=valuewhen (priceMax, high[1], 0) // this line identifies the high (price) at the most recent top in the Price
lasttrough7=valuewhen (priceMax, high[1], 1) // NOT USED this line identifies the high (price) at the second most recent top in the Price

delayedlow = priceMins and barssince(oscMins) < 3 ? low[1] : na
delayedhigh = priceMax and barssince(oscMax) < 3 ? high[1] : na

// only take tops/bottoms in price when tops/bottoms are less than 5 bars away
filter = barssince(priceMins) < 5 ? lowest(currenttrough6, 4) : na
filter2 = barssince(priceMax) < 5 ? highest(currenttrough7, 4) : na

//delayedbottom/top when oscillator bottom/top is earlier than price bottom/top
y11 = valuewhen(oscMins, delayedlow, 0)
y12 = valuewhen(oscMax, delayedhigh, 0)

// only take tops/bottoms in price when tops/bottoms are less than 5 bars away, since 2nd most recent top/bottom in osc
y2=valuewhen(oscMax, filter2, 1) // identifies the highest high in the tops of price with 5 bar lookback period SINCE the SECOND most recent top in PPO
y6=valuewhen(oscMins, filter, 1) // identifies the lowest low in the bottoms of price with 5 bar lookback period SINCE the SECOND most recent bottom in PPO

long_term_bull_filt = valuewhen(priceMins, lowest(div_lookback_period), 1)
long_term_bear_filt = valuewhen(priceMax, highest(div_lookback_period), 1)

y3=valuewhen(oscMax, currenttrough5, 0) // identifies the value of PPO in the most recent top of PPO 
y4=valuewhen(oscMax, currenttrough5, 1) // identifies the value of PPO in the second most recent top of PPO 

y7=valuewhen(oscMins, currenttrough4, 0) // identifies the value of PPO in the most recent bottom of PPO
y8=valuewhen(oscMins, currenttrough4, 1) // identifies the value of PPO in the SECOND most recent bottom of PPO

y9=valuewhen(oscMins, currenttrough6, 0)
y10=valuewhen(oscMax, currenttrough7, 0)

bulldiv= BottomPointsInPPO ? d[1] : na // plots dots at bottoms in the PPO
beardiv= TopPointsInPPO ? d[1]: na // plots dots at tops in the PPO

i = currenttrough5 < highest(d, div_lookback_period) // long term bearish oscilator divergence
i2 = y10 > long_term_bear_filt // long term bearish top divergence
i3 = delayedhigh > long_term_bear_filt // long term bearish delayedhigh divergence

i4 = currenttrough4 > lowest(d, div_lookback_period) // long term bullish osc divergence
i5 = y9 < long_term_bull_filt // long term bullish bottom div
i6 = delayedlow < long_term_bull_filt // long term bullish delayedbottom div

//plot(0, color=gray)
//plot(d, color=black)
//plot(bulldiv, title = "Bottoms", color=maroon, style=circles, linewidth=3, offset= -1)
//plot(beardiv, title = "Tops", color=green, style=circles, linewidth=3, offset= -1)

bearishdiv1 = (y10 > y2 and oscMax and y3 < y4) ? true : false
bearishdiv2 = (delayedhigh > y2 and y3 < y4) ? true : false
bearishdiv3 = (long_term_div and oscMax and i and i2) ? true : false
bearishdiv4 = (long_term_div and i and i3) ? true : false

bullishdiv1 = (y9 < y6 and oscMins and y7 > y8) ? true : false
bullishdiv2 = (delayedlow < y6 and y7 > y8) ? true : false
bullishdiv3 = (long_term_div and oscMins and i4 and i5) ? true : false
bullishdiv4 = (long_term_div and i4 and i6) ? true : false

bearish = bearishdiv1 or bearishdiv2 or bearishdiv3 or bearishdiv4
bullish = bullishdiv1 or bullishdiv2 or bullishdiv3 or bullishdiv4
 
greendot = beardiv != 0 ? true : false
reddot = bulldiv != 0 ? true : false

if (reddot and window())
    strategy.entry("Buy Id", strategy.long, comment="BUY")

if (greendot and window())
    strategy.entry("Sell Id", strategy.short, comment="SELL")

alertcondition( bearish, title="Bearish Signal (Orange)", message="Orange & Bearish: Short " ) 
alertcondition( bullish, title="Bullish Signal (Purple)", message="Purple & Bullish: Long " )
alertcondition( greendot, title="PPO High (Green)", message="Green High Point: Short " ) 
alertcondition( reddot, title="PPO Low (Red)", message="Red Low Point: Long " )

// plotshape(bearish ? d : na, text='▼\nP', style=shape.labeldown, location=location.abovebar, color=color(orange,0), textcolor=color(white,0), offset=0)
// plotshape(bullish ? d : na, text='P\n▲', style=shape.labelup, location=location.belowbar, color=color(#C752FF,0), textcolor=color(white,0), offset=0)
plotshape(topbots and greendot ? d : na, text='', style=shape.triangledown, location=location.abovebar, color=color.red, offset=0, size=size.tiny)
plotshape(topbots and reddot ? d : na, text='', style=shape.triangleup, location=location.belowbar, color=color.lime, offset=0, size=size.tiny)

//barcolor(bearishdiv1 or bearishdiv2 or bearishdiv3 or bearishdiv4 ? orange : na)
//barcolor(bullishdiv1 or bullishdiv2 or bullishdiv3 or bullishdiv4 ? fuchsia : na)
//barcolor(#dedcdc)
Más.

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